This paper explores the use of a direct solver for the problem of pricing American options. We demonstrate with some examples the performance variations vs other common methods. Source code for the direct solver is made available.
Describes methods for solving a generalized version of the Feynman-Kac partial differential equation that can be used in many financial modeling applications, including Black-Scholes models.
This article from Blue Reference, Inc. describes how R&D scientists tasked with implementing Quality by Design practices for a pharmaceutical manufacturer perform complex analysis of manufacturing data.
Explore les avantages de la plateforme .NET pour l’analyse numérique et propose de nombreuses astuces pour l’amélioration des performances des applications .NET.
Describes the development of modules for teaching a senior-level course, Mechanical Behavior of Materials, that incorporate the results of state-of-the-art simulation techniques.
Outlines three successful approaches taken by software development companies across a variety of industries to embed advanced analytics into their products.
Describes how to integrate third-party data mining algorithms into the Microsoft SQL Server Analysis Services (SSAS) using the IMSL C# Numerical Library Cluster K-means algorithm as an example.
Describes using the IMSL Libraries with four different scripting environments: IronPython, Jython, F# and Groovy. The traditional Python environment and Ruby are discussed as well.
Describes high-performance parallel implementations of the LU, QR, and Cholesky factorizations and their associated solvers in double precision and double precision complex for the IBM SP-2.
Provides a case study of how the University of Goettingen, Germany uses PV-WAVE as part of an image processing application for high resolution solar image data.
Presents software that was developed using PV-WAVE and IBM Data Explorer for analyzing 2-D and 3-D tomographic images of oil well cores in support of petrophysical and reservoir analysis.
Examines the capabilities of a sensor response model to evaluate object sighting measurement accuracy by implementing a selected candidate sensor design and signal/image processing technique.
Describes how, in partnership with the National Computational Science Alliance (NCSA), Virginia Tech has built a Visualization Laboratory capable of performing scientific visual data analysis of volumetric, three-dimensional data.
