The Effects on Caffeine on Cycling Performance in College-Aged Males

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Stability of central finite difference schemes for the Heston PDE

This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large semi-discrete systems with non-normal matrices A. By employing the logarithmic spectral norm we prove practical, rigorous stability bounds. Our theoretical stability results are illustrated by ample numerical experiments

Diffuse Sources, Clustering and the Excess Anisotropy of the Radio Synchrotron Background

We present the largest low frequency (120~MHz) arcminute resolution image of the radio synchrotron background (RSB) to date, and its corresponding angular power spectrum of anisotropies (APS) with angular scales ranging from $3^\circ$ to $0.3^\prime$. We show that the RSB around the North Celestial Pole has a significant excess anisotropy power at all scales over a model of unclustered point sources based on source counts of known source classes. This anisotropy excess, which does not seem attributable to the diffuse Galactic emission, could be linked to the surface brightness excess of the RSB. To better understand the information contained within the measured APS, we model the RSB varying the brightness distribution, size, and angular clustering of potential sources. We show that the observed APS could be produced by a population of faint clustered point sources only if the clustering is extreme and the size of the Gaussian clusters is $\lesssim 1'$. We also show that the observed APS could be produced by a population of faint diffuse sources with sizes $\lesssim 1'$, and this is supported by features present in our image. Both of these cases would also cause an associated surface brightness excess. These classes of sources are in a parameter space not well probed by even the deepest radio surveys to date.Comment: 13 pages, 14 figures. Accepted for publication in MNRA

A longitudinal implementation evaluation of a physical activity program for cancer survivors: LIVESTRONG(R) at the YMCA

Purpose: Increased physical activity (PA) levels in cancer survivors are associated with decreased risk of recurrence and mortality as well as additional positive health outcomes. PA interventions have shown to be efficacious, though many lack translation to and sustainability in community settings. We used dimensions of the RE-AIM framework to evaluate LIVESTRONG(R) at the YMCA, a nation-wide community-based PA program for cancer survivors delivered at Ys. Methods: This was a longitudinal study design using national LIVESTRONG at the YMCA data compiled between 2010 and 2018. Data is from all YMCAs who deliver LIVESTRONG at the YMCA, submitted by Program Directors to the YMCA-USA. We assessed reach (number of participants), adoption (associations offering the program), implementation (conducting 3 fidelity checks), and organizational level maintenance (associations recently offering program). We also examined relationships between organizational characteristics (years of program existence and association area household income) and program implementation factors with member conversion rates. Results: As of 2018, LIVESTRONG at the YMCA has reached 62,044 survivors and 245 of the 840 (29.2%) of Y associations have adopted the program. Among the adopters, 91% were aware of fidelity checks; implementation of observational (62.3%), goal setting (49.9%), and functional (64.6%) checklists varied. Most (95.1%) adopters reported offering \u3e /= 1 LIVESTRONG session per year (organizational-level maintenance) and a facility-level mean membership conversion percentage of 46.9 +/- 31.2%. Fewer years implementing the program and higher association area household income were significantly associated with a greater membership conversion rate vs their comparison. In a multiple regression model controlling for organizational characteristics, conducting the fidelity checks independently (observational, beta = 8.41; goal-setting, beta = 9.70; and functional, beta = 9.61) and collectively (beta = 10.82; 95% CI 5.90-16.80) was positively associated with higher membership conversion rates. Conclusions: LIVESTRONG at the YMCA, in its early years, has shown promise for high reach, while adoption at more associations could be facilitated. Implementing fidelity checks along with organizational characteristics were associated with membership conversion rate. Identification of association-level strategies to increase reach, adoption, implementation, and maintenance may increase the impact of this community-based PA program

Global Health and Economic Impacts of Future Ozone Pollution

Abstract and PDF report are also available on the MIT Joint Program on the Science and Policy of Global Change website (http://globalchange.mit.edu/).We assess the human health and economic impacts of projected 2000-2050 changes in ozone pollution using the MIT Emissions Prediction and Policy Analysis-Health Effects (EPPA-HE) model, in combination with results from the GEOS-Chem global tropospheric chemistry model that simulated climate and chemistry effects of IPCC SRES emissions. We use EPPA to assess the human health damages (including acute mortality and morbidity outcomes) caused by ozone pollution and quantify their economic impacts in sixteen world regions. We compare the costs of ozone pollution under scenarios with 2000 and 2050 ozone precursor and greenhouse gas emissions (SRES A1B scenario). We estimate that health costs due to global ozone pollution above pre-industrial levels by 2050 will be $580 billion (year 2000$) and that acute mortalities will exceed 2 million. We find that previous methodologies underestimate costs of air pollution by more than a third because they do not take into account the long-term, compounding effects of health costs. The economic effects of emissions changes far exceed the influence of climate alone.United States Department of Energy, Office of Science (BER) grants DE-FG02-94ER61937 and DE-FG02-93ER61677, the United States Environmental Protection Agency grant EPA-XA-83344601-0, and the industrial and foundation sponsors of the MIT Joint Program on the Science and Policy of Global Change

Quadratic optimal functional quantization of stochastic processes and numerical applications

In this paper, we present an overview of the recent developments of functional quantization of stochastic processes, with an emphasis on the quadratic case. Functional quantization is a way to approximate a process, viewed as a Hilbert-valued random variable, using a nearest neighbour projection on a finite codebook. A special emphasis is made on the computational aspects and the numerical applications, in particular the pricing of some path-dependent European options.Comment: 41 page

Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.Comment: 9 pages, 2 figures, 1 tabl

Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market

In this paper we examine the importance of mean reversion and spikes in the stochastic behaviour of the underlying asset when pricing options on power. We propose a model that is flexible in its formulation and captures the stylized features of power prices in a parsimonious way. The main feature of the model is that it incorporates two different speeds of mean reversion to capture the differences in price behaviour between normal and spiky periods. We derive semi-closed form solutions for European option prices using transform analysis and then examine the properties of the implied volatilities that the model generates. We find that the presence of jumps generates prominent volatility skews which depend on the sign of the mean jump size. We also show that mean reversion reduces the volatility smile as time to maturity increases. In addition, mean reversion induces volatility skews particularly for ITM options, even in the absence of jumps. Finally, jump size volatility and jump intensity mainly affect the kurtosis and thus the curvature of the smile with the former having a more important role in making the volatility smile more pronounced and thus increasing the kurtosis of the underlying price distribution

Bessel Process and Conformal Quantum Mechanics

Different aspects of the connection between the Bessel process and the conformal quantum mechanics (CQM) are discussed. The meaning of the possible generalizations of both models is investigated with respect to the other model, including self adjoint extension of the CQM. Some other generalizations such as the Bessel process in the wide sense and radial Ornstein- Uhlenbeck process are discussed with respect to the underlying conformal group structure.Comment: 28 Page