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.

High resolution Thomson Parabola Spectrometer for full spectral capture of multi-species ion beams

We report on the experimental characterisation of laser-driven ion beams using a Thomson Parabola Spectrometer (TPS) equipped with trapezoidally shaped electric plates, proposed by Gwynne et al. [Rev. Sci. Instrum. 85, 033304 (2014)]. While a pair of extended (30 cm long) electric plates was able to produce a significant increase in the separation between neighbouring ion species at high energies, deploying a trapezoidal design circumvented the spectral clipping at the low energy end of the ion spectra. The shape of the electric plate was chosen carefully considering, for the given spectrometer configuration, the range of detectable ion energies and species. Analytical tracing of the ion parabolas matches closely with the experimental data, which suggests a minimal effect of fringe fields on the escaping ions close to the wedged edge of the electrode. The analytical formulae were derived considering the relativistic correction required for the high energy ions to be characterised using such spectrometer.