FPGA acceleration of Monte-Carlo based credit derivative pricing.
Alexander KaganovPaul ChowAsif LakhanyPublished in: FPL (2008)
Keyphrases
- monte carlo
- field programmable gate array
- markov chain
- hardware implementation
- monte carlo simulation
- importance sampling
- markovian decision
- point processes
- particle filter
- simulation study
- temporal difference
- hardware architecture
- monte carlo method
- signal processing
- monte carlo tree search
- quasi monte carlo
- stochastic approximation
- monte carlo methods
- optimal strategy
- probabilistic model
- adaptive sampling
- matrix inversion
- genetic algorithm
- global illumination
- parallel architecture
- markov chain monte carlo
- kalman filter