Bernard Hanzon
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View article: The Role of FPGAs in Modern Option Pricing Techniques: A Survey
The Role of FPGAs in Modern Option Pricing Techniques: A Survey Open
In financial computation, Field Programmable Gate Arrays (FPGAs) have emerged as a transformative technology, particularly in the domain of option pricing. This study presents the impact of Field Programmable Gate Arrays (FPGAs) on computa…
View article: A generalized Budan-Fourier approach to generalized Gaussian and exponential mixtures
A generalized Budan-Fourier approach to generalized Gaussian and exponential mixtures Open
In the literature, finite mixture models were described as linear combinations of probability distribution functions having the form $ f(x) = \Lambda \sum\limits_{i = 1}^n w_i f_i(x) $, $ x \in \mathbb{R} $, where $ w_i $ were positive wei…
View article: Optimal projection filters with information geometry
Optimal projection filters with information geometry Open
View article: Non-negativity and zero isolation for generalized mixtures of densities
Non-negativity and zero isolation for generalized mixtures of densities Open
In the literature, finite mixture models are described as linear combinations of probability distribution functions having the form $\displaystyle f(x) = Λ\sum_{i=1}^n w_i f_i(x)$, $x \in \mathbb{R}$, where $w_i$ are positive weights, $Λ$ …
View article: Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method
Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method Open
The binomial tree method and the Monte Carlo (MC) method are popular methods for solving option pricing problems. However in both methods there is a trade-off between accuracy and speed of computation, both of which are important in applic…
View article: Attasi nD Systems and Polynomial System Solving
Attasi nD Systems and Polynomial System Solving Open
Firstly it will be shown that, using the concept of monomial orderings, the classical 1D theory for linear systems generalizes in a very natural way to (autonomous) Attasi nD-systems, giving the Attasi-Hankel matrix, the Attasi transfer fu…
View article: A Parallel and Pipelined Implementation of a Pascal-Simplex Based Two Asset Option Pricer on FPGA using OpenCL
A Parallel and Pipelined Implementation of a Pascal-Simplex Based Two Asset Option Pricer on FPGA using OpenCL Open
With the resurgence of hardware for financial technology, several methods for accelerating financial option pricing have been investigated. This paper presents the first architecture and implementation of a two-asset option pricer based on…