A Stochastic Volatility Model With Realized Measures for Option Pricing

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized measures to the latent conditional variance. A semi-analytical option pricing framework is developed for this class of models. In addition, we provide analytical filtering and smoothing recursions for the basic specification of the model, and an effective MCMC algorithm for its richer variants. The empirical analysis shows the effectiveness of filtering and smoothing realized measures in inflating the latent volatility persistence—the crucial parameter in pricing Standard and Poor’s 500 Index options

nuclear structure and dna content in glandular hairs of salvia officinalis l

The differentiation model of the structures which secrete pharmacologically active substances appears a particularly interesting field of study, since it can be related to the type and way of secretion. Four different types of hair of Salvia officinalis L. were examined in this light concerning their nuclear structure and the quantity of DNA, both of which are very important parameters in differentiation. Results indicated quite intense metabolic activity in all types of hair with fairly high levels of endopolyploidy, the probable presence of polyteny, and probable differential DNA replication. The peltate glandular hairs proved to be the most active ones. In the long-stalked capitate hairs, the distal cell of the pedicel also appeared to have a particularly active metabolism, suggesting that it is in some way involved in the secretory process

Kinetics of copolymer localization at a selective liquid-liquid interface

The localization kinetics of a regular block-copolymer of total length $N$ and block size $M$ at a selective liquid-liquid interface is studied in the limit of strong segregation between hydrophobic and polar segments in the chain. We propose a simple analytic theory based on scaling arguments which describes the relaxation of the initial coil into a flat-shaped layer for the cases of both Rouse and Zimm dynamics. For Rouse dynamics the characteristic times for attaining equilibrium values of the gyration radius components perpendicular and parallel to the interface are predicted to scale with block length $M$ and chain length $N$ as $\tau_{\perp} \propto M^{1+2\nu}$ (here $\nu\approx 0.6$ is the Flory exponent) and as $\tau_{\parallel} \propto N^2$, although initially the characteristic coil flattening time is predicted to scale with block size as $\propto M$. Since typically $N\gg M$ for multiblock copolymers, our results suggest that the flattening dynamics proceeds faster perpendicular rather than parallel to the interface, in contrast to the case of Zimm dynamics where the two components relax with comparable rate, and proceed considerably slower than in the Rouse case. We also demonstrate that, in the case of Rouse dynamics, these scaling predictions agree well with the results of Monte Carlo simulations of the localization dynamics. A comparison to the localization dynamics of {\em random} copolymers is also carried out.Comment: 11 pages, 15 figure

Field - Driven Translocation of Regular Block Copolymers through a Selective Liquid - Liquid Interface

We propose a simple scaling theory describing the variation of the mean first passage time (MFPT) $\tau(N,M)$ of a regular block copolymer of chain length $N$ and block size $M$ which is dragged through a selective liquid-liquid interface by an external field $B$. The theory predicts a non-Arrhenian $\tau$ vs. $B$ relationship which depends strongly on the size of the blocks, $M$, and rather weakly on the total polymer length, $N$. The overall behavior is strongly influenced by the degree of selectivity between the two solvents $\chi$. The variation of $\tau(N,M)$ with $N$ and $M$ in the regimes of weak and strong selectivity of the interface is also studied by means of computer simulations using a dynamic Monte Carlo coarse-grained model. Good qualitative agreement with theoretical predictions is found. The MFPT distribution is found to be well described by a $\Gamma$ - distribution. Transition dynamics of ring- and telechelic polymers is also examined and compared to that of the linear chains. The strong sensitivity of the ``capture'' time $\tau(N,M)$ with respect to block length $M$ suggests a possible application as a new type of chromatography designed to separate and purify complex mixtures with different block sizes of the individual macromolecules.Comment: 20 pages, 10 figure

An autocrine role for pituitary GABA: Activation of GABA-B receptors and regulation of growth hormone levels

There is increasing evidence suggesting that the neurotransmitter gamma-aminobutyric acid (GABA) is a local factor involved in the regulation of endocrine organs. Examples of such functions are documented in the pancreas, but recent results suggest that GABA may act in a similar way in the pituitary, in which GABA receptors are expressed and pituitary growth hormone (GH) cells provide a source of GABA. We hypothesised that GABA secreted in somatotropes may act as an autoregulatory signaling molecule. To test this hypothesis we first examined the nature of GABA receptors expressed by GH cells. RT-PCR analysis demonstrated that GABA-B receptor subunits R1 and R2 are present in the whole rat pituitary. Laser microdissection of immunostained GH cells, followed by RT-PCR as well as immunoelectron microscopy, showed that GABA-B receptors are expressed on somatotropes. To investigate GABA-B receptor function in somatotropes, we used rat GH3 adenoma cells, which, like pituitary GH cells, express GABA-B R1 and R2 (as assessed by RT-PCR and immunoelectron microscopy) and produce GABA (checked by high performance liquid chromatography). After inhibition of endogenous GABA synthesis, GH production was stimulated by baclofen, a chromatography). After inhibition of endogenous GABA synthesis, GH production was stimulated by bactofen, a GABA-B receptor agonist. By contrast, blocking GABA-B receptors by an antagonist, phaclofen, decreased GH levels. We conclude that in GH-producing cells, GABA acts as an autocrine factor via GABA-B receptors to control GH levels. Copyright (C) 2002 S. KargerAG, Basel

A phase-field model for fracture in beams from asymptotic results in 2D elasticity

We propose a derivation of a damage model in slender structures, focusing on the particular case of a rod. The peculiarity of the model is that it takes into account the changes in rigidity of the body, distinguishing between bending, traction and the possible mixed interactions between the two. The approach is based on a matched asymptotic expansion, taking the recent work of Baldelli et al [1] as starting point. Choosing the slenderness of the rod as small parameter for the asymptotic expansion, we determine the first order at which a correction occurs with respect to the Saint-Venant solution of the elastic problem, due to the presence of a crack. The results highlight that the presence of a defect affects in different ways the bending and traction rigidities of the rod, and that a coupling between the two deformation modes might occur, depending on the geometry of the crack. Moreover, the derivation allows to explicitly calculate the coefficients of this correction, for any given depth of the crack, by means of a simple numerical procedure. Application to the classic three-point bending problem is considered in order to highlight the predictive capabilities of the model. These results suggest ways in which state of the art phasefield models (e.g. [2]) for damage could be refined. This work goes in the direction of developing phase-field models suitable for application to slender structures, where the use of reduced dimensional models has proved promising [3]

Control and navigation problems for model bio-inspired microswimmers

Navigation problems for a model bio-inspired micro-swimmer, consisting of a cargo head and propelled by multiple rotating flagella or propellers and swimming at low Reynolds numbers, are formulated and solved. We consider both the direct problem, namely, predicting velocity and trajectories of the swimmer as a consequence of prescribed rotation rates of the propellers, and inverse problems, namely, find the rotation rates to best approximate desired translational and rotational velocities and, ultimately, target trajectories. The equations of motion of the swimmer express the balance of the forces and torques acting on the swimmer, and relate translational and rotational velocities of the cargo head to rotation rates of the propellers. The coefficients of these equations, representing hydrodynamic resistance coefficients, are evaluated numerically through a custom-built finite-element code to simulate the (Stokes) fluid flows generated by the movement of the swimmer and of its parts. Several designs of the propulsive rotors are considered: from helical flagella with different chirality to marine propellers, and their relative performance is assessed