Parallel option pricing on GPU: barrier options and realized variance options

This paper shows two examples of how the analysis of option pricing problems can lead to computational methods efficiently implemented in parallel. These computational methods outperform ??general purpose?? methods (i.e., for example, Monte Carlo, finite differences methods). The GPU implementation of two numerical algorithms to price two specific derivatives (continuous barrier options and realized variance options) is presented. These algorithms are implemented in CUDA subroutines ready to run on Graphics Processing Units (GPUs) and their performance is studied. The realization of these subroutines is motivated by the extensive use of the derivatives considered in the financial markets to hedge or to take risk and by the interest of financial institutions in the use of state of the art hardware and software to speed up the decision process. The performance of these algorithms is measured using the (CPU/GPU) speed up factor, that is using the ratio between the (wall clock) times required to execute the code on a CPU and on a GPU. The choice of the reference CPU and GPU used to evaluate the speed up factors presented is stated. The outstanding performance of the algorithms developed is due to the mathematical properties of the pricing formulae used and to the ad hoc software implementation. In the case of realized variance options when the computation is done in single precision the comparisons between CPU and GPU execution times gives speed up factors of the order of a few hundreds. For barrier options, the corresponding speed up factors are of about fifteen, twenty. The CUDA subroutines to price barrier options and realized variance options can be downloaded from the website http://www.econ.univpm.it/recchioni/finance/w13. A?more general reference to the work in mathematical finance of some of the authors and of their coauthors is the website http://www.econ.univpm.it/recchioni/finance/.     

Landscape dynamics of Mediterranean montane grasslands over 60 years and implications for habitats conservation. A case study in the northern Apennines (Italy)

Widespread trends of abandonment have strongly affected Mediterranean mountains after the Second World War, triggering spontaneous recolonisation of forests. A diachronic analysis of the landscape in a Natura 2000 site (Tuscany, Italy) was carried out using digital aerial photographs (1954, 2013) and a GIS-based methodology, focusing on territories above 1300 m a.s.l. The detected variations of total areas, patch shape, patch dimensions and selected metrics showed a notable shift of the vegetation towards woody types and a drastic reduction of open grasslands, some with high conservation value, accompanied by a strong increase in patch number, surface and edge. A decrease of SDI and SEI diversity indices was also observed. Considering that fragmentation is one of the main causes threatening habitats and species, our results point out a clear necessity for a monitoring programme and suitable actions aimed at improving the status of biodiversity-rich montane grasslands.     

The Pulse of the Earth and sonification

Le Souffle de la Terre/The Pulse of the Earth is an on-going sound work (1996–20–) by the artist L. Abenavoli. She outlines the sonification methods employed in the making of the work in an analysis of its technical and conceptual features. The work is described in terms of her artistic objectives.     

Long-term experience with an automatic process control for nitrogen removal in membrane bioreactors

The alternating processes applied in membrane bioreactors for municipal wastewater treatment may be an attractive option to reduce the energy consumptions and optimize carbon and nitrogen removal. However, the knowledge of these systems is often based on empirical results so to discourage the plant operators for its adoption. This paper discusses and compares the empirical evidence coming from two different alternating membrane bioreactors, a demonstration and a full-scale one. The two plants treat two real municipal wastewaters, rather different for both C:N ratio and degree of biodegradability of the influent organics. Nine steady-state runs have been carried out in the demonstration plant, while a one whole year operation has been considered for the full-scale system. Combining the results of the two MBRs, it was found that the alternating process was able to adjust automatically and adequately the aeration of the biological reactor with a nitrogen loading rate in the range 0.05–0.18 kgN m⁻³ d⁻¹ and C:N mass ratios greater than 5–6. As a result, the use of the available carbon source, with concern to the total nitrogen removal, was as low as 0.1 kg of total nitrogen removed per kg of total influent COD. Effluent total nitrogen met the standard for reuse with specific energy consumptions in the range 85–109 gTN_removed per kWh_consumed. Considering the usual loading conditions of the municipal wastewater treatment plants in Italy, membrane bioreactors operating alternating processes may be implemented to increase the nitrogen treatment capacity of existing plants and achieve the standards for reuse.     

The picture superiority effect in categorization: Visual or semantic?

Two experiments are reported whose aim was to replicate and generalize the results presented by J. G. Snodgrass and B. McCullough (1986) on the effect of visual similarity in the categorization process. For pictures, Snodgrass and McCullough's results were replicated because Ss took longer to discriminate elements from 2 categories when they were visually similar than when they were visually dissimilar. However, unlike Snodgrass and McCullough, an analogous increase was also observed for word stimuli. The pattern of results obtained here can be explained most parsimoniously with reference to the effect of semantic similarity, or semantic and visual relatedness, rather than to visual similarity alone. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Microbiologic contamination during dental radiographic film processing

Arteriosclerotic intimal proliferation is one of the main long-term complications of organ transplantation. Low-molecular-weight, heparin-like molecules prevent myointimal proliferation in arterial wall injury and limit rejection in skin allografts. Cyclosporin limits rejection but has no major effect on intimal proliferation. Therefore, an experimental protocol was designed to test whether heparin-like molecules interacted with low doses of cyclosporin to prevent arterial wall immune system injury and response in a model of arterial graft rejection in normotensive and hypertensive rats. Aortic allografts were performed in spontaneously hypertensive rats (SHRs) and Wistar-Kyoto (WKY) normotensive control rats. Four groups of 10 allografted (SHR and WKY) rats were used: one group was treated with placebo, one with low doses of cyclosporin (2 mg/kg body wt per day), one with low-molecular-weight, heparin-like molecule (1 mg/kg body wt per hour), and one with low doses of cyclosporin plus low-molecular-weight, heparin-like molecule. Ten SHRs and 10 WKYs were isografted and served as the control groups. All rats were killed 8 weeks after aortic grafting. Structural parameters of the grafted segment were measured by morphometric analysis on formalin-fixed sections with specific stains. The classical signs of immune system injury and response were present in the untreated allografts in SHRs and WKYs: inflammatory infiltration of the adventitia, medial injury, and intimal proliferative response. Low doses of cyclosporin had a significant beneficial effect on immune medial injury by increasing medial thickness and the number of remaining smooth muscle cells and decreasing the extracellular matrix injury. Cyclosporin had no protective effect on intimal proliferation.(ABSTRACT TRUNCATED AT 250 WORDS)     

Phenolic compounds in olive oil and olive pomace from Cilento (Campania,Italy) and their antioxidant activity

Virgin olive oil (VOO) has nutritional and sensory characteristics that make it unique and a basic component of the Mediterranean diet. Its importance is mainly attributed to its richness in polyphenols, which act as natural antioxidants and may contribute to the prevention of several human diseases. In this paper we report the determination and quantification of oleocanthal, one of the main substances responsible for the bitter taste of olive oil, together with a quali-quantitative analysis by HPLC analytical methods of phenolics from Cilento VOO and olive oil pomace. The total phenolic content was also determined and the in vitro antioxidant and free-radical scavenging activities by DPPH test was evaluated. A superoxide anion enzymatic assay was also carried out and the results were confirmed by the inhibition of xanthine oxidase activity assay. The possible protective role played by VOO secoiridoids on injurious effects of reactive oxygen metabolites on the intestinal epithelium, using Caco-2 human cell line, was investigated.     

Development and validation of a probabilistic model for notch fatigue strength prediction of tool steels based on surface defects

A new model for the high cycle notch fatigue strength prediction of tool steels subjected to axial loading is proposed, based on previous literatures studies and experimental tests carried out on six different tool steels, including rotating bending fatigue tests on notched specimens, fractographic analyses, hardness, residual stress, and roughness measurements. The novelty is the assumption that surface defects are the main cause of notch fatigue failures of such steels. A probabilistic approach was implemented by modeling size distributions of defects, resulting in the prediction of normal distributions of fatigue strength. Like to other previous models, the effect of steel hardness, surface residual stress, notch severity, and specimen size was also taken into account. Model calibration and validation were performed using the data collected by the experimental activity. Model behavior was investigated by performing a sensitivity analysis, aiming to verify the response to variations of the considered input variables. Prediction errors of only 1.3% (on average) and 3.1% (maximum) resulted from the comparison between model-predicted and experimental notch fatigue strength.     

Optimal-control methods for two new classes of smart obstacles in time-dependent acoustic scattering

Time-dependent acoustic scattering problems involving “smart” obstacles are considered. When hit by an incident acoustic field, smart obstacles react in an attempt to pursue a preassigned goal. Let be the three-dimensional real Euclidean space, and let be a bounded simply connected open set with a Lipschitz boundary characterized by a constant acoustic boundary impedance χ, immersed in an isotropic and homogeneous medium that fills . The closure of Ω will be denoted as . When hit by an incident field, the obstacle Ω pursues the preassigned goal through the action of a control input acting on its boundary (i.e., a quantity with dimensions of a pressure divided by a time). The obstacles considered in this paper monitor the control input acting on their boundaries in order to achieve one of the following goals: (i) be furtive in a given set of the frequency space, and (ii) appear in a given set of the frequency space and outside a given set of containing Ω and Ω _G as similar as possible to a “ghost” obstacle Ω _G having boundary acoustic impedance χ _G . It is assumed that and . The problem corresponding to the first goal will be called the definite-band furtivity problem, and the problem corresponding to the second goal will be called the definite-band ghost-obstacle problem. These two goals define two classes of smart obstacles. In this paper, these problems are modeled as optimal-control problems for the wave equation introducing a control input acting on the boundary of Ω for time . The cost functionals proposed depend on the value of the control input on the boundary of the obstacle and on the value of the scattered acoustic field generated by the obstacle on the boundary in the “furtivity case”, and on the boundary of a suitable set containing Ω and Ω _G in the “ghost-obstacle case”. Under some assumptions, the use of the Pontryagin maximum principle allows us to formulate the first-order optimality conditions for the definite-band furtivity problem and for the definite-band ghost-obstacle problem as exterior problems outside the obstacle for a system of two coupled wave equations. Numerical methods to solve these exterior problems are developed by extending previous work. These methods belong to the class of the operator-expansion methods that are highly parallelizable. Numerical experiments proving the validity of the control problems proposed as mathematical models of the definite-band furtivity problem and definite-band ghost obstacle problem are presented. The numerical results obtained with a parallel implementation of the numerical methods developed are discussed and their properties are established. The speed-up factors obtained using parallel computing are really impressive. The website: http://www.econ.univpm.it/recchioni/w11 contains animations and virtual reality applications relative to the numerical experiments.