A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model

Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.

Can current force fields reproduce ring puckering in 2-O-sulfo-α-l-iduronic acid? A molecular dynamics simulation study

The monosaccharide 2-O-sulfo-α-l-iduronic acid (IdoA2S) is one of the major components of glycosaminoglycans. The ability of molecular mechanics force fields to reproduce ring-puckering conformational equilibrium is important for the successful prediction of the free energies of interaction of these carbohydrates with proteins. Here we report unconstrained molecular dynamics simulations of IdoA2S monosaccharide that were carried out to investigate the ability of commonly used force fields to reproduce its ring conformational flexibility in aqueous solution. In particular, the distribution of ring conformer populations of IdoA2S was determined. The GROMOS96 force field with the SPC/E water potential can predict successfully the dominant skew-boat to chair conformational transition of the IdoA2S monosaccharide in aqueous solution. On the other hand, the GLYCAM06 force field with the TIP3P water potential sampled transitional conformations between the boat and chair forms. Simulations using the GROMOS96 force field showed no pseudorotational equilibrium fluctuations and hence no inter-conversion between the boat and twist boat ring conformers. Calculations of theoretical proton NMR coupling constants showed that the GROMOS96 force field can predict the skew-boat to chair conformational ratio in good agreement with the experiment, whereas GLYCAM06 shows worse agreement. The omega rotamer distribution about the C5–C6 bond was predicted by both force fields to have torsions around 10°, 190°, and 360°.

Molecular dynamics simulation of the phosphorylation-induced conformational changes of a tau peptide fragment

Aggregation of the microtubule associated protein tau (MAPT) within neurons of the brain is the leading cause of tauopathies such as Alzheimer's disease. MAPT is a phospho-protein that is selectively phosphorylated by a number of kinases in vivo to perform its biological function. However, it may become pathogenically hyperphosphorylated, causing aggregation into paired helical filaments and neurofibrillary tangles. The phosphorylation induced conformational change on a peptide of MAPT (htau225−250) was investigated by performing molecular dynamics simulations with different phosphorylation patterns of the peptide (pThr231 and/or pSer235) in different simulation conditions to determine the effect of ionic strength and phosphate charge. All phosphorylation patterns were found to disrupt a nascent terminal β-sheet pattern (226VAVVR230 and 244QTAPVP249), replacing it with a range of structures. The double pThr231/pSer235 phosphorylation pattern at experimental ionic strength resulted in the best agreement with NMR structural characterization, with the observation of a transient α-helix (239AKSRLQT245). PPII helical conformations were only found sporadically throughout the simulations. Proteins 2014; 82:1907–1923. © 2014 Wiley Periodicals, Inc.

Besides tracking: Simulation of RFID marketing and beyond

This paper asks a new question: how we can use RFID technology in marketing products in supermarkets and how we can measure its performance or ROI (Return-on-Investment). We try to answer the question by proposing a simulation model whereby customers become aware of other customers' real-time shopping behavior and may hence be influenced by their purchases and the levels of purchases. The proposed model is orthogonal to sales model and can have the similar effects: increase in the overall shopping volume. Managers often struggle with the prediction of ROI on purchasing such a technology, this simulation sets to provide them the answers of questions like the percentage of increase in sales given real-time purchase information to other customers. The simulation is also flexible to incorporate any given model of customers' behavior tailored to particular supermarket, settings, events or promotions. The results, although preliminary, are promising to use RFID technology for marketing products in supermarkets and provide several dimensions to look for influencing customers via feedback, real-time marketing, target advertisement and on-demand promotions. Several other parameters have been discussed including the herd behavior, fake customers, privacy, and optimality of sales-price margin and the ROI of investing in RFID technology for marketing purposes. © 2010 Springer Science+Business Media B.V.

Influencing customers through customers: Simulation of herd behavior in supermarkets

This work proposes a supermarket optimization simulation model called Swarm-Moves is based on self organized complex system studies to identify parameters and their values that can influence customers to buy more on impulse in a given period of time. In the proposed model, customers are assumed to have trolleys equipped with technology like RFID that can aid the passing of products' information directly from the store to them in real-time and vice-versa. Therefore, they can get the information about other customers purchase patterns and constantly informing the store of their own shopping behavior. This can be easily achieved because the trolleys "know" what products they contain at any point. The Swarm-Moves simulation is the virtual supermarket providing the visual display to run and test the proposed model. The simulation is also flexible to incorporate any given model of customers' behavior tailored to particular supermarket, settings, events or promotions. The results, although preliminary, are promising to use RFID technology for marketing products in supermarkets and provide several dimensions to look for influencing customers via feedback, real-time marketing, target advertisement and on-demand promotions. ©2009 IEEE.

Automatic wildfire detection and simulation using optical information from unmanned aerial systems

In many parts of the world, uncontrolled fires in sparsely populated areas are a major concern as they can quickly grow into large and destructive conflagrations in short time spans. Detecting these fires has traditionally been a job for trained humans on the ground, or in the air. In many cases, these manned solutions are simply not able to survey the amount of area necessary to maintain sufficient vigilance and coverage. This paper investigates the use of unmanned aerial systems (UAS) for automated wildfire detection. The proposed system uses low-cost, consumer-grade electronics and sensors combined with various airframes to create a system suitable for automatic detection of wildfires. The system employs automatic image processing techniques to analyze captured images and autonomously detect fire-related features such as fire lines, burnt regions, and flammable material. This image recognition algorithm is designed to cope with environmental occlusions such as shadows, smoke and obstructions. Once the fire is identified and classified, it is used to initialize a spatial/temporal fire simulation. This simulation is based on occupancy maps whose fidelity can be varied to include stochastic elements, various types of vegetation, weather conditions, and unique terrain. The simulations can be used to predict the effects of optimized firefighting methods to prevent the future propagation of the fires and greatly reduce time to detection of wildfires, thereby greatly minimizing the ensuing damage. This paper also documents experimental flight tests using a SenseFly Swinglet UAS conducted in Brisbane, Australia as well as modifications for custom UAS.

Simulation and modelling tools for quantitative safety assessments of unmanned aircraft systems and operations

This paper presents two simple simulation and modelling tools designed to aid in the safety assessment required for unmanned aircraft operations within unsegregated airspace. First, a fast pair-wise encounter generator is derived to simulate the See and Avoid environment. The utility of the encounter generator is demonstrated through the development of a hybrid database and a statistical performance evaluation of an autonomous See and Avoid decision and control strategy. Second, an unmanned aircraft mission generator is derived to help visualise the impact of multiple persistent unmanned operations on existing air traffic. The utility of the mission generator is demonstrated through an example analysis of a mixed airspace environment using real traffic data in Australia. These simulation and modelling approaches constitute a useful and extensible set of analysis tools, that can be leveraged to help explore some of the more fundamental and challenging problems facing civilian unmanned aircraft system integration.

Lateral impact derailment mechanisms, simulation and analysis

Lateral collisions between heavy road vehicles and passenger trains at level crossings and the associated derailments are serious safety issues. This paper presents a detailed investigation of the dynamic responses and derailment mechanisms of trains under lateral impact using a multi-body dynamics simulation method. Formulation of a three-dimensional dynamic model of a passenger train running on a ballasted track subject to lateral impact caused by a road truck is presented. This model is shown to predict derailment due to wheel climb and car body overturning mechanisms through numerical examples. Sensitivities of the truck speed and mass, wheel/rail friction and the train suspension to the lateral stability and derailment of the train are reported. It is shown that improvements to the design of train suspensions, including secondary and inter-vehicle lateral dampers have higher potential to mitigate the severity of the collision-induced derailments.

Simulation design in information systems research: example of studying it value cocreation with NK model

As an emerging research method that has showed promising potential in several research disciplines, simulation received relatively few attention in information systems research. This paper illustrates a framework for employing simulation to study IT value cocreation. Although previous studies identified factors driving IT value cocreation, its underlying process remains unclear. Simulation can address this limitation through exploring such underlying process with computational experiments. The simulation framework in this paper is based on an extended NK model. Agent-based modeling is employed as the theoretical basis for the NK model extensions.

Ship collision avoidance and COLREGS compliance using simulation-based control behavior selection with predictive hazard assessment

This paper describes a concept for a collision avoidance system for ships, which is based on model predictive control. A finite set of alternative control behaviors are generated by varying two parameters: offsets to the guidance course angle commanded to the autopilot and changes to the propulsion command ranging from nominal speed to full reverse. Using simulated predictions of the trajectories of the obstacles and ship, compliance with the Convention on the International Regulations for Preventing Collisions at Sea and collision hazards associated with each of the alternative control behaviors are evaluated on a finite prediction horizon, and the optimal control behavior is selected. Robustness to sensing error, predicted obstacle behavior, and environmental conditions can be ensured by evaluating multiple scenarios for each control behavior. The method is conceptually and computationally simple and yet quite versatile as it can account for the dynamics of the ship, the dynamics of the steering and propulsion system, forces due to wind and ocean current, and any number of obstacles. Simulations show that the method is effective and can manage complex scenarios with multiple dynamic obstacles and uncertainty associated with sensors and predictions.