Modeling VIX And VIX Derivatives With Mean Reverting Models And Parameter Estimation Using Filter Methods

In this thesis, we study the mean reverting property of the VIX time series, and use the VIX process as the underlying. We employ various mean reverting processes, including the Ornstein-Uhlenbeck (OU) process, the Cox-Ingersoll-Ross (CIR) process and the OU processes driven by Levy processes (Levy OU) to fit historical data of VIX, and calibrate the VIX option prices. The first contribution of this thesis is to use the Levy OU process to model the VIX process, in order to explain the observed high kurtosis. To price the option using the Levy OU process, we develop a FFT method. The second contribution is to build a joint framework to consistently model the VIX and VIX derivatives together on the entire time series of market data. We choose multi-factor mean-reverting models, in which we model the VIX process as a linear combination of latent factors. To estimate the models, we use Euler approximation to find a discrete approximation for the VIX process. Based on this approximate, we consider various filter methods, namely, the Unscented Kalman Filter (UKF), constrained UKF, mixed Gaussian UKF and Particle Filter (PF) for estimation. The performances of these models are compared and discussed. Radon Nikodym derivatives of the risk-neutral measure are discussed with respect to the physical measure for the jumps. A simple dynamic trading strategy was tested on these models

Displacing the Scene: The Fantasy of Place in Chen Shi-Zheng’s Peony Pavilion, Zhang Yimou’ Turandot and Frédéric Mitterrand’s Madame Butterfly

This thesis presents a comparative study of three opera productions: Chinese American director Chen Shi-Zheng’s production of a sixteenth-century Chinese Kunju opera, The Peony Pavilion, in New York; Chinese director Zhang Yimou’s production of Turandot in the Forbidden City of Beijing; and French director Frédéric Mitterrand\u27s opera film Madame Butterfly. Treating these productions as cross-cultural and transmedial events, the thesis investigates the problematic of the “real” and the “verisimilar” in their embodiments of “place” by plotting the way “place” is discursively formed through a coding-decoding interaction between the production and the spectator. It further explores the paradoxes and myths of spaces and places in these productions by considering that which brings together the embodied form of drama fiction and the spectator’s world of reality as a fantasy of place—at once a place for fantasy and fantasy as a place. This fantasy of place is captured by the term “scene”—the place for the drama to be “put” as in mise-en-scène. Based on my investigations, I argue that spatial relationships function as a symbolic system of cultural conventions that determine our practice of everyday life

Ab initio study of water dissociation on a charged Pd(111) surface

Interactions between molecules and electrode surfaces play a key role in electrochemical processes and are a subject of extensive research, both experimental and theoretical. In this manuscript, we address the water dissociation reaction on a Pd(111) electrode surface, modelled as a slab embedded in an external electric field. We aim at unraveling the relationship between surface charge and zero-point-energy in aiding or hindering this reaction. We calculate energy barriers with dispersion-corrected density-functional theory and an efficient parallel implementation of the nudged-elastic-band method. We show that the lowest dissociation barrier, and consequently highest reaction rate, takes place when the field reaches a strength where two different geometries of the water molecule in the reactant state are equally stable. Zero-point energy contributions to this reaction, on the other hand, remain nearly constant across a wide range of electric field strengths, despite significant changes in the reactant state. Interestingly, we show that the application of electric fields that induce a negative charge on the surface can make nuclear tunneling more significant for these reactions

Energy-saving Potential Study on Telecommunication Base Station Free Cooling With a Thermosyphon Heat Exchanger in China

The energy consumption of air conditioning for a telecommunication base station (TBS) in China can be significantly decreased when an air to air thermosyphon heat exchanger is used for free cooling in low atmosphere temperature days. The model for the typical TBS in China was established and the air conditioning energy consumption was analyzed for the cities with climatic data in China. Taking the sandwich steel panel envelope with the thickness of 50 mm for an example, the energy consumption of an air conditioner combined with a thermosyphon heat exchanger in a TBS and the energy-saving potential for using ambient energy were calculated, and were shown on the map of China by different colors according to the energy-saving rates. The static payback periods were also presented. The results demonstrate that the operation mode of the combined system of an air conditioner and a thermosyphon heat exchanger for controlling the indoor temperature can bring enormous energysaving potential for a TBS in different Chinese cities except the southern areas

Positive resources for combating depressive symptoms among Chinese male correctional officers: perceived organizational support and psychological capital

BACKGROUND: Although correctional officers (COs) clearly suffer from depression, positive resources for combating depression have been rarely studied in this population. The purpose of the study was to examine the associations of perceived organizational support (POS) and psychological capital (PsyCap) with depressive symptoms among Chinese COs. METHODS: A cross-sectional survey was conducted in a province of northeast China during March–April 2011. A self-administered questionnaire was distributed to 1900 male COs from four male prisons. Depressive symptoms, POS, and PsyCap (self efficacy, hope, resilience, and optimism) were measured anonymously. A total of 1428 effective respondents with 953 frontline COs (FL-COs) and 475 non-frontline COs (NFL-COs) became our final sample. Hierarchical linear regression was performed to explore the factors associated with depressive symptoms. Asymptotic and resampling strategies were used to examine the mediating roles of PsyCap and its four components. RESULTS: The level of depressive symptoms of FL-COs was significantly higher than that of NFL-COs (t = 2.28, p = 0.023). There were significant negative associations of POS, PsyCap, hope, resilience, and optimism with depressive symptoms among FL-COs. In NFL-COs, POS, PsyCap, and optimism were negatively associated with depressive symptoms. POS was positively associated with PsyCap and its four components among both FL-COs and NFL-COs. For FL-COs, PsyCap (a*b = −0.143, BCa 95% CI: –0.186, –0.103, p < 0.05), resilience (a*b = −0.052, BCa 95% CI: –0.090, –0.017, p < 0.05), and optimism (a*b = −0.053, BCa 95% CI: –0.090, –0.016, p < 0.05) significantly mediated the association between POS and depressive symptoms. For NFL-COs, PsyCap (a*b = −0.126, BCa 95% CI: –0.186, –0.065, p < 0.05) and optimism (a*b = −0.066, BCa 95% CI: –0.116, –0.008, p < 0.05) significantly mediated the association. CONCLUSIONS: Perceived organizational support and psychological capital could be positive resources for combating depressive symptoms in Chinese male COs. Psychological capital and its components (resilience and optimism) partially mediate the association between perceived organizational support and depressive symptoms. Therefore, organizational support and psychological capital investment (especially resilience and optimism) should be included in depression preventions and treatments targeting Chinese male COs

The Relationship Between Stroke Patients Characteristics and Family Support with Compliance Rehabilitation

Stroke is a cerebrovascular disease, it is brain function disorders associated with the disease of the blood vessels that supply the brain. The impact of stroke is paralysis. Family support is things that are needed to be considered in the treatment of stroke patients. It is very involved in the compliance rehabilitation of patients to prevent the re-occurrence of stroke. Characteristics of stroke patients may also affect the compliance rehabilitation. The purpose of this research is to determine the relationship between stroke patients characteristics and family support to compliance rehabilitation at the Medical Rehabilitation Unit RSU Haji Surabaya. This research was an analytic observational research with cross sectional design. The subjects of this research are taken using total population technique. The independent variables in this research is family support. The dependent variable is compliance rehabilitation. The results of this research are presented in the form of frequency distributions and calculate the strength of the relationship with Phi coefficient. The result of this research shows that there is a strong relationship between family support and compliance rehabilitation (r=0.582). There are weak relationship between ages (r=-0,027), gender (r=0,092), level of education (r= -0,295), work (r=0,098), and marital status (r=0,319). The conclusion is family support may affect compliance rehabilitation of stroke patients. It is recommended for health workers to provide counseling to improve family support in curing stroke patients

Screening ANLN and ASPM as bladder urothelial carcinoma-related biomarkers based on weighted gene co-expression network analysis

Introduction: Bladder cancer (BLCA) is one of the most common malignancies in the urinary system with a poor prognosis and high treatment costs. Identifying potential prognostic biomarkers is significant for exploring new therapeutic and predictive targets of BLCA.Methods: In this study, we screened differentially expressed genes using the GSE37815 dataset. We then performed a weighted gene co‐expression network analysis (WGCNA) to identify the genes correlated with the histologic grade and T stage of BLCA using the GSE32548 dataset. Subsequently, Kaplan Meier survival analysis and Cox regression were used to further identify prognosis‐related hub genes using the datasets GSE13507 and TCGA‐BLCA. Moreover, we detected the expression of the hub genes in 35 paired samples, including BLCA and paracancerous tissue, from the Shantou Central Hospital by qRT‐polymerase chain reaction.Results: This study showed that Anillin (ANLN) and Abnormal spindle-like microcephaly-associated gene (ASPM) were prognostic biomarkers for BLCA. High expression of ANLN and ASPM was associated with poor overall survival.The qRT‐PCR results revealed that ANLN and ASPM genes were upregulated in BLCA, and there was a correlation between the expression of ANLN and ASPM in cancer tissues and paracancerous tissue. Additionally, the increasing multiples in the ANLN gene was obvious in high-grade BLCA.Discussion: In summary, this preliminary exploration indicated a correlation between ANLN and ASPM expression. These two genes, serving as the risk factors for BLCA progression, might be promising targets to improve the occurrence and progression of BLCA

Molecular responses to salinity stress in Salix matsudana (Koidz) females and males

Sexual dimorphism has commonly been found in many species. The phenotypes of Salix matsudana females and males are different under salinity stress. An F1 population was selected to compare the differences between males and females. As a result, males showed stronger roots and heavier dry weights than females. The unique molecular mechanisms of males and females under salinity stress were further analyzed based on the root transcriptome of males and females. Both males and females up-regulated systemic acquired resistance genes, such as ADH and oxygenase-related genes, to resist salt. Moreover, many other abiotic stress response genes were up-regulated in males to adjust to salinity stress, while females showed more down-regulation of nitrogen metabolism-related genes to decrease the harm from salinity stress. The research on salinity tolerance in Salix matsudana males and females would help to further understand sexual dimorphism under selection pressure and provide benefits to the ecological environment

Genome-wide investigation of the AP2/ERF superfamily and their expression under salt stress in Chinese willow (Salix matsudana)

AP2/ERF transcription factors (TFs) play indispensable roles in plant growth, development, and especially in various abiotic stresses responses. The AP2/ERF TF family has been discovered and classified in more than 50 species. However, little is known about the AP2/ERF gene family of Chinese willow (Salix matsudana), which is a tetraploid ornamental tree species that is widely planted and is also considered as a species that can improve the soil salinity of coastal beaches. In this study, 364 AP2/ERF genes of Salix matsudana (SmAP2/ERF) were identified depending on the recently produced whole genome sequencing data of Salix matsudana. These genes were renamed according to the chromosomal location of the SmAP2/ERF genes. The SmAP2/ERF genes included three major subfamilies: AP2 (55 members), ERF (301 members), and RAV (six members) and two Soloist genes. Genes’ structure and conserved motifs were analyzed in SmAP2/ERF family members, and introns were not found in most genes of the ERF subfamily, some unique motifs were found to be important for the function of SmAP2/ERF genes. Syntenic relationships between the SmAP2/ERF genes and AP2/ERF genes from Populus trichocarpa and Salix purpurea showed that Salix matsudana is genetically more closely related to Populus trichocarpa than to Salix purpurea. Evolution analysis on paralog gene pairs suggested that progenitor of S. matsudana originated from hybridization between two different diploid salix germplasms and underwent genome duplication not more than 10 Mya. RNA sequencing results demonstrated the differential expression patterns of some SmAP2/ERF genes under salt stress and this information can help reveal the mechanism of salt tolerance regulation in Salix matsudana

Genome-wide identification and analysis of monolignol biosynthesis genes in Salix matsudana Koidz and their relationship to accelerated growth

Lignin plays an important role in plant growth and development. It serves as a raw material for the manufacture of paper, animal feed, and chemical fertilizers. However, the regulation of lignin biosynthesis genes and the composition of the relevant gene families remain unclear in many plant species. Here, we identified and characterized 11 families of monolignol biosynthesis genes in Salix matsudana Koidz. Based on phylogenetic analysis of lignin biosynthesis genes from nine angiosperm species (Arabidopsis thaliana, Oryza sativa, Zea mays, Solanum lycopersicum, S. suchowensis, S. purpurea, Populus euphratica, P. trichocarpa, and S. matsudana), the 11 gene families could be divided into two classes that differed in their apparent evolutionary history. We compared the distribution of lignin biosynthesis genes between the two sub-genomes (At and Bt) of S. matsudana and found that more duplicated genes were present in the Bt sub-genome. We analyzed RNA sequencing data from two parents of contrasting height and two of their F1 progeny, and detected 23 differentially expressed genes (DEGs) that may regulate accelerated growth. We analyzed the promoter regions of the lignin-related DEGs and identified several hormone-related (auxin, ethylene, and cytokinin) transcription factor binding sites. These results provide an important foundation for future studies on the molecular mechanisms and genetic regulation of lignin biosynthesis and its relationship to accelerated growth in forest trees