Interprocedural constant range propagation and alias analysis by multiple version method
A set of methods for interprocedural analysis is proposed. First, an approach for interprocedural constant propagation is given. Then the concept of constant propagation is extended so as to meet the needs of data dependence analysis. Besides certain constant, constant range can also be propagated. The related propagating rules are introduced, and an idea for computing Return function is given. This approach can solve almost all interprocedural constant propagation problems with non-recursive calls. Second, a multiple-version parallelizing technique is also proposed for alias problem. The work related to this paper has been implemented on a shared-memory parallel computer.
The objective of this paper is to study the arbitrage free pricing of the covariance swap for Barndorff–Nielsen and Shephard (BN–S) type Levy process driven financial markets. One of the major challenges in arbitrage free pricing of swap is to obtain an accurate pricing expression which can be used with good computational accuracy. In this paper, we obtain analytic expressions for the pricing of the covariance swap. We show that with the analytic expressions obtained from the BN–S model, the error estimation in fitting the delivery price is much less than the existing models with comparable parameters. The models and pricing formulas proposed in this paper are computable in real time and hence can be efficiently used in practical applications.