938 research outputs found

    Full and fast calibration of the Heston stochastic volatility model

    Get PDF
    This paper presents an algorithm for a complete and e cient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least-squares problem. We exploit a suitable representation of the Heston characteristic function and modify it to avoid discontinuities caused by branch switchings of complex functions. Using this representation, we obtain the analytical gradient of the price of a vanilla option with respect to the model parameters, which is the key element of all variants of the objective function. The interdependency between the components of the gradient enables an e cient implementation which is around ten times faster than a numerical gradient. We choose the Levenberg-Marquardt method to calibrate the model and do not observe multiple local minima reported in previous research. Two-dimensional sections show that the objective function is shaped as a narrow valley with a flat bottom. Our method is the fastest calibration of the Heston model developed so far and meets the speed requirement of practical trading

    Replay Attacks and Defenses Against Cross-shard Consensus in Sharded Distributed Ledgers

    Get PDF
    We present a family of replay attacks against sharded distributed ledgers targeting cross-shard consensus protocols, such as the recently proposed Chainspace and Omniledger. They allow an attacker, with network access only, to double-spend or lock resources with minimal efforts. The attacker can act independently without colluding with any nodes, and succeed even if all nodes are honest; most of the attacks can also exhibit themselves as faults under periods of asynchrony. These attacks are effective against both shard-led and client-led cross-shard consensus approaches. We present Byzcuit-a new cross-shard consensus protocol that is immune to those attacks. We implement a prototype of Byzcuit and evaluate it on a real cloud-based testbed, showing that our defenses impact performance minimally, and overall performance surpasses previous works

    A Novel Medical Treatment of Cushing's Due to Ectopic ACTH in a Patient With Neurofibromatosis Type 1

    Get PDF
    A 64-year-old male presented with neurofibromatosis 1 and Cushing's syndrome. Clinically he was over weight, depressed with extensive skin bruising and hypertension. His 24 hours urinary metanephrines, urinary 5HIAA, gut peptides and chromgranin levels were normal. His renal function and renal MRI scan was also normal. His cortisol failed to suppress on overnight dexamethsone suppression test. His low dose dexamethasone suppression with CRH stimulation showed failure of suppression of cortisol to < 50 nmol/L and ACTH was measurable at 10 ng/L on day 3. There was no response of ACTH or cortisol to CRH stimulation. His ACTH precursors were high at 126 pmol/L consistent with defective pro-opiomelanocortin (POMC) processing suggesting an ectopic source of ACTH production. The MRI scan of his pituitary and CT scan of the adrenal glands was normal. His octreotide scan was negative. The source of his ectopic ACTH was most likely a large retroperitoneal plexiform neurofibroma seen on CT abdomen that had undergone malignant peripheral nerve sheath tumour transformation on histology. He was a poor surgical risk for tumour debulking procedure. In view of the available literature and role of c-kit signalling in neurofibromatosis, he was treated with Imitinib. Four months after the treatment his Cushings had resolved on biochemical testing. After a year his plexiform neurofibroma has not increased in size. To our knowledge, this is the first case of NF1 associated with clinical and biochemical features of Cushing's secondary to ectopic ACTH due to MPNST in a plexiform neurofibroma and its resolution on treatment with imatinib

    FTIR and XRD evaluation of magnesium doped hydroxyapatitesodium alginate powder by precipitation method

    Get PDF
    Composites material were developed to acquire the desired material properties for biomedical applications in the recovery of defect bone by using Mg-doped HA/SA. Hydroxyapatite (HA) is the major constituent and essential component in bone and teeth. The stability of Mg-doped HA/SA is influenced by starting precursor powders, preparation condition and method of preparing the samples for implant materials. The precipitation method was employed to prepare Mg-doped HA/SA powders by varying the composition of Mg at temperature 1300°C. The influence of Mg-doped HA/SA on phase composition, chemical structure and a functional group at various weight percentages (0.5wt%-1.5wt %) were accomplished through X-ray diffraction (XRD) and Fourier Transform Infrared Spectroscopy (FTIR) analyses. Based on the XRD and FTIR analyses, there is the presence of different peaks intensity and adsorption bands which indicates the shifted of peaks due to the doping process and a chemical interaction were observed between the inorganic and organic phase. Furthermore, the transformation of β-TCP due to increase in sintering temperatures are caused by the presence of magnesium ions. The OHstretching bands of HA/SA are traced by FTIR that identified the decomposition of Mg-doped HA/SA
    • …
    corecore