06097589

j

06097589 Weston, Stephen Spooner, James Racani\`ere, S\'ebastien Mencer, Oskar Rapid computation of value and risk for derivatives portfolios. Concurrency Comput. Pract. Exp. 24, No. 8, 880-894 (2012). 2012 John Wiley \& Sons, Ltd., Chichester EN FPGA J.P. morgan maxeler acceleration credit derivatives Monte Carlo

doi:10.1002/cpe.1778

Summary: We report new results from an on-going project to accelerate derivatives computations. Our earlier work was focused on accelerating the valuation of credit derivatives. In this paper, we extend our work in two ways: by applying the same techniques, first, to accelerate the computation of portfolio level risk for credit derivatives and, second, to different asset classes using a different type of mathematical model, which together present challenges that are quite different to those dealt with in our earlier work. Specifically, we report acceleration over 270 times faster than a single Intel Core for a multi-asset Monte Carlo model. We also explore the implications for risk.