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{Yang:2014:10.1109/FPL.2014.6927411,
author = {Yang, J and Lin, B and Luk, W and Nahar, T},
doi = {10.1109/FPL.2014.6927411},
publisher = {IEEE},
title = {Particle filtering-based maximum likelihood estimation for financial parameter estimation},
url = {http://dx.doi.org/10.1109/FPL.2014.6927411},
year = {2014}
}
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RIS format (EndNote, RefMan)

TY  - CPAPER
AB  - This paper presents a novel method for estimating parameters of financial models with jump diffusions. It is a Particle Filter based Maximum Likelihood Estimation process, which uses particle streams to enable efficient evaluation of constraints and weights. We also provide a CPU-FPGA collaborative design for parameter estimation of Stochastic Volatility with Correlated and Contemporaneous Jumps model as a case study. The result is evaluated by comparing with a CPU and a cloud computing platform. We show 14 times speed up for the FPGA design compared with the CPU, and similar speedup but better convergence compared with an alternative parallelisation scheme using Techila Middleware on a multi-CPU environment.
AU  - Yang,J
AU  - Lin,B
AU  - Luk,W
AU  - Nahar,T
DO  - 10.1109/FPL.2014.6927411
PB  - IEEE
PY  - 2014///
TI  - Particle filtering-based maximum likelihood estimation for financial parameter estimation
UR  - http://dx.doi.org/10.1109/FPL.2014.6927411
UR  - http://hdl.handle.net/10044/1/23845
ER  -
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