Semi-static hedging for certain Margrabe type options with barriers

It turns out that in the bivariate Black-Scholes economy Margrabe type options exhibit symmetry properties leading to semi-static hedges of rather general barrier options. Some of the results are extended to variants obtained by means of Brownian subordination. In order to increase the liquidity of the hedging instruments for certain currency options, the duality principle can be applied to set up hedges in a foreign market by using only European vanilla options sometimes along with a risk-less bond. Since the semi-static hedges in the Black-Scholes economy are exact, closed form valuation formulas for certain barrier options can be easily derived.Comment: 18 page

Coherent Signal Amplification in Bistable Nanomechanical Oscillators by Stochastic Resonance

Stochastic resonance is a counter-intuitive concept[1,2], ; the addition of noise to a noisy system induces coherent amplification of its response. First suggested as a mechanism for the cyclic recurrence of ice ages, stochastic resonance has been seen in a wide variety of macroscopic physical systems: bistable ring lasers[3], SQUIDs[4,5], magnetoelastic ribbons[6], and neurophysiological systems such as the receptors in crickets[7] and crayfish[8]. Although it is fundamentally important as a mechanism of coherent signal amplification, stochastic resonance is yet to be observed in nanoscale systems. Here we report the observation of stochastic resonance in bistable nanomechanical silicon oscillators, which can play an important role in the realization of controllable high-speed nanomechanical memory cells. Our nanomechanical systems were excited into a dynamic bistable state and modulated in order to induce controllable switching; the addition of white noise showed a marked amplification of the signal strength. Stochastic resonance in nanomechanical systems paves the way for exploring macroscopic quantum coherence and tunneling, and controlling nanoscale quantum systems for their eventual use as robust quantum logic devices.Comment: 18 pages, 4 figure

In-situ fluorescence spectroscopy is a more rapid and resilient indicator of faecal contamination risk in drinking water than faecal indicator organisms

Faecal indicator organisms (FIOs) are limited in their ability to protect public health from the microbial contamination of drinking water because of their transience and time required to deliver a result. We evaluated alternative rapid, and potentially more resilient, approaches against a benchmark FIO of thermotolerant coliforms (TTCs) to characterise faecal contamination over 14 months at 40 groundwater sources in a Ugandan town. Rapid approaches included: in-situ tryptophan-like fluorescence (TLF), humic-like fluorescence (HLF), turbidity; sanitary inspections; and total bacterial cells by flow cytometry. TTCs varied widely in six sampling visits: a third of sources tested both positive and negative, 50% of sources had a range of at least 720 cfu/100 mL, and a two-day heavy rainfall event increased median TTCs five-fold. Using source medians, TLF was the best predictor in logistic regression models of TTCs ≥10 cfu/100 mL (AUC 0.88) and best correlated to TTC enumeration (ρs 0.81), with HLF performing similarly. Relationships between TLF or HLF and TTCs were stronger in the wet season than the dry season, when TLF and HLF were instead more associated with total bacterial cells. Source rank-order between sampling rounds was considerably more consistent, according to cross-correlations, using TLF or HLF (min ρs 0.81) than TTCs (min ρs 0.34). Furthermore, dry season TLF and HLF cross-correlated more strongly (ρs 0.68) than dry season TTCs (ρs 0.50) with wet season TTCs, when TTCs were elevated. In-situ TLF or HLF are more rapid and resilient indicators of faecal contamination risk than TTCs

NMR Derived Model of GTPase Effector Domain (GED) Self Association: Relevance to Dynamin Assembly

Self-association of dynamin to form spiral structures around lipidic vesicles during endocytosis is largely mediated by its ‘coiled coil’ GTPase Effector Domain (GED), which, in vitro, self-associates into huge helical assemblies. Residue-level structural characterizations of these assemblies and understanding the process of association have remained a challenge. It is also impossible to get folded monomers in the solution phase. In this context, we have developed here a strategy to probe the self-association of GED by first dissociating the assembly using Dimethyl Sulfoxide (DMSO) and then systematically monitoring the refolding into helix and concomitant re-association using NMR spectroscopy, as DMSO concentration is progressively reduced. The short segment, Arg109 - Met116, acts as the nucleation site for helix formation and self-association. Hydrophobic and complementary charge interactions on the surfaces drive self-association, as the helices elongate in both the directions resulting in an antiparallel stack. A small N-terminal segment remains floppy in the assembly. Following these and other published results on inter-domain interactions, we have proposed a plausible mode of dynamin self assembly

Controlling the quantum stereodynamics of ultracold bimolecular reactions

Chemical reaction rates often depend strongly on stereodynamics, namely the orientation and movement of molecules in three-dimensional space. An ultracold molecular gas, with a temperature below 1 uK, provides a highly unusual regime for chemistry, where polar molecules can easily be oriented using an external electric field and where, moreover, the motion of two colliding molecules is strictly quantized. Recently, atom-exchange reactions were observed in a trapped ultracold gas of KRb molecules. In an external electric field, these exothermic and barrierless bimolecular reactions, KRb+KRb -> K2+Rb2, occur at a rate that rises steeply with increasing dipole moment. Here we show that the quantum stereodynamics of the ultracold collisions can be exploited to suppress the bimolecular chemical reaction rate by nearly two orders of magnitude. We use an optical lattice trap to confine the fermionic polar molecules in a quasi-two-dimensional, pancake-like geometry, with the dipoles oriented along the tight confinement direction. With the combination of sufficiently tight confinement and Fermi statistics of the molecules, two polar molecules can approach each other only in a "side-by-side" collision, where the chemical reaction rate is suppressed by the repulsive dipole-dipole interaction. We show that the suppression of the bimolecular reaction rate requires quantum-state control of both the internal and external degrees of freedom of the molecules. The suppression of chemical reactions for polar molecules in a quasi-two-dimensional trap opens the way for investigation of a dipolar molecular quantum gas. Because of the strong, long-range character of the dipole-dipole interactions, such a gas brings fundamentally new abilities to quantum-gas-based studies of strongly correlated many-body physics, where quantum phase transitions and new states of matter can emerge.Comment: 19 pages, 4 figure

Status of the LUX Dark Matter Search

The Large Underground Xenon (LUX) dark matter search experiment is currently being deployed at the Homestake Laboratory in South Dakota. We will highlight the main elements of design which make the experiment a very strong competitor in the field of direct detection, as well as an easily scalable concept. We will also present its potential reach for supersymmetric dark matter detection, within various timeframes ranging from 1 year to 5 years or more.Comment: 4 pages, in proceedings of the SUSY09 conferenc

The effects of migrant remittances on population–environment dynamics in migrant origin areas: international migration, fertility, and consumption in highland Guatemala

International migration impacts origin regions in many ways. As examples, remittances from distant migrants may alter consumption patterns within sending communities, while exposure to different cultural norms may alter other behaviors. This paper combines these insights to offer a unique lens on migration’s environmental impact. From an environmental perspective, we ask the following question: is the likely rise in consumption brought about by remittances counterbalanced by a reduction in fertility in migrant households following exposure to lower fertility cultures? Based on ethnographic case studies in two western highland Guatemalan communities, we argue that the near-term rise in consumption due to remittances is not counterbalanced by rapid decline in migrant household fertility. However, over time, the environmental cost of consumption may be mitigated at the community level through diffusion of contraception and family planning norms yielding lower family size

Genetic and phenotypic characterisation of inherited myopathies in a tertiary neuromuscular centre

Diagnosis of inherited myopathies can be a challenging and lengthy process due to broad genetic and phenotypic heterogeneity. In this study we applied focused exome sequencing to investigate a cohort of 100 complex adult myopathy cases who remained undiagnosed despite extensive investigation. We evaluated the frequency of genetic diagnoses, clinical and pathological factors most likely to be associated with a positive diagnosis, clinical pitfalls and new phenotypic insights that could help to guide future clinical practice. We identified pathogenic/likely pathogenic variants in 32/100 cases. TTN-related myopathy was the most common diagnosis (4/32 cases) but the majority of positive diagnoses related to a single gene each. Childhood onset of symptoms was more likely to be associated with a positive diagnosis. Atypical and new clinico-pathological phenotypes with diagnostic pitfalls were identified. These include the new emerging group of neuromyopathy genes (HSPB1, BICD2) and atypical biopsy findings: COL6A-related myopathy with mitochondrial features, DOK7 presenting as myopathy with minicores and DES-related myopathy without myofibrillar pathology. Our data demonstrates the diagnostic efficacy of broad NGS screening when combined with detailed clinico-pathological phenotyping in a complex neuromuscular cohort. Atypical clinico-pathological features may delay the diagnostic process if smaller targeted gene panels are used

Loneliness, social support and cardiovascular reactivity to laboratory stress

Self-reported or explicit loneliness and social support have been inconsistently associated with cardiovascular reactivity (CVR) to stress. The present study aimed to adapt an implicit measure of loneliness, and use it alongside the measures of explicit loneliness and social support, to investigate their correlations with CVR to laboratory stress. Twenty-five female volunteers aged between 18 and 39 years completed self-reported measures of loneliness and social support, and an Implicit Association Test (IAT) of loneliness. The systolic blood pressure (SBP), diastolic blood pressure (DBP) and heart rate (HR) reactivity indices were measured in response to psychosocial stress induced in the laboratory. Functional support indices of social support were significantly correlated with CVR reactivity to stress. Interestingly, implicit, but not explicit, loneliness was significantly correlated with DBP reactivity after one of the stressors. No associations were found between structural support and CVR indices. Results are discussed in terms of validity of implicit versus explicit measures and possible factors that affect physiological outcomes

Medium-term health of seniors following exposure to a natural disaster

The article aims to describe the medium-term impacts of a major earthquake event (Chile, February 27, 2010) on 26 seniors. The authors adopted a qualitative study approach. Data obtained using the Impact of Event Scale–Revised (IES-R) show the presence of manifestations of posttraumatic stress in the majority of respondents. In addition, data collected in interviews demonstrated a progressive deterioration of the health of respondents over a period of 4 years following the disaster. Seniors are particularly vulnerable to the effects of material loss, emotional stress, and postdisaster health complications. These impacts are exacerbated by low economic status. Furthermore, broader research is necessary involving elderly living in poverty who have survived natural disasters and others without such experiences, in order to better identify and differentiate between health complications associated with exposure to disaster events and those linked more strictly with natural aging processes