Imperial College London
Professor Wayne Luk

ProfessorWayneLuk

Faculty of Engineering, Department of Computing

Professor of Computer Engineering
 
 
 
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Contact

 

+44 (0)20 7594 8313w.luk Website

 
 
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Location

 

434Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inproceedings{Jin:2012:10.1007/978-3-642-28365-9_16,
author = {Jin, Q and Dong, D and Tse, AHT and Chow, GCT and Thomas, DB and Luk, W and Weston, S},
doi = {10.1007/978-3-642-28365-9_16},
pages = {187--201},
title = {Multi-level customisation framework for curve based Monte Carlo financial simulations},
url = {http://dx.doi.org/10.1007/978-3-642-28365-9_16},
year = {2012}
}
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RIS format (EndNote, RefMan)

TY  - CPAPER
AB  - One of the main challenges when accelerating financial applications using reconfigurable hardware is the management of design complexity. This paper proposes a multi-level customisation framework for automatic generation of complex yet highly efficient curve based financial Monte Carlo simulators on reconfigurable hardware. By identifying multiple levels of functional specialisations and the optimal data format for the Monte Carlo simulation, we allow different levels of programmability in our framework to retain good performance and support multiple applications. Designs targeting a Virtex-6 SX475T FPGA generated by our framework are about 40 times faster than single-core software implementations on an i7-870 quad-core CPU at 2.93 GHz; they are over 10 times faster and 20 times more energy efficient than 4-core implementations on the same i7-870 quad-core CPU, and are over three times more energy efficient and 36% faster than a highly optimised implementation on an NVIDIA Tesla C2070 GPU at 1.15 GHz. In addition, our framework is platform independent and can be extended to support CPU and GPU applications. © 2012 Springer-Verlag.
AU  - Jin,Q
AU  - Dong,D
AU  - Tse,AHT
AU  - Chow,GCT
AU  - Thomas,DB
AU  - Luk,W
AU  - Weston,S
DO  - 10.1007/978-3-642-28365-9_16
EP  - 201
PY  - 2012///
SN  - 0302-9743
SP  - 187
TI  - Multi-level customisation framework for curve based Monte Carlo financial simulations
UR  - http://dx.doi.org/10.1007/978-3-642-28365-9_16
ER  -
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