Tensor Processing Units for Financial Monte Carlo

Francois Belletti, Davis King, Kun Yang, Roland Nelet, Yusef Shafi, Yi-Fan Chen, John Anderson
Google Research, Mountain View CA, USA
arXiv:1906.02818 [cs.DC], (10 Jun 2019)


   title={Tensor Processing Units for Financial Monte Carlo},

   author={Francois Belletti and Davis King and Kun Yang and Roland Nelet and Yusef Shafi and Yi-Fan Chen and John Anderson},






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Monte Carlo methods are core to many routines in quantitative finance such as derivatives pricing, hedging and risk metrics. Unfortunately, Monte Carlo methods are very computationally expensive when it comes to running simulations in high-dimensional state spaces where they are still a method of choice in the financial industry. Recently, Tensor Processing Units (TPUs) have provided considerable speedups and decreased the cost of running Stochastic Gradient Descent (SGD) in Deep Learning. After having highlighted computational similarities between training neural networks with SGD and stochastic process simulation, we ask in the present paper whether TPUs are accurate, fast and simple enough to use for financial Monte Carlo. Through a theoretical reminder of the key properties of such methods and thorough empirical experiments we examine the fitness of TPUs for option pricing, hedging and risk metrics computation. We show in the following that Tensor Processing Units (TPUs) in the cloud help accelerate Monte Carlo routines compared to Graphics Processing Units (GPUs) which in turn decreases the cost associated with running such simulations while leveraging the flexibility of the cloud. In particular we demonstrate that, in spite of the use of mixed precision, TPUs still provide accurate estimators which are fast to compute. We also show that the Tensorflow programming model for TPUs is elegant, expressive and simplifies automated differentiation.
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