Pricing cumulative loss derivatives under additive models via Malliavin calculus

We show that the integration by parts formula based on Malliavin-Skorohod calculus techniques for additive processes helps us to compute quantities like $\mathbb{E}\left(L_{T} h\left(L_{T}\right)\right)$, or more generally $\mathbb{E}\left(H\left(L_{T}\right)\right)$, for different suitable functions $h$ or $H$ and different models for the cumulative loss process $L .$ These quantities are important in Insurance and Finance. For example they appear in computing expected shortfall risk measures or prices of stop-loss contracts. The formulas given in the present paper generalize the formulas given in a recent paper by Hillairet, Jiao and Réveillac (HJR). In the HJR paper, despite the use of advanced models, including the Cox process, the treatment of the formulas is based only on Malliavin calculus techniques for the standard Poisson process, a particular case of additive process. In the present paper, Malliavin calculus techniques for additive processes are used, more general results are obtained and proofs appears to be shorter

Etude Ecologique Et Entomologique Des Culicides Larvaires Des Gites De La Province De Kenitra (Maroc)

Mosquitoes are considered the source of nuisances and used as vectors of major pathogens for humans and animals. Despite the existence of many ways of control, supervising their populations remains a challenge forced by a delicate knowledge of their dynamics in space and time. Hence the need to conduct an entomological and ecological study of breeding sites in the province of Kenitra in order to acheive an inventory of culicidiennes species collected at eight stations of surface water with the measurement of physical-chemical parameters of these waters during several month from April to June 2012. The results revealed the presence of two species of mosquitoes, the Anopheles labranchiae and the Culex pipiens. The first type has a very low density at three stations, while the second one has a very high density in five stations. Furthermore, concentrations and measured values of the physico-chemical parameters allowed to highlight a correlation between the quality of waterin the stations and dynamics of mosquitoes. Thus, the Anopheles attend frequently the well-oxygenated and unpolluted stations (O2 between 2,53 and 3,65 mg/l; BOD5 between 3 and 15 mg/l) against the Culex (O2 between 3,85 and 8,12mg/l, BOD5 between 10 and 100 mg/ l)

A large scale hearing loss screen reveals an extensive unexplored genetic landscape for auditory dysfunction

The developmental and physiological complexity of the auditory system is likely reflected in the underlying set of genes involved in auditory function. In humans, over 150 non-syndromic loci have been identified, and there are more than 400 human genetic syndromes with a hearing loss component. Over 100 non-syndromic hearing loss genes have been identified in mouse and human, but we remain ignorant of the full extent of the genetic landscape involved in auditory dysfunction. As part of the International Mouse Phenotyping Consortium, we undertook a hearing loss screen in a cohort of 3006 mouse knockout strains. In total, we identify 67 candidate hearing loss genes. We detect known hearing loss genes, but the vast majority, 52, of the candidate genes were novel. Our analysis reveals a large and unexplored genetic landscape involved with auditory function

Nat Genet

The function of the majority of genes in the mouse and human genomes remains unknown. The mouse embryonic stem cell knockout resource provides a basis for the characterization of relationships between genes and phenotypes. The EUMODIC consortium developed and validated robust methodologies for the broad-based phenotyping of knockouts through a pipeline comprising 20 disease-oriented platforms. We developed new statistical methods for pipeline design and data analysis aimed at detecting reproducible phenotypes with high power. We acquired phenotype data from 449 mutant alleles, representing 320 unique genes, of which half had no previous functional annotation. We captured data from over 27,000 mice, finding that 83% of the mutant lines are phenodeviant, with 65% demonstrating pleiotropy. Surprisingly, we found significant differences in phenotype annotation according to zygosity. New phenotypes were uncovered for many genes with previously unknown function, providing a powerful basis for hypothesis generation and further investigation in diverse systems.Comment in : Genetic differential calculus. [Nat Genet. 2015] Comment in : Scaling up phenotyping studies. [Nat Biotechnol. 2015

Study and Evaluation of a European Option by Heston Model

In this work we propose an approximate numerical method for an option pricing by the Heston model. First we prove the existence and uniqueness of the solution in a weighted Sobolev space, and then we propose the finite element and finite difference methods to solve the considered problem. Therefore, we compare the obtained results for the two approaches, with those by the Monte Carlo method in Broadie-Kaya. To show the efficiency of the numerical approaches, we use different values of the interest rate and show improvements in the results for the convergence and cputime

Effect of alloying elements on the mechanical behavior and wear of austempered ductile iron

This paper treats the effect of alloying elements on the modification of the microstructure and properties of austempered ductile iron. The basic cast iron was elaborated in an induction furnace, its solidification shows a ferrite-pearlitic structure. This cast iron was alloyed with Mn, Ni, Mo and V. The samples were cast in the form of cylindrical bars of 22 mm in diameter and 300 mm in length. They have undergone a bainitic heat treatment type. Microstructures were characterized by optical microscopy, “SEM” and “XRD”. Tensile strength, hardness, microhardness, resilience and wear were determined and correlated with the microstructure. In the treated condition, metallographic study shows that the structures were formed of bainitic ferrite and feathery upper ausferrite. The results of mechanical tests and wear show that the cast irons studied achieve superior properties

Microstructure, mechanical behavior, and crystallographic texture in a hot forged dual-phase stainless steel

International audienceIn this work, the hot forging behavior of a dual phase stainless steel in the temperature range of 850–1250 °C was investigated. The study revealed the occurrence of a significant cracking phenomenon for processing temperatures below 950 °C that was attributed to the combined effect of intermetallic precipitation and severe deformation. EBSD examination highlighted the occurrence of continuous dynamic recrystallization in both ferrite and austenite microstructures for processing temperatures above 1050 °C. Increasing the hot forging temperature to 1250 °C increased the low angle grain boundaries fraction and lowered the one of the high angle grain boundaries. This was accompanied by a gradual change in the crystallographic texture of the material. The mechanical behavior investigation showed that the steel plasticity, sharply dropped after forging at 850°, was gradually recovered after hot forging at temperatures above 1050°C. This was confirmed by nanoindentation measurements that revealed a remarkable increase of the hardness and Young’s modulus of the steel after hot forging at 850°C and 950°C due to the dislocation nucleation and the σ phase precipitation at γ/δ interface. The enhancement of dislocation movement at the vicinity of the grain boundaries in the temperature range of 1050–1250 °C improved the global mechanical properties of the hot forged steel

Epidemiological Analysis of Cassava Mosaic and Brown Streak Diseases, and <i>Bemisia tabaci</i> in the Comoros Islands

A comprehensive assessment of cassava brown streak disease (CBSD) and cassava mosaic disease (CMD) was carried out in Comoros where cassava yield (5.7 t/ha) is significantly below the African average (8.6 t/ha) largely due to virus diseases. Observations from 66 sites across the Comoros Islands of Mwali, Ngazidja, and Ndzwani revealed that 83.3% of cassava fields had foliar symptoms of CBSD compared with 95.5% for CMD. Molecular diagnostics confirmed the presence of both cassava brown streak ipomoviruses (CBSIs) and cassava mosaic begomoviruses (CMBs). Although real-time RT-PCR only detected the presence of one CBSI species (Cassava brown streak virus, CBSV) the second species (Ugandan cassava brown streak virus, UCBSV) was identified using next-generation high-throughput sequencing. Both PCR and HTS detected the presence of East African cassava mosaic virus (EACMV). African cassava mosaic virus was not detected in any of the samples. Four whitefly species were identified from a sample of 131 specimens: Bemisia tabaci, B. afer, Aleurodicus dispersus, and Paraleyrodes bondari. Cassava B. tabaci comprised two mitotypes: SSA1-SG2 (89%) and SSA1-SG3 (11%). KASP SNP genotyping categorized 82% of cassava B. tabaci as haplogroup SSA-ESA. This knowledge will provide an important base for developing and deploying effective management strategies for cassava viruses and their vectors

GCC relations with post-war Iraq: a strategic perspective

The papers in this volume examine the history and future of the often fractious relationship between Iraq and the GCC countries. The backdrop is the US dominance of security arrangements in the Gulf region for most of the post-war period. Prior to the new millennium, the region’s major security threat was perceived to be the mounting rivalry between the GCC-US camp on the one hand and the Iranian camp on the other. Some semblance of equilibrium had been achieved through the late 1990s, but the US invasion of Iraq in 2003 created new fault lines. In the invasion’s aftermath, regional peace was maintained by the overwhelming presence of US troops both in Iraq and in the GCC more generally. There is a broad consensus among the contributions in this volume that a state of disequilibrium emerged in the wake of the 2011 withdrawal of US troops from Iraq. The contributions are also in agreement over the need for a more inclusive and multilateral approach to regional security, and for any such approach to be spearheaded by the region’s principle stakeholders, i.e., Iraq, Iran and the GCC countries. This is partly out of necessity, since the global recession has affected the US ability to unilaterally enforce security in the region, and there are major doubts over the effectiveness of soft military units as a replacement for a hard military presence; and partly because the new socio-political forces unleashed by US military activity and the Arab Spring have altered the previous dynamics and denuded the suitability of the prevailing security arrangement. The contributions show much more discord over the precise nature of a potentially successful new common security strategy. Among the areas of contention is the extent of Iranian influence in Iraq: those perceiving it to be large regard it as a driver of regional sectarian polarization and therefore a barrier to the emergence of a common security strategy, while those dismissing it regard Iraq as a potential bridge between the GCC and Iranian camps. A closer examination of the process of constructing Iraq’s federal architecture post-2003 demonstrates the oftunderestimated complexity of Iraq’s ethno-sectarian composition and the subtlety required to forge lasting and productive relations between the GCC countries and Iraq. Certainly there remains much controversy over what Iraqi policies that reflect “the will of the Iraqi people”- a particularly nebulous concept - might look like. Frequent reference is made to the rising tide of sectarianism in the GCC countries themselves and how this has impeded the emergence of successful regional security cooperation. The Arab Spring and the advancing medium of the Internet have combined to open the political arena for previous depoliticized religious clerics, while raising the ceiling and widening the horizons (nationally and internationally) for those who were already engaged in the political process. Despite the recognized need for a common regional security strategy, the prospects for its emergence remain dim due in large part to questions pertaining to Iran’s nuclear program, persistent instability in the broader Middle East (especially Syria), and Obama’s posturing over “pivoting to Asia.” The overarching uncertainty means that the parties are yet to reach the point where they feel that they have no alternative to constructive rather than adversarial trips to the bargaining table