NOWs (Networks of workstations) have been extensively used to execute parallel applications. Although NOWs seem to be an easy and inexpensive way of obtaining great performance, it may not always be so. When using such an environment for executing a parallel application, performance may not be as good as expected due to delays in communication. Also, the heterogeneity in communication makes it ...

The paper outlines the use of an altemative option pricing scheme to perform statistical arbitrage in derivative markets. The method links a binomial tree to an innovative stochastic volatility model that is based on wavelets and artificial neural networks. Wavelets provide a convenient signalhoise decomposition of volatility in a non-linear feature space. Neural networks are used to infer futu...

We address the problem of mapping divide-and-conquer programs to mesh connected multicomputers with wormhole or store-and-forward routing. We propose the binomial tree as an eecient model of parallel divide-and-conquer and present two mappings of the binomial tree to the 2D mesh. Our mappings exploit regularity in the communication structure of the divide-and-conquer computation and are also se...

We consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time–consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super)martingales, provide a Doob–M...

Embedding is of great importance in the applications of parallel computing. Every parallel application has its intrinsic communication pattern. The communication pattern graph is mapped onto the topology of multiprocessor structures so that the corresponding application can be executed. To increase the reliability of parallel applications, fault-tolerant embedding is necessary. In this paper, w...

Congestion cost allocation is an important issue in congestion management. This paper presents a genetic algorithm (GA) to determine the optimal generation levels in a deregulated market. The main issue is congestion in lines, which limits transfer capability of a system with available generation capacity. Nodal pricing method is used to determine locational marginal price (LMP) of each generat...

In this paper we introduce efficient parallel quadtree construction and manipulation algorithms on hypercube multiprocessors. The notion of extended binomial tree is introduced to represent the distributed quadtree structure on a hypercube. By incorporating the geometric property into the distributed quadtree structure, we devise a data assignment scheme which satisfies the multi-level adjacenc...

Binomial trees are widely used for both financial and real option pricing due to their ease of use, versatility and precision. However, the classic approach developed by Cox, Ross, and Rubinstein (1979) applies only to a Geometric Brownian Motion diffusion processes, limiting the modeling choices. Nelson and Ramaswamy (1990) provided a general method to construct recombining binomial lattices w...

Advanced melanoma is a life-threatening cancer with limited life expectancy. The recent introduction of new targeted systemic therapies has provided clinicians with the means to potentially extend survival for the first time. However, the chance of cure remains very low and treatment-induced toxicity is well described. This qualitative study was undertaken to evaluate clinicians' assessment reg...

The security dynamics described by the Black-Scholes equation with price-dependent variance can be approximated as a damped discrete-time hopping process on a recombining binomial tree. In a previous working paper, such a nonuniform tree was explicitly constructed in terms of the continuous-time variance. The present note outlines how the previous procedure could be extended to multifactor Blac...