A hardware generator for multi-point distributed random variables

Publication Type:
Conference Proceeding
Citation:
Proceedings - IEEE International Symposium on Circuits and Systems, 2005, pp. 1702 - 1705
Issue Date:
2005-12-01
Metrics:
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2005000994.pdf175.74 kB
Adobe PDF
In Monte Carlo simulation of weak approximation of stochastic differential equations, multi-point distributed random variables play an important role. However, they need highly efficient implementations to meet the "real-time" requirements of applications such as the pricing of complex derivative securities. In this paper a fast and fexible dedicated hardware generator of multi-point distributed random variables on a Field Programmable Gate Array (FPGA) is presented. A comparative performance analysis demonstrates that the hardware solution is bottleneck-free, retains the fexibility of a traditional software implementation and significantly increases the computational fficiency of the overall simulation. © 2005 IEEE.
Please use this identifier to cite or link to this item: