Exact simulation pricing with Gamma processes and their extensions

Exact path simulation of the underlying state variable is of great practical importance in simulating prices of financial derivatives or their sensitivities when there are no analytical solutions for their pricing formulas. However, in general, the complex dependence structure inherent in most nontrivial stochastic volatility (SV) models makes exact simulation difficult. In this paper, we present a nontrivial SV model that parallels the notable Heston SV model in the sense of admitting exact path simulation as studied by Broadie and Kaya. The instantaneous volatility process of the proposed model is driven by a Gamma process. Extensions to the model including superposition of independent instantaneous volatility processes are studied. Numerical results show that the proposed model outperforms the Heston model and two other L\'evy driven SV models in terms of model fit to the real option data. The ability to exactly simulate some of the path-dependent derivative prices is emphasized. Moreover, this is the first instance where an infinite-activity volatility process can be applied exactly in such pricing contexts.Comment: Forthcoming The Journal of Computational Financ

Be Selfish and Avoid Dilemmas: Fork After Withholding (FAW) Attacks on Bitcoin

In the Bitcoin system, participants are rewarded for solving cryptographic puzzles. In order to receive more consistent rewards over time, some participants organize mining pools and split the rewards from the pool in proportion to each participant's contribution. However, several attacks threaten the ability to participate in pools. The block withholding (BWH) attack makes the pool reward system unfair by letting malicious participants receive unearned wages while only pretending to contribute work. When two pools launch BWH attacks against each other, they encounter the miner's dilemma: in a Nash equilibrium, the revenue of both pools is diminished. In another attack called selfish mining, an attacker can unfairly earn extra rewards by deliberately generating forks. In this paper, we propose a novel attack called a fork after withholding (FAW) attack. FAW is not just another attack. The reward for an FAW attacker is always equal to or greater than that for a BWH attacker, and it is usable up to four times more often per pool than in BWH attack. When considering multiple pools - the current state of the Bitcoin network - the extra reward for an FAW attack is about 56% more than that for a BWH attack. Furthermore, when two pools execute FAW attacks on each other, the miner's dilemma may not hold: under certain circumstances, the larger pool can consistently win. More importantly, an FAW attack, while using intentional forks, does not suffer from practicality issues, unlike selfish mining. We also discuss partial countermeasures against the FAW attack, but finding a cheap and efficient countermeasure remains an open problem. As a result, we expect to see FAW attacks among mining pools.Comment: This paper is an extended version of a paper accepted to ACM CCS 201

Entropically driven self-assembly of a strained hexanuclear indium metal-organic macrocycle and its behavior in solution

The self-assembly of a polyprotic pentadentate ligand, N-cyclopentanoylaminobenzoylhydrazide (H4L4), and an In(III) nitrate hydrate in methanol led to a strained hexanuclear indium metal-organic macrocycle (In-MOM), [In(III)(6)(H2L4)(6)(NO3)(x)(solvent)(6-x)](NO3)(6-x) (where, the solvent is either methanol or a water molecule and x is the number of the nitrate anions ligated). The ligand in the doubly deprotonated state serves as an unsymmetric linear ditopic donor and the alternating indium ions in two different chelation modes serve as two different bent ditopic metal acceptors, which led to a D-3-symmetric hexanuclear In-MOM. Although the hexanuclear In-MOM is enthalpically unfavorable because of the ring strain, the combination of the soft coordination characteristic of the indium ion and the slight ligand deformation from the conjugated planar conformation allows the formation of the entropically favored hexanuclear In-MOM rather than the enthalpically favored octanuclear In-MOM. While the hexanuclear In-MOM is stable in acetonitrile, it partially dissociates into its components in dimethylsulfoxide, and then slowly reaches a new equilibrium state with several different indium species yet to be identified in addition to the free ligand.close4

Cell-Free Synthetic Biology Platform for Engineering Synthetic Biological Circuits and Systems

Synthetic biology brings engineering disciplines to create novel biological systems for biomedical and technological applications. The substantial growth of the synthetic biology field in the past decade is poised to transform biotechnology and medicine. To streamline design processes and facilitate debugging of complex synthetic circuits, cell-free synthetic biology approaches has reached broad research communities both in academia and industry. By recapitulating gene expression systems in vitro, cell-free expression systems offer flexibility to explore beyond the confines of living cells and allow networking of synthetic and natural systems. Here, we review the capabilities of the current cell-free platforms, focusing on nucleic acid-based molecular programs and circuit construction. We survey the recent developments including cell-free transcription– translation platforms, DNA nanostructures and circuits, and novel classes of riboregulators. The links to mathematical models and the prospects of cell-free synthetic biology platforms will also be discussed.11Yscopu

Metal-organic frameworks constructed from flexible ditopic ligands: Conformational diversity of an aliphatic ligand

The solvothermal reaction of adipic acid as a flexible ditopic ligand and the metal ions MnII, CoII, and TbIII afforded three novel metal-organic frameworks (MOFs), {[Mn2(adipate) 2(DMA)]} (1), {[Co2(adipate)2(DMF)] ??1DMF??1.5H2O} (2), and {[Tb3(adipate) 4.5(DMF)2]} (3) (DMA = N,N-dimethylacetamide; DMF = N,N-dimethylformamide), respectively, which were structurally characterized by single-crystal X-ray diffraction. Depending on the kind of metal ion and solvent system, the conformations and coordination modes of the adipate ligands were diverse and governed the entire MOF structure. Compound 1 consists of the secondary building units (SBUs) of Mn-O chains that were linked by adipate ligands extending in two-dimensional sheets, which were infinitely stacked in a layer-by-layer manner. Compound 2 presented a three-dimensional MOF constructed from Co-O chains and bridging adipate ligands extending in four different directions. Compound 3 also had a three-dimensional structure which was formed by Tb-O chains connected with adipate ligands in six directions. From these structures, ten different adipate ligands with diverse conformations were found, and the potential energy of each conformation was calculated by the first-principles density function. In addition, the luminescence properties of the Tb-based MOF 3 were investigated in the solid state at room temperature.close0

User Recognition Based on Human Body Impulse Response: A Feasibility Study

Human recognition technologies for security systems require high reliability and easy accessibility in the advent of the internet of things (IoT). While several biometric approaches have been studied for user recognition, there are demands for more convenient techniques suitable for the IoT devices. Recently, electrical frequency responses of the human body have been unveiled as one of promising biometric signals, but the pilot studies are inconclusive about the characteristics of human body as a transmission medium for electric signals. This paper provides a multi-domain analysis of human body impulse responses (HBIR) measured at the receiver when customized impulse signals are passed through the human body. We analyzed the impulse responses in the time, frequency, and wavelet domains and extracted representative feature vectors using a proposed accumulated difference metric in each domain. The classification performance was tested using the k-nearest neighbors (KNN) algorithm and the support vector machine (SVM) algorithm on 10-day data acquired from five subjects. The average classification accuracies of the simple classifier KNN for the time, frequency, and wavelet features reached 92.99%, 77.01%, and 94.55%, respectively. In addition, the kernel-based SVM slightly improved the accuracies of three features by 0.58%, 2.34%, and 0.42%, respectively. The result shows potential of the proposed approach for user recognition based on HBIR

Glycogen synthase kinase 3 beta suppresses polyglutamine aggregation by inhibiting Vaccinia-related kinase 2 activity

Huntington's disease (HD) is a neurodegenerative disorder caused by an abnormal expansion of polyglutamine repeats in the N-terminal of huntingtin. The amount of aggregate-prone protein is controlled by various mechanisms, including molecular chaperones. Vaccinia-related kinase 2 (VRK2) is known to negatively regulate chaperonin TRiC, and VRK2-facilitated degradation of TRiC increases polyQ protein aggregation, which is involved in HD. We found that VRK2 activity was negatively controlled by glycogen synthase kinase 3 beta (GSK3 beta). GSK3 beta directly bound to VRK2 and inhibited the catalytic activity of VRK2 in a kinase activity-independent manner. Furthermore, GSK3 beta increased the stability of TRiC and decreased the formation of HttQ103-GFP aggregates by inhibiting VRK2. These results indicate that GSK3 beta signaling may be a regulatory mechanism of HD progression and suggest targets for further therapeutic trials for HD.1131Ysciescopu

Stress-induced nuclear translocation of CDK5 suppresses neuronal death by downregulating ERK activation via VRK3 phosphorylation

Although extracellular signal-related kinase 1/2 (ERK 1/2) activity is generally associated with cell survival, prolonged ERK activation induced by oxidative stress also mediates neuronal cell death. Here we report that oxidative stress-induced cyclin-dependent kinase 5 (CDK5) activation stimulates neuroprotective signaling via phosphorylation of vaccinia-related kinase 3 (VRK3) at Ser 108. The binding of vaccinia H1-related (VHR) phosphatase to phosphorylated VRK3 increased its affinity for phospho-ERK and subsequently downregulated ERK activation. Overexpression of VRK3 protected human neuroblastoma SH-SY5Y cells against hydrogen peroxide (H2O2)-induced apoptosis. However the CDK5 was unable to phosphorylate mutant VRK3, and thus the mutant forms of VRK3 could not attenuate apoptotic process. Suppression of CDK5 activity results in increase of ERK activation and elevation of proapoptotic protein Bak expression in mouse cortical neurons. Results from VRK3-deficient neurons were further confirmed the role of VRK3 phosphorylation in H2O2-evoked ERK regulation. Importantly, we showed an association between phospho-VRK3 levels and the progression of human Alzheimer’s disease (AD) and Parkinson’s disease (PD). Together our work reveals endogenous protective mechanism against oxidative stress-induced neuronal cell death and suggest VRK3 as a potential therapeutic target in neurodegenerative diseases.1186Ysciescopu

Influence of white and gray matter connections on endogenous human cortical oscillations

Brain oscillations reflect changes in electrical potentials summated across neuronal populations. Low- and high-frequency rhythms have different modulation patterns. Slower rhythms are spatially broad, while faster rhythms are more local. From this observation, we hypothesized that low- and high-frequency oscillations reflect white- and gray-matter communications, respectively, and synchronization between low-frequency phase with high-frequency amplitude represents a mechanism enabling distributed brain-networks to coordinate local processing. Testing this common understanding, we selectively disrupted white or gray matter connections to human cortex while recording surface field potentials. Counter to our original hypotheses, we found that cortex consists of independent oscillatory-units (IOUs) that maintain their own complex endogenous rhythm structure. IOUs are differentially modulated by white and gray matter connections. White-matter connections maintain topographical anatomic heterogeneity (i.e., separable processing in cortical space) and gray-matter connections segregate cortical synchronization patterns (i.e., separable temporal processing through phase-power coupling). Modulation of distinct oscillatory modules enables the functional diversity necessary for complex processing in the human brain