Multigrid for American option pricing with stochastic volatility

The paper describes an implicit finite difference approach to the pricing of American options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices and adaptive time-stepping.

Dynamic load-balancing of finite element applications with the DRAMA library

The DRAMA library, developed within the European Commission funded (ESPRIT) project DRAMA, supports dynamic load-balancing for parallel (message-passing) mesh-based applications. The target applications are those with dynamic and solution-adaptive features. The focus within the DRAMA project was on finite element simulation codes for structural mechanics. An introduction to the DRAMA library will illustrate that the very general cost model and the interface designed specifically for application requirements provide simplified and effective access to a range of parallel partitioners. The main body of the paper will demonstrate the ability to provide dynamic load-balancing for parallel FEM problems that include: adaptive meshing, re-meshing, the need for multi-phase partitioning.

[Book Review] A database of North American tertiary mammals

Review of: Janis, C.M., Scott, K.M., & Jacobs, L.L. (eds.) 1998. Evolution of Tertiary Mammals of North America Volume 1: Terrestrial Carnivores, Ungulates, and Ungulatelike Mammals, i-x, 1491. Cambridge University Press, Cambridge, UK. £165