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.

'Re-using an existing wheel' developing data architecture for cooperating autonomous and semi-autonomous, agent-based web services

This short position paper considers issues in developing Data Architecture for the Internet of Things (IoT) through the medium of an exemplar project, Domain Expertise Capture in Authoring and Development ­Environments (DECADE). A brief discussion sets the background for IoT, and the development of the ­distinction between things and computers. The paper makes a strong argument to avoid reinvention of the wheel, and to reuse approaches to distributed heterogeneous data architectures and the lessons learned from that work, and apply them to this situation. DECADE requires an autonomous recording system, ­local data storage, semi-autonomous verification model, sign-off mechanism, qualitative and ­quantitative ­analysis ­carried out when and where required through web-service architecture, based on ontology and analytic agents, with a self-maintaining ontology model. To develop this, we describe a web-service ­architecture, ­combining a distributed data warehouse, web services for analysis agents, ontology agents and a ­verification engine, with a centrally verified outcome database maintained by certifying body for qualification/­professional status.