Stochastic Spot/Volatility Correlation in Stochastic Volatility Models and Barrier Option Pricing

Most models for barrier pricing are designed to let a market maker tune the model-implied covariance between moves in the asset spot price and moves in the implied volatility skew. This is often implemented with a local volatility/stochastic volatility mixture model, where the mixture parameter tunes that covariance. This paper defines an alternate model where the spot/volatility correlation is a separate mean-reverting stochastic variable which is itself correlated with spot. We also develop an efficient approximation for barrier option and one touch pricing in the model based on semi-static vega replication and compare it with Monte Carlo pricing. The approximation works well in markets where the risk neutral drift is modest.Comment: 23 pages, 11 figure

Establishing the relationship of inhaler satisfaction, treatment adherence, and patient outcomes : A prospective, real-world, cross-sectional survey of US adult asthma patients and physicians

Date of Acceptance: 26/06/2015 Acknowledgements The disease-specific program, on which the analyses were based, was designed and run by Adelphi Real World. The program was supported by a number of pharmaceutical companies, including Meda Pharmaceuticals. This specific analysis, together with this publication, was supported by Meda Pharmaceuticals. The decision to publish was made jointly by all authors cited. Medical writing support and literature searching was provided by Carole Alison Chrvala, PhD of Health Matters, Inc.Peer reviewedPublisher PD

Identifying Virtues and Values Through Obituary Data-Mining

Because obituaries are succinct and explicitly intended to summarize their subjects’ lives, they may be expected to include only the features that the author finds most salient but also to signal to others in the community the socially-recognized aspects of the deceased’s character. We begin by reviewing studies 1 and 2, in which obituaries were carefully read and labeled. We then report study 3, which further develops these results with a semi-automated, large-scale semantic analysis of several thousand obituaries. Geography, gender, and elite status all turn out to be associated with the virtues and values associated with the deceased

Impact of night-time symptoms in COPD : a real-world study in five European countries

Peer reviewedPublisher PD

The Belfast Youth Development Study (BYDS): A prospective cohort study of the initiation, persistence and desistance of substance use from adolescence to adulthood in Northern Ireland

Background: Substance misuse persists as a major public health issue worldwide with significant costs for society. The development of interventions requires methodologically sound studies to explore substance misuse causes and consequences. This Cohort description paper outlines the design of the Belfast Youth Development (BYDS), one of the largest cohort studies of its kind in the UK. The study was established to address the need for a long-term prospective cohort study to investigate the initiation, persistence and desistance of substance use, alongside life course processes in adolescence and adulthood. The paper provides an overview of BYDS as a longitudinal data source for investigating substance misuse and outlines the study measures, sample retention and characteristics. We also outline how the BYDS data have been used to date and highlight areas ripe for future work by interested researchers. Methods: The study began in 2000/1 when participants (n = 3,834) were pupils in their first year of post-primary education (age 10/11 years, school year 8) from over 40 schools in Northern Ireland. Children were followed during the school years: Year 9 (in 2002; aged 12; n = 4,343), Year 10 (in 2003; aged 13; n = 4,522), Year 11 (in 2004; aged 14; n = 3,965) and Year 12 (in 2005; aged 15; n = 3,830) and on two more occasions: 2006/07 (aged 16/17; n = 2,335) and 2010/11 (aged 20/21; n = 2,087). Data were collected on substance use, family, schools, neighbourhoods, offending behaviour and mental health. The most novel aspect of the study was the collection of detailed social network data via friendship nominations allowing the investigation of the spread of substance use via friendship networks. In 2004 (school year 11; respondents aged 14), a sub-sample of participants’ parents (n = 1,097) and siblings (n = 211) also completed measures on substance use and family dynamics. Results: The most recent wave (in 2010/2011; respondents aged 20/21 years) indicated lifetime use of alcohol, tobacco and cannabis among the cohort was 94, 70 and 45 per cent, respectively. The paper charts the development of drug use behaviour and some of the key results to date are presented. We have also identified a number of key areas ripe for analysis by interested researchers including sexual health and education. Conclusions: We have established a cohort with detailed data from adolescence to young adulthood, supplemented with parent and sibling reports and peer network data. The dataset, allowing for investigation of trajectories of adolescent substance use, associated factors and subsequent long-term outcomes, constitutes an important resource for longitudinal substance misuse research. A planned further wave as the cohort enter their late twenties and potential to link to administrative data sources, will further enrich the datasets

RTJ-303: Variable geometry, oblique wing supersonic aircraft

This document is a preliminary design of a High Speed Civil Transport (HSCT) named the RTJ-303. It is a 300 passenger, Mach 1.6 transport with a range of 5000 nautical miles. It features four mixed-flow turbofan engines, variable geometry oblique wing, with conventional tail-aft control surfaces. The preliminary cost analysis for a production of 300 aircraft shows that flyaway cost would be 183 million dollars (1992) per aircraft. The aircraft uses standard jet fuel and requires no special materials to handle aerodynamic heating in flight because the stagnation temperatures are approximately 130 degrees Fahrenheit in the supersonic cruise condition. It should be stressed that this aircraft could be built with today's technology and does not rely on vague and uncertain assumptions of technology advances. Included in this report are sections discussing the details of the preliminary design sequence including the mission to be performed, operational and performance constraints, the aircraft configuration and the tradeoffs of the final choice, wing design, a detailed fuselage design, empennage design, sizing of tail geometry, and selection of control surfaces, a discussion on propulsion system/inlet choice and their position on the aircraft, landing gear design including a look at tire selection, tip-over criterion, pavement loading, and retraction kinematics, structures design including load determination, and materials selection, aircraft performance, a look at stability and handling qualities, systems layout including location of key components, operations requirements maintenance characteristics, a preliminary cost analysis, and conclusions made regarding the design, and recommendations for further study

Multi-user indoor optical wireless communication system channel control using a genetic algorithm

A genetic algorithm controlled multispot transmitter is demonstrated that is capable of optimising the received power distribution for randomly aligned single element receivers in multiple fully diffuse optical wireless communications systems with multiple mobile users. Using a genetic algorithm to control the intensity of individual diffusion spots, system deployment environment changes, user movement and user alignment can be compensating for, with negligible impact on the bandwidth and root mean square delay spread. It is shown that the dynamic range, referenced against the peak received power, can be reduced up to 27% for empty environments and up to 26% when the users are moving. Furthermore, the effect of user movement, that can perturb the channel up to 8%, can be reduced to within 5% of the optimised case. Compared to alternative bespoke designs that are capable of mitigating optical wireless channel drawbacks, this method provides the possibility of cost-effectiveness for mass-produced receivers in applications where end-user friendliness and mobility are paramount

VPI-7: The First Zincosilicate Molecular Sieve Containing Three-membered T-Atom Rings

VPI-7: the first microporous zincosilicate to contain 3-membered rings (3MR) is reported

Comparison of channel coding schemes for molecular communications systems

Future applications for nano-machines, such as drug-delivery and health monitoring, will require robust communications and nanonetworking capabilities. This is likely to be enabled via the use of molecules, as opposed to electromagnetic waves, acting as the information carrier. To enhance the reliability of the transmitted data, Euclidean geometry low density parity check (EG-LDPC) and cyclic Reed-Muller (C-RM) codes are considered for use within a molecular communication system for the first time. These codes are compared against the Hamming code to show that an s = 4 LDPC (integer s ≥ 2) has a superior coding gain of 7.26 dBs. Furthermore, the critical distance and energy cost for a coded system are also taken into account as two other performance metrics. It is shown that when considering the case of nano-to nano-machines communication, a Hamming code with m = 4, (integer m ≥ 2) is better for a system operating between 10-6 and 10-3 bit error rate (BER) levels. Below these BERs,s = 2 LDPC codes are superior, exhibiting the lowest energy cost. For communication between nano-to macro-machines, and macro-to nano-machines, s = 3 LDPC and s = 2 LDPC are the best options respectively