Design of a Financial Application Driven Multivariate Gaussian Random Number Generator for an FPGA

Provided by: Imperial College London
Topic: Hardware
Format: PDF
A Multi-Variate Gaussian Random Number Generator (MVGRNG) is a pre-requisite for most monte carlo simulations for financial applications, especially those that involve many correlated assets. In recent years, Field Programmable Gate Arrays (FPGAs) have received a lot of attention as a target platform for the implementation of such a generator due to the high throughput performance that can be achieved. In this paper it is demonstrated that the choice of the objective function employed for the hardware optimization of the MVRNG core, has a considerable impact on the final performance of the application of interest.

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