IEEE - Institute of Electrical and Electronics Engineers, Inc. - FPGA acceleration of quasi-Monte Carlo in finance

2008 International Conference on Field Programmable Logic and Applications (FPL)

Author(s): N.A. Woods ; T. VanCourt
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 September 2008
Conference Location: Heidelberg, Germany
Conference Date: 8 September 2008
Page(s): 335 - 340
ISBN (CD): 978-1-4244-1961-6
ISBN (Paper): 978-1-4244-1960-9
DOI: 10.1109/FPL.2008.4629954
Regular:

Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular because for many types of derivatives it yields an estimate of the... View More

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