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/.     

Effects of Casting Size on Microstructure and Mechanical Properties of Spheroidal and Compacted Graphite Cast Irons: Experimental Results and Comparison with International Standards

The aim of this research was to investigate the effects of casting size (10-210 mm) on the microstructure and mechanical properties of spheroidal (SGI) and compacted (CGI) graphite cast irons. A comparison of the experimental mechanical data with those specified by ISO standards is presented and discussed. The study highlighted that the microstructure and mechanical properties of SGI (also known as ductile or nodular cast iron) are more sensitive to casting size than CGI (also known as vermicular graphite cast irons). In particular, in both types of cast iron, hardness, yield strength and ultimate tensile strength decreased, with increasing casting size, by 27% in SGI and 17% in CGI. Elongation to failure showed, instead, an opposite trend, decreasing from 5 to 3% in CGI, while increasing from 5 to 11% in SGI. These results were related to different microstructures, the ferritic fraction being more sensitive to the casting size in SGI than CGI. Degeneration of spheroidal graphite was observed at casting size above 120 mm. The microstructural similarities between degenerated SGI and CGI suggested the proposal of a unified empirical constitutional law relating the most important microstructural parameters to the ultimate tensile strength. An outstanding result was also the finding that standard specifications underestimated the mechanical properties of both cast irons (in particular SGI) and, moreover, did not take into account their variation with casting size, at thicknesses over 60 mm.     

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.     

Sandwiched-Beam Procedure for Precracking Brittle Materials

A technique for precracking brittle materials is presented. This procedure, which is called the sandwiched-beam (SB) technique, allows the production of sharp through-thickness cracks with predetermined length in specimens with a rectangular section. A bar, in which an initial notch is produced by using a conventional saw, is inserted between two supporting beams and the sandwich assembly is loaded in three-point bending. Conditions can be defined that allow the stable propagation of a sharp flaw from the notch as the applied load is increased. Then, the cracked bar can be used to determine the fracture toughness. The SB technique is applied to different brittle materials, including soda-lime-silica glass, alumina, Si₃N₄, a SiC _w -Si₃N₄ composite, graphite, a Ti-Al intermetallic, and Carrara marble.     

Mechanical and microstructural characterization of 2124Al/25 vol.%SiCp joints obtained by linear friction welding (LFW)

The aim of this study is to evaluate the possibility of using the linear friction welding (LFW) technique to produce sound joints on a 2124Al/25 vol.%SiC_p composite. The MMC joints were subjected to microstructural and mechanical characterization, including hardness, tensile and fatigue tests, without any post-weld heat treatment. The microstructural analyses showed substantially defect-free joints, with a uniform particle distribution in the central zone and a relevant plastic flow of the aluminium matrix alloy. The hardness decrease in the welded zone was approximately 10% in respect to the base material. The joint efficiency was higher than 80%, both in respect to the ultimate tensile strength and fatigue strength at 10⁷ cycles. S–N probability curves were calculated using the maximum likelihood method. Generally, the fracture occurred in the Thermo-Mechanically Affected Zone (TMAZ), with a relevant reduction in the elongation to failure.     

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)     

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.