Local risk-minimization under the benchmark approach

© 2014, Springer-Verlag Berlin Heidelberg. We study the pricing and hedging of derivatives in incomplete financial markets by considering the local risk-minimization method in the context of the benchmark approach, which will be called benchmarked local risk-minimization. We show that the proposed benchmarked local risk-minimization allows to handle under extremely weak assumptions a much richer modeling world than the classical methodology

Nucleation of superconducting pairing states at mesoscopic scales at zero temperature

We find the spin polarized disordered Fermi liquids are unstable to the nucleation of superconducting pairing states at mesoscopic scales even when magnetic fields which polarize the spins are substantially higher than the critical one. We study the probability of finding superconducting pairing states at mesoscopic scales in this limit. We find that the distribution function depends only on the film conductance. The typical length scale at which pairing takes place is universal, and decreases when the magnetic field is increased. The number density of these states determines the strength of the random exchange interactions between mesoscopic pairing states.Comment: 11 pages, no figure

Fractional backward stochastic differential euqations and fractional backward variational inequalities

In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation, formally written as: [{[c]{l}% -dY(t)= f(t,\eta(t),Y(t),Z(t))dt-Z(t)\delta B^{H}(t), \quad t\in[0,T], Y(T)=\xi,.] where $\eta$ is a stochastic process given by $\eta(t)=\eta(0) +\int_{0}^{t}\sigma(s) \delta B^{H}(s)$, $t\in[0,T]$, and $B^{H}$ is a fractional Brownian motion with Hurst parameter greater than 1/2. The stochastic integral used in above equation is the divergence-type integral. Based on Hu and Peng's paper, \textit{BDSEs driven by fBm}, SIAM J Control Optim. (2009), we develop a rigorous approach for this equation. Moreover, we study the existence of the solution for the multivalued backward stochastic differential equation [{[c]{l} -dY(t)+\partial\varphi(Y(t))dt\ni f(t,\eta(t),Y(t),Z(t))dt-Z(t)\delta B^{H}(t),\quad t\in[0,T], Y(T)=\xi,.] where $\partial\varphi$ is a multivalued operator of subdifferential type associated with the convex function $\varphi$.Comment: 41 page

About one long-range contribution to K+ -> pi+ l+ l- decays

We investigate the mechanism of K+ -> pi+ l+ l- (l= e, mu) decays in which a virtual photon is emitted either from the incoming K+ or the outgoing pi+. We point out some inconsistencies with and between two previous calculations, discuss the possible experimental inputs, and estimate the branching fractions. This mechanism alone fails to explain the existing experimental data by more than one order-of-magnitude. But it may show itself by its interference with the leading long-range mechanism dominated by the a_1^+ and rho^0 mesons.Comment: 12 pages, RevTeX, epsf.sty, 2 embedded figure

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities, an equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information-based asset pricing are used to model the endogenous asset price dynamics and the terminal payoff. The derived semi-explicit pricing formulae are applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of simultaneously-traded European-style options.Comment: 24 pages, 4 figure

Phenotypic definition and genotype-phenotype correlates in pmpca-related disease

Background: Peptidase mitochondrial processing alpha (PMPCA) biallelic mutations cause a spectrum of disorders ranging from severe progressive multisystemic mitochondrial encephalopathy to a milder non-progressive cerebellar ataxia with or without intellectual disability. Recently, we and others described an intermediate phenotype in two unrelated patients. Methods: We report a second Italian patient carrying novel PMPCA variants (p.Trp278Leu; p.Arg362Gly). Molecular modeling, dynamics simulation, RT-qPCR, and Western blotting were performed to predict the pathogenic impact of variants in the two Italian patients and attempt genotype-phenotype correlates. Results: In line with the two patients with intermediate phenotypes, our case presented global psychomotor delay with regression, intellectual disability, spastic-ataxic gait, and hyperkinetic movements, with cerebellar atrophy and bilateral striatal hyperintensities. However, blood lactate, muscle biopsy, and MRI spectroscopy were normal. PMPCA protein levels were significantly higher than controls despite normal cDNA levels. Dynamics simulation of several PMPCA missense variants showed a variable impact on the flexibility of the glycine rich loop and, for some cases, on the overall protein stability, without clear genotype-phenotype correlates. Conclusion: We confirm the expansion of PMPCA phenotypic spectrum including an intermediate phenotype of progressive encephalopathy without systemic involvement. The association of cerebellar atrophy with “Leigh-like” striatal hyperintensities may represent a “red flag” for this condition

Selective Depletion of αβ T Cells and B Cells for Human Leukocyte Antigen–Haploidentical Hematopoietic Stem Cell Transplantation. A Three-Year Follow-Up of Procedure Efficiency

HLA-haploidentical family donors represent a valuable option for children requiring allogeneic hematopoietic stem cell transplantation (HSCT). Because graft-versus-host diseases (GVHD) is a major complication of HLA-haploidentical HSCT because of alloreactive T cells in the graft, different methods have been used for ex vivo T cell depletion. Removal of donor αβ T cells, the subset responsible for GVHD, and of B cells, responsible for post-transplantation lymphoproliferative disorders, have been recently developed for HLA-haploidentical HSCT. This manipulation preserves, in addition to CD34+ progenitors, natural killer, γδ T, and monocytes/dendritic cells, contributing to anti-leukemia activity and protection against infections. We analyzed depletion efficiency and cell yield in 200 procedures performed in the last 3 years at our center. Donors underwent CD34+  hematopoietic stem cell (HSC) peripheral blood mobilization with granulocyte colony–stimulating factor (G-CSF). Poor CD34+ cell mobilizers (48 of 189, 25%) received plerixafor in addition to G-CSF. Aphereses containing a median of 52.5 × 109 nucleated cells and 494 × 106 CD34+ HSC were manipulated using the CliniMACS device. In comparison to the initial product, αβ T cell depletion produced a median 4.1-log reduction (range, 3.1 to 5.5) and B cell depletion led to a median 3.4-log reduction (range, 2.0 to 4.7). Graft products contained a median of 18.5 × 106 CD34+ HSC/kg recipient body weight, with median values of residual αβ T cells and B cells of 29 × 103/kg and 33 × 103/kg, respectively. Depletion efficiency monitored at 6-month intervals demonstrated steady performance, while improved recovery of CD34+ cells was observed after the first year (P = .0005). These data indicate that αβ T cell and B cell depletion of HSC grafts from HLA-haploidentical donors was efficient and reproducible