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Option pricing, maturity randomization and distributed computing

PARALLEL computing 2010年第7期36卷 403-414页

作者： Fusai, Gianluca Marazzina, Daniele Marena, Marina Politecn Milan Dept Math F Brioschi I-20133 Milan Italy Univ Piemonte Orientale Dept Econ Sci & Quantitat Methods SEMeQ Novara Italy Univ Turin Dept Stat & Appl Math D De Castro Turin Italy

We price discretely monitored options when the underlying evolves according to different exponential Levy processes. By geometric randomization of the option maturity, we transform the n-steps backward recursion that arises in option pricing into an integral equation. The option price is then obtained solving n independent integral equations by a suitable quadrature method. Since the integral equations are mutually independent, we can exploit the potentiality of a grid computing architecture. The primary performance disadvantage of grids is the slow communication speeds between nodes. However, our algorithm is well-suited for grid computing since the integral equations can be solved in parallel, without the need to communicate intermediate results between processors. Moreover, numerical experiments on a cluster architecture show the good scalability properties of our algorithm. (C) 2010 Elsevier B.V. All rights reserved.

关键词： Discrete monitoring grid computing Integral equations Levy processes Option pricing

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The research of tele-education system frame based on pervasive environment

The research of tele-education system frame based on pervasi...

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1st international symposium on Pervasive computing and Applications

作者： Xie, Xiaolan Niu, Qinzhou Li, Jiantao Guilin Univ Technol Dept Elect & Comp Sci Guilin Peoples R China Xidian Univ Sch Mechano Elect Xian Peoples R China

ISBN: (纸本)1424403251

Pervasive computing, as one of the real "big definition" in information technology, has basically changed people's thinking towards information technology and the way we live and work, and the Internet revolution resulted from a grid will change the setup of the whole computer area. This article introduces the definitions, the technology characteristics of pervasive computing technology and network technology and the relationships between the two. In order to solve the disadvantages of the present tele-education system, with the help of grid and pervasive computing technology, this article builds a real-time distance education system framework (PETF), and describes the achieved functions and features of this framework.

关键词： pervasive computing PETF grid tele-education

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Influences of grid on socializing web

Influences of grid on socializing web

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1st international symposium on Pervasive computing and Applications

作者： Zhang, Rong Guo, Lijun NingBo Univ Fac Informat Sci & Technol Ningbo 315211 Zhejing Peoples R China

ISBN: (纸本)1424403251

This paper was paying attention to two existing problems in Web socialization. On one hand, the web with scattered resources cannot provide a healthy and safe information channel for learners;on the other hand, the present web does not provide an effective tool to establish a "Virtual individual" in the socializing web. This paper suggested the influences of grid technology on the model of accessing web resources, filtering information and establishing a "virtual individual" along with realizing "higher-level" resource sharing and integrative services. At last, this paper indicated that the development of the grid technology provide support for improving the web social system and creating better web-based education environment.

关键词： grid socialization Internet

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Research of trust model based on autonomous domain

Research of trust model based on autonomous domain

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1st international symposium on Pervasive computing and Applications

作者： Zhang, Yanqun Wang, Qianping Zhang, Chen China Univ Min & Technol Sch Comp Sci & Technol Beijing Peoples R China

ISBN: (纸本)1424403251

In order to resolve the security problems due to the dynamics and uncertainty of grid environment, a trust model based on autonomous domain is developed in this paper, it discriminates the trust relationships between entities in the same autonomous domain and in different domains and handles the two different trust relationships in different approaches. By doing this, the trust relationships between entities can be evaluated more precisely, thus can resolve security problems exist in grid environment more effectively, which can be verified by simulated experiments.

关键词： grid trust model autonomous domain trust relationship

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Platform calibration for load balancing of large simulations: TLM case 14

Platform calibration for load balancing of large simulations...

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14th ieee/ACM international symposium on cluster, Cloud and grid computing (CCgrid)

作者： Ruiz, Cristian Alexandru, Mihai Richard, Olivier Monteil, Thierry Aubert, Herve INRIA MESCAL LIG F-38330 Monbonnot St Martin France CNRS LAAS F-31400 Toulouse France Univ Toulouse INP INSA LAAS F-31400 Toulouse France

ISBN: (纸本)9781479927845

The heterogeneous nature of distributed platforms such as computational grids is one of the main barriers to effectively deploy tightly-coupled applications. For those applications, one common problem that appears due to the hardware heterogeneity is the load imbalance which slows down the application to the pace of the slower processor. One solution is to distribute the load adequately taking into account hardware capacities. To do so, an estimation of the hardware capacities for running the application has to be obtained. In this paper, we present a static load balancing for iterative tightly-coupled applications based on a profile prediction model. This technique is presented as a successful example of the interaction between experiment management tools and parallel applications. The experiment management tool Expo is used that enabled to: (1) provide a general, lightweight and descriptive way to capture the tuning and deployment of a parallel application in a computing infrastructure, (2) perform the tuning of the application efficiently in terms of human effort and resources needed. This paper reports the costs for carrying out the tuning of a large electromagnetic simulation based on TLM for the platform grid' 5000 and the improvements obtained on the total execution time of the application.

关键词： Load balancing Experiment methodology Large scale system grid computing High performance computing Transmission-line matrix methods

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The design of data mining metadata web service architecture based on JDM in grid environment

The design of data mining metadata web service architecture ...

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1st international symposium on Pervasive computing and Applications

作者： Chen, Ping Wang, Bai Xu, Liutong Wu, Bin Zhou, Guiling Beijing Univ Posts & Telecommun Beijing Key Lab Intellignent Telecommun Software Sch Comp Sci & Technol Beijing 100876 Peoples R China

ISBN: (纸本)1424403251

To facilitate the exchange of models and information in distributed data mining on the grid, data mining metadata services are introduced into the Data Mining grid (DMG). A mechanism for metadata web services based on JDM is explained. An architecture of data mining metadata web service based on JDM is designed. And a typical case of data mining web service is also studied and realized.

关键词： data minig grid metadata web service architecture JDM

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The improvement of a task scheduling algorithm in grid computing

The improvement of a task scheduling algorithm in grid compu...

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1st international symposium on Data, Privacy, and E-Commerce, ISDPE 2007

作者： Yu, Liang Zhou, Jiliu College of Computer Science Sichuan University Chengdu 610065 China

ISBN: (纸本)0769530168

Algorithm research of task scheduling is one of the key techniques in grid computing. This paper firstly describes a DAG task scheduling model used in grid computing environment, secondly discusses generational scheduling (GS) and communication inclusion generational scheduling (CIGS) algorithms. Finally, an improved CIGS algorithm is proposed to use in grid computing environment, and it has been proved effectively. © 2007 ieee.

关键词： grid computing

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SDCS: Simplified data communications in parallel/distributed applications 06

SDCS: Simplified data communications in parallel/distributed...

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6th ieee international symposium on cluster computing and the grid (CCgrid 2006)

作者： Mao, Yong Gu, Yunhong Chen, Jia Grossman, Robert L. Univ Illinois Lab Adv Comp 601 S Morgan St Chicago IL 60607 USA

ISBN: (纸本)0769525857

This paper presents SDCS (Simple Data Communication and Sharing), a programming model for data communications in parallel/distributed applications. With SDCS, developers can define data communications in shared memory style and have the model translate the declarations into corresponding message passing code. The translation from data sharing declarations to message passing code is based on simple mapping rules to lower runtime overhead and increase understandability of the model. Some frequently seen data communication modes are well supported to enhance its usability. SDCS can effectively reduce the difficulty in programming process communications.(1)

关键词： Data communication Message passing Runtime Parallel programming Usability Application software Computer languages Laboratories Concurrent computing Distributed computing

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DocLite: A Docker-Based Lightweight Cloud Benchmarking Tool 16

DocLite: A Docker-Based Lightweight Cloud Benchmarking Tool

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16th ieee/ACM international symposium on cluster, Cloud and grid computing (CCgrid)

作者： Varghese, Blesson Subba, Lawan Thamsuhang Thai, Long Barker, Adam Queens Univ Belfast Sch EEECS Belfast BT7 1NN Antrim North Ireland Aalborg Univ Dept Comp Sci Aalborg Denmark Univ St Andrews Sch Comp Sci St Andrews KY16 9AJ Fife Scotland

ISBN: (纸本)9781509024537

Existing benchmarking methods are time consuming processes as they typically benchmark the entire Virtual Machine (VM) in order to generate accurate performance data, making them less suitable for real-time analytics. The research in this paper is aimed to surmount the above challenge by presenting DocLite - Docker Container-based Lightweight benchmarking tool. DocLite explores lightweight cloud benchmarking methods for rapidly executing benchmarks in near real-time. DocLite is built on the Docker container technology, which allows a user-defined memory size and number of CPU cores of the VM to be benchmarked. The tool incorporates two benchmarking methods - the first referred to as the native method employs containers to benchmark a small portion of the VM and generate performance ranks, and the second uses historic benchmark data along with the native method as a hybrid to generate VM ranks. The proposed methods are evaluated on three use-cases and are observed to be up to 91 times faster than benchmarking the entire VM. In both methods, small containers provide the same quality of rankings as a large container. The native method generates ranks with over 90% and 86% accuracy for sequential and parallel execution of an application compared against benchmarking the whole VM. The hybrid method did not improve the quality of the rankings significantly.

关键词： lightweight benchmark Docker cloud benchmarking containers hybrid benchmark

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A novel auction-based grid resource allocation algrithm

A novel auction-based grid resource allocation algrithm

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1st international symposium on Pervasive computing and Applications

作者： Zhao, Jian Chen, Donge Tian, Zhimin Zhai, Zhengli Tianjin Univ Tianjin 300072 Peoples R China Hebei Univ Econ & Business Ctr Comp Shjiazhuang Peoples R China Univ Sci & Technol Beijing Sch Informat Engn Beijing Peoples R China

ISBN: (纸本)1424403251

In grid computing, auction mechanisms have become a very important method in order to solve distributed scheduling problem. In this paper, we use the average budget formula to express the user preference. Meanwhile, we introduce the risk factor in utility function for improving the transaction successful rate. Our model has improved the resource allocation algorithm convergence by controlling the agent budget and risk. At last, we illustrate that our auction model can get very good results.

关键词： grid computing resource allocation auction mechanism preference risk factor

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