Fast calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion

This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion (DD-SV-LMM). Our approach brings together two research areas; first, the results regarding the SV-LMM since the work of Wu and Zhang (2006), especially on the moment generating function, and second the approximation of density distributions based on Edgeworth or Gram-Charlier expansions. By exploring the analytical tractability of moments up to fourth order, we are able to perform an adjustment of the reference Bachelier model with normal volatilities for skewness and kurtosis, and as a by-product to derive a smile formula relating the volatility to the moneyness with interpretable parameters. As a main conclusion, our numerical results show a 98% reduction in computational time for the DD-SV-LMM calibration process compared to the classical numerical integration method developed by Heston (1993)

Fast calibration of the LIBOR Market Model with Stochastic Volatility based on analytical gradient

We propose to take advantage of the common knowledge of the characteristic function of the swap rate process as modelled in the LIBOR Market Model with Stochastic Volatility and Displaced Diffusion (DDSVLMM) to derive analytical expressions of the gradient of swaptions prices with respect to the model parameters. We use this result to derive an efficient calibration method for the DDSVLMM using gradient-based optimization algorithms. Our study relies on and extends the work by (Cui et al., 2017) that developed the analytical gradient for fast calibration of the Heston model, based on an alternative formulation of the Heston moment generating function proposed by (del Ba{\~n}o et al., 2010). Our main conclusion is that the analytical gradient-based calibration is highly competitive for the DDSVLMM, as it significantly limits the number of steps in the optimization algorithm while improving its accuracy. The efficiency of this novel approach is compared to classical standard optimization procedures

Gated blood-pool SPECT evaluation of changes after radiofrequency catheter ablation of accessory pathways Evidence for persistent ventricular preexcitation despite successful therapy

AbstractOBJECTIVESThis study was designed to prospectively evaluate the effects of radiofrequency ablation in Wolff-Parkinson-White (WPW) syndrome by scintigraphic analysis.BACKGROUNDThe functional changes triggered by radiofrequency current ablation of atrioventricular accessory pathways are not fully known.METHODSForty-four patients with WPW syndrome were consecutively investigated before and 48 h after radiofrequency therapy. Fourteen patients had right sided atrioventricular pathways and 30 patients had left sided bypass-tracts. Planar gated imaging and gated blood pool tomography were performed in all of these patients.RESULTSA significant increase in the left ventricular ejection fraction (LVEF) was demonstrated in patients with left preexcitation (62.2 ± 7.9% before ablation against 64.4 ± 6.3% after ablation, p = 0.02) but not for those with right sided anomalous pathway. Phase analysis only gave significant differences following ablation of right sided pathways (left-to-right phase difference = 14.4 ± 13.8° before ablation versus 7.5 ± 7.2° after ablation, p < 0.05). Early abnormal ventricular contraction persisted in 12 patients with right accessory pathways and in 8 patients with left accessory pathways despite the complete disappearance of any abnormal conduction as proven electrophysiologically.CONCLUSIONSFollowing catheter ablation of atrioventricular accessory pathways: 1) an improvement of left ventricular function may be seen, particularly in patients with left sided accessory pathways, and 2) unexpected persistence of local ventricular preexcitation at the site of successful ablation may be detected

Protective Efficacy against Respiratory Syncytial Virus following Murine Neonatal Immunization with BBG2Na Vaccine: Influence of Adjuvants and Maternal Antibodies

Alum-adsorbed BBG2Na, a recombinant vaccine derived in part from the respiratory syncytial virus (RSV) subgroup A G protein, induced moderate antibody titers after 1 immunization in 1-week-old mice but conferred complete lung protection upon RSV challenge. The anti-BBG2Na IgG1-IgG2a neonatal isotype profile was suggestive of dominant Th2 responses compared with those in adults. Formulation of BBG2Na with a Th1-driving adjuvant efficiently shifted neonatal responses toward a more balanced and adultlike IgG1-IgG2a profile without compromising its protective efficacy. BBG2Na-induced protective immunity was maintained even after early life immunization in the presence of high titers of maternal antibodies. Under these conditions, the protective efficacy (86%-100%) reflected the high capacity of the nonglycosylated G2Na immunogen to escape inhibition by RSV-A—induced maternal antibodies. Thus, immunization with BBG2Na protected against viral challenge despite neonatal immunologic immaturity and the presence of maternal antibodies, two major obstacles to neonatal RSV vaccine developmen

A well-conserved Plasmodium falciparum var gene shows an unusual stage-specific transcript pattern

The var multicopy gene family encodes Plasmodium falciparum erythrocyte membrane protein 1 (PfEMP1) variant antigens, which, through their ability to adhere to a variety of host receptors, are thought to be important virulence factors. The predominant expression of a single cytoadherent PfEMP1 type on an infected red blood cell, and the switching between different PfEMP1 types to evade host protective antibody responses, are processes thought to be controlled at the transcriptional level. Contradictory data have been published on the timing of var gene transcription. Reverse transcription-polymerase chain reaction (RT-PCR) data suggested that transcription of the predominant var gene occurs in the later (pigmented trophozoite) stages, whereas Northern blot data indicated such transcripts only in early (ring) stages. We investigated this discrepancy by Northern blot, with probes covering a diverse var gene repertoire. We confirm that almost all var transcript types were detected only in ring stages. However, one type, the well-conserved varCSA transcript, was present constitutively in different laboratory parasites and does not appear to undergo antigenic variation. Although varCSA has been shown to encode a chondroitin sulphate A (CSA)-binding PfEMP1, we find that the presence of full-length varCSA transcripts does not correlate with the CSA-binding phenotype

Energy partition of seismic coda waves in layered media: theory and application to Pinyon Flats Observatory

We have studied the partition of shear, compressional and kinetic energies in the coda of ten earthquakes recorded on a dense array, located at Pinyon Flats Observatory (PFO), California. We observe a clear stabilization of the shear to compressional ($W^s/W^p$) energy ratio in the coda, with an average value of about 2.8. The ratio between the vertical and horizontal kinetic energies ($V^2/H^2$) can be measured from 5 to 25Hz and shows an abrupt transitionfrom 0.1 in the 5-10Hz band, to about 0.8 in the 15-25Hz band. These measured values are in sharp contrast with the theoretical prediction for equipartitioned elastic waves in a homogeneous half-space. To explain these observations, we have developed a theory of equipartition in a layered elastic half-space. Using a rigorous spectral decomposition of the elastic wave equation, we define equipartition as a white noise distributed over the complete set of eigenfunctions. The theory predicts that close to the resonance frequency of a low-velocity layer, the ratio between shear and compressional energies strongly decreases. Using a detailed model of the subsurface at PFO, this conterintuitive result is found to be in good qualitative and quantitative agreement with the observations

Building an international network for a primary care research program: reflections on challenges and solutions in the set-up and delivery of a prospective observational study of acute cough in 13 European countries

BACKGROUND: Implementing a primary care clinical research study in several countries can make it possible to recruit sufficient patients in a short period of time that allows important clinical questions to be answered. Large multi-country studies in primary care are unusual and are typically associated with challenges requiring innovative solutions. We conducted a multi-country study and through this paper, we share reflections on the challenges we faced and some of the solutions we developed with a special focus on the study set up, structure and development of Primary Care Networks (PCNs).METHOD: GRACE-01 was a multi-European country, investigator-driven prospective observational study implemented by 14 Primary Care Networks (PCNs) within 13 European Countries. General Practitioners (GPs) recruited consecutive patients with an acute cough. GPs completed a case report form (CRF) and the patient completed a daily symptom diary. After study completion, the coordinating team discussed the phases of the study and identified challenges and solutions that they considered might be interesting and helpful to researchers setting up a comparable study.RESULTS: The main challenges fell within three domains as follows:i) selecting, setting up and maintaining PCNs;ii) designing local context-appropriate data collection tools and efficient data management systems; andiii) gaining commitment and trust from all involved and maintaining enthusiasm.The main solutions for each domain were:i) appointing key individuals (National Network Facilitator and Coordinator) with clearly defined tasks, involving PCNs early in the development of study materials and procedures.ii) rigorous back translations of all study materials and the use of information systems to closely monitor each PCNs progress;iii) providing strong central leadership with high level commitment to the value of the study, frequent multi-method communication, establishing a coherent ethos, celebrating achievements, incorporating social events and prizes within meetings, and providing a framework for exploitation of local data.CONCLUSIONS: Many challenges associated with multi-country primary care research can be overcome by engendering strong, effective communication, commitment and involvement of all local researchers. The practical solutions identified and the lessons learned in implementing the GRACE-01 study may assist in establishing other international primary care clinical research platforms

The JWST Early Release Science Program for the Direct Imaging and Spectroscopy of Exoplanetary Systems

The direct characterization of exoplanetary systems with high-contrast imaging is among the highest priorities for the broader exoplanet community. As large space missions will be necessary for detecting and characterizing exo-Earth twins, developing the techniques and technology for direct imaging of exoplanets is a driving focus for the community. For the first time, JWST will directly observe extrasolar planets at mid-infrared wavelengths beyond 5 μm, deliver detailed spectroscopy revealing much more precise chemical abundances and atmospheric conditions, and provide sensitivity to analogs of our solar system ice-giant planets at wide orbital separations, an entirely new class of exoplanet. However, in order to maximize the scientific output over the lifetime of the mission, an exquisite understanding of the instrumental performance of JWST is needed as early in the mission as possible. In this paper, we describe our 55 hr Early Release Science Program that will utilize all four JWST instruments to extend the characterization of planetary-mass companions to ∼15 μm as well as image a circumstellar disk in the mid-infrared with unprecedented sensitivity. Our program will also assess the performance of the observatory in the key modes expected to be commonly used for exoplanet direct imaging and spectroscopy, optimize data calibration and processing, and generate representative data sets that will enable a broad user base to effectively plan for general observing programs in future Cycles

Apoptotic Effects of Antilymphocyte Globulins on Human Pro-inflammatory CD4+CD28− T-cells

BACKGROUND: Pro-inflammatory, cytotoxic CD4(+)CD28(-) T-cells with known defects in apoptosis have been investigated as markers of premature immuno-senescence in various immune-mediated diseases. In this study we evaluated the influence of polyclonal antilymphocyte globulins (ATG-Fresenius, ATG-F) on CD4(+)CD28(-) T-cells in vivo and in vitro. PRINCIPAL FINDINGS: Surface and intracellular three colour fluorescence activated cell sorting analyses of peripheral blood mononuclear cells from 16 consecutive transplant recipients and short-term cell lines were performed. In vivo, peripheral levels of CD3(+)CD4(+)CD28(-) T-cells decreased from 3.7 ± 7.1% before to 0 ± 0% six hours after ATG-F application (P = 0.043) in 5 ATG-F treated but not in 11 control patients (2.9 ± 2.9% vs. 3.9 ± 3.0%). In vitro, ATG-F induced apoptosis even in CD4(+)CD28(-) T-cells, which was 4.3-times higher than in CD4(+)CD28(+) T-cells. ATG-F evoked apoptosis was partially reversed by the broad-spectrum caspase inhibitor benzyloxycarbonyl (Cbz)-Val-Ala-Asp(OMe)-fluoromethylketone (zVAD-fmk) and prednisolon-21-hydrogensuccinate. ATG-F triggered CD25 expression and production of pro-inflammatory cytokines, and induced down-regulation of the type 1 chemokine receptors CXCR-3, CCR-5, CX3CR-1 and the central memory adhesion molecule CD62L predominately in CD4(+)CD28(-) T-cells. CONCLUSION: In summary, in vivo depletion of peripheral CD3(+)CD4(+)CD28(-) T-cells by ATG-F in transplant recipients was paralleled in vitro by ATG-F induced apoptosis. CD25 expression and chemokine receptor down-regulation in CD4(+)CD28(-) T-cells only partly explain the underlying mechanism