Option pricing theory and fuzzy expectations

In der heutigen Theorie der Optionsbewertung wird davon ausgegangen, daß die Markterwartungen genau berechenbar sind. Die Unsicherheit besteht lediglich darin, welcher Aktienkurs sich letztlich realisiert, die Eintrittswahrscheinlichkeiten sind bekannt. Dabei treten jedoch erhebliche Probleme auf, denn theoretisch erwartete Preise entsprechen oft nicht den am Markt beobachteten. Ziel dieser Arbeit ist es, zu untersuchen, ob auch dann eine Optionsbewertung möglich ist, wenn die Unsicherheit nicht nur auf die Stochastik reduziert wird, sondern wenn zusätzlich angenommen wird, daß Marktteilnehmer nur unscharfes Wissen über künftige Preisentwicklungen haben. Hierbei dient die Fuzzy Set Theorie zur Modellierung der nur größenordnungsmäßig bekannten künftigen Aktienkurse. Es wird in dieser Arbeit zwischen der Optionspreistheorie und der Fuzzy Set Theorie eine Verbindung geschaffen, die es zukünftig erlauben wird, die Unsicherheit im Markt besser zu modellieren, als dies mit heute dominierenden Methoden der Optionsbewertung möglich ist.The classical option pricing theory assumes that the future payoffs are known; uncertain is only which payoff will be realized. The probability distribution is given too. But this model leads to a mismatch of theoretical prices and observable market prices. Moreover, it is not reasonable, why everyone should have the same set of crisp payoffs. In this paper we will show that options can also be valued when uncertainty is not reduced to probabilities of payoffs. In our approach the basic model is extended to the case that payoffs are described by fuzzy numbers. By connecting option pricing theory and fuzzy set theory we get a better model of real financial markets. This allows us to establish modern portfolio instruments in a fuzzy environment

Selective loss of noradrenaline exacerbates early cognitive dysfunction and synaptic deficits in APP/PS1 mice.

Background: Degeneration of the locus coeruleus (LC), the major noradrenergic nucleus in the brain, occurs early and is ubiquitous in Alzheimer’s disease (AD). Experimental lesions to the LC exacerbate AD-like neuropathology and cognitive deficits in several transgenic mouse models of AD. Because the LC contains multiple neuromodulators known to affect amyloid toxicity and cognitive function, the specific role of noradrenaline (NA) in AD is not well understood. Methods: To determine the consequences of selective NA deficiency in an AD mouse model, we crossed dopamine -hydroxylase (DBH) knockout mice with amyloid precursor protein (APP)/presenilin-1 (PS1) mice overexpressing mutant APP and PS1. Dopamine -hydroxylase (/) mice are unable to synthesize NA but otherwise have normal LC neurons and co-transmitters. Spatial memory, hippocampal long-term potentiation, and synaptic protein levels were assessed. Results: The modest impairments in spatial memory and hippocampal long-term potentiation displayed by young APP/PS1 or DBH (/) single mutant mice were augmented in DBH (/)/APP/PS1 double mutant mice. Deficits were associated with reduced levels of total calcium/calmodulin-dependent protein kinase II and N-methyl-D-aspartate receptor 2A and increased N-methyl-D-aspartate receptor 2B levels and were independent of amyloid accumulation. Spatial memory performance was partly improved by treatment with the NA precursor drug L-threo-dihydroxyphenylserine. Conclusions: These results indicate that early LC degeneration and subsequentNAdeficiency inADmay contribute to cognitive deficits via altered levels of calcium/calmodulin-dependent protein kinase II and N-methyl-D-aspartate receptors and suggest that NA supplementation could be beneficial in early AD

Subversion of NK-cell and TNFα Immune Surveillance Drives Tumor Recurrence

Understanding how incompletely cleared primary tumors transition from minimal residual disease (MRD) into treatment resistant, immune-invisible recurrences has major clinical significance. We show here that this transition is mediated through the subversion of two key elements of innate immune surveillance. In the first, the role of TNFalpha changes from an antitumor effector against primary tumors into a growth promoter for MRD. Second, whereas primary tumors induced a natural killer (NK)-mediated cytokine response characterized by low IL6 and elevated IFNgamma, PD-L1hi MRD cells promoted the secretion of IL6 but minimal IFNgamma, inhibiting both NK cell and T-cell surveillance. Tumor recurrence was promoted by trauma- or infection-like stimuli inducing VEGF and TNFalpha which stimulated the growth of MRD tumors. Finally, therapies which blocked PD1, TNFalpha or NK cells delayed or prevented recurrence. These data show how innate immune surveillance mechanisms, which control infection and growth of primary tumors, are exploited by recurrent, competent tumors and identifies therapeutic targets in patients with MRD known to be at high risk of relapse

Criticality Analysis of Activity Networks under Interval Uncertainty

Dedicated to the memory of Professor Stefan Chanas - The extended abstract version of this paper has appeared in Proceedings of 11th International Conference on Principles and Practice of Constraint Programming (CP2005) ("Interval Analysis in Scheduling", Fortin et al. 2005)International audienceThis paper reconsiders the Project Evaluation and Review Technique (PERT) scheduling problem when information about task duration is incomplete. We model uncertainty on task durations by intervals. With this problem formulation, our goal is to assert possible and necessary criticality of the different tasks and to compute their possible earliest starting dates, latest starting dates, and floats. This paper combines various results and provides a complete solution to the problem. We present the complexity results of all considered subproblems and efficient algorithms to solve them

User Centered Cognitive Maps

Two kinds of influence graphs are commonly used in artificial intelligence to modelize influence networks: bayesian networks [Naïm et al., 2004] and cognitive maps [Tolman, 1948]. Influence graphs provide mechanisms to highlight the influence between concepts. Cognitive maps represent a concept by a text and an influence by an arc to which a value is associated

Nitrated α–Synuclein Immunity Accelerates Degeneration of Nigral Dopaminergic Neurons

The neuropathology of Parkinson's disease (PD) includes loss of dopaminergic neurons in the substantia nigra, nitrated alpha-synuclein (N-alpha-Syn) enriched intraneuronal inclusions or Lewy bodies and neuroinflammation. While the contribution of innate microglial inflammatory activities to disease are known, evidence for how adaptive immune mechanisms may affect the course of PD remains obscure. We reasoned that PD-associated oxidative protein modifications create novel antigenic epitopes capable of peripheral adaptive T cell responses that could affect nigrostriatal degeneration.Nitrotyrosine (NT)-modified alpha-Syn was detected readily in cervical lymph nodes (CLN) from 1-methyl-4-phenyl-1,2,3,6-tetrahydropyridine (MPTP) intoxicated mice. Antigen-presenting cells within the CLN showed increased surface expression of major histocompatibility complex class II, initiating the molecular machinery necessary for efficient antigen presentation. MPTP-treated mice produced antibodies to native and nitrated alpha-Syn. Mice immunized with the NT-modified C-terminal tail fragment of alpha-Syn, but not native protein, generated robust T cell proliferative and pro-inflammatory secretory responses specific only for the modified antigen. T cells generated against the nitrated epitope do not respond to the unmodified protein. Mice deficient in T and B lymphocytes were resistant to MPTP-induced neurodegeneration. Transfer of T cells from mice immunized with N-alpha-Syn led to a robust neuroinflammatory response with accelerated dopaminergic cell loss.These data show that NT modifications within alpha-Syn, can bypass or break immunological tolerance and activate peripheral leukocytes in draining lymphoid tissue. A novel mechanism for disease is made in that NT modifications in alpha-Syn induce adaptive immune responses that exacerbate PD pathobiology. These results have implications for both the pathogenesis and treatment of this disabling neurodegenerative disease

Comprehensive catecholaminergic projectome analysis reveals single-neuron integration of zebrafish ascending and descending dopaminergic systems

Essential components of animal behaviour are modulated by dopaminergic (DA) and noradrenergic circuitry. In this study, we reveal at cellular resolution the complete set of projections ('projectome') of every single type of DA and noradrenergio neurons in the central nervous system of zebrafish larvae. The most extensive DA projections are established by posterior tubercular otp-dependent neurons, with individual somata integrating the ascending DA system, the descending diencephalospinal, as well as the endohypothalamic circuitry. These findings suggest a major role in the modulation of physiology and behaviour for otp-dependent DA neurons, which correlate with the mammalian A11 group. We further identified an endogenous subpallial DA system that not only provides most of the local DA projections, but also connects to the ventral diencephalon. The catecholaminergic projectome map provides a framework to understand the evolution and function of these neuromodulatory systems

Hydrogen in Drinking Water Reduces Dopaminergic Neuronal Loss in the 1-methyl-4-phenyl-1,2,3,6-tetrahydropyridine Mouse Model of Parkinson's Disease

It has been shown that molecular hydrogen (H2) acts as a therapeutic antioxidant and suppresses brain injury by buffering the effects of oxidative stress. Chronic oxidative stress causes neurodegenerative diseases such as Parkinson's disease (PD). Here, we show that drinking H2-containing water significantly reduced the loss of dopaminergic neurons in PD model mice using both acute and chronic administration of 1-methyl-4-phenyl-1,2,3,6-tetrahydropyridine (MPTP). The concentration-dependency of H2 showed that H2 as low as 0.08 ppm had almost the same effect as saturated H2 water (1.5 ppm). MPTP-induced accumulation of cellular 8-oxoguanine (8-oxoG), a marker of DNA damage, and 4-hydroxynonenal (4-HNE), a marker of lipid peroxidation were significantly decreased in the nigro-striatal dopaminergic pathway in mice drinking H2-containing water, whereas production of superoxide (O2•−) detected by intravascular injection of dihydroethidium (DHE) was not reduced significantly. Our results indicated that low concentration of H2 in drinking water can reduce oxidative stress in the brain. Thus, drinking H2-containing water may be useful in daily life to prevent or minimize the risk of life style-related oxidative stress and neurodegeneration