{"id":"https://openalex.org/W2779169358","doi":"https://doi.org/10.1145/3158228","title":"Efficient Reconfigurable Architecture for Pricing Exotic Options","display_name":"Efficient Reconfigurable Architecture for Pricing Exotic Options","publication_year":2017,"publication_date":"2017-12-22","ids":{"openalex":"https://openalex.org/W2779169358","doi":"https://doi.org/10.1145/3158228","mag":"2779169358"},"language":"en","primary_location":{"id":"doi:10.1145/3158228","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3158228","pdf_url":null,"source":{"id":"https://openalex.org/S112809824","display_name":"ACM Transactions on Reconfigurable Technology and Systems","issn_l":"1936-7406","issn":["1936-7406","1936-7414"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Reconfigurable Technology and Systems","raw_type":"journal-article"},"type":"article","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/A5054068754","display_name":"Pieter Fabry","orcid":null},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Pieter Fabry","raw_affiliation_strings":["Imperial College London, London, United Kingdom"],"affiliations":[{"raw_affiliation_string":"Imperial College London, London, United Kingdom","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5081452934","display_name":"David B. Thomas","orcid":"https://orcid.org/0000-0002-9671-0917"},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"David Thomas","raw_affiliation_strings":["Imperial College London, London, United Kingdom"],"affiliations":[{"raw_affiliation_string":"Imperial College London, London, United Kingdom","institution_ids":["https://openalex.org/I47508984"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5054068754"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.24986618,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":95},"biblio":{"volume":"10","issue":"4","first_page":"1","last_page":"22"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9973000288009644,"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":0.9973000288009644,"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":0.996399998664856,"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/T11181","display_name":"Advanced Data Storage Technologies","score":0.9876999855041504,"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/computer-science","display_name":"Computer science","score":0.7393839955329895},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.6048967838287354},{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.5880241990089417},{"id":"https://openalex.org/keywords/field-programmable-gate-array","display_name":"Field-programmable gate array","score":0.5228660106658936},{"id":"https://openalex.org/keywords/flops","display_name":"FLOPS","score":0.49457165598869324},{"id":"https://openalex.org/keywords/binomial","display_name":"Binomial (polynomial)","score":0.4924529492855072},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.46799370646476746},{"id":"https://openalex.org/keywords/binomial-options-pricing-model","display_name":"Binomial options pricing model","score":0.4415930509567261},{"id":"https://openalex.org/keywords/variance-reduction","display_name":"Variance reduction","score":0.4404246211051941},{"id":"https://openalex.org/keywords/parameter-space","display_name":"Parameter space","score":0.43092411756515503},{"id":"https://openalex.org/keywords/space","display_name":"Space (punctuation)","score":0.4279770255088806},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3818510174751282},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.3815622627735138},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.20976293087005615},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.14153650403022766},{"id":"https://openalex.org/keywords/embedded-system","display_name":"Embedded system","score":0.10139024257659912},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.08811044692993164}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7393839955329895},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.6048967838287354},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.5880241990089417},{"id":"https://openalex.org/C42935608","wikidata":"https://www.wikidata.org/wiki/Q190411","display_name":"Field-programmable gate array","level":2,"score":0.5228660106658936},{"id":"https://openalex.org/C3826847","wikidata":"https://www.wikidata.org/wiki/Q188768","display_name":"FLOPS","level":2,"score":0.49457165598869324},{"id":"https://openalex.org/C2781315470","wikidata":"https://www.wikidata.org/wiki/Q193623","display_name":"Binomial (polynomial)","level":2,"score":0.4924529492855072},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.46799370646476746},{"id":"https://openalex.org/C105235620","wikidata":"https://www.wikidata.org/wiki/Q1138253","display_name":"Binomial options pricing model","level":3,"score":0.4415930509567261},{"id":"https://openalex.org/C62644790","wikidata":"https://www.wikidata.org/wiki/Q3454689","display_name":"Variance reduction","level":3,"score":0.4404246211051941},{"id":"https://openalex.org/C73586568","wikidata":"https://www.wikidata.org/wiki/Q2600211","display_name":"Parameter space","level":2,"score":0.43092411756515503},{"id":"https://openalex.org/C2778572836","wikidata":"https://www.wikidata.org/wiki/Q380933","display_name":"Space (punctuation)","level":2,"score":0.4279770255088806},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3818510174751282},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.3815622627735138},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.20976293087005615},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.14153650403022766},{"id":"https://openalex.org/C149635348","wikidata":"https://www.wikidata.org/wiki/Q193040","display_name":"Embedded system","level":1,"score":0.10139024257659912},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.08811044692993164},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1145/3158228","is_oa":false,"landing_page_url":"https://doi.org/10.1145/3158228","pdf_url":null,"source":{"id":"https://openalex.org/S112809824","display_name":"ACM Transactions on Reconfigurable Technology and Systems","issn_l":"1936-7406","issn":["1936-7406","1936-7414"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319798","host_organization_name":"Association for Computing Machinery","host_organization_lineage":["https://openalex.org/P4310319798"],"host_organization_lineage_names":["Association for Computing Machinery"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"ACM Transactions on Reconfigurable Technology and Systems","raw_type":"journal-article"},{"id":"pmh:oai:spiral.imperial.ac.uk:10044/1/55247","is_oa":false,"landing_page_url":"http://hdl.handle.net/10044/1/55247","pdf_url":null,"source":{"id":"https://openalex.org/S4306401396","display_name":"Spiral (Imperial College London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I47508984","host_organization_name":"Imperial College London","host_organization_lineage":["https://openalex.org/I47508984"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/9","score":0.4399999976158142,"display_name":"Industry, innovation and infrastructure"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W10631055","https://openalex.org/W1559086743","https://openalex.org/W1982039177","https://openalex.org/W2014945091","https://openalex.org/W2038456708","https://openalex.org/W2064978316","https://openalex.org/W2077791698","https://openalex.org/W2084904613","https://openalex.org/W2100342895","https://openalex.org/W2102526332","https://openalex.org/W2111517919","https://openalex.org/W2120577120","https://openalex.org/W2122427833","https://openalex.org/W2137690490","https://openalex.org/W2146612430","https://openalex.org/W2159155163","https://openalex.org/W2163715525","https://openalex.org/W2602816542","https://openalex.org/W3143275622","https://openalex.org/W4240267682","https://openalex.org/W4254545553"],"related_works":["https://openalex.org/W2373748092","https://openalex.org/W2016083873","https://openalex.org/W2902898608","https://openalex.org/W2374360728","https://openalex.org/W3201761445","https://openalex.org/W2994417396","https://openalex.org/W4387382185","https://openalex.org/W1928861139","https://openalex.org/W2169776813","https://openalex.org/W2196480514"],"abstract_inverted_index":{"This":[0],"article":[1],"presents":[2],"a":[3,19,24,79,93,145,172,187],"new":[4],"method":[5],"for":[6,50,78,97,186],"Monte":[7],"Carlo":[8],"(MC)":[9],"option":[10],"pricing":[11,136,183],"using":[12,92,132],"field-programmable":[13],"gate":[14],"arrays":[15],"(FPGAs),":[16],"which":[17],"use":[18],"discrete-space":[20,42,146],"random":[21],"walk":[22,43],"over":[23],"binomial":[25,106,182],"lattice,":[26],"rather":[27],"than":[28],"the":[29,41,47,55,69,98,105,142,181],"continuous":[30],"space-walks":[31],"used":[32],"by":[33,68,91],"existing":[34,194],"approaches.":[35],"The":[36,169],"underlying":[37],"hypothesis":[38],"is":[39,85,115],"that":[40,77,110,120,141,180],"will":[44],"significantly":[45],"reduce":[46],"area":[48],"needed":[49],"each":[51],"MC":[52,81,123,147,164],"engine,":[53],"and":[54,60,117,155,176],"resulting":[56],"increase":[57],"in":[58,89,166,190,200],"parallelisation":[59],"raw":[61],"performance":[62],"outweighs":[63],"any":[64,198],"accuracy":[65,90],"losses":[66],"introduced":[67],"discretisation.":[70],"Experimental":[71],"results":[72],"support":[73],"this":[74],"hypothesis,":[75],"showing":[76],"given":[80],"simulation":[82,107],"size,":[83],"there":[84],"no":[86],"significant":[87],"loss":[88],"discrete":[94],"space":[95],"model":[96,108],"path-dependent":[99],"exotic":[100],"financial":[101],"options.":[102],"Analysis":[103],"of":[104,122,144,171],"shows":[109,119],"only":[111],"limited-precision":[112],"fixed-point":[113],"arithmetic":[114],"needed,":[116],"also":[118],"pairs":[121],"kernels":[124],"are":[125],"able":[126],"to":[127,152,161,193],"share":[128],"RAM":[129],"resources.":[130],"When":[131],"realistic":[133],"constraints":[134],"on":[135],"problems,":[137],"it":[138],"was":[139],"found":[140],"size":[143],"engine":[148],"can":[149],"be":[150],"kept":[151],"370":[153],"Flip-Flops":[154],"233":[156],"Lookup":[157],"Tables,":[158],"allowing":[159],"up":[160],"3,000":[162],"variance-reduced":[163],"cores":[165],"one":[167],"FPGA.":[168],"combination":[170],"highly":[173],"parallelisable":[174],"architecture":[175],"model-specific":[177],"optimisations":[178],"means":[179],"technique":[184],"allows":[185],"50\u00d7":[188],"improvement":[189],"throughput":[191],"compared":[192],"FPGA":[195],"approaches,":[196],"without":[197],"reduction":[199],"accuracy.":[201]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}