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/.     

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)     

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.     

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.     

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)     

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.