Related papers: Parallel Binomial American Option Pricing with (an…
We present the Cuckoo Trie, a fast, memory-efficient ordered index structure. The Cuckoo Trie is designed to have memory-level parallelism -- which a modern out-of-order processor can exploit to execute DRAM accesses in parallel -- without…
A method for pricing and superhedging European options under proportional transaction costs based on linear vector optimisation and geometric duality developed by Lohne & Rudloff (2014) is compared to a special case of the algorithms for…
Researchers working on the automatic parallelization of programs have long known that too much parallelism can be even worse for performance than too little, because spawning a task to be run on another CPU incurs overheads.…
Approximate Bayesian Computation (ABC) is a widely applicable and popular approach to estimating unknown parameters of mechanistic models. As ABC analyses are computationally expensive, parallelization on high-performance infrastructure is…
We present a multigrid iterative algorithm for solving a system of coupled free boundary problems for pricing American put options with regime-switching. The algorithm is based on our recently developed compact finite difference scheme…
We consider a dynamic system with multiple types of customers and servers. Each type of waiting customer or server joins a separate queue, forming a bipartite graph with customer-side queues and server-side queues. The platform can match…
We propose a sequential minimal optimization method for quantum-classical hybrid algorithms, which converges faster, is robust against statistical error, and is hyperparameter-free. Specifically, the optimization problem of the…
In this paper we study a single machine scheduling problem with the objective of minimizing the sum of completion times. Each of the given jobs is either short or long. However the processing times are initially hidden to the algorithm, but…
Sorting is one of the most fundamental problems in the field of computer science. With the rapid development of manycore processors, it shows great importance to design efficient parallel sort algorithm on manycore architecture. This paper…
We discuss how string sorting algorithms can be parallelized on modern multi-core shared memory machines. As a synthesis of the best sequential string sorting algorithms and successful parallel sorting algorithms for atomic objects, we…
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…
This paper introduces a semi-analytical method for pricing American options on assets (stocks, ETFs) that pay discrete and/or continuous dividends. The problem is notoriously complex because discrete dividends create abrupt price drops and…
A* is a best-first search algorithm for finding optimal-cost paths in graphs. A* benefits significantly from parallelism because in many applications, A* is limited by memory usage, so distributed memory implementations of A* that use all…
We present a novel, highly efficient algorithm to parallelize O(N^2) direct summation method for N-body problems with individual timesteps on distributed-memory parallel machines such as Beowulf clusters. Previously known algorithms, in…
A dominant cost for query evaluation in modern massively distributed systems is the number of communication rounds. For this reason, there is a growing interest in single-round multiway join algorithms where data is first reshuffled over…
Transactional memory (TM) is a convenient synchronization tool that allows concurrent threads to declare sequences of instructions on shared data as speculative \emph{transactions} with "all-or-nothing" semantics. It is known that dynamic…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
Finite-state transducers (FSTs) are frequently used in speech recognition. Transducer composition is an essential operation for combining different sources of information at different granularities. However, composition is also one of the…
An optimal solution to the problem of scheduling real-time tasks on a set of identical processors is derived. The described approach is based on solving an equivalent uniprocessor real-time scheduling problem. Although there are other…
We present the method of moments approach to pricing barrier-type options when the underlying is modelled by a general class of jump diffusions. By general principles the option prices are linked to certain infinite dimensional linear…