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.

Towards a Resilience Metric Framework for Cyber-Physical Systems

Resilience is widely accepted as a desirable system property for cyber-physical systems. However, there are no metrics that can be used to measure the resilience of cyber-physical systems (CPS) while the multi-dimensional nature of performance in these systems is considered. In this work, we present first results towards a resilience metric framework. The key contributions of this framework are threefold: First, it allows to evaluate resilience with respect to different performance indicators that are of interest. Second, complexities that are relevant to the performance indicators of interest, can be intentionally abstracted. Third and final, it supports the identification of reasons for good or bad resilience to improve system design.