An Environment for Rapid Derivatives Design and Experimentation

In the highly competitive world of modern finance, new derivatives are continually required to take advantage of changes in financial markets, and to hedge businesses against new risks. The research described in this paper aims to accelerate the development and pricing of new derivatives in two different ways. Firstly, new derivatives can be specified mathematically within a general framework, enabling new mathematical formulae to be specified rather than just new parameter settings. This Generic Pricing Engine (GPE) is expressively powerful enough to specify a wide range of stand¬ard pricing engines. Secondly, the associated price simulation using the Monte Carlo method is accelerated using GPU or multicore hardware. The parallel implementation (in OpenCL) is automatically derived from the mathematical description of the derivative. As a test, for a Basket Option Pricing Engine (BOPE) generated using the GPE, on the largest problem size, an NVidia GPU runs the generated pricing engine at 45 times the speed of a sequential, specific hand-coded implementation of the same BOPE. Thus a user can more rapidly devise, simulate and experiment with new derivatives without actual programming.

FPGA-based soft-core processors for image processing applications

With security and surveillance, there is an increasing need to process image data efficiently and effectively either at source or in a large data network. Whilst a Field-Programmable Gate Array (FPGA) has been seen as a key technology for enabling this, the design process has been viewed as problematic in terms of the time and effort needed for implementation and verification. The work here proposes a different approach of using optimized FPGA-based soft-core processors which allows the user to exploit the task and data level parallelism to achieve the quality of dedicated FPGA implementations whilst reducing design time. The paper also reports some preliminary
progress on the design flow to program the structure. An implementation for a Histogram of Gradients algorithm is also reported which shows that a performance of 328 fps can be achieved with this design approach, whilst avoiding the long design time, verification and debugging steps associated with conventional FPGA implementations.