Implied volatility of basket options at extreme strikes

In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dynamics of asset prices are described by the multidimensional Black-Scholes model. Next, we find the leading term of asymptotics of the implied volatility in the case where the asset prices follow the multidimensional Black-Scholes model with time change by an independent increasing stochastic process. Finally, we deal with a general situation in which the dependence between the assets is described by a given copula function. In this setting, we obtain a model-free tail-wing formula that links the implied volatility to a special characteristic of the copula called the weak lower tail dependence function

The Mean Drift: Tailoring the Mean Field Theory of Markov Processes for Real-World Applications

The statement of the mean field approximation theorem in the mean field theory of Markov processes particularly targets the behaviour of population processes with an unbounded number of agents. However, in most real-world engineering applications one faces the problem of analysing middle-sized systems in which the number of agents is bounded. In this paper we build on previous work in this area and introduce the mean drift. We present the concept of population processes and the conditions under which the approximation theorems apply, and then show how the mean drift is derived through a systematic application of the propagation of chaos. We then use the mean drift to construct a new set of ordinary differential equations which address the analysis of population processes with an arbitrary size

Are patients with hypermobile Ehlers-Danlos syndrome or hypermobility spectrum disorder so different?

Diagnosing hypermobile Ehlers-Danlos syndrome (hEDS) remains challenging, despite new 2017 criteria. Patients not fulfilling these criteria are considered to have hypermobile spectrum disorder (HSD). Our first aim was to evaluate whether patients hEDS were more severely affected and had higher prevalence of extra-articular manifestations than HSD. Second aim was to compare their outcome after coordinated physical therapy. Patients fulfilling hEDS/HSD criteria were included in this real-life prospective cohort (November 2017/April 2019). They completed a 16-item Clinical Severity Score (CSS-16). We recorded bone involvement, neuropathic pain (DN4) and symptoms of mast cell disorders (MCAS) as extra-articular manifestations. After a standardized initial evaluation (T0), all patients were offered the same coordinated physical therapy, were followed-up at 6 months (T1) and at least 1 year later (T2), and were asked whether or not their condition had subjectively improved at T2. We included 97 patients (61 hEDS, 36 HSD). Median age was 40 (range 18-73); 92.7% were females. Three items from CSS-16 (pain, motricity problems, and bleeding) were significantly more severe with hEDS than HSD. Bone fragility, neuropathic pain and MCAS were equally prevalent. At T2 (20 months [range 18-26]) 54% of patients reported improvement (no difference between groups). On multivariable analysis, only family history of hypermobility predicted (favorable) outcome (p = 0.01). hEDS and HDS patients showed similar disease severity score except for pain, motricity problems and bleeding, and similar spectrum of extra-articular manifestations. Long-term improvement was observed in > 50% of patients in both groups. These results add weight to a clinical pragmatic proposition to consider hEDS/HSD as a single entity that requires the same treatments

Feasibility of a prehabilitation program before major abdominal surgery: a pilot prospective study.

To assess the feasibility of a prehabilitation program and its effects on physical performance and outcomes after major abdominal surgery. In this prospective pilot study, patients underwent prehabilitation involving three training sessions per week for 3 weeks preoperatively. The feasibility of delivering the intervention was assessed based on recruitment and adherence to the program. Its impacts on fitness (oxygen uptake (VO <sub>2</sub> )) and physical performance (Timed Up and Go Test, 6-Minute Walk Test) were evaluated. From May 2017 to January 2020, 980 patients were identified and 44 (4.5%) were invited to participate. The main obstacles to patient recruitment were insufficient time (<3 weeks) prior to scheduled surgery (n = 276, 28%) and screening failure (n = 312, 32%). Of the 44 patients, 24 (55%) declined to participate, and 20 (23%) were included. Of these, six (30%) were not adherent to the program. Among the remaining 14 patients, VO <sub>2</sub> at ventilatory threshold significantly increased from 9.7 to 10.9 mL/min/kg. No significant difference in physical performance was observed before and after prehabilitation. Although prehabilitation seemed to have positive effects on exercise capacity, logistic and patient-related difficulties were encountered. The program is not feasible in its current form for all-comers

Diagnostic yield and cost analysis of electrocardiographic screening in Swiss paediatric athletes

OBJECTIVES Athletes performing sports on high level are at increased risk for sudden cardiac death. This includes paediatric athletes, even though data on screening strategies in this age group remain scarce. This study aimed to assess electrocardiogram interpretation criteria in paediatric athletes and to evaluate the cost of screening. METHODS National, multicentre, retrospective, observational study on 891 athletes of paediatric age (<18 years) evaluated by history, physical examination and 12-lead electrocardiogram. The primary outcome measure was abnormal electrocardiogram findings according to the International Recommendations for Electrographic Interpretation in Athletes. The secondary outcome measure was cost of screening. RESULTS 19 athletes (2.1%) presented abnormal electrocardiogram findings requiring further investigations, mainly abnormal T-wave inversion. These 19 athletes were predominantly males, performing endurance sports with a mean volume of 10 weekly hours for a mean duration of 6 years of training. Further investigations did not identify any relevant pathology. All athletes were cleared for competition with regular follow-up. Total costs of the screening were 108,860 USD (122 USD per athlete). CONCLUSIONS Our study using the International Recommendations for Electrographic Interpretation in Athletes identified a low count of abnormal findings in paediatric athletes, yet raising substantially the cost of screening. Hence, the utility of electrocardiogram-inclusive screening of paediatric athletes remains to be elucidated by longitudinal data

Crafting the Composite Garment: The role of hand weaving in digital creation

There is a growing body of practice-led textile research, focused on how digital technologies can inform new design and production strategies that challenge and extend the field. To date, this research has emphasized a traditional linear transition between hand and digital production; with hand production preceding digital as a means of acquiring the material and process knowledge required to negotiate technologies and conceptualize designs. This paper focuses on current Doctoral research into the design and prototyping of 3D woven or 'composite' garments and how the re-learning, or reinterpreting, of hand weaving techniques in a digital Jacquard format relies heavily on experiential knowledge of craft weaving skills. Drawing parallels between hand weaving and computer programming, that extend beyond their shared binary (pixel-based) language, the paper discusses how the machine-mediated experience of hand weaving can prime the weaver to ‘think digitally’ and make the transition to digital production. In a process where the weaver acts simultaneously as designer, constructor and programmer, the research explores the inspiring, but often indefinable space between craft and digital technology by challenging the notion that 'the relationship between hand, eye and material’ naturally precedes the use of computing (Harris 2012: 93). This is achieved through the development of an iterative working methodology that encompasses a cycle of transitional development, where hand weaving and digital processes take place in tandem, and techniques and skills are reinterpreted to exploit the advantages and constraints of each construction method. It is argued that the approach challenges the codes and conventions of computer programming, weaving and fashion design to offer a more sustainable clothing solution

Phase I study of MLN8237—investigational Aurora A kinase inhibitor—in relapsed/refractory multiple myeloma, Non-Hodgkin lymphoma and chronic lymphocytic leukemia

Purpose Amplification or over-expression of the mitotic Aurora A kinase (AAK) has been reported in several heme-lymphatic malignancies. MLN8237 (alisertib) is a novel inhibitor of AAK that is being developed for the treatment of advanced malignancies. The objectives of this phase I study were to establish the safety, tolerability, and pharmacokinetic profiles of escalating doses of MLN8237 in patients with relapsed or refractory heme-lymphatic malignancies. Methods Sequential cohorts of patients received MLN8237 orally as either a powder-in-capsule (PIC) or enteric-coated tablet (ECT) formulation. Patients received MLN8237 PIC 25–90 mg for 14 or 21 consecutive days plus 14 or 7 days’ rest, respectively, or MLN8237 ECT, at a starting dose of 40 mg/day once-daily (QD) for 14 days plus 14 days’ rest, all in 28-day cycles. Subsequent cohorts received MLN8237 ECT 30–50 mg twice-daily (BID) for 7 days plus 14 days’ rest in 21-day cycles. Results Fifty-eight patients were enrolled (PIC n = 28, ECT n = 30). The most frequent grade ≥3 drug-related toxicities were neutropenia (45 %), thrombocytopenia (28 %), anemia (19 %), and leukopenia (19 %). The maximum tolerated dose on the ECT 7-day schedule was 50 mg BID. The terminal half-life of MLN8237 was approximately 19 h. Six (13 %) patients achieved partial responses and 13 (28 %) stable disease. Conclusion The recommended phase II dose of MLN8237 ECT is 50 mg BID for 7 days in 21-day cycles, which is currently being evaluated as a single agent in phase II/III trials in patients with peripheral T-cell lymphoma. ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:10.1007/s10637-013-0050-9) contains supplementary material, which is available to authorized users

Activity of the antiarrhythmic drug amiodarone against Leishmania (L.) infantum: an in vitro and in vivo approach

<div><p>Abstract Background: Considering the high toxicity and limited therapies available for treating visceral leishmaniasis (VL), the drug repositioning approach represents a faster way to deliver new therapies to the market. Methods: In this study, we described for the first time the activity of a potent antiarrhythmic, amiodarone (AMD), against L. (L.)infantum and its in vitro and in vivo activity. Results: The evaluation against promastigotes has shown that amiodarone presents leishmanicidal effect against the extracellular form, with an IC50 value of 10 μM. The activity was even greater against amastigotes in comparison with promastigotes with an IC50 value of 0.5 μM. The selectivity index in relation to the intracellular form demonstrated that the antiparasitic activity was approximately 56 times higher than its toxicity to mammalian cells. Investigation of the in vivo AMD activity in the L. infantum-infected hamster model showed that 51 days after the initial infection, amiodarone was unable to reduce the parasite burden in the spleen and liver when treated for 10 consecutive days, intraperitoneally, at 50 mg/kg/day, as determined by qPCR. Although not statistically significant, AMD was able to reduce the parasite burden by 20% in the liver when treated for 10 consecutive days, orally, at 100 mg/kg/day; no reduction in the spleen was found by qPCR. Conclusions: Our findings may help further drug design studies seeking new AMD derivatives that may provide new candidates with an in vitro selectivity close to or even greater than that observed in the prototype delivering effectiveness in the experimental model of VL.</p></div

After the sunset: the residual effect of temporary legislation

The difference between permanent legislation and temporary legislation is the default rule of termination: permanent legislation governs perpetually, while temporary legislation governs for a limited time. Recent literature on legislative timing rules considers the effect of temporary legislation to stop at the moment of expiration. When the law expires, so does its regulatory effect. This article extends that literature by examining the effect of temporary legislation beyond its expiration. We show that in addition to affecting compliance behavior which depends on statutory enforcement, temporary legislation also affects compliance behavior which does not depend on statutory enforcement, and more generally, organizational behavior after a sunset. When temporary legislation expires therefore, it can continue to administer regulatory and other effects. We specify the conditions for this process and give the optimal legislative response