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Case Studies in Acceleration of Heston’s Stochastic Volatility Financial Engineering Model: GPU, Cloud and FPGA Implementations

Christos Delivorias
The University of Edinburg
The University of Edinburg, 2012

@article{delivorias2012case,

   title={Case Studies in Acceleration of Heston’s Stochastic Volatility Financial Engineering Model: GPU, Cloud and FPGA Implementations},

   author={Delivorias, C. and Richt{‘a}rik, P. and Tak{‘a}{v{c}}, M.},

   year={2012}

}

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Here we present a comparative insight of the performance of the Heston stochastic volatility model on different acceleration platforms. This model was tested against a MacBook’s CPU, a Techila grid server hosted on Microsoft’s Azure cloud, a GPU node hosted by Boston Ltd, and an FPGA node hosted by Maxeler Technologies Ltd. Temporal data was collected and compared against the CPU baseline to provide quantified acceleration benefits from all platforms.
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