A hybrid tree/finite-difference approach for Heston-Hull-White type models

We study a hybrid tree-finite difference method which permits to obtain efficient and accurate European and American option prices in the Heston Hull-White and Heston Hull-White2d models. Moreover, as a by-product, we provide a new simulation scheme to be used for Monte Carlo evaluations. Numerical results show the reliability and the efficiency of the proposed method

A shape optimization problem on planar sets with prescribed topology

We consider shape optimization problems involving functionals depending on perimeter, torsional rigidity and Lebesgue measure. The scaling free cost functionals are of the form $P(\Omega)T^q(\Omega)|\Omega|^{-2q-1/2}$ and the class of admissible domains consists of two-dimensional open sets $\Omega$ satisfying the topological constraints of having a prescribed number $k$ of bounded connected components of the complementary set. A relaxed procedure is needed to have a well-posed problem and we show that when $q<1/2$ an optimal relaxed domain exists. When $q>1/2$ the problem is ill-posed and for $q=1/2$ the explicit value of the infimum is provided in the cases $k=0$ and $k=1$

Uma análise dos spreads bancários praticados no Brasil

TCC (graduação) - Universidade Federal de Santa Catarina. Centro Sócio-Econômico. Economia.A concessão de credito é extremamente importante para o desenvolvimento de uma determinada economia porque possibilita o financiamento de investimentos produtivos, o aquecimento do sistema financeiro, o fomento da economia e a promoção do desenvolvimento. Para tanto, o sistema financeiro do pais deve proporcionar um ofertar de crédito suficiente e com aplicação de taxas saudáveis. Na economia Brasileira, enfrenta-se o problema referente a baixa oferta de crédito e ao alto custo do crédito, o que se pode chamar de spread bancário. Diante desse impasse, este trabalho tem o objetivo de analisar os determinantes do spread bancário no Brasil_ A oferta de credito depende de diversos fatores, dentre eles, a relação de confiança entre o credor e o pagador, que e adquirida através da análise de propensão inadimplencia. Caso não haja transparência e informações suficientes, o credor pode tomar a decisão de não conceder o crédito, ou de conceder a partir da cobrança de um prêmio de risco maior. 0 problema do spread bancário no Brasil é formado por diversos fatores que serão demonstrados neste trabalho, bem como as ações tomadas pelo Banco Central para sua redução. Para tanto, este trabalho iniciará com a explanação da estrutura do sistema financeiro nacional, bem como suas relações no mercado que originam o crédito, em seguida, apresentar-se-á uma exposição da conjuntura econômica a partir do Plano Real, e, por fim, concluir-se-6 com a análise dos fatores que compõem o spread bancário e sua performance de evolução nos últimos anos, bem como as medidas que o Banco Central vem adotando para proporcionar a sua redução

Searching for Chips of Kuiper Belt Objects in Meteorites

The Nice model [1&2] describes a scenario whereby the Jovian planets experienced a violent reshuffling event approx.3:9 Ga the giant planets moved, existing small body reservoirs were depleted or eliminated, and new reservoirs were created in particular locations. The Nice model quantitatively explains the orbits of the Jovian planets and Neptune [1], the orbits of bodies in several different small body reservoirs in the outer solar system (e.g., Trojans of Jupiter [2], the Kuiper belt and scattered disk [3], the irregular satellites of the giant planets [4], and the late heavy bombardment on the terrestrial planets approx.3:9 Ga [5]. This model is unique in plausibly explaining all of these phenomena. One issue with the Nice model is that it predicts that transported Kuiper Belt Objects (KBOs) (things looking like D class asteroids) should predominate in the outer asteroid belt, but we know only about 10% of the objects in the outer main asteroid belt appear to be D-class objects [6]. However based upon collisional modeling, Bottke et al. [6] argue that more than 90% of the objects captured in the outer main belt could have been eliminated by impacts if they had been weakly-indurated objects. These disrupted objects should have left behind pieces in the ancient regoliths of other, presumably stronger asteroids. Thus, a derived prediction of the Nice model is that ancient regolith samples (regolith-bearing meteorites) should contain fragments of collisionally-destroyed Kuiper belt objects. In fact KBO pieces might be expected to be present in most ancient regolith- bearing meteorites [7&8]

Looking for the Original Materials and Evidence of Restoration at the Vault of the San Panfilo Church in Tornimparte (AQ)

This paper reports the investigation of six microsamples collected from the vault of the San Panfilo Church in Tornimparte (AQ). The aim was to detect the composition of the pigments and protective/varnishes, and to investigate the executive technique, the conservation state, and the evidence of the restoration works carried out in the past. Six microsamples were analyzed by optical microscopy, scanning electron microscopy coupled with energy-dispersive spectroscopy (EDS), X-ray fluorescence (XRF), and infrared and Raman spectroscopy. The investigations were carried out within the framework of the Tornimparte project "Archeometric investigation of the pictorial cycle of Saturnino Gatti in Tornimparte (AQ, Italy)" sponsored in 2021 by the Italian Association of Archeometry (AIAr)

Energy solutions to one-dimensional singular parabolic problems with BVBV data are viscosity solutions

We study one-dimensional very singular parabolic equations with periodic boundary conditions and initial data in $BV$, which is the energy space. We show existence of solutions in this energy space and then we prove that they are viscosity solutions in the sense of Giga-Giga.Comment: 15 page

Phage therapy against Pseudomonas aeruginosa infections in a cystic fibrosis zebrafish model

Cystic fibrosis (CF) is a hereditary disease due to mutations in the CFTR gene and causes mortality in humans mainly due to respiratory infections caused by Pseudomonas aeruginosa. In a previous work we used phage therapy, which is a treatment with a mix of phages, to actively counteract acute P. aeruginosa infections in mice and Galleria mellonella larvae. In this work we apply phage therapy to the treatment of P. aeruginosa PAO1 infections in a CF zebrafish model. The structure of the CFTR channel is evolutionary conserved between fish and mammals and cftr-loss-of-function zebrafish embryos show a phenotype that recapitulates the human disease, in particular with destruction of the pancreas. We show that phage therapy is able to decrease lethality, bacterial burden, and the pro-inflammatory response caused by PAO1 infection. In addition, phage administration relieves the constitutive inflammatory state of CF embryos. To our knowledge, this is the first time that phage therapy is used to cure P. aeruginosa infections in a CF animal model. We also find that the curative effect against PAO1 infections is improved by combining phages and antibiotic treatments, opening a useful therapeutic approach that could reduce antibiotic doses and time of administration

Recommendations for pre-symptomatic genetic testing for hereditary transthyretin amyloidosis in the era of effective therapy: a multicenter Italian consensus

Hereditary transthyretin amyloidosis (ATTRv, v for variant) is a late-onset, autosomal dominant disease caused by progressive extracellular deposition of transthyretin amyloid fibrils, leading to organ damage and death. For other late-onset fatal diseases, as Huntington's disease, protocols for pre-symptomatic genetic testing (PST) are available since decades. For ATTRv, limited experience has been reported to date, mostly gathered before the availability of approved therapies. We aimed at developing recommendations for a safe and feasible PST protocol in ATTRv in the era of emerging treatments, taking also into account Italian patients' characteristics and healthcare system rules. After an initial survey on ongoing approaches to PST for ATTRv in Italy, two roundtable meetings were attended by 24 experts from 16 Italian centers involved in the diagnosis and care of this disease. Minimal requirements for PST offer and potential critical issues were highlighted. By November 2019, 457 families affected by ATTRv with 209 molecularly confirmed pre-symptomatic carriers were counted. The median age at PST was 41.3years of age, regardless of the specific mutation. Half of the Italian centers had a multidisciplinary team, including a neurologist, an internist, a cardiologist, a medical geneticist and a psychologist, although in most cases not all the specialists were available in the same center. A variable number of visits was performed at each site. Experts agreed that PST should be offered only in the context of genetic counselling to at risk individuals aged 18 or older. Advertised commercial options for DNA testing should be avoided. The protocol should consist of several steps, including a preliminary clinical examination, a pre-test information session, an interval time, the genetic test and a post-test session with the disclosure of the test results, in the context of an experienced multidisciplinary team. Recommendations for best timing were also defined. Protocols for PST in the context of ATTRv can be refined to offer at risk individuals the best chance for early diagnosis and timely treatment start, while respecting autonomous decisions and promoting safe psychological adjustment to the genetic result

Positive finite difference schemes for a partial integro-differential option pricing model

[EN] This paper provides a numerical analysis for European options under partial integro-differential Bates model. An explicit finite difference scheme has been used for the differential part, while the integral part has been approximated using the four-points open type formula. The stability and consistency have been studied. Moreover, conditions guaranteing positivity of the solutions are provided. Illustrative numerical examples are included.This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and the Ministerio de Economia y Competitividad Spanish grant MTM2013-41765-P.Fakharany, M.; Company Rossi, R.; Jódar Sánchez, LA. (2014). Positive finite difference schemes for a partial integro-differential option pricing model. Applied Mathematics and Computation. 249:320-332. https://doi.org/10.1016/j.amc.2014.10.064S32033224