Numerical solutions of certain nonlinear models in European options on a distributed computing environment

Financial modelling in the area of option pricing involves the understanding of the correlations between asset and movements of buy/sell in order to reduce risk in investment. Such activities depend on financial analysis tools being available to the trader with which he can make rapid and systematic evaluation of buy/sell contracts. In turn, analysis tools rely on fast numerical algorithms for the solution of financial mathematical models. There are many different financial activities apart from shares buy/sell activities. The main aim of this chapter is to discuss a distributed algorithm for the numerical solution of a European option. Both linear and non-linear cases are considered. The algorithm is based on the concept of the Laplace transform and its numerical inverse. The scalability of the algorithm is examined. Numerical tests are used to demonstrate the effectiveness of the algorithm for financial analysis. Time dependent functions for volatility and interest rates are also discussed. Applications of the algorithm to non-linear Black-Scholes equation where the volatility and the interest rate are functions of the option value are included. Some qualitative results of the convergence behaviour of the algorithm is examined. This chapter also examines the various computational issues of the Laplace transformation method in terms of distributed computing. The idea of using a two-level temporal mesh in order to achieve distributed computation along the temporal axis is introduced. Finally, the chapter ends with some conclusions.

Intrinsic measure of diversity gains in generalised distributed antenna systems with cooperative users

The diversity gains achievable in the generalised distributed antenna system with cooperative users (GDAS-CU) are considered. A GDAS-CU is comprised of M largely separated access points (APs) at one side of the link, and N geographically closed user terminals (UTs) at the other side. The UTs are collaborating together to enhance the system performance, where an idealised message sharing among the UTs is assumed. First, geometry-based network models are proposed to describe the topology of a GDAS-CU. The mean cross-correlation coefficients of signals received from non-collocated APs and UTs are calculated based on the network topology and the correlation models derived from the empirical data. The analysis is also extendable to more general scenarios where the APs are placed in a clustered form due to the constraints of street layout or building structure. Subsequently, a generalised signal attenuation model derived from several stochastic ray-tracing-based pathloss models is applied to describe the power-decaying pattern in urban built-up areas, where the GDAS-CU may be deployed. Armed with the cross-correlation and pathloss model preliminaries, an intrinsic measure of cooperative diversity obtainable from a GDAS-CU is then derived, which is the number of independent fading channels that can be averaged over to detect symbols. The proposed analytical framework would provide critical insight into the degree of possible performance improvement when combining multiple copies of the received signal in such systems.

Sole agency vs multi-agency: An investigation of agency practice across England and Wales

Purpose: The purpose of this paper is to investigate the impact of different agency practice on agency fees, business efficiency, and housing market liquidity. Design/methodology/approach: The paper studies the effect of sole and multiple agency practices on estate agent efficiency, housing market liquidity, and commission fee levels. The analysis uses the survey data from 2000 to 2006 to investigate the different agency practices across England and Wales and their effect on estate agency business efficiency, housing market liquidity, selling price, and fee levels. Findings: The empirical analysis confirms that agency practice has a locality bias, that is, some regions are more likely to adopt sole agency practice than other regions. The estate agents with a sole agency practice charge a lower agency fee, help clients to achieve better selling price and are more efficient; whereas multiple agency practice facilitates liquidity in the housing market, but experiences higher fall-through rate. Research limitations/implications: The research focuses on estate agent rather than consumers due to the limitation of the data based on a research project concerning transaction costs designed prior to this analysis. Originality/value: There is little other research that investigates the residential estate agency practice and its impact on housing market in the past three decades in England and Wales. The findings are a useful guide for practitioners to better understand the issues associated with different agency practices and should enhance business efficiency and performance.

Human respiration rate estimation using ultra-wideband distributed cognitive radar system

It has been shown that remote monitoring of pulmonary activity can be achieved using ultra-wideband (UWB) systems, which shows promise in home healthcare, rescue, and security applications. In this paper, we first present a multi-ray propagation model for UWB signal, which is traveling through the human thorax and is reflected on the air/dry-skin/fat/muscle interfaces. A geometry-based statistical channel model is then developed for simulating the reception of UWB signals in the indoor propagation environment. This model enables replication of time-varying multipath profiles due to the displacement of a human chest. Subsequently, a UWB distributed cognitive radar system (UWB-DCRS) is developed for the robust detection of chest cavity motion and the accurate estimation of respiration rate. The analytical framework can serve as a basis in the planning and evaluation of future measurement programs. We also provide a case study on how the antenna beamwidth affects the estimation of respiration rate based on the proposed propagation models and system architecture

Advanced product development integration architecture: an out-of-box solution to support distributed production networks

This paper presents novel collaboration methods implemented using a centralized client/server product development integration architecture, and a decentralized peer-to-peer network for smaller and larger companies using open source solutions. The product development integration architecture has been developed for the integration of disparate technologies and software systems for the benefit of collaborative work teams in design and manufacturing. This will facilitate the communication of early design and product development within a distributed and collaborative environment. The novelty of this work is the introduction of an‘out-of-box’ concept which provides a standard framework and deploys this utilizing a proprietary state-of-the-art product lifecycle management system (PLM). The term ‘out-of-box’ means to modify the product development and business processes to suit the technologies rather than vice versa. The key business benefits of adopting such an approach are a rapidly reconfigurable network and minimal requirements for software customization to avoid systems instability

The determinants of business performance of estate agency in England and Wales

Purpose: This paper seeks to investigate the factors influencing the business performance of estate agency in England and Wales. Design/methodology/approach: The paper investigates the effect of housing market, company size and pricing policy on business performance in the estate agency sector in England and Wales. The analysis uses the survey data of Woolwich Cost of Moving Survey (a survey of transactions costs sponsored by the Woolwich/Barclays Bank) from 2003 to 2005 to test the hypothesis that the business performance of estate agency is affected by industry characteristics and firm factors. Findings: The empirical analysis indicates that the business performance of estate agency is subject to market environment volatility such as market uncertainty, housing market liquidity and house price changes. The firm factors such as firm size and the level of agency fee have no explanatory power in explaining business performance. The level of agency fee is positively associated with firm size, market environment and liquidity. Research limitations/implications: The research is limited to the data received and is based on a research project on transaction costs designed prior to this analysis. Originality/value: There is little other research that investigates the factors determining the business performance of estate agency, using consecutive data of three years across England and Wales. The findings are useful for practitioners and/or managers to allocate resources and adjust their business strategy to enhance business performance in the estate agency sector.