Optimal Fourier Inversion in Semi-analytical Option Pricing

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for different representations of the inverse Fourier integral. In this article, we present the optimal contour of the Fourier integral, taking into account numerical issues such as cancellation and explosion of the characteristic function. This allows for robust and fast option pricing for almost all levels of strikes and maturities

Why the Rotation Count Algorithm Works

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages, the characteristic function can become discontinuous, leading to completely wrong option prices if options are priced by Fourier inversion. In this paper we prove under non-restrictive conditions on the parameters that the rotation count algorithm of Kahl and Jäckel chooses the correct branch of the complex logarithm. Under the same restrictions we prove that in an alternative formulation of the characteristic function the principal branch is the correct one. Seen as this formulation is easier to implement and numerically more stable than Heston’s formulation, it should be the preferred one. The remainder of this paper shows how complex discontinuities can be avoided in the Schöbel-Zhu model and the exact simulation algorithm of the Heston model, recently proposed by Broadie and Kaya. Finally, we show that Matytsin’s SVJJ model has a closed-form characteristic function, though the complex discontinuities that arise there due to the branch switching of the exponential integral cannot be avoided under all circumstances

Self-assembly of DNA-functionalized colloids

Colloidal particles grafted with single-stranded DNA (ssDNA) chains can self-assemble into a number of different crystalline structures, where hybridization of the ssDNA chains creates links between colloids stabilizing their structure. Depending on the geometry and the size of the particles, the grafting density of the ssDNA chains, and the length and choice of DNA sequences, a number of different crystalline structures can be fabricated. However, understanding how these factors contribute synergistically to the self-assembly process of DNA-functionalized nano- or micro-sized particles remains an intensive field of research. Moreover, the fabrication of long-range structures due to kinetic bottlenecks in the self-assembly are additional challenges. Here, we discuss the most recent advances from theory and experiment with particular focus put on recent simulation studies

Mindfulness based interventions in multiple sclerosis: a systematic review

<b>Background</b> Multiple sclerosis (MS) is a stressful condition; depression, anxiety, pain and fatigue are all common problems. Mindfulness based interventions (MBIs) mitigate stress and prevent relapse in depression and are increasingly being used in healthcare. However, there are currently no systematic reviews of MBIs in people with MS. This review aims to evaluate the effectiveness of MBIs in people with MS.<p></p> <b>Methods</b> Systematic searches were carried out in seven major databases, using both subject headings and key words. Papers were screened, data extracted, quality appraised, and analysed by two reviewers independently, using predefined criteria. Study quality was assessed using the Cochrane Collaboration risk of bias tool. Perceived stress was the primary outcome. Secondary outcomes include mental health, physical health, quality of life, and health service utilisation. Statistical meta-analysis was not possible. Disagreements were adjudicated by a third party reviewer.<p></p> <b>Results</b> Three studies (n = 183 participants) were included in the final analysis. The studies were undertaken in Wales (n = 16, randomised controlled trial - (RCT)), Switzerland (n = 150, RCT), and the United States (n = 17, controlled trial). 146 (80%) participants were female; mean age (SD) was 48.6 (9.4) years. Relapsing remitting MS was the main diagnostic category (n = 123, 67%); 43 (26%) had secondary progressive disease; and the remainder were unspecified. MBIs lasted 6–8 weeks; attrition rates were variable (5-43%); all employed pre- post- measures; two had longer follow up; one at 3, and one at 6 months. Socio-economic status of participants was not made explicit; health service utilisation and costs were not reported. No study reported on perceived stress. All studies reported quality of life (QOL), mental health (anxiety and depression), physical (fatigue, standing balance, pain), and psychosocial measures. Statistically significant beneficial effects relating to QOL, mental health, and selected physical health measures were sustained at 3- and 6- month follow up.<p></p> <b>Conclusion</b> From the limited data available, MBIs may benefit some MS patients in terms of QOL, mental health, and some physical health measures. Further studies are needed to clarify how MBIs might best serve the MS population.<p></p&gt

The ratio of proton's electric to magnetic form factors measured by polarization transfer

The ratio of the proton's elastic electromagnetic form factors was obtained by measuring the transverse and longitudinal polarizations of recoiling protons from the elastic scattering of polarized electrons with unpolarized protons. The ratio of the electric to magnetic form factor is proportional to the ratio of the transverse to longitudinal recoil polarizations. The ratio was measured over a range of four-momentum transfer squared between 0.5 and 3.5 GeV-squared. Simultaneous measurement of transverse and longitudinal polarizations in a polarimeter provides good control of the systematic uncertainty. The results for the ratio of the proton's electric to magnetic form factors show a systematic decrease with increasing four momentum squared, indicating for the first time a marked difference in the spatial distribution of charge and magnetization currents in the proton.Comment: 5 pages, 2 figures, version of paper after corrections due to referees comments and shortened by removing one figure for Physical Review Letter

Age-related increases in parathyroid hormone may be antecedent to both osteoporosis and dementia

<p>Abstract</p> <p>Background</p> <p>Numerous studies have reported that age-induced increased parathyroid hormone plasma levels are associated with cognitive decline and dementia. Little is known about the correlation that may exist between neurological processing speed, cognition and bone density in cases of hyperparathyroidism. Thus, we decided to determine if parathyroid hormone levels correlate to processing speed and/or bone density.</p> <p>Methods</p> <p>The recruited subjects that met the inclusion criteria (n = 92, age-matched, age 18-90 years, mean = 58.85, SD = 15.47) were evaluated for plasma parathyroid hormone levels and these levels were statistically correlated with event-related P300 potentials. Groups were compared for age, bone density and P300 latency. One-tailed tests were used to ascertain the statistical significance of the correlations. The study groups were categorized and analyzed for differences of parathyroid hormone levels: parathyroid hormone levels <30 (n = 30, mean = 22.7 ± 5.6 SD) and PTH levels >30 (n = 62, mean = 62.4 ± 28.3 SD, p ≤ 02).</p> <p>Results</p> <p>Patients with parathyroid hormone levels <30 showed statistically significantly less P300 latency (P300 = 332.7 ± 4.8 SE) relative to those with parathyroid hormone levels >30, which demonstrated greater P300 latency (P300 = 345.7 ± 3.6 SE, p = .02). Participants with parathyroid hormone values <30 (n = 26) were found to have statistically significantly higher bone density (M = -1.25 ± .31 SE) than those with parathyroid hormone values >30 (n = 48, M = -1.85 ± .19 SE, p = .04).</p> <p>Conclusion</p> <p>Our findings of a statistically lower bone density and prolonged P300 in patients with high parathyroid hormone levels may suggest that increased parathyroid hormone levels coupled with prolonged P300 latency may become putative biological markers of both dementia and osteoporosis and warrant intensive investigation.</p

Specific Nuclear Localizing Sequence Directs Two Myosin Isoforms to the Cell Nucleus in Calmodulin-Sensitive Manner

BACKGROUND: Nuclear myosin I (NM1) was the first molecular motor identified in the cell nucleus. Together with nuclear actin, they participate in crucial nuclear events such as transcription, chromatin movements, and chromatin remodeling. NM1 is an isoform of myosin 1c (Myo1c) that was identified earlier and is known to act in the cytoplasm. NM1 differs from the "cytoplasmic" myosin 1c only by additional 16 amino acids at the N-terminus of the molecule. This amino acid stretch was therefore suggested to direct NM1 into the nucleus. METHODOLOGY/PRINCIPAL FINDINGS: We investigated the mechanism of nuclear import of NM1 in detail. Using over-expressed GFP chimeras encoding for truncated NM1 mutants, we identified a specific sequence that is necessary for its import to the nucleus. This novel nuclear localization sequence is placed within calmodulin-binding motif of NM1, thus it is present also in the Myo1c. We confirmed the presence of both isoforms in the nucleus by transfection of tagged NM1 and Myo1c constructs into cultured cells, and also by showing the presence of the endogenous Myo1c in purified nuclei of cells derived from knock-out mice lacking NM1. Using pull-down and co-immunoprecipitation assays we identified importin beta, importin 5 and importin 7 as nuclear transport receptors that bind NM1. Since the NLS sequence of NM1 lies within the region that also binds calmodulin we tested the influence of calmodulin on the localization of NM1. The presence of elevated levels of calmodulin interfered with nuclear localization of tagged NM1. CONCLUSIONS/SIGNIFICANCE: We have shown that the novel specific NLS brings to the cell nucleus not only the "nuclear" isoform of myosin I (NM1 protein) but also its "cytoplasmic" isoform (Myo1c protein). This opens a new field for exploring functions of this molecular motor in nuclear processes, and for exploring the signals between cytoplasm and the nucleus

Violent Deaths of Iraqi Civilians, 2003–2008: Analysis by Perpetrator, Weapon, Time, and Location

Madelyn Hsiao-Rei Hicks and colleagues provide a detailed analysis of Iraqi civilian violent deaths during 2003-2008 of the Iraq war and show that of 92,614 deaths, unknown perpetrators caused 74% of deaths, Coalition forces 12%, and Anti-Coalition forces 11%

Deep brain stimulation for refractory obsessive-compulsive disorder (OCD): emerging or established therapy?

A consensus has yet to emerge whether deep brain stimulation (DBS) for treatment-refractory obsessive-compulsive disorder (OCD) can be considered an established therapy. In 2014, the World Society for Stereotactic and Functional Neurosurgery (WSSFN) published consensus guidelines stating that a therapy becomes established when “at least two blinded randomized controlled clinical trials from two different groups of researchers are published, both reporting an acceptable risk-benefit ratio, at least comparable with other existing therapies. The clinical trials should be on the same brain area for the same psychiatric indication.” The authors have now compiled the available evidence to make a clear statement on whether DBS for OCD is established therapy. Two blinded randomized controlled trials have been published, one with level I evidence (Yale-Brown Obsessive Compulsive Scale (Y-BOCS) score improved 37% during stimulation on), the other with level II evidence (25% improvement). A clinical cohort study (N = 70) showed 40% Y-BOCS score improvement during DBS, and a prospective international multi-center study 42% improvement (N = 30). The WSSFN states that electrical stimulation for otherwise treatment refractory OCD using a multipolar electrode implanted in the ventral anterior capsule region (including bed nucleus of stria terminalis and nucleus accumbens) remains investigational. It represents an emerging, but not yet established therapy. A multidisciplinary team involving psychiatrists and neurosurgeons is a prerequisite for such therapy, and the future of surgical treatment of psychiatric patients remains in the realm of the psychiatrist

Potentiating Effects of MPL on DSPC Bearing Cationic Liposomes Promote Recombinant GP63 Vaccine Efficacy: High Immunogenicity and Protection

Visceral leishmaniasis (VL), a vector-transmitted disease caused by Leishmania donovani, is potentially fatal if left untreated. Vaccination against VL has received limited attention compared with cutaneous leishmaniasis, although the need for an effective vaccine is pressing for the control of the disease. Earlier, we observed protective efficacy using leishmanial antigen (Ag) in the presence of either cationic liposomes or monophosphoryl lipid A-trehalose dicorynomycolate (MPL-TDM) against experimental VL through the intraperitoneal (i.p.) route of administration in the mouse model. However, this route of immunization is not adequate for human use. For this work, we developed vaccine formulations combining cationic liposomes with MPL-TDM using recombinant GP63 (rGP63) as protein Ag through the clinically relevant subcutaneous (s.c.) route. Two s.c. injections with rGP63 in association with cationic liposomes and MPL-TDM showed enhanced immune responses that further resulted in high protective levels against VL in the mouse model. This validates the combined use of MPL-TDM as an immunopotentiator and liposomes as a suitable vaccine delivery system