A novel reconstruction method for accelerated Magnetic Resonance guided High Intensity Focused Ultrasound (MRgHIFU) thermometry is presented. This method utilizes multi-coil acquisition, k-space undersampling and the recently introduced Convolution-based Reconstruction for Parallel Imaging (CORE-PI) technique. The proposed method utilizes data sparsity in the Stationary Wavelet Transform (SWT) domain. It is a parameter-free, non-iterative and calibrationless method. Retrospective experiments with in-vivo data from clinical human prostate ablation treatments show that the proposed method produces accurate temperature maps from two-fold and three-fold subsampled k-space data. The method is therefore suitable for real time application.