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  • © 2015

FPGA Based Accelerators for Financial Applications

  • Provides a single-source reference for understanding benefits, risks and other effects of using FPGAs in finance
  • Describes a holistic approach to user requirements, algorithmic needs, system integration issues and low-level architectural details
  • Enables interdisciplinary solutions that typically require expertise from hardware engineers, software architects and IT managers to create a successful platform that is usable, flexible, fast and energy efficient

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Table of contents (11 chapters)

  1. Front Matter

    Pages i-xviii
  2. 10 Computational Challenges in Finance

    • Sascha Desmettre, Ralf Korn
    Pages 1-31
  3. From Model to Application: Calibration to Market Data

    • Tilman Sayer, Jörg Wenzel
    Pages 33-54
  4. Towards Automated Benchmarking and Evaluation of Heterogeneous Systems in Finance

    • Christian De Schryver, Carolina Pereira Nogueira
    Pages 75-95
  5. Is High Level Synthesis Ready for Business? An Option Pricing Case Study

    • Gordon Inggs, Shane Fleming, David B. Thomas, Wayne Luk
    Pages 97-115
  6. High-Bandwidth Low-Latency Interfacing with FPGA Accelerators Using PCI Express

    • Mohammadsadegh Sadri, Christian De Schryver, Norbert Wehn
    Pages 117-141
  7. Pricing High-Dimensional American Options on Hybrid CPU/FPGA Systems

    • Javier Alejandro Varela, Christian Brugger, Songyin Tang, Norbert Wehn, Ralf Korn
    Pages 143-166
  8. Bringing Flexibility to FPGA Based Pricing Systems

    • Christian Brugger, Christian De Schryver, Norbert Wehn
    Pages 167-190
  9. Exploiting Mixed-Precision Arithmetics in a Multilevel Monte Carlo Approach on FPGAs

    • Steffen Omland, Mario Hefter, Klaus Ritter, Christian Brugger, Christian De Schryver, Norbert Wehn et al.
    Pages 191-220
  10. Accelerating Closed-Form Heston Pricers for Calibration

    • Gongda Liu, Christian Brugger, Christian De Schryver, Norbert Wehn
    Pages 221-242
  11. Maxeler Data-Flow in Computational Finance

    • Tobias Becker, Oskar Mencer, Stephen Weston, Georgi Gaydadjiev
    Pages 243-266
  12. Back Matter

    Pages 267-273

About this book

This book covers the latest approaches and results from reconfigurable computing architectures employed in the finance domain. So-called field-programmable gate arrays (FPGAs) have already shown to outperform standard CPU- and GPU-based computing architectures by far, saving up to 99% of energy depending on the compute tasks. Renowned authors from financial mathematics, computer architecture and finance business introduce the readers into today’s challenges in finance IT, illustrate the most advanced approaches and use cases and present currently known methodologies for integrating FPGAs in finance systems together with latest results. The complete algorithm-to-hardware flow is covered holistically, so this book serves as a hands-on guide for IT managers, researchers and quants/programmers who think about integrating FPGAs into their current IT systems.

Editors and Affiliations

  • University of Kaiserslautern, Kaiserslautern, Germany

    Christian De Schryver

About the editor

Dr.-Ing. Christian De Schryver graduated in Information Technology in 2008 and received a PhD in Electrical Engineering in 2014, both from the University in Kaiserslautern, Germany. At this place, he is currently a Post-Doc and Senior Member of the Customized High Performance Computing (CHPC) research team within the Microelectronic Systems Design Research Group headed by Prof. Dr. Norbert Wehn. His research interests are design methodologies for application-tailored heterogeneous execution platforms, hardware accelerators for supercomputing applications (in particular finance and big data processing) and system-level design flows.

Bibliographic Information

Buy it now

Buying options

eBook USD 79.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 99.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book USD 139.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access