{"id":"https://openalex.org/W1968370502","doi":"https://doi.org/10.1109/cifer.2014.6924076","title":"Mixed precision multilevel Monte Carlo on hybrid computing systems","display_name":"Mixed precision multilevel Monte Carlo on hybrid computing systems","publication_year":2014,"publication_date":"2014-03-01","ids":{"openalex":"https://openalex.org/W1968370502","doi":"https://doi.org/10.1109/cifer.2014.6924076","mag":"1968370502"},"language":"en","primary_location":{"id":"doi:10.1109/cifer.2014.6924076","doi":"https://doi.org/10.1109/cifer.2014.6924076","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2014.6924076","pdf_url":null,"source":{"id":"https://openalex.org/S4306422520","display_name":"IEEE Conference on Computational Intelligence for Financial Engineering & Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","raw_type":"proceedings-article"},"volume":null,"type":"conference-paper","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5034437555","display_name":"Christian Brugger","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I153267046","display_name":"University of Kaiserslautern","ror":"https://ror.org/04zrf7b53","country_code":"DE","type":"education","lineage":["https://openalex.org/I153267046","https://openalex.org/I4387152675"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Christian Brugger","raw_affiliation_strings":["Microelectronic Systems Design Research Group, University of Kaiserslautern, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Microelectronic Systems Design Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068426047","display_name":"Christian De Schryver","orcid":"https://orcid.org/0000-0002-5911-5289","observed_orcids":["https://orcid.org/0000-0002-5911-5289"]},"institutions":[{"id":"https://openalex.org/I153267046","display_name":"University of Kaiserslautern","ror":"https://ror.org/04zrf7b53","country_code":"DE","type":"education","lineage":["https://openalex.org/I153267046","https://openalex.org/I4387152675"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Christian de Schryver","raw_affiliation_strings":["Microelectronic Systems Design Research Group, University of Kaiserslautern, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Microelectronic Systems Design Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5059285190","display_name":"Norbert Wehn","orcid":"https://orcid.org/0000-0002-9010-086X","observed_orcids":["https://orcid.org/0000-0002-9010-086X"]},"institutions":[{"id":"https://openalex.org/I153267046","display_name":"University of Kaiserslautern","ror":"https://ror.org/04zrf7b53","country_code":"DE","type":"education","lineage":["https://openalex.org/I153267046","https://openalex.org/I4387152675"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Norbert Wehn","raw_affiliation_strings":["Microelectronic Systems Design Research Group, University of Kaiserslautern, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Microelectronic Systems Design Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5024392264","display_name":"Steffen Omland","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I153267046","display_name":"University of Kaiserslautern","ror":"https://ror.org/04zrf7b53","country_code":"DE","type":"education","lineage":["https://openalex.org/I153267046","https://openalex.org/I4387152675"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Steffen Omland","raw_affiliation_strings":["Klaus Ritter Computational Stochastics Research Group, University of Kaiserslautern, Germany","Computational Stochastics Research Group, University of Kaiserslautern, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Klaus Ritter Computational Stochastics Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]},{"raw_affiliation_string":"Computational Stochastics Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5068688543","display_name":"Mario Hefter","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I153267046","display_name":"University of Kaiserslautern","ror":"https://ror.org/04zrf7b53","country_code":"DE","type":"education","lineage":["https://openalex.org/I153267046","https://openalex.org/I4387152675"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Mario Hefter","raw_affiliation_strings":["Klaus Ritter Computational Stochastics Research Group, University of Kaiserslautern, Germany","Computational Stochastics Research Group, University of Kaiserslautern, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Klaus Ritter Computational Stochastics Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]},{"raw_affiliation_string":"Computational Stochastics Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5110337597","display_name":"Klaus Ritter","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I153267046","display_name":"University of Kaiserslautern","ror":"https://ror.org/04zrf7b53","country_code":"DE","type":"education","lineage":["https://openalex.org/I153267046","https://openalex.org/I4387152675"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Klaus Ritter","raw_affiliation_strings":["Klaus Ritter Computational Stochastics Research Group, University of Kaiserslautern, Germany","Computational Stochastics Research Group, University of Kaiserslautern, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Klaus Ritter Computational Stochastics Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]},{"raw_affiliation_string":"Computational Stochastics Research Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5025539933","display_name":"Anton Kostiuk","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I153267046","display_name":"University of Kaiserslautern","ror":"https://ror.org/04zrf7b53","country_code":"DE","type":"education","lineage":["https://openalex.org/I153267046","https://openalex.org/I4387152675"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Anton Kostiuk","raw_affiliation_strings":["Ralf Korn Stochastic Control and Financial Mathematics Group, Uiversity of Kaiserslautern, Germany","Stochastic Control and Financial Mathematics Group, University of Kaiserslautern, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ralf Korn Stochastic Control and Financial Mathematics Group, Uiversity of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]},{"raw_affiliation_string":"Stochastic Control and Financial Mathematics Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5091105343","display_name":"Ralf Korn","orcid":"https://orcid.org/0000-0002-9123-3883","observed_orcids":["https://orcid.org/0000-0002-9123-3883"]},"institutions":[{"id":"https://openalex.org/I153267046","display_name":"University of Kaiserslautern","ror":"https://ror.org/04zrf7b53","country_code":"DE","type":"education","lineage":["https://openalex.org/I153267046","https://openalex.org/I4387152675"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Ralf Korn","raw_affiliation_strings":["Ralf Korn Stochastic Control and Financial Mathematics Group, Uiversity of Kaiserslautern, Germany","Stochastic Control and Financial Mathematics Group, University of Kaiserslautern, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Ralf Korn Stochastic Control and Financial Mathematics Group, Uiversity of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]},{"raw_affiliation_string":"Stochastic Control and Financial Mathematics Group, University of Kaiserslautern, Germany","institution_ids":["https://openalex.org/I153267046"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I153267046"],"apc_list":null,"apc_paid":null,"fwci":15.7316,"has_fulltext":false,"cited_by_count":23,"citation_normalized_percentile":{"value":0.98592375,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":null,"issue":null,"first_page":"215","last_page":"222"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5928000211715698,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.5928000211715698,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11697","display_name":"Numerical Methods and Algorithms","score":0.1753000020980835,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10904","display_name":"Embedded Systems Design Techniques","score":0.03629999980330467,"subfield":{"id":"https://openalex.org/subfields/1708","display_name":"Hardware and Architecture"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/multilevel-monte-carlo","display_name":"multilevel Monte Carlo","score":0.8989999890327454},{"id":"https://openalex.org/keywords/mixed-precision","display_name":"mixed precision","score":0.8399999737739563},{"id":"https://openalex.org/keywords/hybrid-computing","display_name":"hybrid computing","score":0.8199999928474426},{"id":"https://openalex.org/keywords/reconfigurable-architecture","display_name":"reconfigurable architecture","score":0.8659999966621399},{"id":"https://openalex.org/keywords/fpga","display_name":"FPGA","score":0.9269999861717224},{"id":"https://openalex.org/keywords/gpu-acceleration","display_name":"GPU acceleration","score":0.6460000276565552},{"id":"https://openalex.org/keywords/cost-model","display_name":"cost model","score":0.9430000185966492},{"id":"https://openalex.org/keywords/asian-option-pricing","display_name":"Asian option pricing","score":0.8339999914169312},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.9980000257492065},{"id":"https://openalex.org/keywords/financial-simulation","display_name":"financial simulation","score":0.6729999780654907},{"id":"https://openalex.org/keywords/low-precision-arithmetic","display_name":"low-precision arithmetic","score":0.5870000123977661}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7355053424835205},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6696790456771851},{"id":"https://openalex.org/C42935608","wikidata":"https://www.wikidata.org/wiki/Q190411","display_name":"Field-programmable gate array","level":2,"score":0.6348588466644287},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.5835864543914795},{"id":"https://openalex.org/C173801870","wikidata":"https://www.wikidata.org/wiki/Q201413","display_name":"Heuristic","level":2,"score":0.5685704350471497},{"id":"https://openalex.org/C113775141","wikidata":"https://www.wikidata.org/wiki/Q428691","display_name":"Computer engineering","level":1,"score":0.435655802488327},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.3236076235771179},{"id":"https://openalex.org/C149635348","wikidata":"https://www.wikidata.org/wiki/Q193040","display_name":"Embedded system","level":1,"score":0.25896894931793213},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.20136749744415283},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.095974862575531},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/cifer.2014.6924076","doi":"https://doi.org/10.1109/cifer.2014.6924076","is_oa":false,"landing_page_url":"https://doi.org/10.1109/cifer.2014.6924076","pdf_url":null,"source":{"id":"https://openalex.org/S4306422520","display_name":"IEEE Conference on Computational Intelligence for Financial Engineering & Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2014 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321114","display_name":"Bundesministerium f\u00fcr Bildung und Forschung","ror":"https://ror.org/04pz7b180"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1254831770","https://openalex.org/W1575104486","https://openalex.org/W2004973016","https://openalex.org/W2014945091","https://openalex.org/W2023497162","https://openalex.org/W2044203216","https://openalex.org/W2064978316","https://openalex.org/W2077791698","https://openalex.org/W2084904613","https://openalex.org/W2115906242","https://openalex.org/W2119880784","https://openalex.org/W2142880425","https://openalex.org/W2163715525","https://openalex.org/W2266689008","https://openalex.org/W2949063410","https://openalex.org/W2951362663","https://openalex.org/W3022909171","https://openalex.org/W3123725596"],"related_works":["https://openalex.org/W2247698914","https://openalex.org/W4408919533","https://openalex.org/W7039532394","https://openalex.org/W2119880784","https://openalex.org/W2525954828","https://openalex.org/W2120577120","https://openalex.org/W2208570421","https://openalex.org/W2100580384","https://openalex.org/W2137690490","https://openalex.org/W2052060016"],"abstract_inverted_index":{"Nowadays,":[0],"high-speed":[1],"computations":[2,33],"are":[3,34,42],"mandatory":[4],"for":[5,48,72,132,153,179],"financial":[6,50,90],"and":[7,14,55,182],"insurance":[8],"institutes":[9],"to":[10,15,88,113,127],"survive":[11],"in":[12,102,202],"competition":[13],"fulfill":[16],"the":[17,26,49,69,130,136,143,162,184,191,196,203,213,224],"regulatory":[18],"reporting":[19],"requirements":[20,71],"that":[21,65,164],"have":[22,84,148],"just":[23],"toughened":[24],"over":[25],"last":[27],"years.":[28],"A":[29],"majority":[30],"of":[31,135,161,186,198,212,221],"these":[32],"carried":[35],"out":[36],"on":[37,121,223],"huge":[38,86],"computing":[39],"clusters,":[40],"which":[41],"an":[43,155],"ever":[44],"increasing":[45],"cost":[46,177,185],"burden":[47],"industry.":[51],"There,":[52],"state-of-the-art":[53],"CPU":[54],"GPU":[56],"architectures":[57,77,181],"execute":[58],"arithmetic":[59],"operations":[60],"with":[61,168],"pre-defined":[62],"precisions":[63,101,131],"only,":[64],"may":[66],"not":[67],"meet":[68],"actual":[70],"a":[73,85,110,150,176,219],"specific":[74],"application.":[75],"Reconfigurable":[76],"like":[78],"field":[79],"programmable":[80],"gate":[81],"arrays":[82],"(FPGAs)":[83],"potential":[87],"accelerate":[89],"simulations":[91,120],"while":[92],"consuming":[93],"only":[94],"very":[95],"low":[96,169],"energy":[97],"by":[98,218],"exploiting":[99],"dedicated":[100],"optimal":[103],"ways.":[104],"In":[105],"this":[106,207],"work":[107],"we":[108,147,174,209],"present":[109],"novel":[111,151],"methodology":[112],"speed":[114],"up":[115],"multilevel":[116],"Monte":[117],"Carlo":[118],"(MLMC)":[119],"reconfigurable":[122,180],"architectures.":[123],"The":[124],"idea":[125],"is":[126],"aggressively":[128],"lower":[129],"different":[133],"parts":[134],"algorithm":[137,188],"without":[138,189],"loosing":[139],"any":[140],"accuracy":[141],"at":[142,158,171],"end.":[144],"For":[145,206],"this,":[146],"developed":[149],"heuristic":[152],"selecting":[154],"appropriate":[156],"precision":[157],"each":[159],"stage":[160],"simulation":[163,216],"can":[165],"be":[166],"executed":[167],"costs":[170],"runtime.":[172],"Further,":[173],"introduce":[175],"model":[178],"minimize":[183],"our":[187],"changing":[190],"overall":[192],"error.":[193],"We":[194],"consider":[195],"showcase":[197],"pricing":[199],"Asian":[200],"options":[201],"Heston":[204],"model.":[205],"setup":[208],"improve":[210],"one":[211],"most":[214],"advanced":[215],"methods":[217],"factor":[220],"3-9x":[222],"same":[225],"platform.":[226]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}