BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems

In the recent project BENCHOP–the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark problems for this type of problems. Eight different methods targeted for the Stochastic Differential Equation (SDE) formulation and the Partial Differential Equation (PDE) formulation of the problem, as well as Fourier methods making use of the characteristic function, were implemented to solve these problems. Comparisons are made with respect to time to reach a certain error level in the computed solution for the different methods. The implemented Fourier method was superior to all others for the two problems where it was implemented. Generally, methods targeting the PDE formulation of the problem outperformed the methods for the SDE formulation. Among the methods for the PDE formulation the ADI method stood out as the best performing one

BENCHOP - The BENCHmarking project in Option Pricing

The aim of the BENCHOP project is to provide the finance community with a common suite of benchmark problems for option pricing. We provide a detailed description of the six benchmark problems together with methods to compute reference solutions. We have implemented fifteen different numerical methods for these problems, and compare their relative performance. All implementations are available on line and can be used for future development and comparison

Swedish manufacturing practices towards a sustainability transition in industry 4.0: A resilience perspective

The Swedish strategic innovation programme, Produktion2030, is a national long-term effort towards global industrial competitiveness addressing Swedish industry’s transition towards climate goals of the European Green Deal while simultaneously realising smart manufacturing and Industry 4.0 (I4.0). This paper investigated the extent of sustainability implementation and implications of I4.0 technologies through a nation-wide quantitative survey in Produktion2030’s 113 collaborative research projects. The analysis showed that 71% of the assessed projects included environmental aspects, 60% social aspects, and 45% Circular Economy (CE) aspects. Further, 65% of the projects implemented I4.0 technologies to increase overall sustainability. The survey results were compared with literature to understand how I4.0 opportunities helped derive sustainability and CE benefits. This detailed mapping of the results along with eight semi-structured interviews revealed that a majority of the projects implemented I4.0 technologies to improve resource efficiency, reduce waste in operations and incorporate CE practices in business models. The results also showed that Swedish manufacturing is progressing in the right direction of sustainability transition by deriving key resilience capabilities from I4.0-based enablers. Industries should actively adopt these capabilities to address the increasingly challenging and unpredictable sustainability issues arising in the world and for a successful transition towards sustainable manufacturing in a digital future