Conditional sampling for barrier option pricing under the LT method

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance reduction is achieved. We extend the method to allow pricing knock-in barrier options and introduce a root-finding method to obtain a further variance reduction. The effectiveness of the new method is supported by numerical results

Program for computing partial pressures from residual gas analyzer data

A computer program for determining the partial pressures of various gases from residual-gas-analyzer data is given. The analysis of the ion currents of 18 m/e spectrometer peaks allows the determination of 12 gases simultaneously. Comparison is made to ion-gage readings along with certain other control information. The output data are presented in both tabular and graphical form

Effect of interleukin-6 receptor blockade on surrogates of vascular risk in rheumatoid arthritis: MEASURE, a randomised, placebo-controlled study

Objectives The interleukin-6 receptor (IL-6R) blocker tocilizumab (TCZ) reduces inflammatory disease activity in rheumatoid arthritis (RA) but elevates lipid concentrations in some patients. We aimed to characterise the impact of IL-6R inhibition on established and novel risk factors in active RA. Methods Randomised, multicentre, two-part, phase III trial (24-week double-blind, 80-week open-label), MEASURE, evaluated lipid and lipoprotein levels, high-density lipoprotein (HDL) particle composition, markers of coagulation, thrombosis and vascular function by pulse wave velocity (PWV) in 132 patients with RA who received TCZ or placebo. Results Median total-cholesterol, low-density lipoprotein-cholesterol (LDL-C) and triglyceride levels increased in TCZ versus placebo recipients by week 12 (12.6% vs 1.7%, 28.1% vs 2.2%, 10.6% vs −1.9%, respectively; all p&#60;0.01). There were no significant differences in mean small LDL, mean oxidised LDL or total HDL-C concentrations. However, HDL-associated serum amyloid A content decreased in TCZ recipients. TCZ also induced reductions (&#60;30%) in secretory phospholipase A2-IIA, lipoprotein(a), fibrinogen and D-dimers and elevation of paraoxonase (all p&#60;0.0001 vs placebo). The ApoB/ApoA1 ratio remained stable over time in both groups. PWV decreases were greater with placebo than TCZ at 12 weeks (adjusted mean difference 0.79 m/s (95% CI 0.22 to 1.35; p=0.0067)). Conclusions These data provide the first detailed evidence for the modulation of lipoprotein particles and other surrogates of vascular risk with IL-6R inhibition. When compared with placebo, TCZ induced elevations in LDL-C but altered HDL particles towards an anti-inflammatory composition and favourably modified most, but not all, measured vascular risk surrogates. The net effect of such changes for cardiovascular risk requires determination.</p

Modelling the spread of American foulbrood in honeybees

We investigate the spread of American foulbrood (AFB), a disease caused by the bacterium Paenibacillus larvae, that affects bees and can be extremely damaging to beehives. Our dataset comes from an inspection period carried out during an AFB epidemic of honeybee colonies on the island of Jersey during the summer of 2010. The data include the number of hives of honeybees, location and owner of honeybee apiaries across the island. We use a spatial SIR model with an underlying owner network to simulate the epidemic and characterize the epidemic using a Markov chain Monte Carlo (MCMC) scheme to determine model parameters and infection times (including undetected ‘occult’ infections). Likely methods of infection spread can be inferred from the analysis, with both distance- and owner-based transmissions being found to contribute to the spread of AFB. The results of the MCMC are corroborated by simulating the epidemic using a stochastic SIR model, resulting in aggregate levels of infection that are comparable to the data. We use this stochastic SIR model to simulate the impact of different control strategies on controlling the epidemic. It is found that earlier inspections result in smaller epidemics and a higher likelihood of AFB extinction

Positive-Operator-Valued Time Observable in Quantum Mechanics

We examine the longstanding problem of introducing a time observable in Quantum Mechanics; using the formalism of positive-operator-valued measures we show how to define such an observable in a natural way and we discuss some consequences.Comment: 13 pages, LaTeX, no figures. Some minor changes, expanded the bibliography (now it is bigger than the one in the published version), changed the title and the style for publication on the International Journal of Theoretical Physic

High fat diet rescues disturbances to metabolic homeostasis and survival in the Id2 null mouse in a sex-specific manner

Inhibitor of DNA binding 2 (ID2) is a helix-loop-helix transcriptional repressor rhythmically expressed in many adult tissues. Our previous studies have demonstrated that Id2 null mice have altered expression of circadian genes involved in lipid metabolism, altered circadian feeding behavior, and sex-specific enhancement of insulin sensitivity and elevated glucose uptake in skeletal muscle and brown adipose tissue. Here we further characterized the Id2−/− mouse metabolic phenotype in a sex-specific context and under low and high fat diets, and examined metabolic and endocrine parameters associated with lipid and glucose metabolism. Under the low-fat diet Id2−/− mice showed decreased weight gain, reduced gonadal fat mass, and a lower survival rate. Under the high-fat diet, body weight and gonadal fat gain of Id2−/− male mice was comparable to control mice and survival rate improved markedly. Furthermore, the high-fat diet treated Id2−/− male mice lost the enhanced glucose tolerance feature observed in the other Id2−/− groups, and there was a sex-specific difference in white adipose tissue storage of Id2−/− mice. Additionally, a distinct pattern of hepatic lipid accumulation was observed in Id2−/− males: low lipids on the low-fat diet and steatosis on the high-fat diet. In summary, these data provides valuable insights into the impact of Id2 deficiency on metabolic homeostasis of mice in a sex-specific manner

Dissociation between diurnal cycles in locomotor activity, feeding behavior and hepatic PERIOD2 expression in chronic alcohol-fed mice

Chronic alcohol consumption contributes to fatty liver disease. Our studies revealed that the hepatic circadian clock is disturbed in alcohol-induced hepatic steatosis, and effects of chronic alcohol administration upon the clock itself may contribute to steatosis. We extended these findings to explore the effects of chronic alcohol treatment on daily feeding and locomotor activity patterns. Mice were chronically pair-fed ad libitum for 4 weeks using the Lieber-DeCarli liquid diet, with calorie-controlled liquid and standard chow diets as control groups. Locomotor activity, feeding activity, and real-time bioluminescence recording of PERIOD2::LUCIFERASE expression in tissue explants were measured. Mice on liquid control and chow diets exhibited normal profiles of locomotor activity, with a ratio of 22:78% day/night activity and a peak during early night. This pattern was dramatically altered in alcohol-fed mice, marked by a 49:51% ratio and the absence of a distinct peak. While chow-diet fed mice had a normal 24:76% ratio of feeding activity, with a peak in the early night, this pattern was dramatically altered in both liquid-diet groups: mice had a 43:57% ratio, and an absence of a distinct peak. Temporal differences were also observed between the two liquid-diet groups during late day. Cosinor analysis revealed a ∼4-h and ∼6-h shift in the alcohol-fed group feeding and locomotor activity rhythms, respectively. Analysis of hepatic PER2 expression revealed that the molecular clock in alcohol-fed and control liquid-diet mice was shifted by ∼11 h and ∼6 h, respectively. No differences were observed in suprachiasmatic nucleus explants, suggesting that changes in circadian phase in the liver were generated independently from the central clock. These results suggest that chronic alcohol consumption and a liquid diet can differentially modulate the daily rhythmicity of locomotor and feeding behaviors, aspects that might contribute to disturbances in the circadian timing system and development of hepatic steatosis