Analysis, classification and comparison of scheduling techniques for software transactional memories

Transactional Memory (TM) is a practical programming paradigm for developing concurrent applications. Performance is a critical factor for TM implementations, and various studies demonstrated that specialised transaction/thread scheduling support is essential for implementing performance-effective TM systems. After one decade of research, this article reviews the wide variety of scheduling techniques proposed for Software Transactional Memories. Based on peculiarities and differences of the adopted scheduling strategies, we propose a classification of the existing techniques, and we discuss the specific characteristics of each technique. Also, we analyse the results of previous evaluation and comparison studies, and we present the results of a new experimental study encompassing techniques based on different scheduling strategies. Finally, we identify potential strengths and weaknesses of the different techniques, as well as the issues that require to be further investigated

Design of Multidimensional Franchise Auctions by an Ignorant Principal

The paper’s main aim is to identify under which conditions the criterion of prior-independent optimality is applicable in the design of multidimensional franchise auctions. We first establish an impossibility result for second-score auctions by showing that in single-crossing environments necessary and sufficient condition for score functions to be optimal in this sense is that bidders have equal variable cost functions. Then we show that the result is not confined to the second-score format but holds for any scoring auction under stochastic independence. Therefore, a regulator who has no information at all about firms’ costs cannot in such circumstances avail himself of prior-independent optimality as choice criterion. Conversely, if variable cost functions are equal across potential contractors, as is likely in certain public services markets, and the regulator knows it, it is possible for him to implement a prior-independent optimum by scoring bids according to the social welfare function under various auction formats, including first- and second-score auctions. This simple prescription however no longer applies if the regulator is ignorant about market demand too. In this case a fully rational choice of the score function is precluded, though it may be possible to make a reasonable one: a brief discussion of this point closes the paper.

Low Mach number limit for the Quantum-Hydrodynamics system

In this paper we deal with the low Mach number limit for the system of quantum-hydrodynamics, far from the vortex nucleation regime. More precisely, in the framework of a periodic domain and ill-prepared initial data we prove strong convergence of the solutions towards regular solutions of the incompressible Euler system. In particular we will perform a detailed analysis of the time oscillations and of the relative entropy functional related to the system.Comment: To appear in Research in the Mathematical Science

Grid-Bootstrap Methods vs. Bayesian Analysis. Testing for Structural Breaks in the Conditional Variance of Nominal Interest Rate Spreads - Four Cases in Europe

I use numerical methods to test for the presence of one-time structural breaks in the conditional variance of nominal interest rate spreads in four European countries over a period of eleven years (Jan 1988 to Dec 1998). I start with an intuitive approach consisting of a sequence of breakpoint Chow tests performed at subsequent dates over a given subsample of the squared residuals of the autoregressions used to model the yield spreads. Results from this procedure are misleading and spurious to some extent because of the incorrect critical values produced, which make the interpretation of the test stastistics basically unreliable. I then switch to large Monte Carlo simulations and to a fixed-regressor grid-bootstrap method to derive the right critical values and refine the previous conclusions. Finally, I utilize classical Bayesian econometrics to estimate alternative models for the series of nominal spreads and to detect potential shifts in the innovation variances of the equations describing the data. Outcomes need some interpretation: in the cases of Germany and Spain a break might have occurred in 1990 and 1994 respectively, as derived from the grid bootstrap approach. Likewise, there is evidence of a shift in the case of France in 1996 according to the Bayesian techniques employed, which also validate the hypothesis of a break for Italian yield spreads in 1995.Chow Test; Classical Bayesian Analysis; Conditional Variance; Fixed-Regressor Grid-Bootstrap Method; Structural Breaks.

A model for pricing real estate derivatives with stochastic interest rates

The real estate derivatives market allows participants to manage risk and return from exposure to property, without buying or selling directly the underlying asset. Such market is growing very fast hence the need to rely on simple yet effective pricing models is very great. In order to take into account the real estate market sensitivity to the interest rate term structure in this paper is presented a two-factor model where the real estate asset value and the spot rate dynamics are jointly modeled. The pricing problem for both European and American options is then analyzed and since no closed-form solution can be found a bidimensional binomial lattice framework is adopted. The model proposed allows calibration to the interest rate and volatility term structures.