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

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

Stochastic Approximation to Understand Simple Simulation Models

This paper illustrates how a deterministic approximation of a stochastic process can be usefully applied to analyse the dynamics of many simple simulation models. To demonstrate the type of results that can be obtained using this approximation, we present two illustrative examples which are meant to serve as methodological references for researchers exploring this area. Finally, we prove some convergence results for simulations of a family of evolutionary games, namely, intra-population imitation models in n-player games with arbitrary payoffs.Ministerio de Educación (JC2009- 00263), Ministerio de Ciencia e Innovación (CONSOLIDER-INGENIO 2010: CSD2010-00034, DPI2010-16920

The frequency-dependent Wright-Fisher model: diffusive and non-diffusive approximations

We study a class of processes that are akin to the Wright-Fisher model, with transition probabilities weighted in terms of the frequency-dependent fitness of the population types. By considering an approximate weak formulation of the discrete problem, we are able to derive a corresponding continuous weak formulation for the probability density. Therefore, we obtain a family of partial differential equations (PDE) for the evolution of the probability density, and which will be an approximation of the discrete process in the joint large population, small time-steps and weak selection limit. If the fitness functions are sufficiently regular, we can recast the weak formulation in a more standard formulation, without any boundary conditions, but supplemented by a number of conservation laws. The equations in this family can be purely diffusive, purely hyperbolic or of convection-diffusion type, with frequency dependent convection. The particular outcome will depend on the assumed scalings. The diffusive equations are of the degenerate type; using a duality approach, we also obtain a frequency dependent version of the Kimura equation without any further assumptions. We also show that the convective approximation is related to the replicator dynamics and provide some estimate of how accurate is the convective approximation, with respect to the convective-diffusion approximation. In particular, we show that the mode, but not the expected value, of the probability distribution is modelled by the replicator dynamics. Some numerical simulations that illustrate the results are also presented

Neuropsychiatric outcomes of stroke

The most common neuropsychiatric outcomes of stroke are depression, anxiety, fatigue, and apathy, which each occur in at least 30% of patients and have substantial overlap of prevalence and symptoms. Emotional lability, personality changes, psychosis, and mania are less common but equally distressing symptoms that are also challenging to manage. The cause of these syndromes is not known, and there is no clear relation to location of brain lesion. There are important gaps in knowledge about how to manage these disorders, even for depression, which is the most studied syndrome. Further research is needed to identify causes and interventions to prevent and treat these disorders

Requirement for Ergosterol in V-ATPase Function Underlies Antifungal Activity of Azole Drugs

Ergosterol is an important constituent of fungal membranes. Azoles inhibit ergosterol biosynthesis, although the cellular basis for their antifungal activity is not understood. We used multiple approaches to demonstrate a critical requirement for ergosterol in vacuolar H+-ATPase function, which is known to be essential for fungal virulence. Ergosterol biosynthesis mutants of S. cerevisiae failed to acidify the vacuole and exhibited multiple vma− phenotypes. Extraction of ergosterol from vacuolar membranes also inactivated V-ATPase without disrupting membrane association of its subdomains. In both S. cerevisiae and the fungal pathogen C. albicans, fluconazole impaired vacuolar acidification, whereas concomitant ergosterol feeding restored V-ATPase function and cell growth. Furthermore, fluconazole exacerbated cytosolic Ca2+ and H+ surges triggered by the antimicrobial agent amiodarone, and impaired Ca2+ sequestration in purified vacuolar vesicles. These findings provide a mechanistic basis for the synergy between azoles and amiodarone observed in vitro. Moreover, we show the clinical potential of this synergy in treatment of systemic fungal infections using a murine model of Candidiasis. In summary, we demonstrate a new regulatory component in fungal V-ATPase function, a novel role for ergosterol in vacuolar ion homeostasis, a plausible cellular mechanism for azole toxicity in fungi, and preliminary in vivo evidence for synergism between two antifungal agents. New insights into the cellular basis of azole toxicity in fungi may broaden therapeutic regimens for patient populations afflicted with systemic fungal infections

Expression of Calmodulin and Myosin Light Chain Kinase during Larval Settlement of the Barnacle Balanus amphitrite

Barnacles are one of the most common organisms in intertidal areas. Their life cycle includes seven free-swimming larval stages and sessile juvenile and adult stages. The transition from the swimming to the sessile stages, referred to as larval settlement, is crucial for their survivor success and subsequent population distribution. In this study, we focused on the involvement of calmodulin (CaM) and its binding proteins in the larval settlement of the barnacle, Balanus ( = Amphibalanus) amphitrite. The full length of CaM gene was cloned from stage II nauplii of B. amphitrite (referred to as Ba-CaM), encoding 149 amino acid residues that share a high similarity with published CaMs in other organisms. Quantitative real-time PCR showed that Ba-CaM was highly expressed in cyprids, the stage at which swimming larvae are competent to attach and undergo metamorphosis. In situ hybridization revealed that the expressed Ba-CaM gene was localized in compound eyes, posterior ganglion and cement glands, all of which may have essential functions during larval settlement. Larval settlement assays showed that both the CaM inhibitor compound 48/80 and the CaM-dependent myosin light chain kinase (MLCK) inhibitor ML-7 effectively blocked barnacle larval settlement, whereas Ca2+/CaM-dependent kinase II (CaMKII) inhibitors did not show any clear effects. The subsequent real-time PCR assay showed a higher expression level of Ba-MLCK gene in larval stages than in adults, suggesting an important role of Ba-MLCK gene in larval development and competency. Overall, the results suggest that CaM and CaM-dependent MLCK function during larval settlement of B. amphitrite

Identification of Contractile Vacuole Proteins in Trypanosoma cruzi

Contractile vacuole complexes are critical components of cell volume regulation and have been shown to have other functional roles in several free-living protists. However, very little is known about the functions of the contractile vacuole complex of the parasite Trypanosoma cruzi, the etiologic agent of Chagas disease, other than a role in osmoregulation. Identification of the protein composition of these organelles is important for understanding their physiological roles. We applied a combined proteomic and bioinfomatic approach to identify proteins localized to the contractile vacuole. Proteomic analysis of a T. cruzi fraction enriched for contractile vacuoles and analyzed by one-dimensional gel electrophoresis and LC-MS/MS resulted in the addition of 109 newly detected proteins to the group of expressed proteins of epimastigotes. We also identified different peptides that map to at least 39 members of the dispersed gene family 1 (DGF-1) providing evidence that many members of this family are simultaneously expressed in epimastigotes. Of the proteins present in the fraction we selected several homologues with known localizations in contractile vacuoles of other organisms and others that we expected to be present in these vacuoles on the basis of their potential roles. We determined the localization of each by expression as GFP-fusion proteins or with specific antibodies. Six of these putative proteins (Rab11, Rab32, AP180, ATPase subunit B, VAMP1, and phosphate transporter) predominantly localized to the vacuole bladder. TcSNARE2.1, TcSNARE2.2, and calmodulin localized to the spongiome. Calmodulin was also cytosolic. Our results demonstrate the utility of combining subcellular fractionation, proteomic analysis, and bioinformatic approaches for localization of organellar proteins that are difficult to detect with whole cell methodologies. The CV localization of the proteins investigated revealed potential novel roles of these organelles in phosphate metabolism and provided information on the potential participation of adaptor protein complexes in their biogenesis