American option pricing, stochastic volatility, finite difference method, multigrid, strike\-price related transformation, adaptive time\-stepping

Clarke, Nigel and Parrott, Kevin (1999) Multigrid for American option pricing with stochastic volatility. Applied Mathematical Finance, 6 (3). pp. 177-195. ISSN 1350-486X (Print), 1466-4313 (Online) (doi:10.1080/135048699334528)

Maxwell's equations, edge elements, dispersion relations, tetrahedral meshes

Monk, Peter and Parrott, Kevin (2001) Phase-accuracy comparisons and improved far-field estimates for 3-D edge elements on tetrahedral meshes. Journal of Computational Physics, 170 (2). pp. 614-641. ISSN 0021-9991 (doi:10.1006/jcph.2001.6753)

Variable Frequency Microwave (VFM) system, cure process, thermosetting polymer, encapsulant, thermal stresses, numerical analysis

Tilford, T., Sinclair, K.I., Goussetis, G., Bailey, C. ORCID: https://orcid.org/0000-0002-9438-3879, Desmulliez, M.P.Y., Parrott, A.K. and Sangster, A.J. (2008) Numerical analysis of thermal stresses induced during VFM encapsulant curing. In: 31st International Spring Seminar on Electronics Technology, 2008. ISSE '08. Institute of Electrical and Electronics Engineers, Inc., Piscataway, NJ, USA, pp. 348-353. ISBN 978-1-4244-3972-0 (doi:10.1109/ISSE.2008.5276666)

Xen, virtualization, grid, pilot jobs, HPC, cloud, cluster, credit scheduler, ATLAS

Khalid, Omer, Maljevic, Ivo, Anthony, Richard, Petridis, Miltos, Parrott, Kevin and Schulz, Markus (2009) Dynamic scheduling of virtual machines running HPC workloads in scientific grids. 3rd International Conference on New Technologies, Mobility and Security, NTMS 2009. IEEE Computer Society, Piscataway, NJ USA. ISBN 97814244 6273 5 (doi:10.1109/NTMS.2009.5384725)

Khalid, Omer, Anthony, Richard, Nilsson, Paul, Keahey, Kate, Schulz, Markus, Parrott, Kevin and Petridis, Miltos (2009) Enabling and optimizing pilot jobs using xen based virtual machines for the HPC grid applications. In: Virtualization technologies in distributed computing. ACM, New York, NY, USA, pp. 1-8. ISBN 9781605585802 (doi:10.1145/1555336.1555338)

Xen, virtualization, grid, pilot jobs, HPC, cloud, job scheduling, ATLAS

Khalid, Omer, Maljevic, Ivo, Anthony, Richard, Petridis, Miltos, Parrott, Kevin and Schulz, Markus (2010) Deadline aware virtual machine scheduler for grid and cloud computing. In: Proceedings: 24th IEEE International Conference on Advanced Information Networking and Applications Workshops WAINA 2010. IEEE Computer Society, Conference Publications Services, Los Alamitos, CA, USA, pp. 85-90. ISBN 978 0 7695 4019 1 (doi:10.1109/WAINA.2010.107)

assembly, curing, dielectric losses, dielectric materials, electromagnetic heating, microwave devices, microwave ovens, packaging, polymers, waveguide components

Sinclair, Keith I., Goussetis, George, Desmulliez, Marc P.Y., Sangster, Alan J., Tilford, Tim, Bailey, Chris ORCID: https://orcid.org/0000-0002-9438-3879 and Parrott, Kevin (2009) Polymer curing within an optimised open-ended microwave oven. In: European Microwave Week 2008, “Bridging Gaps”, Conference Proceedings,. Institute of Electrical and Electronics Engineers, Inc., Piscataway, N.J., USA, pp. 17-20. ISBN 978-2874870064 (doi:10.1109/EUMC.2008.4751375)

computational complexity, computational linguistics, computer simulation, finite element method, magnetoelectric effects, mathematical models, bulk synchronous parallel (BSP) computation model, geometric mesh partitioning methods, Parallel processing systems

Dracopoulos, Mike C., Glasgow, Craig, Parrott, A. Kevin, Janssen, Rick, Alotto, Pergiorgio and Simkin, John (1997) Bulk synchronous parallelization of industrial electromagentic software. International Journal of High Performance Computing Applications, 11 (4). pp. 344-358. ISSN 1078-3482 (Print), 1741-2846 (Online) (doi:10.1177/109434209701100408)

electromagnetic finite codes, parallel architectures

Dracopoulos, M., Parrott, K., Molinari, G., Nervi, M. and Simkin, J. (1997) Results of parallelisation of existing electromagnetic finite codes on some different parallel architectures. Applied Computational Electromagnetics Society Journal, 12 (2). pp. 107-112. ISSN 1054-4887

finite element methods, electromagnetic simulation software, parallel algorithms, high performance computing

Janssen, R., Dracopoulos, M., Parrott, K., Slessor, E., Alotto, P., Molfino, P., Nervi, M. and Simkin, J. (1998) Parallelisation of electromagnetic simulation codes. IEEE Transactions on Magnetics, 34 (5). pp. 3423-3426. ISSN 0018-9464 (doi:10.1109/20.717806)

heating, microwave curing, resonant cavity, waveguide resonator

Sinclair, K.I., Goussetis, G., Desmulliez, M.P.Y., Sangster, A.J., Tilford, T. ORCID: https://orcid.org/0000-0001-8307-6403, Bailey, C. ORCID: https://orcid.org/0000-0002-9438-3879 and Parrott, A.K. (2008) Optimization of an open-ended microwave oven for microelectronics packaging. IEEE Transactions on Microwave Theory and Techniques, 56 (11). pp. 2635-2641. ISSN 0018-9480 (doi:10.1109/TMTT.2008.2005925)

microwave cooking, porous media heat transfer, coupled solvers

Dinčov, Duško D., Parrott, Kevin A. and Pericleous, Koulis A. ORCID: https://orcid.org/0000-0002-7426-9999 (2002) Coupled 3-D finite difference time domain and finite volume methods for solving microwave heating in porous media. In: Sloot, Peter A., Hoekstra, Alfons G., Tan, C.J. Kenneth and Dongarra, Jack J., (eds.) Computational Science - ICCS 2002: International Conference Amsterdam, The Netherlands, April 21–24, 2002 Proceedings. Lecture Notes in Computer Science, I (2329). Springer-Verlag, Berlin, Heidelberg, Germany, pp. 813-822. ISBN 9783540435914 (doi:10.1007/3-540-46043-8_82)

microwave heating, porous media, two-phase flow, Maxwell's equations

Dinčov, D.D., Parrott, K.A. and Pericleous, K.A. ORCID: https://orcid.org/0000-0002-7426-9999 (2004) Heat and mass transfer in two-phase porous materials under intensive microwave heating. Journal of Food Engineering, 65 (2). pp. 403-412. ISSN 0260-8774 (doi:10.1016/j.jfoodeng.2004.02.011)

microwaves, porous materials, electromagnetic radiation

Dinčov, D.D., Parrott, K.A. and Pericleous, K.A. ORCID: https://orcid.org/0000-0002-7426-9999 (2004) A new computational approach to microwave heating of two-phase porous materials. International Journal of Numerical Methods for Heat & Fluid Flow, 14 (6). pp. 783-802. ISSN 0961-5539 (doi:10.1108/09615530410544319)

multi-objective optimisation, algorithm, evolutionary

Bradshaw, Noel-Ann, Walshaw, Chris ORCID: https://orcid.org/0000-0003-0253-7779, Ierotheou, Constantinos and Parrott, A. Kevin (2009) A multi-objective evolutionary algorithm for portfolio optimisation. In: Proceedings from Artificial Intelligence and Simulation of Behaviour Symposium 2009 on Evolutionary Systems. The Society for the Study of Artificial Intelligence and Simulation of Behaviour, London, UK, pp. 27-32. ISBN 1902956761

multiphysics analysis, coupled solution, microwave processing

Tilford, T., Parrott, A.K., Bailey, C. ORCID: https://orcid.org/0000-0002-9438-3879 and Pericleous, K.A. ORCID: https://orcid.org/0000-0002-7426-9999 (2008) Multiphysics simulation of microwave processing using a multidomain coupled solver approach. In: 8th World Congress on Computational Mechanics (WCCM8) and 5th European Congress on Computational Methods in Applied Sciences and Engineering (ECCOMAS 2008). International Center for Numerical Methods in Engineering (CIMNE), Barcelona, Spain. ISBN 978-84-96736-55-9

numerical simulation, encapsulant curing, Variable Frequency Microwave (VFM) system

Tilford, T., Sinclair, K.I., Goussetis, G., Bailey, C. ORCID: https://orcid.org/0000-0002-9438-3879, Desmulliez, M.P.Y., Parrott, A.K. and Sangster, A.J. (2008) Numerical simulation of encapsulant curing within a variable frequency microwave processing system. In: Thermal, Mechanical and Multi-Physics Simulation and Experiments in Microelectronics and Micro-Systems, 2008. EuroSimE 2008. International Conference on. Institute of Electrical and Electronics Engineers, Inc., Piscataway, NJ, USA, pp. 447-454. ISBN 978-1-4244-2127-5 (doi:10.1109/ESIME.2008.4525086)

open-ended waveguide cavity oven, curing, radio frequency (RF) curing, variable frequency microwave (VFM) heating, encapsulant, packaging

Sinclair, K.I., Tilford, T., Desmulliez, M.Y.P., Goussetis, G., Bailey, C. ORCID: https://orcid.org/0000-0002-9438-3879, Parrott, K. and Sangster, A.J. (2008) Open ended microwave oven for packaging. In: Symposium on Design, Test, Integration and Packaging of MEMS/MOEMS, 2008 (MEMS/MOEMS 2008). Institute of Electrical and Electronics Engineers, Inc., Piscataway, NJ, USA, pp. 16-20. ISBN 978-2-3550-0006-5 (doi:10.1109/DTIP.2008.4752943)

option pricing, Black-Scholes equation, finite-difference schemes, nonlinear volatility 1. INTRODUCTION

Lai, C.-H. ORCID: https://orcid.org/0000-0002-7558-6398, Parrott, A.K., Rout, S. and Honnor, M.E. (2005) A distributed algorithm for European options with nonlinear volatility. Computers & Mathematics with Applications, 49 (5-6). pp. 885-894. ISSN 0898-1221 (doi:10.1016/j.camwa.2004.03.014)

portability, predictability, performance, parallel computing

Reed, Joy, Parrott, Kevin and Lanfear, Tim (1996) Portability, predictability and performance for parallel computing: BSP in practice. Concurrency: Practice and Experience, 8 (10). pp. 799-812. ISSN 1040-3108 (Print), 1096-9128 (Online) (doi:10.1002/(SICI)1096-9128(199612)8:10<799::AID-CPE274>3.0.CO;2-7)

semi-Lagrange time integration, Asian American Options, finite difference, coordinate transformation

Parrott, Kevin and Rout, Sweta (2006) Semi-Lagrange time integration for PDE models of asian options. Progress in Industrial Mathematics at ECMI 2004. Mathematics in Industry, 8 . Springer Berlin / Heidelberg, Berlin, pp. 432-436. ISBN 9783540280729 (doi:10.1007/3-540-28073-1)