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Prof. Norbert Wehn, University of Kaiserslautern, Germany


A Runtime Reconfigurable Architecture for Monte Carlo Option Pricing in the Heston Model


High-speed and energy-efficient computations are mandatory in the financial and insurance industry to survive in competition and meet the federal reporting requirements. One of such compute intensive problems is option pricing. In this talk, we present a runtime reconfigurable architecture, called Hyper, which accelerates option pricing calculation based on the advanced Heston model. This platform is based on the Xilinx Zynq 7020 device and is nearly two orders of magnitude faster than high-end Intel CPUs, shows a much higher energy efficiency and clearly outperforms previous FPGA implementations.


Norbert holds the chair for Microelectronic System Design in the department of Electrical Engineering and Information Technology at the University of Kaiserslautern. He has more than 250 publications in various fields of microelectronic system design and holds several patents. He is chairman of the Research Center "Ambient Systems" at TU Kaiserslautern, associate editor of various journals and member of several scientific advisory boards. In 2003 he served as program chair for DATE 2003 and as general chair for DATE 2005 respectively. His special research interests are VLSI-architectures for mobile communication, forward error correction techniques, low-power techniques, advanced SoC architectures, 3D integration, reliability issues in SoC and hardware accelerators for financial mathematics.

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