A sparse grid approach to balance sheet risk measurement

In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We first describe, in a stylised way, the assets and liabilities dynamics that are used for the numerical estimation of the balance sheet distribution. For the pricing and hedging model, we chose a classical Black & Scholes model with a stochastic interest rate following a Hull & White model. The risk management model describing the evolution of the parameters of the pricing and hedging model is a Gaussian model. The new numerical method is compared with the traditional nested simulation approach. We review the convergence of both methods to estimate the risk indicators under consideration. Finally, we provide numerical results showing that the sparse grid approach is extremely competitive for models with moderate dimension.Comment: 27 pages, 7 figures. CEMRACS 201

PAR-2-induced colonic inflammation does not depend upon paracellular permeability and lymphocyte infiltration

PAR-2-induced colonic inflammation does not depend upon paracellular permeability and lymphocyte infiltration. 10th United European Gastroenterology Wee

Triploid Oysters In The Chesapeake Bay: Comparison Of Diploid And Triploid Crassostrea Virginica

Diploid and triploid Eastern oysters, Crassostrea virginica, were tested at 3 sites characterized by low on moderate salinity regimes in the Virginia part of the Chesapeake Bay from November 2005 through October 2007. Both diploid and triploid cultures were replicated 3 times by producing separate spawns from different broodstock. Ploidy had a generally consistent effect on the performance of C. virginica at the 3 test sites. At the end of the study, in October 2007, and across all sites, triploid oysters had lower cumulative mortality than diploids (-34%), and greater shell height (+25%), whole weight (+88%), and yield (+152%), as well as a higher proportion of market-size oysters (+114%) than diploids. Both diploids and triploids were similarly infected by Perkinsus marinas and, to a lesser extent, by Haplosporidium nelsoni. In a closer look, growth parameters (shell height growth, whole weight, yield, and percentage of marketable oysters) were always higher in triploids than in diploids regardless of the parental source, strongly supporting the superior advantage of triploids. Similar results were obtained for cumulative mortality, but to a lesser extent as a result of the large variation in mortality for both diploid and triploid cohorts among sites, as well as a significant site-by-cohort interaction. Our report is the first clear illustration of variation for the cumulative mortality exhibited among different spawns in triploids, and comes with the lesson that care must be taken in experiments in which the goal is to test the effect of ploidy on this trait. Our results support the notion that selective breeding programs to reduce mortality, coupled with triploid production to increase growth, can further optimize yield. The best-performing replicate spawn had 80% survival after 2.5 y, and reached an average shell height of 92 mm, weighing 142 g

Lack of dietary polyunsaturated fatty acids causes synapse dysfunction in the drosophila visual system

Polyunsaturated fatty acids (PUFAs) are essential nutrients for animals and necessary for the normal functioning of the nervous system. A lack of PUFAs can result from the consumption of a deficient diet or genetic factors, which impact PUFA uptake and metabolism. Both can cause synaptic dysfunction, which is associated with numerous disorders. However, there is a knowledge gap linking these neuronal dysfunctions and their underlying molecular mechanisms. Because of its genetic manipulability and its easy, fast, and cheap breeding, Drosophila melanogaster has emerged as an excellent model organism for genetic screens, helping to identify the genetic bases of such events. As a first step towards the understanding of PUFA implications in Drosophila synaptic physiology we designed a breeding medium containing only very low amounts of PUFAs. We then used the fly’s visual system, a well-established model for studying signal transmission and neurological disorders, to measure the effects of a PUFA deficiency on synaptic function. Using both visual performance and eye electrophysiology, we found that PUFA deficiency strongly affected synaptic transmission in the fly’s visual system. These defects were rescued by diets containing omega-3 or omega-6 PUFAs alone or in combination. In summary, manipulating PUFA contents in the fly’s diet was powerful to investigate the role of these nutrients on the fly´s visual synaptic function. This study aims at showing how the first visual synapse of Drosophila can serve as a simple model to study the effects of PUFAs on synapse function. A similar approach could be further used to screen for genetic factors underlying the molecular mechanisms of synaptic dysfunctions associated with altered PUFA levels

Enhancing Magnetic Light Emission with All-Dielectric Optical Nanoantennas

Electric and magnetic optical fields carry the same amount of energy. Nevertheless, the efficiency with which matter interacts with electric optical fields is commonly accepted to be at least 4 orders of magnitude higher than with magnetic optical fields. Here, we experimentally demonstrate that properly designed photonic nanoantennas can selectively manipulate the magnetic versus electric emission of luminescent nanocrystals. In particular, we show selective enhancement of magnetic emission from trivalent europium-doped nanoparticles in the vicinity of a nanoantenna tailored to exhibit a magnetic resonance. Specifically, by controlling the spatial coupling between emitters and an individual nanoresonator located at the edge of a near field optical scanning tip, we record with nanoscale precision local distributions of both magnetic and electric radiative local densities of states (LDOS). The map of the radiative LDOS reveals the modification of both the magnetic and electric quantum environments induced by the presence of the nanoantenna. This manipulation and enhancement of magnetic light-matter interaction by means of nanoantennas opens up new possibilities for the research fields of opto-electronics, chiral optics, nonlinear&nano-optics, spintronics and metamaterials, amongst others.Peer ReviewedPostprint (author's final draft

Demodulation Performance Assessment of New GNSS Signals in Urban Environments

International audienceSatellite navigation signals demodulation performance ishistorically tested and compared in the Additive WhiteGaussian Noise propagation channel model which wellsimulates the signal reception in open areas. Nowadays,the majority of new applications targets dynamic users inurban environments; therefore the GNSS signalsdemodulation performance has become mandatory to beprovided in urban environments. The GPS L1C signaldemodulation performance in urban environments is thusprovided in this paper. To do that, a new methodologyadapted to provide and assess GNSS signalsdemodulation performance in urban channels has beendeveloped. It counteracts the classic method limitationswhich are the fluctuating received C/N0 in urbanenvironments and the fact that each received message istaken into account in the error rate computation whereasin GNSS it is not necessary. The new methodology thusproposes to provide the demodulation performance for‘favorable’ reception conditions together with statisticalinformation about the occurrence of these favorablereception conditions. To be able to apply this newmethodology and to provide the GPS L1C signaldemodulation performance in urban environments, asimulator SiGMeP (Simulator for GNSS MessagePerformance) has been developed. Two urbanpropagation channel models can be tested: thenarrowband Perez-Fontan/Prieto model and the widebandDLR model. Moreover, the impact of the received signalphase estimation residual errors has been taken intoaccount (ideal estimation is compared with PLL tracking)

GNSS Signal Demodulation Performance in Urban Environments

International audienceSatellite navigation signals demodulation performance is historically tested and compared in the Additive White Gaussian Noise propagation channel model which well simulates open areas. Nowadays, the majority of new applications targets dynamic users in urban environments; therefore the implementation of a simulation tool able to provide realistically GNSS signal demodulation performance in obstructed propagation channels has become mandatory . This paper presents the simulator SiGMeP (Simulator for GNSS Message Performance) which is wanted to provide demodulation performance of any GNSS signals in urban environment , as faithfully of reality as possible . The demodulation performance of GPS L1C/A, GPS L2C, GPS L1C and Galileo E1 OS signals simulated with SiGMeP in the AWGN channel model configuration is firstly showed . Then, the demodulation performance of GPS L1C simulated with SiGMeP in urban environments is presented using the Prieto channel model with two signal carrier phase estimation configurations: perfect signal carrier phase estimation and PLL trackin

Magnetic nano-fluctuations in a frustrated magnet

Frustrated systems exhibit remarkable properties due to the high degeneracy of their ground states. Stabilised by competing interactions, a rich diversity of typically nanometre-sized phase structures appear in polymer and colloidal systems, while the surface of ice pre-melts due to geometrically frustrated interactions. Atomic spin systems where magnetic interactions are frustrated by lattice geometry provide a fruitful source of emergent phenomena, such as fractionalised excitations analogous to magnetic monopoles. The degeneracy inherent in frustrated systems may prevail all the way down to absolute zero temperature, or it may be lifted by small perturbations or entropic effects. In the geometrically frustrated Ising--like magnet Ca3Co2O6, we follow the temporal and spatial evolution of nanoscale magnetic fluctuations firmly embedded inside the spin--density--wave magnetic structure. These fluctuations are a signature of a competing ferrimagnetic phase with an incommensurability that is different from, but determined by the host. As the temperature is lowered, the fluctuations slow down into a super-paramagnetic regime of stable spatiotemporal nano-structures

Everything you Always Wanted to Know about Inventors (but Never Asked): Evidence from the PatVal-EU Survey

By drawing information from a survey of inventors of 9,017 European patents (PatVal-EU), this paper provides novel and detailed data about the characteristics of the European inventors, the sources of their knowledge, the importance of formal and informal collaborations among researchers and institutions, the motivations to invent, and the actual use and economic value of the patents. This is important information as the unavailability of direct indicators has limited the scope and depth of the empirical studies on innovation.