The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
Financial markets change precipitously, and on‐demand pricing and risk models must be constantly recalibrated to reduce risk. However, certain classes of models are computationally intensive to robustly calibrate to intraday prices – stochastic volatility models being an archetypal example due to the non‐convexity of the objective function. In order to accelerate this procedure through parallel implementation,...
Financial markets change precipitously and on-demand pricing and risk models must be constantly recalibrated to reduce risk. However, certain classes of models are computationally intensive to robustly calibrate to intraday pricesstochastic volatility models being an archetypal example due to the non-convexity of the objective function. In order to accelerate this procedure through parallel implementation,nancial...
This paper describes the acceleration of a Monte-Carlo algorithm for pricing a LIBOR swaption portfolio using multi-core CPUs and GPUs. Speedups of up to 305x are achieved on two Nvidia Tesla M2050 GPUs and up to 20.8x on two Intel Xeon E5620 CPUs, compared to a sequential CPU implementation. This performance is achieved by using the Xcelerit platform - writing sequential, high-level C++ code and...
The focus of this paper is an experimentation platform known as Iris that has a runtime reconfigurable software radio at its core. We have employed this platform to enable a wide variety of tests and experimentation in the fields of dynamic spectrum access and cognitive radio. The paper charts the progress of the Iris system since its inception as well as details of some of the experiments and trials...
Cognitive radios are a promising technology for future wireless networks due to their ability to change behaviour according to their operating context. These radios require a platform which offers high performance while also being highly reconfigurable. This paper proposes a novel design methodology, along with a flexible software/hardware system and associated high-level tools for the implementation...
Measured antenna responses, namely their beam patterns with respect to the vertical and horizontal polarizations, play a major role in realistic wireless channel modelling as well as in parameter estimation techniques. The representations commonly used suffer from drawbacks introduced by the spherical coordinate system which is affected by two knots at the poles. In general, all methods which describe...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.