A multi-level Monte Carlo FPGA accelerator for option pricing in the Heston model

Abstract

The increasing demand for fast and accurate product pricing and risk computation together with high energy costs currently make finance and insurance institutes to rethink their IT infrastructure. Heterogeneous systems including specialized accelerator devices are a promising alternative to current CPU and GPU-clusters towards hardware accelerated computing. It has already been shown in previous work that complex state-of-the-art computations that have to be performed very frequently can be sped up by FPGA accelerators in a highly efficient way in this domain. A very common task is the pricing of credit derivatives, in particular options, under realistic market models. Monte Carlo methods are typically employed for complex or path dependent products. It has been shown that the multi-level Monte Carlo can provide a much better convergence behavior than standard single-level methods. In this work we present the first hardware architecture for pricing European barrier options in the Heston model based on the advanced multi-level Monte Carlo method. The presented architecture uses industry-standard AXI4-Stream flow control, is constructed in a modular way and can be extended to more products easily. We show that it computes around 100 millions of steps in a second with a total power consumption of 3.58 W on a Xilinx Virtex-6 FPGA.