Smoking Adjoints: fast evaluation of Greeks in Monte Carlo calculations

This paper presents an adjoint method to accelerate the calculation of Greeks by Monte Carlo simulation. The method calculates price sensitivities along each path; but in contrast to a forward pathwise calculation, it works backward recursively using adjoint variables. Along each path, the forward and adjoint implementations produce the same values, but the adjoint method rearranges the calculations to generate potential computational savings. The adjoint method outperforms a forward implementation in calculating the sensitivities of a small number of outputs to a large number of inputs. This applies, for example, in estimating the sensitivities of an interest rate derivatives book to multiple points along an initial forward curve or the sensitivities of an equity derivatives book to multiple points on a volatility surface. We illustrate the application of the method in the setting of the LIBOR market model. Numerical results confirm that the computational advantage of the adjoint method grows in proportion to the number of initial forward rates

Document Archiving, Replication and Migration Container for Mobile Web Users

With the increasing use of mobile workstations for a wide variety of tasks and associated information needs, and with many variations of available networks, access to data becomes a prime consideration. This paper discusses issues of workstation mobility and proposes a solution wherein the data structures are accessed in an encapsulated form - through the Portable File System (PFS) wrapper. The paper discusses an implementation of the Portable File System, highlighting the architecture and commenting upon performance of an experimental system. Although investigations have been focused upon mobile access of WWW documents, this technique could be applied to any mobile data access situation.Comment: 5 page

The chaos machine: analogue computing rediscovered (1)

Analogue computers provide actual rather than virtual representations of model systems. They are powerful and engaging computing machines that are cheap and simple to build. This two-part Retronics article helps you build (and understand!) your own analogue computer to simulate the Lorenz butterfly that's become iconic for Chaos theory

Educational psychologists’ responses to a post-16 service user film on their practice: a participatory research project

A film was made by a group of young people (YP) which aimed to inform educational psychologists (EPs) about how they would like EPs to work with them. A participatory research project was established with the YP which aimed to find out EPs’ views on the film through two focus groups. EPs responded positively to the film; they valued hearing from YP and expressed feelings including pride and guilt . Interest was shown in plans for the distribution of the film and critical reflections on the representativeness of the film were made. Findings are discussed in relation to the current context for EP work in which there is a focus on gaining the voice of children and YP and on improving services through service-user feedback. The authors reflect on the strengths and limitations of using a participatory approach, considering challenges regarding methodological rigour and the opportunity research poses for widening participation

Participatory Research Approaches in Educational Psychology Training and Practice

This article has two aims; to introduce participatory research approaches with children and young people, and to consider such approaches within Educational Psychology training, practice and research. A range of ways of conceptualising and approaching participatory research are explored. Models applied to researching with children and young people specifically are then explained. A critical analysis of participatory research methods is offered, outlining power-related criticisms, ethical considerations and practical issues. The focus then turns to Educational Psychology, looking at applications of such approaches in researching with children and young people, the group that EPs work with predominantly. It is proposed that participatory research methods are highly relevant to the profession, both in training of educational psychologists (EPs) and for practising psychologists. This is set in the context of the Doctorate in Educational and Child Psychology at the University of East London. It is suggested that Educational Psychology research should take an increasingly participatory focus

Fat vs. thin threading approach on GPUs: application to stochastic simulation of chemical reactions

We explore two different threading approaches on a graphics processing unit (GPU) exploiting two different characteristics of the current GPU architecture. The fat thread approach tries to minimise data access time by relying on shared memory and registers potentially sacrificing parallelism. The thin thread approach maximises parallelism and tries to hide access latencies. We apply these two approaches to the parallel stochastic simulation of chemical reaction systems using the stochastic simulation algorithm (SSA) by Gillespie (J. Phys. Chem, Vol. 81, p. 2340-2361, 1977). In these cases, the proposed thin thread approach shows comparable performance while eliminating the limitation of the reaction system’s size