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Monte Carlo implementation of financial simulation on Cell/B.E. multi-core processor

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  • Larsson, Jonas

Abstract

The processor evolution has reached a critical moment in time where it will soon be impossible to increase the frequency much further. Processor designers such as Motorola, Intel and IBM have all realised that the only way to improve the FLOP/Watt ratio is to develop multi-core devices. One of the most current examples of multi-core processors is the new Sony/Toshiba/IBM Cell/B.E. multi-core processor. For the suitability to run in parallel, Monte Carlo methods are often considered embarrassingly parallel. This paper describes how a common Monte Carlo based financial simulation can be calculated in parallel using the Cell/B.E. multi-core processor. The measured performance with the achieved multi-core speed-up is also presented. With the recent availability of this increasingly available technology, financial simulations can now be performed in a fraction of the time it used to. This can also be achieved with a limited power and volume budget using commercially available technology. The main challenge with multi-core devices is clearly the programmability. The work presented here describes how this challenge could be dealt with.

Suggested Citation

  • Larsson, Jonas, 2010. "Monte Carlo implementation of financial simulation on Cell/B.E. multi-core processor," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(3), pages 578-587.
    • Handle: RePEc:eee:matcom:v:81:y:2010:i:3:p:578-587
    DOI: 10.1016/j.matcom.2010.08.004
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    References listed on IDEAS

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    1. Bénédicte Vidaillet & V. d'Estaintot & P. Abécassis, 2005. "Introduction," Post-Print hal-00287137, HAL.
    2. Boyle, Phelim P., 1977. "Options: A Monte Carlo approach," Journal of Financial Economics, Elsevier, vol. 4(3), pages 323-338, May.
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    Cited by:

    1. Tisan, A. & Cirstea, M., 2013. "SOM neural network design – A new Simulink library based approach targeting FPGA implementation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 91(C), pages 134-149.

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