A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our algorithm based on Gobet and Labart (2010) exploits the link between BSDEs and non linear partial differential equations (PDEs in short) and hence enables to solve high dimensional non linear PDEs. In this work, we apply it to the pricing and hedging of American options in high dimensional local volatility models, which remains very computationally demanding. We have tested our algorithm up to dimension 10 on a cluster of 512 CPUs and we obtained linear speedups which proves the scalability of our implementationComment: 25 page

A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our algorithm based on Gobet and Labart (2010) exploits the link between BSDEs and non linear partial differential equations (PDEs in short) and hence enables to solve high dimensional non linear PDEs. In this work, we apply it to the pricing and hedging of American options in high dimensional local volatility models, which remains very computationally demanding. We have tested our algorithm up to dimension 10 on a cluster of 512 CPUs and we obtained linear speedups which proves the scalability of our implementationbackward stochastic differential equations, parallel computing, Monte- Carlo methods, non linear PDE, American options, local volatility model.

Convenient Multiple Directions of Stratification

This paper investigates the use of multiple directions of stratification as a variance reduction technique for Monte Carlo simulations of path-dependent options driven by Gaussian vectors. The precision of the method depends on the choice of the directions of stratification and the allocation rule within each strata. Several choices have been proposed but, even if they provide variance reduction, their implementation is computationally intensive and not applicable to realistic payoffs, in particular not to Asian options with barrier. Moreover, all these previously published methods employ orthogonal directions for multiple stratification. In this work we investigate the use of algorithms producing convenient directions, generally non-orthogonal, combining a lower computational cost with a comparable variance reduction. In addition, we study the accuracy of optimal allocation in terms of variance reduction compared to the Latin Hypercube Sampling. We consider the directions obtained by the Linear Transformation and the Principal Component Analysis. We introduce a new procedure based on the Linear Approximation of the explained variance of the payoff using the law of total variance. In addition, we exhibit a novel algorithm that permits to correctly generate normal vectors stratified along non-orthogonal directions. Finally, we illustrate the efficiency of these algorithms in the computation of the price of different path-dependent options with and without barriers in the Black-Scholes and in the Cox-Ingersoll-Ross markets.Comment: 21 pages, 11 table

Scheduling of data-intensive workloads in a brokered virtualized environment

Providing performance predictability guarantees is increasingly important in cloud platforms, especially for data-intensive applications, for which performance depends greatly on the available rates of data transfer between the various computing/storage hosts underlying the virtualized resources assigned to the application. With the increased prevalence of brokerage services in cloud platforms, there is a need for resource management solutions that consider the brokered nature of these workloads, as well as the special demands of their intra-dependent components. In this paper, we present an offline mechanism for scheduling batches of brokered data-intensive workloads, which can be extended to an online setting. The objective of the mechanism is to decide on a packing of the workloads in a batch that minimizes the broker's incurred costs, Moreover, considering the brokered nature of such workloads, we define a payment model that provides incentives to these workloads to be scheduled as part of a batch, which we analyze theoretically. Finally, we evaluate the proposed scheduling algorithm, and exemplify the fairness of the payment model in practical settings via trace-based experiments

Collocation Games and Their Application to Distributed Resource Management

We introduce Collocation Games as the basis of a general framework for modeling, analyzing, and facilitating the interactions between the various stakeholders in distributed systems in general, and in cloud computing environments in particular. Cloud computing enables fixed-capacity (processing, communication, and storage) resources to be offered by infrastructure providers as commodities for sale at a fixed cost in an open marketplace to independent, rational parties (players) interested in setting up their own applications over the Internet. Virtualization technologies enable the partitioning of such fixed-capacity resources so as to allow each player to dynamically acquire appropriate fractions of the resources for unencumbered use. In such a paradigm, the resource management problem reduces to that of partitioning the entire set of applications (players) into subsets, each of which is assigned to fixed-capacity cloud resources. If the infrastructure and the various applications are under a single administrative domain, this partitioning reduces to an optimization problem whose objective is to minimize the overall deployment cost. In a marketplace, in which the infrastructure provider is interested in maximizing its own profit, and in which each player is interested in minimizing its own cost, it should be evident that a global optimization is precisely the wrong framework. Rather, in this paper we use a game-theoretic framework in which the assignment of players to fixed-capacity resources is the outcome of a strategic "Collocation Game". Although we show that determining the existence of an equilibrium for collocation games in general is NP-hard, we present a number of simplified, practically-motivated variants of the collocation game for which we establish convergence to a Nash Equilibrium, and for which we derive convergence and price of anarchy bounds. In addition to these analytical results, we present an experimental evaluation of implementations of some of these variants for cloud infrastructures consisting of a collection of multidimensional resources of homogeneous or heterogeneous capacities. Experimental results using trace-driven simulations and synthetically generated datasets corroborate our analytical results and also illustrate how collocation games offer a feasible distributed resource management alternative for autonomic/self-organizing systems, in which the adoption of a global optimization approach (centralized or distributed) would be neither practical nor justifiable.NSF (CCF-0820138, CSR-0720604, EFRI-0735974, CNS-0524477, CNS-052016, CCR-0635102); Universidad Pontificia Bolivariana; COLCIENCIAS–Instituto Colombiano para el Desarrollo de la Ciencia y la Tecnología "Francisco José de Caldas

Electrical power grid network optimisation by evolutionary computing

A major factor in the consideration of an electrical power network of the scale of a national grid is the calculation of power flow and in particular, optimal power flow. This paper considers such a network, in which distributed generation is used, and examines how the network can be optimized, in terms of transmission line capacity, in order to obtain optimal or at least high-performing configurations, using multi-objective optimisation by evolutionary computing methods

Brook Auto: High-Level Certification-Friendly Programming for GPU-powered Automotive Systems

Modern automotive systems require increased performance to implement Advanced Driving Assistance Systems (ADAS). GPU-powered platforms are promising candidates for such computational tasks, however current low-level programming models challenge the accelerator software certification process, while they limit the hardware selection to a fraction of the available platforms. In this paper we present Brook Auto, a high-level programming language for automotive GPU systems which removes these limitations. We describe the challenges and solutions we faced in its implementation, as well as a complete evaluation in terms of performance and productivity, which shows the effectiveness of our method.This work has been partially supported by the Spanish Ministry of Science and Innovation under grant TIN2015-65316-P and the HiPEAC Network of Excellence.Peer ReviewedPostprint (author's final draft