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FPGA acceleration of CDO pricing based on correlation expansions

Because of the significant growth in the financial market, faster and accurate pricing of widespread instruments is becoming more important. In this paper, we describe an FPGA implementation of an analytical method for collateralized debt obligation (CDO) pricing in the multifactor Normal Copula model. Our experiments show that the FPGA system is about 40 times faster than corresponding software on a single core 3 GHz Intel Core2 processor.