An Environment for Rapid Derivatives Design and Experimentation

In the highly competitive world of modern finance, new derivatives are continually required to take advantage of changes in financial markets, and to hedge businesses against new risks. The research described in this paper aims to accelerate the development and pricing of new derivatives in two different ways. Firstly, new derivatives can be specified mathematically within a general framework, enabling new mathematical formulae to be specified rather than just new parameter settings. This Generic Pricing Engine (GPE) is expressively powerful enough to specify a wide range of stand¬ard pricing engines. Secondly, the associated price simulation using the Monte Carlo method is accelerated using GPU or multicore hardware. The parallel implementation (in OpenCL) is automatically derived from the mathematical description of the derivative. As a test, for a Basket Option Pricing Engine (BOPE) generated using the GPE, on the largest problem size, an NVidia GPU runs the generated pricing engine at 45 times the speed of a sequential, specific hand-coded implementation of the same BOPE. Thus a user can more rapidly devise, simulate and experiment with new derivatives without actual programming.

Circuit-aware design of energy-efficient massive MIMO systems

Densification is a key to greater throughput in cellular networks. The full potential of coordinated multipoint (CoMP) can be realized by massive multiple-input multiple-output (MIMO) systems, where each base station (BS) has very many antennas. However, the improved throughput comes at the price of more infrastructure; hardware cost and circuit power consumption scale linearly/affinely with the number of antennas. In this paper, we show that one can make the circuit power increase with only the square root of the number of antennas by circuit-aware system design. To this end, we derive achievable user rates for a system model with hardware imperfections and show how the level of imperfections can be gradually increased while maintaining high throughput. The connection between this scaling law and the circuit power consumption is established for different circuits at the BS.

Design and Implementation of a Low Cost Virtual Rugby Decision Making Interactive

The paper describes the design and implementation of a novel low cost virtual rugby decision making interactive for use in a visitor centre. Original laboratory-based experimental work in decision making in rugby, using a virtual reality headset [1] is adapted for use in a public visitor centre, with consideration given to usability, costs, practicality and health and safety. Movement of professional rugby players was captured and animated within a virtually recreated stadium. Users then interact with these virtual representations via use of a lowcost sensor (Microsoft Kinect) to attempt to block them. Retaining the principles of perception and action, egocentric viewpoint, immersion, sense of presence, representative design and game design the system delivers an engaging and effective interactive to illustrate the underlying scientific principles of deceptive movement. User testing highlighted the need for usability, system robustness, fair and accurate scoring, appropriate level of difficulty and enjoyment.