scholarly journals High Performance and Low Power Monte Carlo Methods to Option Pricing Models via High Level Design and Synthesis

2016 ◽  
Author(s):  
Liang Ma ◽  
Fahad Bin Muslim ◽  
Luciano Lavagno
Keyword(s):  
Monte Carlo ◽  
Low Power ◽  
Option Pricing ◽  
Monte Carlo Methods ◽  
High Performance ◽  
Pricing Models ◽  
Design And Synthesis ◽  
Level Design ◽  
High Level

Sequential Monte Carlo methods for diffusion processes

2009 ◽  
Vol 465 (2112) ◽  
pp. 3709-3727 ◽  
Author(s):  
Ajay Jasra ◽  
Arnaud Doucet
Keyword(s):  
Optimal Control ◽  
Monte Carlo ◽  
Option Pricing ◽  
Monte Carlo Methods ◽  
Sequential Monte Carlo ◽  
Diffusion Processes ◽  
Time Discretization ◽  
Initial Condition ◽  
Sequential Monte Carlo Methods ◽  
Low Dimensional

In this paper, we show how to use sequential Monte Carlo methods to compute expectations of functionals of diffusions at a given time and the gradients of these quantities w.r.t. the initial condition of the process. In some cases, via the exact simulation of the diffusion, there is no time discretization error, otherwise the methods use Euler discretization. We illustrate our approach on both high- and low-dimensional problems from optimal control and establish that our approach substantially outperforms standard Monte Carlo methods typically adopted in the literature. The methods developed here are appropriate for solving a certain class of partial differential equations as well as for option pricing and hedging.

A High Level Design of Reconfigurable and High-Performance ASIP Engine for Image Signal Processing

2012 ◽  
Vol E95.A (12) ◽  
pp. 2373-2383 ◽  
Author(s):  
Hsuan-Chun LIAO ◽  
Mochamad ASRI ◽  
Tsuyoshi ISSHIKI ◽  
Dongju LI ◽  
Hiroaki KUNIEDA
Keyword(s):  
Signal Processing ◽  
High Performance ◽  
Level Design ◽  
High Level

scholarly journals Monte Carlo Simulations of High-Performance Implant Free In$_{0.3}$Ga$_{0.7}$As Nano-MOSFETs for Low-Power CMOS Applications

2007 ◽  
Vol 6 (1) ◽  
pp. 106-112 ◽  
Author(s):  
Karol Kalna ◽  
James A. Wilson ◽  
David A. J. Moran ◽  
Richard J. W. Hill ◽  
Andrew R. Long ◽  
...  
Keyword(s):  
Monte Carlo ◽  
Low Power ◽  
Monte Carlo Simulations ◽  
High Performance ◽  
Low Power Cmos
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