A hardware generator for multi-point distributed random variables

Publication Type:
Conference Proceeding
Proceedings - IEEE International Symposium on Circuits and Systems, 2005, pp. 1702 - 1705
Issue Date:
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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.
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