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Master's Dissertation
DOI
10.11606/D.55.2018.tde-19102018-102741
Document
Author
Full name
Thadeu Antonio Ferreira de Melo Costa
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2018
Supervisor
Committee
Marques, Eduardo (President)
Azevedo, Rodolfo Jardim de
Matias, Paulo
Silva, Geraldo Nunes
Title in Portuguese
Coprojeto hardware/software das equações de Black-Scholes para precificação de opções no mercado financeiro
Keywords in Portuguese
Black-Scholes
Finanças
FPGA
Monte Carlo
OpenCL
Abstract in Portuguese
Este trabalho apresenta a implementação em hardware das Equações de Black-Scholes para precificação de opções usando Método de Monte Carlo. A implementação foi feita em OpenCL compatível com FPGAs recentes da Altera/Intel. Essa implementação é modular e permite a utilização de diferentes geradores de números aleatórios em configurações diferentes de software e hardware. A proposta é que essas implementações possam aproveitar as vantagens de cada componente, resultando em uma maior quantidade de simulações e por consequência melhorando a precisão dos resultados.
Title in English
Hardware/softwares codesign of Black-Scholes equations for option princing in the financial market
Keywords in English
Black-Scholes
Finance
FPGA
Monte Carlo
OpenCL
Abstract in English
This paper presents the hardware implementation of Black-Scholes Equations for pricing options using Monte Carlo Method. The implementation was made in OpenCL compatible with recent Altera / Intel FPGAs. This implementation is modular and allows the use of different random number generators in different software and hardware configurations. The proposal is that these implementations can take advantage of each component, resulting in a greater number of simulations and consequently improving the accuracy of the results.
 
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Publishing Date
2018-10-19
 
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