Local Volatility Calibration by Optimal Transport

The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion process that matches the known densities of an asset price at two different dates, while minimizing a chosen cost function. Inspired by the seminal work of Benamou and Brenier [1], we formulate the problem as a convex optimization problem, derive its dual formulation, and solve it numerically via an augmented Lagrangian method and the alternative direction method of multipliers (ADMM) algorithm. The solution effectively reconstructs the dynamic of the asset price between the two dates by recovering the optimal local volatility function, without requiring any time interpolation of the option prices

Qualitative Environmental Health Research: An Analysis of the Literature, 1991-2008

BACKGROUND. Recent articles have advocated for the use of qualitative methods in environmental health research. Qualitative research uses nonnumeric data to understand people's opinions, motives, understanding, and beliefs about events or phenomena. OBJECTIVE. In this analysis of the literature, I report the use of qualitative methods and data in the study of the relationship between environmental exposures and human health. DATA SOURCES. A primary search on ISI Web of Knowledge/Web of Science for peer-reviewed journal articles dated from 1991 through 2008 included the following three terms: qualitative, environ*, and health. Inclusion and exclusion criteria are described. DATA EXTRACTION. Searches resulted in 3,155 records. Data were extracted and findings of articles analyzed to determine where and by whom qualitative environmental health research is conducted and published, the types of methods and analyses used in qualitative studies of environmental health, and the types of information qualitative data contribute to environmental health. DATA SYNTHESIS. Ninety-one articles met inclusion criteria. These articles were published in 58 different journals, with a maximum of eight for a single journal. The results highlight a diversity of disciplines and techniques among researchers who used qualitative methods to study environmental health, with most studies relying on one-on-one interviews. Details of the analyses were absent from a large number of studies. Nearly all of the studies identified increased scientific understanding of lay perceptions of environmental health exposures. DISCUSSION AND CONCLUSIONS. Qualitative data are published in traditionally quantitative environmental health studies to a limited extent. However, this analysis demonstrates the potential of qualitative data to improve understanding of complex exposure pathways, including the influence of social factors on environmental health, and health outcomes.National Institute of Environmental Health Sciences (R25 ES012084, P42ES007381

Inter-rater reliability of the Dysexecutive Questionnaire (DEX): comparative data from non-clinician respondents – all raters are not equal

Primary objective: The Dysexecutive Questionnaire (DEX) is used to obtain information about executive and emotional problems after neuropathology. The DEX is self-completed by the patient (DEX-S) and an independent rater such as a family member (DEX-I). This study examined the level of inter-rater agreement between either two or three non-clinician raters on the DEX-I in order to establish the reliability of DEX-I ratings. Methods and procedures: Family members and/or carers of 60 people with mixed neuropathology completed the DEX-I. For each patient, DEX-I ratings were obtained from either two or three raters who knew the person well prior to brain injury. Main outcomes and results: We obtained two independent-ratings for 60 patients and three independent-ratings for 36 patients. Intra-class correlations revealed that there was only a modest level of agreement for items, subscale and total DEX scores between raters for their particular family member. Several individual DEX items had low reliability and ratings for the emotion sub-scale had the lowest level of agreement. Conclusions: Independent DEX ratings completed by two or more non-clinician raters show only moderate correlation. Suggestions are made for improving the reliability of DEX-I ratings.</p

Warm Water and Cool Nests Are Best. How Global Warming Might Influence Hatchling Green Turtle Swimming Performance

For sea turtles nesting on beaches surrounded by coral reefs, the most important element of hatchling recruitment is escaping predation by fish as they swim across the fringing reef, and as a consequence hatchlings that minimize their exposure to fish predation by minimizing the time spent crossing the fringing reef have a greater chance of surviving the reef crossing. One way to decrease the time required to cross the fringing reef is to maximize swimming speed. We found that both water temperature and nest temperature influence swimming performance of hatchling green turtles, but in opposite directions. Warm water increases swimming ability, with hatchling turtles swimming in warm water having a faster stroke rate, while an increase in nest temperature decreases swimming ability with hatchlings from warm nests producing less thrust per stroke

Holographic DC conductivities from the open string metric

We study the DC conductivities of various holographic models using the open string metric (OSM), which is an effective metric geometrizing density and electromagnetic field effect. We propose a new way to compute the nonlinear conductivity using OSM. As far as the final conductivity formula is concerned, it is equivalent to the Karch-O'Bannon's real-action method. However, it yields a geometrical insight and technical simplifications. Especially, a real-action condition is interpreted as a regular geometry condition of OSM. As applications of the OSM method, we study several holographic models on the quantum Hall effect and strange metal. By comparing a Lifshitz background and the Light-Cone AdS, we show how an extra parameter can change the temperature scaling behavior of conductivity. Finally we discuss how OSM can be used to study other transport coefficients, such as diffusion constant, and effective temperature induced by the effective world volume horizon.Comment: 33 page

Life is sexually transmitted: Live with it

This article explores issues of sexual health relevant to client care that is, could, or should be offered by nurses in general practice. Sexual health is often the most important element of a person’s holistic health and well-being to be overlooked during consultations. Sadly, some professional carers consider it is not their job, is too embarrassing, morally ‘problematic’ or outside their area of expertise. Sexual health is part of life: not to address it means that health professionals fail to fully address all aspects of their clients’ holistic health and well-being. The result is selective or reduced—not holistic—care. This article will point to ways for practice nurses to remedy this situation

The design and testing of a novel mechanomyogram-driven switch controlled by small eyebrow movements

<p>Abstract</p> <p>Background</p> <p>Individuals with severe physical disabilities and minimal motor behaviour may be unable to use conventional mechanical switches for access. These persons may benefit from access technologies that harness the volitional activity of muscles. In this study, we describe the design and demonstrate the performance of a binary switch controlled by mechanomyogram (MMG) signals recorded from the frontalis muscle during eyebrow movements.</p> <p>Methods</p> <p>Muscle contractions, detected in real-time with a continuous wavelet transform algorithm, were used to control a binary switch for computer access. The automatic selection of scale-specific thresholds reduced the effect of artefact, such as eye blinks and head movement, on the performance of the switch. Switch performance was estimated by cued response-tests performed by eleven participants (one with severe physical disabilities).</p> <p>Results</p> <p>The average sensitivity and specificity of the switch was 99.7 ± 0.4% and 99.9 ± 0.1%, respectively. The algorithm performance was robust against typical participant movement.</p> <p>Conclusions</p> <p>The results suggest that the frontalis muscle is a suitable site for controlling the MMG-driven switch. The high accuracies combined with the minimal requisite effort and training show that MMG is a promising binary control signal. Further investigation of the potential benefits of MMG-control for the target population is warranted.</p

Holographic chiral magnetic spiral

We study the ground state of baryonic/axial matter at zero temperature chiral-symmetry broken phase under a large magnetic field, in the framework of holographic QCD by Sakai-Sugimoto. Our study is motivated by a recent proposal of chiral magnetic spiral phase that has been argued to be favored against previously studied phase of homogeneous distribution of axial/baryonic currents in terms of meson super-currents dictated by triangle anomalies in QCD. Our results provide an existence proof of chiral magnetic spiral in strong coupling regime via holography, at least for large axial chemical potentials, whereas we don't find the phenomenon in the case of purely baryonic chemical potential.Comment: 24 pages, 15 figure

Probe Branes, Time-dependent Couplings and Thermalization in AdS/CFT

We present holographic descriptions of thermalization in conformal field theories using probe D-branes in AdS X S space-times. We find that the induced metrics on Dp-brane worldvolumes which are rotating in an internal sphere direction have horizons with characteristic Hawking temperatures even if there is no black hole in the bulk AdS. The AdS/CFT correspondence applied to such systems indeed reveals thermal properties such as Brownian motions and AC conductivities in the dual conformal field theories. We also use this framework to holographically analyze time-dependent systems undergoing a quantum quench, where parameters in quantum field theories, such as a mass or a coupling constant, are suddenly changed. We confirm that this leads to thermal behavior by demonstrating the formation of apparent horizons in the induced metric after a certain time.Comment: LaTeX, 47 pages, 14 figures; Typos corrected and references added (v2); minor corrections, references added(v3

Low-Energy Theorems from Holography

In the context of gauge/gravity duality, we verify two types of gauge theory low-energy theorems, the dilation Ward identities and the decoupling of heavy flavor. First, we provide an analytic proof of non-trivial dilation Ward identities for a theory holographically dual to a background with gluon condensate (the self-dual Liu--Tseytlin background). In this way an important class of low-energy theorems for correlators of different operators with the trace of the energy-momentum tensor is established, which so far has been studied in field theory only. Another low-energy relationship, the so-called decoupling theorem, is numerically shown to hold universally in three holographic models involving both the quark and the gluon condensate. We show this by comparing the ratio of the quark and gluon condensates in three different examples of gravity backgrounds with non-trivial dilaton flow. As a by-product of our study, we also obtain gauge field condensate contributions to meson transport coefficients.Comment: 32 pages, 4 figures, two references added, typos remove