Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing

This paper investigates computational and implementation issues for the valuation of options on three underlying assets, focusing on the use of the finite difference methods. We demonstrate that implicit methods, which have good convergence and stability prooperties, can now be implemented efficiently due to the recent development of techniques that allow the efficient solution of large and sparse linear systems. In the trivariate option valuation problem, we use nonstationary iterative methods (also called Krylov methods) for the solution of the large and sparse linear systems arising while using implicit methods. Krylov methods are investigated both in serial and in parallel implementations. Computational results show that the parallel implementation is particularly efficient if a fine grid space is needed.Multivariate option pricing, finite difference methods; Krylov methods; parallel Krylov methods

Design Thinking and Participation: Lessons Learned from Three Case Studies

This paper examines how design thinking and serious games approaches can be used to support participation through the analysis of three case studies. Indeed we will analyze these approaches in three different contexts: (i) a state-owned multi-utilities company; (ii) a political party; (iii) an information system strategic committee. Our analysis framework relies on the concepts of "perceived usefulness" and "perceived ease of use" and we will use it to discuss the lessons learned. Our main finding is that these approaches really contributing in making complex and abstract matters more "tangible" and thus understandable.participation; design thinking; serious games; case study; perceived usefulness

Investigation on the Efficacy of Two Food Supplements Containing a Fixed Combination of Selected Probiotics and β-Glucans or Elderberry Extract for the Immune System: Modulation on Cytokines Expression in Human THP-1 and PBMC

Several herbal and other natural products are used as ingredients in food supplements to strengthen immunity even if, very often, marketed products are proposed without a clear rationale or experimental evidence. In this study, we aimed to investigate the effect on human monocytes (THP-1) and on ex vivo human peripheral blood mononuclear cells (PBMC) of two formulations, one containing Bifidobacterium animalis subsp. lactis Bl-04® with β-glucans (for adults) and one containing Lactobacillus rhamnosus CRL1505 with elderberry extract (for children). We compared formulations with single ingredients, with bacterial lipopolysaccharide (LPS) and the drug pidotimod; cytokines expression level was evaluated testing different concentrations of samples at two exposure times. As expected, LPS caused a non-specific huge upregulation of cytokines expression both in THP-1 and in PBMC, whereas pidotimod mainly upregulated IL-2 in PBMC and IL-8 in THP-1. The two formulations showed a difference between a pro-inflammatory stimulus such as LPS, and also from an immunostimulant drug, such as pidotimod, as they mainly upregulated the expression of IL-6 and IL-10 in PBMC but not in THP-1, in a concentration-dependent mode. Probiotics were shown to play a major role, but β-glucans and elderberry extract exerted a synergistic activity. This work demonstrated that combining selected probiotics with other natural products having immunomodulatory properties is an interesting strategy to develop innovative formulations in the sector of food supplements

Parallel Monte Carlo Methods for Derivative Security Pricing

Monte Carlo (MC) methods have proved to be flexible, robust and very useful techniques in computational finance. Several studies have investigated ways to achieve greater efficiency of such methods for serial computers. In this paper, we concentrate on the parallelization potentials of the MC methods. While MC is generally thought to be "embarrassingly parallel", the results eventually depend on the quality of the underlying parallel pseudo-random number generators. There are several methods for obtaining pseudo-random numbers on a parallel computer and we briefly present some alternatives. Then, we turn to an application of security pricing where we empirically investigate the pros and cons of the different generators. This also allows us to assess the potentials of parallel MC in the computational finance framework

Econometric Model Simulation on Parallel Computers

: The problem of solution of large and sparse models presents in many points a suitable structure for an implementation on parallel computers. However, an efficient use of these computing devices requires the code to be specifically structured in order to exploit the particular type of parallel computer used. The paper discusses the implementation of data parallel processing algorithms as well as performance results based on the solution of a macroeconometric model on a CM2 computer. Key words: Parallel computing, solution of large and sparse nonlinear systems. 1 Introduction Not so long ago, array processors or vector boards had already opened new perspectives in the field of econometric model simulation, see e.g. [1, Ando, Beaumont and Ando 1987], [11, Petersen 1987], [12, Petersen and Cividini 1989] and [3, Bianchi, Bruno and Cividini 1992]. This has lead to a reconsideration of the techniques for model validation which rely on a large number of repeated simulations. Very recent te..