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Approche de conception haut-niveau pour l'accélération matérielle de calcul haute performance en finance

Valentin Mena Morales 1, 2
2 Lab-STICC_IMTA_CACS_IAS
Lab-STICC - Laboratoire des sciences et techniques de l'information, de la communication et de la connaissance
Abstract : The need for resources in High Performance Computing (HPC) is generally met by scaling up server farms, to the detriment of the energy consumption of such a solution. Accelerating HPC application on heterogeneous platforms, such as FPGAs or GPUs, offers a better architectural compromise as they can reduce the energy consumption of a deployed system. Therefore, a change of programming paradigm is needed to support this heterogeneous acceleration, which trickles down to an increased level of programming complexity tackled by software experts. This is most notably the case for developers in quantitative finance. Applications in this field are constantly evolving and increasing in complexity to stay competitive and comply with legislative changes. This puts even more pressure on the programmability of acceleration solutions. In this context, the use of high-level development and design flows, such as High-Level Synthesis (HLS) for programming FPGAs, is not enough. A domain-specific approach can help to reach performance requirements, without impairing the programmability of accelerated applications.We propose in this thesis a high-level design approach that relies on OpenCL, as a heterogeneous programming standard. More precisely, a recent implementation of OpenCL for Altera FPGA is used. In this context, four main contributions are proposed in this thesis: (1) an initial study of the integration of hardware computing cores to a software library for quantitative finance (QuantLib), (2) an exploration of different architectures and their respective performances, as well as the design of a dedicated architecture for the pricing of American options and their implied volatility, based on a high-level design flow, (3) a detailed characterization of an Altera OpenCL platform, from elemental operators, memory accesses, control overlays, and up to the communication links it is made of, (4) a proposed compilation flow that is specific to the quantitative finance domain, and relying on the aforementioned characterization and on the description of the considered financial applications (option pricing).
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Submitted on : Monday, April 30, 2018 - 4:30:05 PM
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Valentin Mena Morales. Approche de conception haut-niveau pour l'accélération matérielle de calcul haute performance en finance. Electronique. Ecole nationale supérieure Mines-Télécom Atlantique, 2017. Français. ⟨NNT : 2017IMTA0018⟩. ⟨tel-01781730⟩

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