On the complete model with stochastic volatility by Hobson and Rogers

We examine a recent model, proposed by Hobson and Rogers, which generalizes the classical one by Black and Scholes for pricing derivative securities such as options and futures. We treat the numerical solution of some degenerate partial differential equations governing this financial problem and propose some new numerical schemes which naturally apply in this degenerate setting. Then we aim to emphasize the mathematical tractability of the Hobson-Rogers model by presenting analytical and numerical results comparable with the known ones in the classical Black-Scholes environment.Black-Scholes model, stochastic volatility, path-dependent option, hypoelliptic equation

CDS calibration under an extended JDCEV model

We propose a new methodology for the calibration of a hybrid credit-equity model to credit default swap (CDS) spreads and survival probabilities. We consider an extended Jump to Default Constant Elasticity of Variance model incorporating stochastic and possibly negative interest rates. Our approach is based on a perturbation technique that provides an explicit asymptotic expansion of the CDS spreads. The robustness and efficiency of the method is confirmed by several calibration tests on real market data

Apoptotic cell death in canine hair follicle

Apoptotic cell death is an essential homeostatic mechanism involved in the control of cellular turnover in a variety of adult tissues. Cytoplasmic and nuclear condensation morphologically define this process whose biochemical hallmark is extensive DNA fragmentation into discrete oligonucleosomic units. Hair follicle growth and regression has been shown to be correlated with apoptosis in humans, mice, rats and guinea pigs. The present study was carried out to evaluate its implication in canine hair biology in order to define the spatio-temporal relationship between apoptosis and the hair cycle in dogs. As assessed by terminal deoxy-nucleotidyl transferase-mediated d-UTP nick-end-labelling (TUNEL) and by basic histological and ultrastructural assays, apoptotic cells appeared both in the growing and in the regressing follicle epithelium showing the well characterized morphological features described in the previous relevant literature

Postural adjustments to self-triggered perturbations under conditions of changes in body orientation

We studied anticipatory and compensatory postural adjustments (APAs and CPAs) associated with self-triggered postural perturbations in conditions with changes in the initial body orientation. In particular, we were testing hypotheses on adjustments in the reciprocal and coactivation commands, role of proximal vs. distal muscles, and correlations between changes in indices of APAs and CPAs. Healthy young participants stood on a board with full support or reduced support area and held a standard load in the extended arms. They released the load in a self-paced manned with a standard small-amplitude arm movement. Electromyograms of 12 muscles were recorded and used to compute reciprocal and coactivation indices between three muscle pairs on both sides of the body. The subject's body was oriented toward one of three targets: straight ahead, 60° to the left, and 60° to the right. Body orientation has stronger effects on proximal muscle pairs compared to distal muscles. It led to more consistent changes in the reciprocal command compared to the coactivation command. Indices of APAs and CPAs showed positive correlations across conditions. We conclude that the earlier suggested hierarchical relations between the reciprocal and coactivation command could be task-specific. Predominance of negative or positive correlations between APA and CPA indices could also be task-specific

Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model

The European sovereign debt crisis, started in the second half of 2011, has posed the problem for asset managers, trades and risk managers to assess sovereign default risk. In the reduced form framework, it is necessary to understand the interrelationship between creditworthiness of a sovereign, its intensity to default and the correlation with the exchange rate between the bond\u2019s currency and the currency in which the Credit Default Swap CDS spread are quoted. To do this, we propose a hybrid sovereign risk model in which the intensity of default is based on the jump to default extended constant elasticity variance model. We analyse the differences between the default intensity under the domestic and foreign measure and we compute the default-survival probabilities in the bond\u2019s currency measure. We also give an approximation formula to CDS spread obtained by perturbation theory and provide an efficient method to calibrate the model to CDS spread quoted by the market. Finally, we test the model on real market data by several calibration experiments to confirm the robustness of our method

Long-term follow-up of Zoon balanitis: a retrospective cohort study

Dear Editor, Zoon balanitis (ZB) is an infammatory disease afecting genital mucosa, particularly the glans and the inside of the foreski

Evolution and architecture of a West Mediterranean upper Pleistocene to Holocene coastal apron-fan system

The Quaternary deposits of tectonically stable areas are a powerful tool to investigate high-frequency climate variations (<10 ka) and to distinguish allogenic and autogenic factors controlling deposition. Therefore, an Upper Pleistocene—Holocene coastal apron-fan system in north—western Sardinia (Porto Palmas, Italy) was studied to investigate the relations between climate changes, sea-level fluctuations and sediment source-supply that controlled its development. The sedimentary sequence records the strong influence of local (wet/dry) and worldwide (sea-level) environmental variations in the sedimentation and preservation of the deposits. A multi-disciplinary approach allowed subdivision of the succession into four major, unconformity-bounded stratigraphic units: U1 U2, U3 and U4. Unit U1, tentatively dated to the warm and humid Marine Isotopic Stage (MIS) 5, consists of sandy, gravelly coastal/beach deposits developed during high sea-level in low-lying areas. Unit U2 consists of debris-flow dominated fan-deposits (ca 74 ka; MIS 4), preserved as partial fills of small valleys and coves. Unit U2 is mainly composed of reddish silty conglomerate to pebbly siltstones sourced from the Palaeozoic metamorphic inland hills (bedrock), superficially disintegrated during the preceding warm, vegetation-rich MIS 5. The cold and semi-arid climate strongly reduced vegetation cover along the valley flanks. Therefore, sediment gravity-flow processes, possibly activated by rainstorms, led to deposition of debris-flow dominated fans. Unit U3 consists of water-flow dominated alluvial-fan deposits (ca 47 to 23 ka; MIS 3), developed on a slightly inclined coastal plain. Unit U3 is composed of sandstone and sandy conglomerate fed from two main sediment sources: metamorphic inland bedrock and Quaternary bioclastic-rich shelf-derived sands. During this cold phase, sea-level dropped sufficiently to expose bioclastic sands accumulated on the shelf. Frequent climate fluctuations favoured inland aeolian transport of sand during dry phases, followed by reworking of the aeolian bodies by flash floods during wet phases. Bedrock-derived fragments mixed with water-reworked, wind-blown sands led to the development of water-flow dominated fans. The Dansgaard—Oeschger events possibly associated with sand landward deflation and main fan formations are Dansgaard—Oeschger 13 (ca 47 ka), Dansgaard—Oeschger 8 (ca 39 ka) and Dansgaard—Oeschger 2 (ca 23 ka). No record of sedimentation during MIS 2 was observed. Finally, bioclastic-rich aeolianites (Unit U4, ca 10 to 5 ka; MIS 1), preserved on a coastal slope, were developed during the Holocene transgression (ca 10 to 5 ka; MIS 1). The studied sequence shows strong similarities with those of other Mediterranean sites; it is, however, one of the few where the main MIS 4 and MIS 3 climatic fluctuations are registered in the sedimentary record

Association between mothers' screening uptake and daughters' HPV vaccination: A quasi-experimental study on the effect of an active invitation campaign

Objectives In Emilia-Romagna, the Human Papillomavirus (HPV) vaccination campaign started in 2008 offering free vaccines for 1996 and 1997 cohorts. Systematic active invitation was implemented for the 1997 cohort. Our study aimed at measuring the impact of the active invitation campaign on HPV vaccine coverage and on coverage inequalities in 11-year-old girls. Second, we evaluated the effect of the HPV vaccination campaign on participation in cervical cancer screening by mothers of target girls. Methods We collected information on vaccination status for girls residing in Reggio Emilia in 2008 and mothers' screening history, before and after the 2008 vaccination campaign. Log-binomial regression models were performed to estimate Relative Risk (RR) and 95% confidence intervals (CIs) of being vaccinated as regarded citizenship, siblings, mothers' education, marital status and screening history, stratified by birth cohort. We also calculated RR of receiving a Pap test after the vaccination campaign as regarded education, daughter's cohort and mothers' decision to have their daughter vaccinated. Interaction between education and cohort in mothers overdue for Pap testing was calculated. Results Vaccination coverage was 46.3% for the uninvited cohort (1046/2260) and 77.9% for the invited cohort (1798/2307). In the uninvited cohort, daughters' vaccination showed association with mothers' education (8 to 11 years of education vs. graduated mothers, RR 1.61 95% CI 1.14-2.28), citizenship (foreigners vs. Italians, RR 0.45 95% CI 0.37-0.56) and screening history (regular vs. non-participant; RR 1.72 95% CI 1.26-2.36). In the invited cohort, only a slight association with screening history persisted (regular vs. non-participant; RR 1.20 95% CI 1.04-1.40). Highly educated under-screened mothers of the invited cohort showed a higher probability of receiving a Pap test after the vaccination campaign period (RR 1.27 95% CI 1.04-1.56) compared with those not invited, Conclusion Active invitation could increase overall HPV immunisation coverage and reduce socio-demographic inequalities and the association with mothers' screening participation