A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model

Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.

A novel fully validated LC–MS/MS method for quantification of pyridoxal-5′-phosphate concentrations in samples of human whole blood

Quantification of pyridoxal-5´-phosphate (PLP) in biological samples is challenging due to the presence of endogenous PLP in matrices used for preparation of calibrators and quality control samples (QCs). Hence, we have developed an LC-MS/MS method for accurate and precise measurement of the concentrations of PLP in samples (20 µL) of human whole blood that addresses this issue by using a surrogate matrix and minimizing the matrix effect. We used a surrogate matrix comprising 2% bovine serum albumin (BSA) in phosphate buffer saline (PBS) for making calibrators, QCs and the concentrations were adjusted to include the endogenous PLP concentrations in the surrogate matrix according to the method of standard addition. PLP was separated from the other components of the sample matrix using protein precipitation with trichloroacetic acid 10% w/v. After centrifugation, supernatant were injected directly into the LC-MS/MS system. Calibration curves were linear and recovery was > 92%. QCs were accurate, precise, stable for four freeze-thaw cycles, and following storage at room temperature for 17h or at -80 °C for 3 months. There was no significant matrix effect using 9 different individual human blood samples. Our novel LC-MS/MS method has satisfied all of the criteria specified in the 2012 EMEA guideline on bioanalytical method validation.