Search

High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financial models do not have a practical close form solution in which case numerical methods are the only alternative. Monte-Carlo simulation is one of most commonly used numerical methods, in scientific computing in general, with huge computation benefits in solving problems where close form solutions are impossible to derive. As the Monte-Carlo method relies on the average result of thousands of independent stochastic paths, massive parallelism can be adopted to accelerate the computation. Computer clusters with off-the-shelf accelerator hardware are increasingly being proposed as an economic high performance implementation platform for many scientific computing applications. This paper is part of this trend as it presents an implementation of a Monte-Carlo simulation engine for option pricing on an FPGA-based supercomputer, called Maxwell, developed at the University of Edinburgh. The latter consists of a 32 CPU cluster augmented with 64 Virtex-4 Xilinx FPGAs connected in a 2D torus. Our engine can implement various Monte-Carlo simulations on the Maxwell machine with speed-ups in excess of 100x compared to equivalent software implementations. This is illustrated in this paper in the context of an implementation of the GARCH option pricing model. Real hardware implementation shows that our FPGA-based implementation of the GARCH model outperforms an equivalent software implementation running on a workstation cluster with the same number of computing nodes (CPU/FPGA) by a factor of 340. [ABSTRACT FROM AUTHOR]

Background: Recent developments in psychometric modeling and technology allow pooling well-validated items from existing instruments into larger item banks and their deployment through methods of computerized adaptive testing (CAT). Use of item response theory-based bifactor methods and integrative data analysis overcomes barriers in cross-instrument comparison. This paper presents the joint calibration of an item bank for researchers keen to investigate population variations in general psychological distress (GPD).Methods: Multidimensional item response theory was used on existing health survey data from the Scottish Health Education Population Survey (n = 766) to calibrate an item bank consisting of pooled items from the short common mental disorder screen (GHQ-12) and the Affectometer-2 (a measure of "general happiness"). Computer simulation was used to evaluate usefulness and efficacy of its adaptive administration.Results: A bifactor model capturing variation across a continuum of population distress (while controlling for artefacts due to item wording) was supported. The numbers of items for different required reliabilities in adaptive administration demonstrated promising efficacy of the proposed item bank.Conclusions: Psychometric modeling of the common dimension captured by more than one instrument offers the potential of adaptive testing for GPD using individually sequenced combinations of existing survey items. The potential for linking other item sets with alternative candidate measures of positive mental health is discussed since an optimal item bank may require even more items than these. [ABSTRACT FROM AUTHOR]

In this paper, I examine the properties of the handicapping system in the UK. Using a generalized ordered logistic regression model of hole by hole scores of individuals, simulation was employed to calculate the probability of winning for an individual in stroke play and match play head to heads and also in tournament competitions with multiple entrants. The results suggest that the current handicapping system does not produce equal probabilities of players with different handicaps winning. Specifically, lower handicappers have a higher probability of winning in both stroke play and match play games. Having investigated the possibility of employing scaling factors in order to level these probabilities, I pose the question of the extent to which equal probabilities is in fact a desirable property of a handicapping system. [ABSTRACT FROM AUTHOR]

This paper describes the application of a building simulation program to construct a decision-support tool for use by policy makers addressing the needs of the Scottish domestic sector. It is argued that the generic nature of the tool renders it suitable to support the cumulative roll-out of upgrade measures in the long term, both within and outwith the UK. The tool is then used to appraise the impact of the upgrade measures that might be applied to the Scottish housing stock. [Copyright &y& Elsevier]