{"id":"https://openalex.org/W1968390930","doi":"https://doi.org/10.1109/hprcta.2008.4745684","title":"Massively Parallelized Quasi-Monte Carlo financial Simulation on a FPGA Supercomputer","display_name":"Massively Parallelized Quasi-Monte Carlo financial Simulation on a FPGA Supercomputer","publication_year":2008,"publication_date":"2008-11-01","ids":{"openalex":"https://openalex.org/W1968390930","doi":"https://doi.org/10.1109/hprcta.2008.4745684","mag":"1968390930"},"language":"en","primary_location":{"id":"doi:10.1109/hprcta.2008.4745684","is_oa":false,"landing_page_url":"https://doi.org/10.1109/hprcta.2008.4745684","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2008 Second International Workshop on High-Performance Reconfigurable Computing Technology and Applications","raw_type":"proceedings-article"},"type":"conference-paper","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/A5102008886","display_name":"Xiang Tian","orcid":"https://orcid.org/0000-0002-7748-3536"},"institutions":[{"id":"https://openalex.org/I98677209","display_name":"University of Edinburgh","ror":"https://ror.org/01nrxwf90","country_code":"GB","type":"education","lineage":["https://openalex.org/I98677209"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Xiang Tian","raw_affiliation_strings":["School of Engineering and Electronics, University of Edinburgh, Edinburgh, UK","Sch. of Eng. & Electron., Univ. of Edinburgh, Edinburgh"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Engineering and Electronics, University of Edinburgh, Edinburgh, UK","institution_ids":["https://openalex.org/I98677209"]},{"raw_affiliation_string":"Sch. of Eng. & Electron., Univ. of Edinburgh, Edinburgh","institution_ids":["https://openalex.org/I98677209"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5104706884","display_name":"Khaled Benkrid","orcid":null},"institutions":[{"id":"https://openalex.org/I98677209","display_name":"University of Edinburgh","ror":"https://ror.org/01nrxwf90","country_code":"GB","type":"education","lineage":["https://openalex.org/I98677209"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Khaled Benkrid","raw_affiliation_strings":["School of Engineering and Electronics, University of Edinburgh, Edinburgh, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Engineering and Electronics, University of Edinburgh, Edinburgh, UK","institution_ids":["https://openalex.org/I98677209"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I98677209"],"apc_list":null,"apc_paid":null,"fwci":1.9336,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.81572482,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"16","issue":null,"first_page":"1","last_page":"8"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12404","display_name":"Mathematical Approximation and Integration","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T12404","display_name":"Mathematical Approximation and Integration","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T13126","display_name":"Scientific Research and Discoveries","score":0.9952999949455261,"subfield":{"id":"https://openalex.org/subfields/3109","display_name":"Statistical and Nonlinear Physics"},"field":{"id":"https://openalex.org/fields/31","display_name":"Physics and Astronomy"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11181","display_name":"Advanced Data Storage Technologies","score":0.9793000221252441,"subfield":{"id":"https://openalex.org/subfields/1705","display_name":"Computer Networks and Communications"},"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/monte-carlo-method","display_name":"Monte Carlo method","score":0.845314621925354},{"id":"https://openalex.org/keywords/xeon","display_name":"Xeon","score":0.8181224465370178},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7359174489974976},{"id":"https://openalex.org/keywords/supercomputer","display_name":"Supercomputer","score":0.6993001103401184},{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.6843246221542358},{"id":"https://openalex.org/keywords/massively-parallel","display_name":"Massively parallel","score":0.5234907865524292},{"id":"https://openalex.org/keywords/computational-science","display_name":"Computational science","score":0.4841950237751007},{"id":"https://openalex.org/keywords/xeon-phi","display_name":"Xeon Phi","score":0.4521288573741913},{"id":"https://openalex.org/keywords/monte-carlo-tree-search","display_name":"Monte Carlo tree search","score":0.4213344156742096},{"id":"https://openalex.org/keywords/field-programmable-gate-array","display_name":"Field-programmable gate array","score":0.4129060208797455},{"id":"https://openalex.org/keywords/computer-hardware","display_name":"Computer hardware","score":0.14171424508094788},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.09418517351150513}],"concepts":[{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.845314621925354},{"id":"https://openalex.org/C145108525","wikidata":"https://www.wikidata.org/wiki/Q656154","display_name":"Xeon","level":2,"score":0.8181224465370178},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7359174489974976},{"id":"https://openalex.org/C83283714","wikidata":"https://www.wikidata.org/wiki/Q121117","display_name":"Supercomputer","level":2,"score":0.6993001103401184},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.6843246221542358},{"id":"https://openalex.org/C190475519","wikidata":"https://www.wikidata.org/wiki/Q544384","display_name":"Massively parallel","level":2,"score":0.5234907865524292},{"id":"https://openalex.org/C459310","wikidata":"https://www.wikidata.org/wiki/Q117801","display_name":"Computational science","level":1,"score":0.4841950237751007},{"id":"https://openalex.org/C96972482","wikidata":"https://www.wikidata.org/wiki/Q1049168","display_name":"Xeon Phi","level":2,"score":0.4521288573741913},{"id":"https://openalex.org/C46149586","wikidata":"https://www.wikidata.org/wiki/Q11785332","display_name":"Monte Carlo tree search","level":3,"score":0.4213344156742096},{"id":"https://openalex.org/C42935608","wikidata":"https://www.wikidata.org/wiki/Q190411","display_name":"Field-programmable gate array","level":2,"score":0.4129060208797455},{"id":"https://openalex.org/C9390403","wikidata":"https://www.wikidata.org/wiki/Q3966","display_name":"Computer hardware","level":1,"score":0.14171424508094788},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.09418517351150513},{"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/hprcta.2008.4745684","is_oa":false,"landing_page_url":"https://doi.org/10.1109/hprcta.2008.4745684","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2008 Second International Workshop on High-Performance Reconfigurable Computing Technology and Applications","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.47999998927116394,"id":"https://metadata.un.org/sdg/9","display_name":"Industry, innovation and infrastructure"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1523637143","https://openalex.org/W1538966234","https://openalex.org/W1577789187","https://openalex.org/W1589918049","https://openalex.org/W1964766724","https://openalex.org/W2033532123","https://openalex.org/W2034638017","https://openalex.org/W2052873670","https://openalex.org/W2112096462","https://openalex.org/W2115302999","https://openalex.org/W2120577120","https://openalex.org/W2122983882","https://openalex.org/W2134693673","https://openalex.org/W2158087462","https://openalex.org/W2432517183","https://openalex.org/W2981264952","https://openalex.org/W6632249427","https://openalex.org/W6677271529"],"related_works":["https://openalex.org/W2475524688","https://openalex.org/W2739740241","https://openalex.org/W2085105049","https://openalex.org/W2592417500","https://openalex.org/W1974923383","https://openalex.org/W2526069705","https://openalex.org/W2024016913","https://openalex.org/W2019153376","https://openalex.org/W2796552083","https://openalex.org/W2145394070"],"abstract_inverted_index":{"Quasi-Monte":[0,56,96,139],"Carlo":[1,7,32,57,97,140],"simulation":[2,33,58],"is":[3],"a":[4,46,53,61],"specialized":[5],"Monte":[6,31],"method":[8,23],"which":[9,35],"uses":[10,36],"quasi-random,":[11],"or":[12],"low-discrepancy,":[13],"numbers":[14],"as":[15,39],"the":[16,29,69,100,109,118,124,132,143],"stochastic":[17],"parameters.":[18],"In":[19],"many":[20],"applications,":[21],"this":[22],"has":[24],"proved":[25],"advantageous":[26],"compared":[27],"to":[28],"traditional":[30],"method,":[34],"pseudo-random":[37],"numbers,":[38],"it":[40],"converges":[41],"relatively":[42],"quickly,":[43],"and":[44,66,135],"with":[45,117,123],"better":[47],"level":[48],"of":[49,71,75,93,115,126,137,145],"accuracy.":[50],"We":[51],"implemented":[52],"massively":[54],"parallelized":[55],"engine":[59,98,141],"on":[60,99,108],"FPGA-based":[62,95],"supercomputer,":[63],"called":[64],"Maxwell,":[65],"developed":[67],"at":[68],"University":[70],"Edinburgh.":[72],"Maxwell":[73,101],"consists":[74],"32":[76],"IBM":[77],"Intel":[78],"Xeon":[79,110],"blades":[80],"each":[81],"hosting":[82],"two":[83],"Virtex-4":[84],"FPGA":[85],"nodes":[86],"through":[87],"PCI-X":[88],"interface.":[89],"Real":[90],"hardware":[91],"implementation":[92,136],"our":[94,138],"machine":[102],"outperforms":[103],"equivalent":[104],"software":[105],"implementations":[106],"running":[107],"processors":[111],"by":[112],"3":[113],"orders":[114],"magnitude,":[116],"speed-up":[119],"figure":[120],"scaling":[121],"linearly":[122],"number":[125],"processing":[127],"nodes.":[128],"The":[129],"paper":[130],"presents":[131],"detailed":[133],"design":[134],"in":[142],"context":[144],"financial":[146],"derivatives":[147],"pricing.":[148]},"counts_by_year":[{"year":2017,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-07-29T14:22:42.915294","created_date":"2025-10-10T00:00:00"}