On arbitrages arising from honest times

In the context of a general continuous financial market model, we study whether the additional information associated with an honest time gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly before an honest time, while classical arbitrage opportunities can be realised exactly at an honest time as well as after an honest time. Moreover, stronger arbitrages of the first kind can only be obtained by trading as soon as an honest time occurs. We carefully study the behavior of local martingale deflators and consider no-arbitrage-type conditions weaker than NFLVR.Comment: 25 pages, revised versio

Herding model and 1/f noise

We provide evidence that for some values of the parameters a simple agent based model, describing herding behavior, yields signals with 1/f power spectral density. We derive a non-linear stochastic differential equation for the ratio of number of agents and show, that it has the form proposed earlier for modeling of 1/f^beta noise with different exponents beta. The non-linear terms in the transition probabilities, quantifying the herding behavior, are crucial to the appearance of 1/f noise. Thus, the herding dynamics can be seen as a microscopic explanation of the proposed non-linear stochastic differential equations generating signals with 1/f^beta spectrum. We also consider the possible feedback of macroscopic state on microscopic transition probabilities strengthening the non-linearity of equations and providing more opportunities in the modeling of processes exhibiting power-law statistics

Airy Distribution Function: From the Area Under a Brownian Excursion to the Maximal Height of Fluctuating Interfaces

The Airy distribution function describes the probability distribution of the area under a Brownian excursion over a unit interval. Surprisingly, this function has appeared in a number of seemingly unrelated problems, mostly in computer science and graph theory. In this paper, we show that this distribution also appears in a rather well studied physical system, namely the fluctuating interfaces. We present an exact solution for the distribution P(h_m,L) of the maximal height h_m (measured with respect to the average spatial height) in the steady state of a fluctuating interface in a one dimensional system of size L with both periodic and free boundary conditions. For the periodic case, we show that P(h_m,L)=L^{-1/2}f(h_m L^{-1/2}) for all L where the function f(x) is the Airy distribution function. This result is valid for both the Edwards-Wilkinson and the Kardar-Parisi-Zhang interfaces. For the free boundary case, the same scaling holds P(h_m,L)=L^{-1/2}F(h_m L^{-1/2}), but the scaling function F(x) is different from that of the periodic case. We compute this scaling function explicitly for the Edwards-Wilkinson interface and call it the F-Airy distribution function. Numerical simulations are in excellent agreement with our analytical results. Our results provide a rather rare exactly solvable case for the distribution of extremum of a set of strongly correlated random variables. Some of these results were announced in a recent Letter [ S.N. Majumdar and A. Comtet, Phys. Rev. Lett., 92, 225501 (2004)].Comment: 27 pages, 10 .eps figures included. Two figures improved, new discussion and references adde

Functionals of the Brownian motion, localization and metric graphs

We review several results related to the problem of a quantum particle in a random environment. In an introductory part, we recall how several functionals of the Brownian motion arise in the study of electronic transport in weakly disordered metals (weak localization). Two aspects of the physics of the one-dimensional strong localization are reviewed : some properties of the scattering by a random potential (time delay distribution) and a study of the spectrum of a random potential on a bounded domain (the extreme value statistics of the eigenvalues). Then we mention several results concerning the diffusion on graphs, and more generally the spectral properties of the Schr\"odinger operator on graphs. The interest of spectral determinants as generating functions characterizing the diffusion on graphs is illustrated. Finally, we consider a two-dimensional model of a charged particle coupled to the random magnetic field due to magnetic vortices. We recall the connection between spectral properties of this model and winding functionals of the planar Brownian motion.Comment: Review article. 50 pages, 21 eps figures. Version 2: section 5.5 and conclusion added. Several references adde

Three SRA-Domain Methylcytosine-Binding Proteins Cooperate to Maintain Global CpG Methylation and Epigenetic Silencing in Arabidopsis

Methylcytosine-binding proteins decipher the epigenetic information encoded by DNA methylation and provide a link between DNA methylation, modification of chromatin structure, and gene silencing. VARIANT IN METHYLATION 1 (VIM1) encodes an SRA (SET- and RING-associated) domain methylcytosine-binding protein in Arabidopsis thaliana, and loss of VIM1 function causes centromere DNA hypomethylation and centromeric heterochromatin decondensation in interphase. In the Arabidopsis genome, there are five VIM genes that share very high sequence similarity and encode proteins containing a PHD domain, two RING domains, and an SRA domain. To gain further insight into the function and potential redundancy among the VIM proteins, we investigated strains combining different vim mutations and transgenic vim knock-down lines that down-regulate multiple VIM family genes. The vim1 vim3 double mutant and the transgenic vim knock-down lines showed decreased DNA methylation primarily at CpG sites in genic regions, as well as repeated sequences in heterochromatic regions. In addition, transcriptional silencing was released in these plants at most heterochromatin regions examined. Interestingly, the vim1 vim3 mutant and vim knock-down lines gained ectopic CpHpH methylation in the 5S rRNA genes against a background of CpG hypomethylation. The vim1 vim2 vim3 triple mutant displayed abnormal morphological phenotypes including late flowering, which is associated with DNA hypomethylation of the 5′ region of FWA and release of FWA gene silencing. Our findings demonstrate that VIM1, VIM2, and VIM3 have overlapping functions in maintenance of global CpG methylation and epigenetic transcriptional silencing

Alternative approach to the optimality of the threshold strategy for spectrally negative Levy processes

Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Kyprianou, Loeffen and Perez [28] have shown that a refraction strategy (also called threshold strategy) forms an optimal strategy under the condition that the Levy measure has a completely monotone density. In this paper, we propose an alternative approach to this optimal problem.Comment: 16 page

5-Methylcytosine and 5-Hydroxymethylcytosine Spatiotemporal Profiles in the Mouse Zygote

Background: In the mouse zygote, DNA methylation patterns are heavily modified, and differ between the maternal and paternal pronucleus. Demethylation of the paternal genome has been described as an active and replication-independent process, although the mechanisms responsible for it remain elusive. Recently, 5-hydroxymethylcytosine has been suggested as an intermediate in this demethylation. Methodology/principal findings: In this study, we quantified DNA methylation and hydroxymethylation in both pronuclei of the mouse zygote during the replication period and we examined their patterns on the pericentric heterochromatin using 3D immuno-FISH. Our results demonstrate that 5-methylcytosine and 5-hydroxymethylcytosine localizations on the pericentric sequences are not complementary; indeed we observe no enrichment of either marks on some regions and an enrichment of both on others. In addition, we show that DNA demethylation continues during DNA replication, and is inhibited by aphidicolin. Finally, we observe notable differences in the kinetics of demethylation and hydroxymethylation; in particular, a peak of 5-hydroxymethylcytosine, unrelated to any change in 5-methylcytosine level, is observed after completion of replication. Conclusion/significance: Together our results support the already proposed hypothesis that 5-hydroxymethylcytosine is not a simple intermediate in an active demethylation process and could play a role of its own during early development

Affine term structure models : a time-changed approach with perfect fit to market curves

We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or Cox-Ingersoll-Ross (possibly coupled with compounded Poisson jumps, JCIR), are tractable processes but have limited flexibility; they fail to replicate actual market curves. The deterministic shift extension of the latter (Hull-White or JCIR++) is a simple but yet efficient solution that is widely used by both academics and practitioners. However, the shift approach is often not appropriate when positivity is required, which is a common constraint when dealing with credit spreads or default intensities. In this paper, we tackle this problem by adopting a time change approach. On the top of providing an elegant solution to the calibration problem under positivity constraint, our model features additional interesting properties in terms of implied volatilities. It is compared to the shift extension on various credit risk applications such as credit default swap, credit default swaption and credit valuation adjustment under wrong-way risk. The time change approach is able to generate much larger volatility and covariance effects under the positivity constraint. Our model offers an appealing alternative to the shift in such cases.Comment: 44 pages, figures and table

Gene expression profiling associated with the progression to poorly differentiated thyroid carcinomas

Poorly differentiated thyroid carcinomas (PDTC) represent a heterogeneous, aggressive entity, presenting features that suggest a progression from well-differentiated carcinomas. To elucidate the mechanisms underlying such progression and identify novel therapeutic targets, we assessed the genome-wide expression in normal and tumour thyroid tissues.info:eu-repo/semantics/publishe