This project enables the multi-asset option pricing (a quantitative finance application). It uses a Monte-Carlo simulation for resolution. It consists of a scalable design of a stream dataflow overlay specifically tailored for the AMD AI Engines and is implemented on AMD Versal ACAP VCK5000 SoC.
Contributions are welcome! Please fork the repository and submit a pull request with your changes. Make sure to follow the coding standards and include tests for any new features.
This project is licensed under the MIT License. See the LICENSE file for details.
For any questions or suggestions, please open an issue or contact at mohamed.bouaziz@kaust.edu.sa.
M. Bouaziz, M. Samet, and S. A. Fahmy, "A Dataflow Overlay for Monte Carlo Multi-Asset Option Pricing on AMD Versal AI Engines," ISC High Performance 2025 Research Paper Proceedings (ISC), 2025.
@INPROCEEDINGS{MAOPMC,
author={Bouaziz, Mohamed and Samet, Michael and Fahmy, Suhaib A.},
booktitle={ISC High Performance 2025 Research Paper Proceedings (ISC)},
title={A Dataflow Overlay for Monte Carlo Multi-Asset Option Pricing on AMD Versal AI Engines},
year={2025}
}