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/.     

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.     

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.     

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)     

The sequence of a 9.3 kb segment located on the left arm of the yeast chromosome XI reveals five open reading frames including the CCE1 gene and putative products related to MYO2 and to the ribosomal protein L10.

We report here the sequence of a 9.3 kb DNA segment of chromosome XI of Saccharomyces cerevisiae, located between the MAK11 locus and the centromere. This sequence contains four long open reading frames (ORFs), YKL160, YKL162, YKL164, YKL165 and part of another ORF, YKL166, covering altogether 90% of the entire sequence. One of these ORFs, YKL164, corresponds to CCE1. Translation products of two other ORFs, YKL160 and YKL165, exhibit homology with previously known S. cerevisiae proteins: the ribosomal protein L10, and the MYO2 gene product, respectively.     

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.     

Quantitative Analysis of Plant Cytosolic Calcium Signals in Response to Water Activated by Low-Power Non-Thermal Plasma

Non-thermal plasma technology is increasingly being applied in the plant biology field. Despite the variety of beneficial effects of plasma-activated water (PAW) on plants, information about the mechanisms of PAW sensing by plants is still limited. In this study, in order to link PAW perception to the positive downstream responses of plants, transgenic Arabidopsis thaliana seedlings expressing the Ca²⁺-sensitive photoprotein aequorin in the cytosol were challenged with water activated by low-power non-thermal plasma generated by a dielectric barrier discharge (DBD) source. PAW sensing by plants resulted in the occurrence of cytosolic Ca²⁺ signals, whose kinetic parameters were found to strictly depend on the operational conditions of the plasma device and thus on the corresponding mixture of chemical species contained in the PAW. In particular, we highlighted the effect on the intracellular Ca²⁺ signals of low doses of DBD-PAW chemicals and also presented the effects of consecutive plant treatments. The results were discussed in terms of the possibility of using PAW-triggered Ca²⁺ signatures as benchmarks to accurately modulate the chemical composition of PAW in order to induce environmental stress resilience in plants, thus paving the way for further applications in agriculture.