Full and fast calibration of the Heston stochastic volatility model

This paper presents an algorithm for a complete and e cient calibration of the Heston stochastic volatility model. We express the calibration as a nonlinear least-squares problem. We exploit a suitable representation of the Heston characteristic function and modify it to avoid discontinuities caused by branch switchings of complex functions. Using this representation, we obtain the analytical gradient of the price of a vanilla option with respect to the model parameters, which is the key element of all variants of the objective function. The interdependency between the components of the gradient enables an e cient implementation which is around ten times faster than a numerical gradient. We choose the Levenberg-Marquardt method to calibrate the model and do not observe multiple local minima reported in previous research. Two-dimensional sections show that the objective function is shaped as a narrow valley with a flat bottom. Our method is the fastest calibration of the Heston model developed so far and meets the speed requirement of practical trading

Risk-Neutral Pricing and Hedging of In-Play Football Bets

A risk-neutral valuation framework is developed for pricing and hedging in-play football bets based on modelling scores by independent Poisson processes with constant intensities. The Fundamental Theorems of Asset Pricing are applied to this set-up which enables us to derive novel arbitrage-free valuation formulæ for contracts currently traded in the market. We also describe how to calibrate the model to the market and how trades can be replicated and hedged

How do online sports gambling disorder patients compare with land-based patients?

Background and aims: recent technological developments have brought about notable changes in the way people gamble. The widespread use of mobile Internet devices and gambling websites has led to a significant leap in the number of people who recreationally gamble. However, for some, gambling can turn into a psychiatric disorder resembling substance addiction. At present, there is a shortage of studies examining differences between adults with gambling disorder (GD) who exclusively make sports bets online, GD patients that are non-sports Internet gamblers, and offline gamblers. Therefore, this study was undertaken to determine the differences between these three groups, considering sociodemographic, personality, and clinical characteristics. Methods: the sample consisted of 2,743 treatment-seeking male patients from the Pathological Gambling Unit at a university hospital. All patients met DSM-5 criteria for GD. Results: we found that gamblers who exclusively engaged in non-sports Internet gambling activities were younger than offline gamblers and online sports gamblers. Non-sports Internet gamblers were also more likely to have greater levels of debt compared with offline gamblers. In terms of personality characteristics, our sample displayed low levels of self-directedness and cooperativeness and high levels of novelty seeking. In addition, online sports gamblers obtained higher scores in persistence than non-sports Internet gamblers and offline gamblers. Discussion and conclusion: although differences if terms of gambling severity were not identified between groups, GD patients who exclusively bet online appear to possess distinct personality characteristics and higher debt levels compared with offline gamblers

The oil-dispersion bath in anthroposophic medicine – an integrative review

<p>Abstract</p> <p>Background</p> <p>Anthroposophic medicine offers a variety of treatments, among others the oil-dispersion bath, developed in the 1930s by Werner Junge. Based on the phenomenon that oil and water do not mix and on recommendations of Rudolf Steiner, Junge developed a vortex mechanism which churns water and essential oils into a fine mist. The oil-covered droplets empty into a tub, where the patient immerses for 15–30 minutes. We review the current literature on oil-dispersion baths.</p> <p>Methods</p> <p>The following databases were searched: Medline, Pubmed, Embase, AMED and CAMbase. The search terms were 'oil-dispersion bath' and 'oil bath', and their translations in German and French. An Internet search was also performed using Google Scholar, adding the search terms 'study' and 'case report' to the search terms above. Finally, we asked several experts for gray literature not listed in the above-mentioned databases. We included only articles which met the criterion of a clinical study or case report, and excluded theoretical contributions.</p> <p>Results</p> <p>Among several articles found in books, journals and other publications, we identified 1 prospective clinical study, 3 experimental studies (enrolling healthy individuals), 5 case reports, and 3 field-reports. In almost all cases, the studies described beneficial effects – although the methodological quality of most studies was weak. Main indications were internal/metabolic diseases and psychiatric/neurological disorders.</p> <p>Conclusion</p> <p>Beyond the obvious beneficial effects of warm bathes on the subjective well-being, it remains to be clarified what the unique contribution of the distinct essential oils dispersed in the water can be. There is a lack of clinical studies exploring the efficacy of oil-dispersion baths. Such studies are recommended for the future.</p

Microbial Diversity of a Brazilian Coastal Region Influenced by an Upwelling System and Anthropogenic Activity

BACKGROUND: Upwelling systems are characterised by an intense primary biomass production in the surface (warmest) water after the outcrop of the bottom (coldest) water, which is rich in nutrients. Although it is known that the microbial assemblage plays an important role in the food chain of marine systems and that the upwelling systems that occur in southwest Brazil drive the complex dynamics of the food chain, little is known about the microbial composition present in this region. METHODOLOGY/PRINCIPAL FINDINGS: We carried out a molecular survey based on SSU rRNA gene from the three domains of the phylogenetic tree of life present in a tropical upwelling region (Arraial do Cabo, Rio de Janeiro, Brazil). The aim was to analyse the horizontal and vertical variations of the microbial composition in two geographically close areas influenced by anthropogenic activity (sewage disposal/port activity) and upwelling phenomena, respectively. A lower estimated diversity of microorganisms of the three domains of the phylogenetic tree of life was found in the water of the area influenced by anthropogenic activity compared to the area influenced by upwelling phenomena. We observed a heterogenic distribution of the relative abundance of taxonomic groups, especially in the Archaea and Eukarya domains. The bacterial community was dominated by Proteobacteria, Cyanobacteria and Bacteroidetes phyla, whereas the microeukaryotic community was dominated by Metazoa, Fungi, Alveolata and Stramenopile. The estimated archaeal diversity was the lowest of the three domains and was dominated by uncharacterised marine Crenarchaeota that were most closely related to Marine Group I. CONCLUSIONS/SIGNIFICANCE: The variety of conditions and the presence of different microbial assemblages indicated that the area of Arraial do Cabo can be used as a model for detailed studies that contemplate the correlation between pollution-indicating parameters and the depletion of microbial diversity in areas close to anthropogenic activity; functional roles and geochemical processes; phylogeny of the uncharacterised diversity; and seasonal variations of the microbial assemblages

Improved clinical investigation and evaluation of high-risk medical devices: the rationale and objectives of CORE-MD (Coordinating Research and Evidence for Medical Devices)

: In the European Union (EU) the delivery of health services is a national responsibility but there are concerted actions between member states to protect public health. Approval of pharmaceutical products is the responsibility of the European Medicines Agency, whereas authorizing the placing on the market of medical devices is decentralized to independent 'conformity assessment' organizations called notified bodies. The first legal basis for an EU system of evaluating medical devices and approving their market access was the medical device directives, from the 1990s. Uncertainties about clinical evidence requirements, among other reasons, led to the EU Medical Device Regulation (2017/745) that has applied since May 2021. It provides general principles for clinical investigations but few methodological details-which challenges responsible authorities to set appropriate balances between regulation and innovation, pre- and post-market studies, and clinical trials and real-world evidence. Scientific experts should advise on methods and standards for assessing and approving new high-risk devices, and safety, efficacy, and transparency of evidence should be paramount. The European Commission recently awarded a Horizon 2020 grant to a consortium led by the European Society of Cardiology and the European Federation of National Associations of Orthopaedics and Traumatology, that will review methodologies of clinical investigations, advise on study designs, and develop recommendations for aggregating clinical data from registries and other real-world sources. The CORE-MD project (Coordinating Research and Evidence for Medical Devices) will run until March 2024; here we describe how it may contribute to the development of regulatory science in Europe

Genome-wide association analysis of dementia and its clinical endophenotypes reveal novel loci associated with Alzheimer's disease and three causality networks: The GR@ACE project

INTRODUCTION: Large variability among Alzheimer's disease (AD) cases might impact genetic discoveries and complicate dissection of underlying biological pathways. METHODS: Genome Research at Fundacio ACE (GR@ACE) is a genome-wide study of dementia and its clinical endophenotypes, defined based on AD's clinical certainty and vascular burden. We assessed the impact of known AD loci across endophenotypes to generate loci categories. We incorporated gene coexpression data and conducted pathway analysis per category. Finally, to evaluate the effect of heterogeneity in genetic studies, GR@ACE series were meta-analyzed with additional genome-wide association study data sets. RESULTS: We classified known AD loci into three categories, which might reflect the disease clinical heterogeneity. Vascular processes were only detected as a causal mechanism in probable AD. The meta-analysis strategy revealed the ANKRD31-rs4704171 and NDUFAF6-rs10098778 and confirmed SCIMP-rs7225151 and CD33-rs3865444. DISCUSSION: The regulation of vasculature is a prominent causal component of probable AD. GR@ACE meta-analysis revealed novel AD genetic signals, strongly driven by the presence of clinical heterogeneity in the AD series