Fachgebiet Entwurf Mikroelektronischer Systeme (EMS)

Dr.-Ing. Javier Alejandro Varela


Anschrift

Erwin-Schrödinger-Straße
Gebäude 12, Raum 245
67663 Kaiserslautern

Kontakt

Telefon: (+49) 631 / 205-5268
Fax: (+49) 631 / 205-4437
Email: varela(at)eit.uni-kl.de

Forschungsgebiete

  • High-Performance Computing
  • Option Pricing acceleration, in particular American Options
  • Risk Management systems

Lehrveranstaltungen

  • Synthese und Optimierung Mikroelektronischer Systeme I

Lebenslauf

2018 - heuteResearch Associate (PostDoc), TU Kaiserslautern

2014 - 2018

Promotionstudent, TU Kaiserslautern

2012 - 2014

European Master in Embedded Computing Systems (EMECS)

Interessen

  • Heterogeneous platforms with OpenCL: FPGA/GPU/Xeon/XeonPhi
  • Hybrid CPU/FPGA SoC devices (Xilinx Zynq)
  • Hybrid CPU/GPU SoC devices (Nvidia Tegra K1)
  • CUDA programming

Publikationen

Running Financial Risk Management Applications on FPGA in the Amazon Cloud
J. Varela, N. Wehn. White Paper, January, 2018.
PDF

Real-Time Financial Risk Measurement of Dynamic Complex Portfolios with Python and PyOpenCL
J. Varela, N. Wehn, S. Desmettre, R. Korn. In PyHPC'17: 7th Workshop on Python for High-Performance and Scientific Computing, November, 2017, Denver, CO, USA.
Link

Exploiting Decoupled OpenCL Work-Items with Data Dependencies on FPGAs: A Case Study
J. Varela, N. Wehn, Q. Liang, S. Tang. 2017 IEEE International Parallel and Distributed Processing Symposium Workshops (IPDPSW)(RAW2017), May-June, 2017, Orlando, USA. [Best paper candidate]

Near Real-Time Risk Simulation of Complex Portfolios on Heterogeneous Computing Systems with OpenCL
J. Varela, N. Wehn. 5th International Workshop on OpenCL (IWOCL 2017), May, 2017, Toronto, Canada.

Nested MC-Based Risk Measurement of Complex Portfolios: Acceleration and Energy Efficiency
S. Desmettre, R. Korn, J. Varela, N. Wehn. Risks Vol. 4, no. 4, pages 36, October, 2016.
Link

Exploiting the Brownian Bridge Technique to improve Longstaff-Schwartz American Option Pricing on FPGA Systems
J. Varela, C. Brugger, C. De Schryver, N. Wehn, S. Tang, S. Omland. Proceedings of the 2015 International Conference on Reconfigurable Computing and FPGAs (ReConFig 2015), December, 2015, Cancun, Mexico.

Optimization Strategies for Portable Code for Monte Carlo-Based Value-at-Risk Systems
J. Varela, C. Kestel, C. De Schryver, N. Wehn, S. Desmettre, R. Korn. Proceedings of the 8th Workshop on High Performance Computational Finance (WHPCF '15), November, 2015, Austin, USA.

Pricing High-Dimensional American Options on Hybrid CPU/FPGA Systems
J. Varela, C. Brugger, S. Tang, N. Wehn, R. Korn. In FPGA Based Accelerators for Financial Applications, pages 143–166, Springer International Publishing, 1st edition, July, 2015.
Link

A Quantitative Cross-Architecture Study of Morphological Image Processing on CPUs, GPUs, and FPGAs
C. Brugger, L. Dal'Aqua, J. Varela, C. De Schryver, N. Wehn, Martin Klein, Michael Siegrist. In Proceedings of the 2015 IEEE Symposium on Computer Applications & Industrial Electronics (ISCAIE), April, 2015, Langkawi, Malaysia.

Reverse Longstaff-Schwartz American Option Pricing on hybrid CPU/FPGA Systems
C. Brugger, J. Varela, N. Wehn, S. Tang, R. Korn. IEEE Conference Design, Automation and Test in Europe (DATE), March, 2015, Grenoble, France.
 

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