Title:	Accelerating Tree-based Option Pricing Computation
Date:	September 29, 2008 (Monday)
Time:	10:30 a.m. - 11:30 a.m.
Venue:	Room 121, 1/F, Ho Sin-hang Engineering Building, The Chinese University of Hong Kong, Shatin, N.T.
Speaker:	Professor Wayne Luk Department of Computing Imperial College London United Kingdom

ABSTRACT:

This talk explores the application of reconfigurable hardware and Graphics Processing Units (GPUs) to the acceleration of financial computation involving tree-based pricing models. For reconfigurable hardware, parallel pipelined architectures have been developed for option valuation using binomial trees and trinomial trees, with support for concurrent evaluation of independent options. For GPUs, tree-based partitioning and double-buffering techniques are used to support shared-memory designs with multi-threading. The pros and cons of the two approaches are investigated.

BIOGRAPHY:

Wayne Luk is Professor of Computer Engineering in Department of Computing at Imperial College London, where he founded and leads the Computer Systems Section. His research interests include computer architecture, reconfigurable computing, and design automation.

Enquiries: Miss Temmy So at tel 2609 8444

For more information, please refer to http://www.cse.cuhk.edu.hk/seminar