High Performance and Low Power Monte Carlo Methods to Option Pricing Models via High Level Design and Synthesis

This article compares the performance and energy consumption of GPUs and FPGAs via implementing financial market models. The case studies used in this comparison are the Black-Scholes model and the Heston model for option pricing problems, which are analyzed numerically by Monte Carlo method. The algorithms are computationally intensive but not memory-intensive and thus well suited for FPGA implementation. High-level synthesis was performed starting from parallel models written in OpenCL and then various micro-architectures were explored and optimized on FPGAs. The final implementations of both models to several options on FPGAs achieved the best parallel acceleration systems, in terms of both performance-per-operation and energy-per-operation, compared not only to the kernels on advanced GPUs but also to the RTL implementations found in the literatures

A DECISION SUPPORT SYSTEM FOR COMMODITY MARKETING MANAGEMENT

Marketing,

Evaluating the Impacts of Time-of-Day Tolling on Indiana Roadways

In recent decades, several agencies have implemented tolls on their highway, bridge, or tunnel infrastructure for purposes that include mitigation and revenue generation. The Indiana Department of Transportation (INDOT) sought to investigate the feasibility of time-of-day tolling at a specific section of Indiana’s highways, and therefore commissioned this research study. Recognizing that traditional ex ante methods of tolling evaluation such as surveys and public hearings are time intensive and costly, this project developed a simulation package to measure the expected impacts of TOD tolling in terms of revenue, travel delay, and welfare. The report developed an analytical model and accompanying software tool (a TOD tolling analysis pack) to capture the relationship between the time-of-day toll and route choice, and to evaluate quickly, the impacts of various TOD tolling scenarios. The research products help the analyst to easily visualize traffic flows on roadways and to estimate the revenue, monetary savings, travel times, speeds, vehicle hours of travel, vehicle miles of travel, and welfare in response to different scenarios. The TOD tolling analysis pack reduces drastically, the time and effort in evaluating proposed TOD tolling initiatives for the future. The visualization features illustrate traffic diversions due to tolling implementation and display the most impacted road segments. Further, the TOD tolling analysis pack can be integrated seamlessly with INDOT’s existing TransCAD models and with Google Maps to provide users with the capability of acquiring additional pertinent information on the study area

Considerations for Implementing a Hotel Revenue Management System

To fully understand and implement a revenue management system, hotel managers will need to research all aspects of a system, its requirements, and the hotel’s requirements to ensure that they are implementing a system that will work best for their property. This kind of research requires finding information in literature that is scattered in many locations. An owner or manager of a small to midsize hotel would need to invest a lot of time and energy into this process. Unlike giant companies like Marriott or Hilton, small to midsize independent hotels do not have the manpower to research and implement these systems without some help. What needs to be known before implementing a RMS? This paper will seek to answer questions and concerns hotel owners and managers have about the implementation of revenue management systems. What should managers expect to achieve by implementing a RMS and what could potentially hinder the RMS from achieving its full potential? What types of features are available in RMS and what are its benefits? What does management need to do to guarantee successful operation of an RMS? These questions will be answered by consolidating the scattered literature on revenue management systems and taking the experiences and insights from hotel technology vendors and combining it into a comprehensive guide that will bring to light information that should be known before implementing a RMS

INDUSTRIALIZATION OF DERIVATIVE DESIGN: INTEGRATED RISK MANAGEMENT WITH THE FINANCIAL INFORMATION SYSTEM WARRANT-PRO-2

Risk management is essential in a modern financial services industry. Derivative instruments like options have a particular status. Appropriate derivatives allow financial service providers to redistribute risks towards others. The process of creating customer tailored derivatives is not wellinvestigated today. With the financial information system (FIS) WARRANT-PRO-2 derivative prices are computed for given payments. The deviation, for example, from a predefinable Delta of an option can be minimized. Automatic creation of optimally synthesized options is very promising for buyer and seller. An example is presented to show the easy process of creating a customer tailored option

Road User Charging – Pricing Structures.

This project considers the extent to which the public could cope with complex price or tariff structures such as those that might be considered in the context of a national congestion pricing scheme. The key elements of the brief were: • to review existing studies of road pricing schemes to assess what information and evidence already exists on the key issues; • to identify what can be learned about pricing structures from other transport modes and other industries and in particular what issues and conclusions might be transferable; • to improve the general understanding of the relationship between information and people’s ability to respond; and • to recommend what further research would be most valuable to fill evidence gaps and enable conclusions to be drawn about an effective structure

CITIES AND ACCESSIBILITY: THE POTENTIAL FOR CARBON REDUCTIONS AND THE NEED FOR NATIONAL LEADERSHIP

This article begins by outlining the elements that should be included in the framework for understanding how people interact with their built environments. Part II describes how the framework might be made operational through the use of an emerging technique called land-use transportation scenario planning. Part III assesses how well land-use transportation scenario planning fits within the dictates and limits of U.S. transportation law. The analysis ultimately reveals that it holds substantial promise as a tool that could lead to meaningful cuts in carbon emissions

On the Ex Ante Valuation of IT Service Investments - A Decision Theoretical Perspective

The paradigm of service orientation and its incarnation in the form of service-oriented architecture (SOA) and information technology (IT) services play a crucial role in enabling companies to achieve considerable competitive advantages. However, to be able to leverage the opportunities of SOA and IT services, companies need to gain a thorough understanding of the business value of IT service investments. Nevertheless, research on IT services has focused mainly on technical questions so far; the economic perspective largely has been neglected. Therefore, the authors aim to contribute to the ex ante valuation of IT service investments from a decision theoretical point of view. Using decision theory as a theoretical base, the main aim is to identify and discuss specific challenges regarding the financial ex ante valuation of IT service investments, which arise from the inherent flexibility of IT services and the various interdependencies within a company’s IT service portfolio. The authors thereby emphasize that the application of common methods from financial theory for valuating IT service investments has to be treated with caution, as these methods are often tied to rather restrictive assumptions based on the specifics of capital markets. By analyzing different clusters of IT service investment decision problems using decision theory, the authors identify and discuss pitfalls that might occur when applying financial valuation methods to capture the flexibility and interdependencies of IT service investments. The decision theoretical considerations are intended to help build a solid basis for future multi-criteria valuation approaches, of which an essential component is a theoretically well-founded financial valuation