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/.     

Root Exposure to 5-Aminolevulinic Acid (ALA) Affects Leaf Element Accumulation,Isoprene Emission,Phytohormonal Balance,and Photosynthesis of Salt-Stressed Arundo donax

Arundo donax has been recognized as a promising crop for biomass production on marginal lands due to its superior productivity and stress tolerance. However, salt stress negatively impacts A. donax growth and photosynthesis. In this study, we tested whether the tolerance of A. donax to salinity stress can be enhanced by the addition of 5-aminolevulinic acid (ALA), a known promoter of plant growth and abiotic stress tolerance. Our results indicated that root exposure to ALA increased the ALA levels in leaves along the A. donax plant profile. ALA enhanced Na⁺ accumulation in the roots of salt-stressed plants and, at the same time, lowered Na⁺ concentration in leaves, while a reduced callose amount was found in the root tissue. ALA also improved the photosynthetic performance of salt-stressed apical leaves by stimulating stomatal opening and preventing an increase in the ratio between abscisic acid (ABA) and indol-3-acetic acid (IAA), without affecting leaf methanol emission and plant growth. Supply of ALA to the roots reduced isoprene fluxes from leaves of non-stressed plants, while it sustained isoprene fluxes along the profile of salt-stressed A. donax. Thus, ALA likely interacted with the methylerythritol 4-phosphate (MEP) pathway and modulate the synthesis of either ABA or isoprene under stressful conditions. Overall, our study highlights the effectiveness of ALA supply through soil fertirrigation in preserving the young apical developing leaves from the detrimental effects of salt stress, thus helping of A. donax to cope with salinity and favoring the recovery of the whole plant once the stress is removed.     

Fatigue behaviour of low temperature carburised AISI 316L austenitic stainless steel

Low temperature carburising (LTC) was applied to AISI316L austenitic stainless steel and its effect on microstructure and fatigue behaviour was investigated. LTC treatment enhances surface hardness and wear resistance of the steel without reducing its corrosion resistance. Surface hardness up to 1150 Vickers was achieved in the carburised layer, thanks to the formation of the so-called “S-phase”, a carbon-supersaturated austenite phase. The XRD evaluation of treated material verified expanded austenite with no evidence of carbide precipitation. Rotating bending fatigue tests showed that the low temperature carburising treatment enhances the fatigue strength of the 316L steel by 40% with respect to the untreated material due to the high residual stresses present in the treated layer. A major temperature increase was found testing the LTC specimens, with a peak value at the end of the test up to 600 °C. By air cooling the LTC specimens during the tests, a further increase of fatigue strength up to 70% was achieved with respect to the untreated material. Fatigue cracks in the surface-treated specimens always nucleated near the boundary between the carburised case and the core.     

Corrosion of stainless steel grades in H2O/KOH 50% at 120 °C: AISI304 austenitic and 2205 duplex

We report on the corrosion of austenitic (AISI304) and duplex (2205) stainless steels in H₂O/KOH 50% at 120 °C. The research is based on a combination of electrochemical, structural and compositional analyses, aimed at assessing the surface modifications resulting from anodic attack and their impact on corrosion resistance. Linear sweep voltammetry and electrochemical impedance spectrometry measurements were carried out in an air‐tight high‐temperature cell. In‐plane and cross‐sectional SEM micrography, X‐ray diffractometry and EDX profiling were used to characterise samples attacked under electrochemically controlled conditions. Electrochemical results have shown that AISI304 exhibits a complex passivating behaviour, while the anodic electrokinetics of the duplex is characterised by mixed kinetic control. AISI304 was found to fail by intergranular corrosion and to be covered: in passive conditions by acicular compounds and in transpassive conditions by a compact layer of corrosion products. Duplex samples, instead, exhibit an uniform form of corrosion morphology and bear a compact layer of corrosion products both in passive and in transpassive conditions.     

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.     

An improved observation model for super-resolution under affine motion.

Super-resolution (SR) techniques make use of subpixel shifts between frames in an image sequence to yield higher resolution images. We propose an original observation model devoted to the case of nonisometric inter-frame motion as required, for instance, in the context of airborne imaging sensors. First, we describe how the main observation models used in the SR literature deal with motion, and we explain why they are not suited for nonisometric motion. Then, we propose an extension of the observation model by Elad and Feuer adapted to affine motion. This model is based on a decomposition of affine transforms into successive shear transforms, each one efficiently implemented by row-by-row or column-by-column one-dimensional affine transforms. We demonstrate on synthetic and real sequences that our observation model incorporated in a SR reconstruction technique leads to better results in the case of variable scale motions and it provides equivalent results in the case of isometric motions.     

Magnetic properties of Ni(II)–Mn(III) LDHs

The synthesis of Ni_1−xMn_x(OH)₂(CO₃)_x/2·nH₂O Layered Double Hydroxides (LDHs) for x = 0.2, 0.25 and 0.33, their characterisation by electron microscopy, X-ray diffraction and their magnetic properties are reported in this study. When x increases, the crystallinity of the nanoparticles is improved. The low temperature magnetic behaviour of these compounds is characteristic of the competition between in plane ferromagnetic and interlayer antiferromagnetic interactions. The ferromagnetism is due to in plane Ni cations interaction and decreases when manganese content increases (Tc decreases from 26 to 15 K when x increases from 0.2 to 0.33). It was found that the substitution of Ni by Mn ions favours the in plane antiferromagnetic order. This study demonstrates that magnetic interactions occur in LDH with non magnetic interlayer anions.     

Regularized adaptive long autoregressive spectral analysis

This paper is devoted to adaptive long autoregressive spectral analysis when i) very few data are available and ii) information does exist beforehand concerning the spectral smoothness and time continuity of the analyzed signals. The contribution is founded on two papers by Kitagawa and Gersch (1985). The first one deals with spectral smoothness in the regularization framework, while the second one is devoted to time continuity in the Kalman formalism. The present paper proposes an original synthesis of the two contributions. A new regularized criterion is introduced that takes bath pieces of information into account. The criterion is efficiently optimized by a Kalman smoother. One of the major features of the method is that it is entirely unsupervised. The problem of automatically adjusting the hyperparameters that balance data-based versus prior-based information is solved by maximum likelihood (ML). The improvement is quantified in the field of meteorological radar