Monte Carlo Simulation On FPGA Implementation

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• Zhiyong Liu (Imperial College)
• Thursday 31 May 2012, 13:00-14:00
• Level 9 Mahanakorn Lab., EE Dept..

If you have a question about this talk, please contact Grigorios Mingas.

As the complexity of financial models increased significantly to represent the real world scenarios, the analytical solution may not exist or numerical implementation faces several difficulties. Monte Carlo method often becomes the only method to evaluate the prices of derivatives and to estimate the risk measures of portfolio. This talk will review the background knowledge of Monte Carlo simulation in the field of financial engineering. The traditional discretization methods to Stochastic Differential Equation and convergence criteria will also be introduced. Afterwards, the initial research plan will be discussed.

This talk is part of the CAS Talks series.

This talk is included in these lists:

• Andrea Picciau's list
• CAS Talks
• Circuits and Systems Group: Internal Seminars
• Level 9 Mahanakorn Lab., EE Dept.

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