Yes, but tests tend to show you need like >64 cores for things like parareal methods to do better than standard serial methods. So they exist, but aren't quite practical yet. Maybe a GPU-based one in specific cases can be interesting, but no one has been able to demonstrate an efficient enough code yet. It's definitely an interesting topic.
Thanks for the perspective on the actual performance of these algorithms. So yeah, as an algorithmic fact it isn't necessary to proceed sequentially, though perhaps not performant to proceed in parallel either.
Anyway, I heard AMD has 64 cores on a single chip so it may not be too long..