Pricing options and equity-indexed annuities in a regime-switching model by trinomial tree method

In this paper we summarize the main idea and results of Yuen and Yang (2009, 2010a, 2010b). The Markov regime-switching model (MRSM) has recently become a popular model. The MRSM allows the parameters of the market model depending on a Markovian process, and the model can reflect the information of the market environment which cannot be modeled solely by linear Gaussian process. The Markovian process can ensure that the parameters change according to the market environment and at the same time preserves the simplicity of the model. It is also consistent with the efficient market hypothesis that all the effects of the information about the stock price would reflect on the stock price. However, when the parameters of the stock price model are not constant but governed by a Markovian process, the pricing of the options becomes complex. We present a fast and simple trinomial tree model to price options in MRSM. In recent years, the pricing of modern insurance products, such as Equity-Indexed annuity (EIA) and variable annuities (VAs), has become a popular topic. These products can be considered investment plans with associated life insurance benefits, a specified benchmark return, a guarantee of an annual minimum rate of return and a specified rule of the distribution of annual excess investment return above the guaranteed return. EIA usually has a long maturity time, hence it is not appropriate to assume that the interest rate and the volatility of the equity index are constants. One way to deal with this problem is to apply the regime switching model. However, the valuation of derivatives in such model is challenging when the number of states are large, especially for the strong path dependent options such as Asian options. Our trinomial tree model provides an efficient way to solve this problem.postprintThe 5th Oxford-Princeton Workshop on Financial Mathematics & Stochastic Analysis, Princeton, N.J., 27-28 March 2009

Optimal asset allocation: Risk and information uncertainty

In asset allocation problem, the distribution of the assets is usually assumed to be known in order to identify the optimal portfolio. In practice, we need to estimate their distribution. The estimations are not necessarily accurate and it is known as the uncertainty problem. Many researches show that most people are uncertainty aversion and this affects their investment strategy. In this article, we consider risk and information uncertainty under a common asset allocation framework. The effects of risk premium and covariance uncertainty are demonstrated by the worst scenario in a set of measures generated by a relative entropy constraint. The nature of the uncertainty and its impacts on the asset allocation are discussed.postprin

Altered functional connectivity in persistent developmental stuttering

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Optimal portfolio in a continuous-time self-exciting threshold model

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Sample entropy analysis of EEG signals via artificial neural networks to model patients' consciousness level based on anesthesiologists experience.

Electroencephalogram (EEG) signals, as it can express the human brain's activities and reflect awareness, have been widely used in many research and medical equipment to build a noninvasive monitoring index to the depth of anesthesia (DOA). Bispectral (BIS) index monitor is one of the famous and important indicators for anesthesiologists primarily using EEG signals when assessing the DOA. In this study, an attempt is made to build a new indicator using EEG signals to provide a more valuable reference to the DOA for clinical researchers. The EEG signals are collected from patients under anesthetic surgery which are filtered using multivariate empirical mode decomposition (MEMD) method and analyzed using sample entropy (SampEn) analysis. The calculated signals from SampEn are utilized to train an artificial neural network (ANN) model through using expert assessment of consciousness level (EACL) which is assessed by experienced anesthesiologists as the target to train, validate, and test the ANN. The results that are achieved using the proposed system are compared to BIS index. The proposed system results show that it is not only having similar characteristic to BIS index but also more close to experienced anesthesiologists which illustrates the consciousness level and reflects the DOA successfully.This research is supported by the Center forDynamical Biomarkers and Translational Medicine, National Central University, Taiwan, which is sponsored by Ministry of Science and Technology (Grant no. MOST103-2911-I-008-001). Also, it is supported by National Chung-Shan Institute of Science & Technology in Taiwan (Grant nos. CSIST-095-V301 and CSIST-095-V302)

T-DNA integration patterns in transgenic maize lines mediated by Agrobacterium tumefaciens

To explore transfer deoxyribonucleic acid (T-DNA) integration patterns in the maize genome, we improved the protocol of thermal asymmetric interlaced polymerase chain reaction (TAIL-PCR), and amplified the flanking sequences around T-DNA integration sites from 70 independent transgenic maize lines mediated by Agrobacterium tumefaciens. Out of 64 specific amplified fragments, 32 and 9 are homologous to the sequences of the maize genome and the expression plasmid, respectively. For 26 of them, a filler sequence was found flanking the cleavage sites. These results demonstrate that cleavage occurs not only during the T-DNA borders but also inside or outside the borders. The border sequences and some inside sequences can be deleted, and filler sequences can be inserted. Illegitimate recombination is a major pattern of T-DNA integration, while some hot spots and preference are present on maize chromosomes.Key words: Agrobacterium tumefaciens, maize, thermal asymmetric interlaced PCR, transfer DNA,transgenics

Malondialdehyde level and some enzymatic activities in subclinical mastitis milk

The purpose of this study was to evaluate the changes occurring in milk malondialdehyde (MDA) level and some enzymatic activities as a result of subclinical mastitis (SCM) in dairy cows. A total of 124 milk samples were collected from 124 lactating cows from the same herd in the period between the 2nd week after calving and the 10th week postpartum. They were classified by bacterial culture and the California mastitis test (CMT) as positive were deemed to have glands with SCM, and the periodic incidence rate of SCM was 26.6%. The most common bacterial isolates from SCM cases were Staphylococcus aureus (47%) and coagulase negative Staphylococci (CNS) (27%). The mean level of MDA and activities of lactate dehydrogenase (LDH) and alkaline phosphatase (ALP) were significantly higher in SCM milk than in normal milk, while the mean activity of glutathione peroxidase (GPx) was significantly lower in SCM milk than in normal milk. There were no differences in the activities of superoxide dismutase (SOD) and aspartate aminotransferase (AST) between normal milk and SCM milk. Therefore, the measurement of milk MDA level and GPx, LDH and ALP activities, appears to be a suitable diagnostic method for identifying SCM in dairy cows.Key words: Subclinical mastitis, mastitis diagnostic, etiology, malonaldehyde (MDA), enzym

Evanescent light-matter Interactions in Atomic Cladding Wave Guides

Alkali vapors, and in particular rubidium, are being used extensively in several important fields of research such as slow and stored light non-linear optics3 and quantum computation. Additionally, the technology of alkali vapors plays a major role in realizing myriad industrial applications including for example atomic clocks magentometers8 and optical frequency stabilization. Lately, there is a growing effort towards miniaturizing traditional centimeter-size alkali vapor cells. Owing to the significant reduction in device dimensions, light matter interactions are greatly enhanced, enabling new functionalities due to the low power threshold needed for non-linear interactions. Here, taking advantage of the mature Complimentary Metal-Oxide-Semiconductor (CMOS) compatible platform of silicon photonics, we construct an efficient and flexible platform for tailored light vapor interactions on a chip. Specifically, we demonstrate light matter interactions in an atomic cladding wave guide (ACWG), consisting of CMOS compatible silicon nitride nano wave-guide core with a Rubidium (Rb) vapor cladding. We observe the highly efficient interaction of the electromagnetic guided mode with the thermal Rb cladding. The nature of such interactions is explained by a model which predicts the transmission spectrum of the system taking into account Doppler and transit time broadening. We show, that due to the high confinement of the optical mode (with a mode area of 0.3{\lambda}2), the Rb absorption saturates at powers in the nW regime.Comment: 10 Pages 4 Figures. 1 Supplementar