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.

Automatic parallel code generation for message passing on distributed memory systems

The availability of a very accurate dependence graph for a scalar code is the basis for the automatic generation of an efficient parallel implementation. The strategy for this task which is encapsulated in a comprehensive data partitioning code generation algorithm is described. This algorithm involves the data partition, calculation of assignment ranges for partitioned arrays, addition of a comprehensive set of execution control masks, altering loop limits, addition and optimisation of communications for all data. In this context, the development and implementation of strategies to merge communications wherever possible has proved an important feature in producing efficient parallel implementations for numerical mesh based codes. The code generation strategies described here are embedded within the Computer Aided Parallelisation tools (CAPTools) software as a key part of a toolkit for automating as much as possible of the parallelisation process for mesh based numerical codes. The algorithms used enables parallelisation of real computational mechanics codes with only minor user interaction and without any prior manual customisation of the serial code to suit the parallelisation tool.

Evaluation of loadsharing algorithms for heterogeneous distributed systems

The performance of loadsharing algorithms for heterogeneous distributed systems is investigated by simulation. The systems considered are networks of workstations (nodes) which differ in processing power. Two parameters are proposed for characterising system heterogeneity, namely the variance and skew of the distribution of processing power among the network nodes. A variety of networks are investigated, with the same number of nodes and total processing power, but with the processing power distributed differently among the nodes. Two loadsharing algorithms are evaluated, at overall system loadings of 50% and 90%, using job response time as the performance metric. Comparison is made with the ideal situation of ‘perfect sharing’, where it is assumed that the communication delays are zero and that complete knowledge is available about job lengths and the loading at the different nodes, so that an arriving job can be sent to the node where it will be completed in the shortest time. The algorithms studied are based on those already in use for homogeneous networks, but were adapted to take account of system heterogeneity. Both algorithms take into account the differences in the processing powers of the nodes in their location policies, but differ in the extent to which they ‘discriminate’ against the slower nodes. It is seen that the relative performance of the two is strongly influenced by the system utilisation and the distribution of processing power among the nodes.

Simulation of 2-D metal cutting by means of a distributed algorithm

Temperature distributions involved in some metal-cutting or surface-milling processes may be obtained by solving a non-linear inverse problem. A two-level concept on parallelism is introduced to compute such temperature distribution. The primary level is based on a problem-partitioning concept driven by the nature and properties of the non-linear inverse problem. Such partitioning results to a coarse-grained parallel algorithm. A simplified 2-D metal-cutting process is used as an example to illustrate the concept. A secondary level exploitation of further parallel properties based on the concept of domain-data parallelism is explained and implemented using MPI. Some experiments were performed on a network of loosely coupled machines consist of SUN Sparc Classic workstations and a network of tightly coupled processors, namely the Origin 2000.

Distributed digital post-production

It is now possible to use powerful general purpose computer architectures to support post-production of both video and multimedia projects. By devising a suitable portable software architecture and using high-speed networking in an appropriate manner, a system has been constructed where editors are no longer tied to a specific location. New types of production, such as multi-threaded interactive video, are supported. Editors may also work remotely where very high speed network connection is not currently provided. An object-oriented database is used for the comprehensive cataloging of material and to support automatic audio/video object migration and replication. Copyright © 1997 by the Society of Motion Picture and Television Engineers, Inc.

A scalable strategy for the parallelization of multiphysics unstructured mesh-iterative codes on distributed-memory systems

Realizing scalable performance on high performance computing systems is not straightforward for single-phenomenon codes (such as computational fluid dynamics [CFD]). This task is magnified considerably when the target software involves the interactions of a range of phenomena that have distinctive solution procedures involving different discretization methods. The problems of addressing the key issues of retaining data integrity and the ordering of the calculation procedures are significant. A strategy for parallelizing this multiphysics family of codes is described for software exploiting finite-volume discretization methods on unstructured meshes using iterative solution procedures. A mesh partitioning-based SPMD approach is used. However, since different variables use distinct discretization schemes, this means that distinct partitions are required; techniques for addressing this issue are described using the mesh-partitioning tool, JOSTLE. In this contribution, the strategy is tested for a variety of test cases under a wide range of conditions (e.g., problem size, number of processors, asynchronous / synchronous communications, etc.) using a variety of strategies for mapping the mesh partition onto the processor topology.

The implementation of an aeronautical CFD flow code onto distributed memory parallel systems

The parallelization of an industrially important in-house computational fluid dynamics (CFD) code for calculating the airflow over complex aircraft configurations using the Euler or Navier–Stokes equations is presented. The code discussed is the flow solver module of the SAUNA CFD suite. This suite uses a novel grid system that may include block-structured hexahedral or pyramidal grids, unstructured tetrahedral grids or a hybrid combination of both. To assist in the rapid convergence to a solution, a number of convergence acceleration techniques are employed including implicit residual smoothing and a multigrid full approximation storage scheme (FAS). Key features of the parallelization approach are the use of domain decomposition and encapsulated message passing to enable the execution in parallel using a single programme multiple data (SPMD) paradigm. In the case where a hybrid grid is used, a unified grid partitioning scheme is employed to define the decomposition of the mesh. The parallel code has been tested using both structured and hybrid grids on a number of different distributed memory parallel systems and is now routinely used to perform industrial scale aeronautical simulations. Copyright © 2000 John Wiley & Sons, Ltd.

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.

Distributed belief revision as applied within a descriptive model of jury deliberations

Belief revision is a well-research topic within AI. We argue that the new model of distributed belief revision as discussed here is suitable for general modelling of judicial decision making, along with extant approach as known from jury research. The new approach to belief revision is of general interest, whenever attitudes to information are to be simulated within a multi-agent environment with agents holding local beliefs yet by interaction with, and influencing, other agents who are deliberating collectively. In the approach proposed, it's the entire group of agents, not an external supervisor, who integrate the different opinions. This is achieved through an election mechanism, The principle of "priority to the incoming information" as known from AI models of belief revision are problematic, when applied to factfinding by a jury. The present approach incorporates a computable model for local belief revision, such that a principle of recoverability is adopted. By this principle, any previously held belief must belong to the current cognitive state if consistent with it. For the purposes of jury simulation such a model calls for refinement. Yet we claim, it constitutes a valid basis for an open system where other AI functionalities (or outer stiumuli) could attempt to handle other aspects of the deliberation which are more specifi to legal narrative, to argumentation in court, and then to the debate among the jurors.

CAPLib - A 'thin layer' message passing library to support computational mechanics codes on distributed memory parallel systems

The Computer Aided Parallelisation Tools (CAPTools) [Ierotheou, C, Johnson SP, Cross M, Leggett PF, Computer aided parallelisation tools (CAPTools)-conceptual overview and performance on the parallelisation of structured mesh codes, Parallel Computing, 1996;22:163±195] is a set of interactive tools aimed to provide automatic parallelisation of serial FORTRAN Computational Mechanics (CM) programs. CAPTools analyses the user's serial code and then through stages of array partitioning, mask and communication calculation, generates parallel SPMD (Single Program Multiple Data) messages passing FORTRAN. The parallel code generated by CAPTools contains calls to a collection of routines that form the CAPTools communications Library (CAPLib). The library provides a portable layer and user friendly abstraction over the underlying parallel environment. CAPLib contains optimised message passing routines for data exchange between parallel processes and other utility routines for parallel execution control, initialisation and debugging. By compiling and linking with different implementations of the library, the user is able to run on many different parallel environments. Even with today's parallel systems the concept of a single version of a parallel application code is more of an aspiration than a reality. However for CM codes the data partitioning SPMD paradigm requires a relatively small set of message-passing communication calls. This set can be implemented as an intermediate `thin layer' library of message-passing calls that enables the parallel code (especially that generated automatically by a parallelisation tool such as CAPTools) to be as generic as possible. CAPLib is just such a `thin layer' message passing library that supports parallel CM codes, by mapping generic calls onto machine specific libraries (such as CRAY SHMEM) and portable general purpose libraries (such as PVM an MPI). This paper describe CAPLib together with its three perceived advantages over other routes: - as a high level abstraction, it is both easy to understand (especially when generated automatically by tools) and to implement by hand, for the CM community (who are not generally parallel computing specialists); - the one parallel version of the application code is truly generic and portable; - the parallel application can readily utilise whatever message passing libraries on a given machine yield optimum performance.

Performance evaluation of a distributed algorithm for an inverse heat conduction problem

Numerical solutions of realistic 2-D and 3-D inverse problems may require a very large amount of computation. A two-level concept on parallelism is often used to solve such problems. The primary level uses the problem partitioning concept which is a decomposition based on the mathematical/physical problem. The secondary level utilizes the widely used data partitioning concept. A theoretical performance model is built based on the two-level parallelism. The observed performance results obtained from a network of general purpose Sun Sparc stations are compared with the theoretical values. Restrictions of the theoretical model are also discussed.

Parallel mesh partitioning on distributed memory systems

The problem of deriving parallel mesh partitioning algorithms for mapping unstructured meshes to parallel computers is discussed in this chapter. In itself this raises a paradox - we seek to find a high quality partition of the mesh, but to compute it in parallel we require a partition of the mesh. In fact, we overcome this difficulty by deriving an optimisation strategy which can find a high quality partition even if the quality of the initial partition is very poor and then use a crude distribution scheme for the initial partition. The basis of this strategy is to use a multilevel approach combined with local refinement algorithms. Three such refinement algorithms are outlined and some example results presented which show that they can produce very high global quality partitions, very rapidly. The results are also compared with a similar multilevel serial partitioner and shown to be almost identical in quality. Finally we consider the impact of the initial partition on the results and demonstrate that the final partition quality is, modulo a certain amount of noise, independent of the initial partition.

Emergence: a paradigm for robust and scalable distributed applications

Natural distributed systems are adaptive, scalable and fault-tolerant. Emergence science describes how higher-level self-regulatory behaviour arises in natural systems from many participants following simple rulesets. Emergence advocates simple communication models, autonomy and independence, enhancing robustness and self-stabilization. High-quality distributed applications such as autonomic systems must satisfy the appropriate nonfunctional requirements which include scalability, efficiency, robustness, low-latency and stability. However the traditional design of distributed applications, especially in terms of the communication strategies employed, can introduce compromises between these characteristics. This paper discusses ways in which emergence science can be applied to distributed computing, avoiding some of the compromises associated with traditionally-designed applications. To demonstrate the effectiveness of this paradigm, an emergent election algorithm is described and its performance evaluated. The design incorporates nondeterministic behaviour. The resulting algorithm has very low communication complexity, and is simultaneously very stable, scalable and robust.

A distributed algorithm for European options with nonlinear volatility

A distributed algorithm is developed to solve nonlinear Black-Scholes equations in the hedging of portfolios. The algorithm is based on an approximate inverse Laplace transform and is particularly suitable for problems that do not require detailed knowledge of each intermediate time steps.