Multi-level Customisation for Monte Carlo Financial Simulations

Speaker: Dr. Wayne Luk (Imperial College London)

Time and Date: 9:30-11:00, Apr. 18, 2013

Place: Room 369, Microelectronics Building, Zhangjiang Campus

Abstract

This talk describes a multi-level customisation approach for automatic generation of efficient curve-based financial Monte Carlo simulators on reconfigurable hardware. By identifying multiple levels of functional specialisations and the optimal data format for the Monte Carlo simulation, we allow different levels of programmability in our approach to retain good performance and support multiple applications. Designs targeting a Virtex-6 SX475T FPGA generated by our approach are over 10 times faster and 20 times more energy efficient than 4-core implementations on an i7-870 quad-core CPU, and are over three times more energy efficient and 36% faster than a highly optimised implementation on an NVIDIA Tesla C2070 GPU at 1.15 GHz.

Biography

Dr Wayne Luk is Professor of Computer Engineering at Imperial College London. He founded and leads the Computer Systems Section and the Custom Computing Group in Department of Computing, and was Visiting Professor at Stanford University and Queen's University Belfast. His research interests include reconfigurable computing, field-programmable technology, and design automation. He developed hardware compilation techniques based on syntax-directed translation, pipeline vectorization, and source-level transformation; he contributed to optimizations for run-time reconfiguration, custom instruction processors, and programmable embedded-block architecture for field-programmable devices. He received many awards at international conferences, including FPL (2004, 2007, 2008, 2010), ERSA (2004), FPT (2005, 2008), ASAP (2008), SAMOS (2008), and SPL (2008, 2009). He led a team winning two Platform Grants from UK Engineering and Physical Sciences Research Council, and a Research Excellence Award from Imperial College. He is a Fellow of the IEEE and a Fellow of the BCS, and is Editor-in-Chief for ACM Transactions on Reconfigurable Technology and Systems. He received his MA, MSc and DPhil degrees from University of Oxford.