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/.     

Discrete time sliding mode control of robotic manipulators: Development and experimental validation

This paper presents a robust discrete-time sliding mode control coupled with an uncertainty estimator designed for planar robotic manipulators. Experimental evidence shows satisfactory trajectory tracking performances and noticeable robustness in the presence of model inaccuracies, disturbances and payload perturbations. Ultimate boundedness of the tracking errors is proved, as well as boundedness of the estimation error with arbitrary precision.     

Development of environmentally responsive hydrogels with metal affinity behavior

This work describes initial efforts to incorporate affinity ligands within an environmentally responsive hydrogel. Metal affinity ligands were chosen as model affinity groups and thermally responsive N‐isopropyl acrylamide/acrylamide copolymers were used as the base hydrogels. The ? NH₂ group of the acrylamide serves as a reactive group for functionalization with metal affinity ligands. The gels were synthesized by free radical polymerization and Cu²⁺ was bound to the gel via 1,4‐butanediol diglycidyl ether (BDE) as a linker and iminodiacetic acid (IDA) as a chelating ligand. The base acrylamide gels were also functionalized with metal affinity ligands to allow for comparison with thermally responsive affinity gels. The results show the effectiveness of this technique for both these types of gels, and an improved method to immobilize metal affinity groups on to thermally sensitive N‐isopropyl acrylamide gels was also developed. It was seen that the yields for the reaction with BDE decreased with increased reaction time in both kinds of gels, whereas reaction with IDA showed a decrease in yields with increase in temperature for N‐isoporpyl acrylamide gels and increase in yields for acrylamide gels. Further techniques were developed to overcome diffusional resistances and stresses in the thermally responsive N‐isopropyl acrylamide gels so as to improve the distribution of Cu²⁺ ions. © 2007 Wiley Periodicals, Inc. J Appl Polym Sci, 2007     

The effect of ionising radiation on photosynthetic oxygenic microorganisms for survival in space flight revealed by automatic photosystem II-based biosensors

Photosynthetic microorganisms are expected to be useful to maintain an oxygenic atmosphere and to provide biomass for astronauts in the International Space Station as well as in future long-term space flights. However, fluxes of complex ionizing radiation of various intensities and energies make space an extreme environment for the microorganisms, affecting their photosynthetic efficiency. To automatically monitor the photosynthetic Photosystem II (PSII) activity of microorganisms under space conditions an optical biosensor, which utilizes chlorophyll fluorescence as biological transduction system, was built; the PSII activity was monitored by the biosensor during balloon flights at stratospheric altitudes of about 40 km. The effect of space stress on quantum yield of PSII varied among the tested species depending on the growth light conditions at which they were exposed during the flights.     

Baseline Models for Bridge Performance Monitoring

A baseline model is essential for long-term structural performance monitoring and evaluation. This study represents the first effort in applying a neural network-based system identification technique to establish and update a baseline finite element model of an instrumented highway bridge based on the measurement of its traffic-induced vibrations. The neural network approach is particularly effective in dealing with measurement of a large-scale structure by a limited number of sensors. In this study, sensor systems were installed on two highway bridges and extensive vibration data were collected, based on which modal parameters including natural frequencies and mode shapes of the bridges were extracted using the frequency domain decomposition method as well as the conventional peak picking method. Then an innovative neural network is designed with the input being the modal parameters and the output being the structural parameters of a three-dimensional finite element model of the bridge such as the mass and stiffness elements. After extensively training and testing through finite element analysis, the neural network became capable to identify, with a high level of accuracy, the structural parameter values based on the measured modal parameters, and thus the finite element model of the bridge was successfully updated to a baseline. The neural network developed in this study can be used for future baseline updates as the bridge being monitored periodically over its lifetime.     

Associations in the Course of Personality Disorders and Axis I Disorders Over Time.

In this study, the authors examined time-varying associations between schizotypal (STPD), borderline (BPD), avoidant (AVPD), or obsessive-compulsive (OCPD) personality disorders and co-occurring Axis I disorders in 544 adult participants from the Collaborative Longitudinal Personality Disorders Study. The authors tested predictions of specific longitudinal associations derived from a model of crosscutting psychobiological dimensions (L. J. Siever & K. L. Davis, 1991) with participants with the relevant Axis I disorders. The authors assessed participants at baseline and at 6-, 12-, and 24-month follow-up evaluations. BPD showed significant longitudinal associations with major depressive disorder and posttraumatic stress disorder. AVPD was significantly associated with anxiety disorders (specifically social phobia and obsessive-compulsive disorder). Two of the four personality disorders under examination (STPD and OCPD) showed little or no association with Axis I disorders. (PsycINFO Database Record (c) 2010 APA, all rights reserved)     

Inserts for fastening sheet molding compounds

New stainless steel inserts are developed for fastening sheet molding compound (SMC). Using these molded-in inserts, SMC components can be assembled without protrusions. The inserts consist of two mating surfaces which interlock through the existence of a shoulder male boss and a shoulder female counterbore. Repeated assembly and disassembly can take place without damaging the material being fastened. The strength of the joint, when using these interlocking inserts, is comparable to that when using bolts. Also being investigated is the strength of the joint after being immersed in water for half a month. The difference between the dry and wet strengths for the inserted samples is less than that for the bolted samples. Load versus extension plots show that these particular inserts provide a more rigid joint than a bolted connection.     

Characterization of Carbonated Beverages Associated to Corrosion of Aluminium Packaging

The objectives of this study were to evaluate the characteristics of commercial soft drinks related with the corrosion process of the aluminium packaging and based on that, propose model solutions for future studies of beverage/package interaction and corrosion process of metal packages. Therefore, the pH, acidity, concentration of chlorides and copper in six types of soft drinks were determined, as well as the corrosion potential of the aluminium and the current density corrosion obtained in polarization curves using the beverages as electrolyte. Based on the results obtained, a solution of citric acid (pH = 3) containing chloride (250 mg/kg) and copper ions (250 µg/kg) is proposed. The obtained results are potentially useful for the industry and future studies regarding the interaction process between soft drinks and aluminium cans. Copyright © 2015 John Wiley & Sons, Ltd.