{"id":"https://openalex.org/W1971266921","doi":"https://doi.org/10.1109/ipdpsw.2010.5470707","title":"Parallelizing a Black-Scholes solver based on finite elements and sparse grids","display_name":"Parallelizing a Black-Scholes solver based on finite elements and sparse grids","publication_year":2010,"publication_date":"2010-04-01","ids":{"openalex":"https://openalex.org/W1971266921","doi":"https://doi.org/10.1109/ipdpsw.2010.5470707","mag":"1971266921"},"language":"en","primary_location":{"id":"doi:10.1109/ipdpsw.2010.5470707","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ipdpsw.2010.5470707","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2010 IEEE International Symposium on Parallel &amp; Distributed Processing, Workshops and Phd Forum (IPDPSW)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://mediatum.ub.tum.de/node?id=1418113","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5068403289","display_name":"Hans\u2010Joachim Bungartz","orcid":"https://orcid.org/0000-0002-0171-0712"},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"education","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Hans-Joachim Bungartz","raw_affiliation_strings":["Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen, Garching, Germany","Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen Boltzmannstr. 3, 85748 Garching, Germany"],"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen, Garching, Germany","institution_ids":["https://openalex.org/I62916508"]},{"raw_affiliation_string":"Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen Boltzmannstr. 3, 85748 Garching, Germany","institution_ids":["https://openalex.org/I62916508"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5024066643","display_name":"Alexander Heinecke","orcid":null},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"education","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Alexander Heinecke","raw_affiliation_strings":["Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen, Garching, Germany","Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen Boltzmannstr. 3, 85748 Garching, Germany"],"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen, Garching, Germany","institution_ids":["https://openalex.org/I62916508"]},{"raw_affiliation_string":"Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen Boltzmannstr. 3, 85748 Garching, Germany","institution_ids":["https://openalex.org/I62916508"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5041326099","display_name":"Dirk Pfl\u00fcger","orcid":"https://orcid.org/0000-0002-4360-0212"},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"education","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Dirk Pfluger","raw_affiliation_strings":["Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen, Garching, Germany","Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen Boltzmannstr. 3, 85748 Garching, Germany"],"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen, Garching, Germany","institution_ids":["https://openalex.org/I62916508"]},{"raw_affiliation_string":"Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen Boltzmannstr. 3, 85748 Garching, Germany","institution_ids":["https://openalex.org/I62916508"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5090710263","display_name":"Stefanie Schraufstetter","orcid":null},"institutions":[{"id":"https://openalex.org/I62916508","display_name":"Technical University of Munich","ror":"https://ror.org/02kkvpp62","country_code":"DE","type":"education","lineage":["https://openalex.org/I62916508"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Stefanie Schraufstetter","raw_affiliation_strings":["Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen, Garching, Germany","Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen Boltzmannstr. 3, 85748 Garching, Germany"],"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen, Garching, Germany","institution_ids":["https://openalex.org/I62916508"]},{"raw_affiliation_string":"Institut f\u00fcr Informatik, Technische Universit\u00e4t M\u00fcnchen Boltzmannstr. 3, 85748 Garching, Germany","institution_ids":["https://openalex.org/I62916508"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5068403289"],"corresponding_institution_ids":["https://openalex.org/I62916508"],"apc_list":null,"apc_paid":null,"fwci":2.4025,"has_fulltext":false,"cited_by_count":8,"citation_normalized_percentile":{"value":0.87959014,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"31","issue":null,"first_page":"1","last_page":"8"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10339","display_name":"Advanced Numerical Methods in Computational Mathematics","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10339","display_name":"Advanced Numerical Methods in Computational Mathematics","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2206","display_name":"Computational Mechanics"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10054","display_name":"Parallel Computing and Optimization Techniques","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/1708","display_name":"Hardware and Architecture"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10792","display_name":"Matrix Theory and Algorithms","score":0.9927999973297119,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/solver","display_name":"Solver","score":0.8067638874053955},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.7713565826416016},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.7327199578285217},{"id":"https://openalex.org/keywords/parallel-computing","display_name":"Parallel computing","score":0.700188398361206},{"id":"https://openalex.org/keywords/sparse-grid","display_name":"Sparse grid","score":0.640977144241333},{"id":"https://openalex.org/keywords/grid","display_name":"Grid","score":0.6363208889961243},{"id":"https://openalex.org/keywords/computational-science","display_name":"Computational science","score":0.5476469397544861},{"id":"https://openalex.org/keywords/multi-core-processor","display_name":"Multi-core processor","score":0.49916958808898926},{"id":"https://openalex.org/keywords/sparse-matrix","display_name":"Sparse matrix","score":0.4723668694496155},{"id":"https://openalex.org/keywords/black\u2013scholes-model","display_name":"Black\u2013Scholes model","score":0.4574635624885559},{"id":"https://openalex.org/keywords/supercomputer","display_name":"Supercomputer","score":0.4121493101119995},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.37705111503601074},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3537050485610962},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.3073965907096863},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.15594729781150818}],"concepts":[{"id":"https://openalex.org/C2778770139","wikidata":"https://www.wikidata.org/wiki/Q1966904","display_name":"Solver","level":2,"score":0.8067638874053955},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7713565826416016},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.7327199578285217},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.700188398361206},{"id":"https://openalex.org/C156439662","wikidata":"https://www.wikidata.org/wiki/Q7573793","display_name":"Sparse grid","level":2,"score":0.640977144241333},{"id":"https://openalex.org/C187691185","wikidata":"https://www.wikidata.org/wiki/Q2020720","display_name":"Grid","level":2,"score":0.6363208889961243},{"id":"https://openalex.org/C459310","wikidata":"https://www.wikidata.org/wiki/Q117801","display_name":"Computational science","level":1,"score":0.5476469397544861},{"id":"https://openalex.org/C78766204","wikidata":"https://www.wikidata.org/wiki/Q555032","display_name":"Multi-core processor","level":2,"score":0.49916958808898926},{"id":"https://openalex.org/C56372850","wikidata":"https://www.wikidata.org/wiki/Q1050404","display_name":"Sparse matrix","level":3,"score":0.4723668694496155},{"id":"https://openalex.org/C163128081","wikidata":"https://www.wikidata.org/wiki/Q1338307","display_name":"Black\u2013Scholes model","level":3,"score":0.4574635624885559},{"id":"https://openalex.org/C83283714","wikidata":"https://www.wikidata.org/wiki/Q121117","display_name":"Supercomputer","level":2,"score":0.4121493101119995},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.37705111503601074},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3537050485610962},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.3073965907096863},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.15594729781150818},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.0},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1109/ipdpsw.2010.5470707","is_oa":false,"landing_page_url":"https://doi.org/10.1109/ipdpsw.2010.5470707","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2010 IEEE International Symposium on Parallel &amp; Distributed Processing, Workshops and Phd Forum (IPDPSW)","raw_type":"proceedings-article"},{"id":"pmh:oai:mediatum.ub.tum.de:node/1418113","is_oa":true,"landing_page_url":"http://mediatum.ub.tum.de/node?id=1418113","pdf_url":null,"source":{"id":"https://openalex.org/S4377196330","display_name":"mediaTUM  (Technical University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I62916508","host_organization_name":"Technical University of Munich","host_organization_lineage":["https://openalex.org/I62916508"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"},{"id":"pmh:oai:mediatum.ub.tum.de:node/1418378","is_oa":true,"landing_page_url":"http://mediatum.ub.tum.de/node?id=1418378","pdf_url":null,"source":{"id":"https://openalex.org/S4377196330","display_name":"mediaTUM  (Technical University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I62916508","host_organization_name":"Technical University of Munich","host_organization_lineage":["https://openalex.org/I62916508"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:mediatum.ub.tum.de:node/1418113","is_oa":true,"landing_page_url":"http://mediatum.ub.tum.de/node?id=1418113","pdf_url":null,"source":{"id":"https://openalex.org/S4377196330","display_name":"mediaTUM  (Technical University of Munich)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I62916508","host_organization_name":"Technical University of Munich","host_organization_lineage":["https://openalex.org/I62916508"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W71671705","https://openalex.org/W637625958","https://openalex.org/W1599335394","https://openalex.org/W1980466118","https://openalex.org/W2004947799","https://openalex.org/W2009145080","https://openalex.org/W2010452605","https://openalex.org/W2019377400","https://openalex.org/W2053576040","https://openalex.org/W2054314432","https://openalex.org/W2068953972","https://openalex.org/W2070335948","https://openalex.org/W2077681241","https://openalex.org/W2111141275","https://openalex.org/W2158086823","https://openalex.org/W2403013574","https://openalex.org/W4255975175","https://openalex.org/W6683541373"],"related_works":["https://openalex.org/W2384867379","https://openalex.org/W4400094300","https://openalex.org/W2329539859","https://openalex.org/W2227905990","https://openalex.org/W2765823764","https://openalex.org/W3214280620","https://openalex.org/W3191490922","https://openalex.org/W2794038527","https://openalex.org/W2030992542","https://openalex.org/W2220368979"],"abstract_inverted_index":{"We":[0,46,76],"present":[1],"the":[2,12,48,73,95],"parallelization":[3,69],"of":[4,11,51,72],"a":[5,41],"sparse":[6,56],"grid":[7],"finite":[8],"element":[9],"discretization":[10,44],"Black-Scholes":[13,74],"equation,":[14],"which":[15],"is":[16],"commonly":[17],"used":[18,64],"for":[19],"option":[20],"pricing.":[21],"Sparse":[22],"grids":[23],"allow":[24],"to":[25,40,65,90],"handle":[26],"higher":[27],"dimensional":[28],"options":[29],"than":[30],"classical":[31],"approaches":[32],"on":[33,55,79,85],"full":[34],"grids,":[35,57],"and":[36,58,93,100],"can":[37,62],"be":[38,63],"extended":[39],"fully":[42],"adaptive":[43],"method.":[45],"introduce":[47],"algorithmical":[49],"structure":[50],"efficient":[52,68],"algorithms":[53],"operating":[54],"demonstrate":[59],"how":[60],"they":[61],"derive":[66],"an":[67],"with":[70,88],"OpenMP":[71],"solver.":[75],"show":[77],"results":[78],"different":[80],"commodity":[81],"hardware":[82],"systems":[83],"based":[84],"multi-core":[86],"architectures":[87],"up":[89],"8":[91],"cores,":[92],"discuss":[94],"parallel":[96],"performance":[97],"using":[98],"Intel":[99],"AMD":[101],"CPUs.":[102]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}
