Conference report: 7th Annual Congress of International Drug Discovery Science and Technology

This is a report on the 7th Annual Congress of International Drug Discovery Science and Technology held in Shanghai, China from 22–25 October, 2009. The conference, organized by BIT Life Sciences, comprised several parallel sessions, keynote presentations and a selection of selection of 20-minute presentations covering a range of therapeutic areas, including general medicinal chemistry, oncology, inflammation, receptors and ion channels, drug, metabolism and pharmokinetics, and fragment-based drug discovery. There were also sessions devoted to genomics, biomarkers, immunology, cell biology, molecular imaging and biochips. Supported by an exhibition of services/products and posters, the conference underlined the marked presence of Asian CROs.

The parallel solution of early-exercise Asian options with stochastic volatility

This paper describes an parallel semi-Lagrangian finite difference approach to the pricing of early exercise Asian Options on assets with a stochastic volatility. A multigrid procedure is described for the fast iterative solution of the discrete linear complementarity problems that result. The accuracy and performance of this approach is improved considerably by a strike-price related analytic transformation of asset prices. Asian options are contingent claims with payoffs that depend on the average price of an asset over some time interval. The payoff may depend on this average and a fixed strike price (Fixed Strike Asians) or it may depend on the average and the asset price (Floating Strike Asians). The option may also permit early exercise (American contract) or confine the holder to a fixed exercise date (European contract). The Fixed Strike Asian with early exercise is considered here where continuous arithmetic averaging has been used. Pricing such an option where the asset price has a stochastic volatility leads to the requirement to solve a tri-variate partial differential inequation in the three state variables of asset price, average price and volatility (or equivalently, variance). The similarity transformations [6] used with Floating Strike Asian options to reduce the dimensionality of the problem are not applicable to Fixed Strikes and so the numerical solution of a tri-variate problem is necessary. The computational challenge is to provide accurate solutions sufficiently quickly to support realtime trading activities at a reasonable cost in terms of hardware requirements.