Option Pricing with Fractional Stochastic Volatilities and Jumps

Empirical studies suggest that asset price fluctuations exhibit “long memory”, “volatility smile”, “volatility clustering” and asset prices present “jump”. To fit the above empirical characteristics of the market, this paper proposes a fractional stochastic volatility jump-diffusion model by combining two fractional stochastic volatilities with mixed-exponential jumps. The characteristic function of the log-return is expressed in terms of the solution of two-dimensional fractional Riccati equations of which closed-form solution does not exist. To obtain the explicit characteristic function, we approximate the pricing model by a semimartingale and convert fractional Riccati equations into a classic PDE. By the multi-dimensional Feynman-Kac theorem and the affine structure of the approximate model, we obtain the solution of the PDE with which the explicit characteristic function and its cumulants are derived. Based on the derived characteristic function and Fourier cosine series expansion, we obtain approximate European options prices. By differential evolution algorithm, we calibrate our approximate model and its two nested models to S&P 500 index options and obtain optimal parameter estimates of these models. Numerical results demonstrate the pricing method is fast and accurate. Empirical results demonstrate our approximate model fits the market best among the three models

Forward Starting Option Pricing under Double Fractional Stochastic Volatilities and Jumps

This paper aims to provide an effective method for pricing forward starting options under the double fractional stochastic volatilities mixed-exponential jump-diffusion model. The value of a forward starting option is expressed in terms of the expectation of the forward characteristic function of log return. To obtain the forward characteristic function, we approximate the pricing model with a semimartingale by introducing two small perturbed parameters. Then, we rewrite the forward characteristic function as a conditional expectation of the proportion characteristic function which is expressed in terms of the solution to a classic PDE. With the affine structure of the approximate model, we obtain the solution to the PDE. Based on the derived forward characteristic function and the Fourier transform technique, we develop a pricing algorithm for forward starting options. For comparison, we also develop a simulation scheme for evaluating forward starting options. The numerical results demonstrate that the proposed pricing algorithm is effective. Exhaustive comparative experiments on eight models show that the effects of fractional Brownian motion, mixed-exponential jump, and the second volatility component on forward starting option prices are significant, and especially, the second fractional volatility is necessary to price accurately forward starting options under the framework of fractional Brownian motion

Cloning of Grass Carp Chemokine XC Receptor 1 (XCR1) Gene and Evaluation of Its Expression in Various Organs after GCRV Infection

Interaction between the chemokine receptor XCR1 and its ligand is closely related to the immune function in animals; however, there are only a few reports on role of XCR1 in the immune system of fish. We aimed to analyze the expression of XCR1 in various organs or tissues of grass carp before and after Grass Carp Reovirus (GCRV) infection to better understand the function of XCR1 in resistance to GCRV infection. We cloned and sequenced the cDNA of grass carp XCR1 and analyzed the molecular structure of XCR1 based its amino acid sequence. Further, we analyzed the relative expression levels of XCR1 in different organs or tissues of male parent grass carp with GCRV resistance (P1) and their first-generation offspring (F1) before and after GCRV infection. Our results show that the total length of cDNA of the grass carp XCR1 gene is 1659 bp and encodes 365 amino acids. XCR1 contains seven conserved transmembrane helical domains. The homologous tertiary structure of XCR1 is similar to its homologs in other species. After artificial GCRV infection, there were significant differences in the expression of the grass carp XCR1 gene in different tissues, at different time points, and between P1 and F1 fish. These results will contribute to our understanding of the role of XCR1 in fish immune responses and contribute to the development of GCRV-resistant grass carp

Cloning of Grass Carp Chemokine XC Receptor 1 (<i>XCR1</i>) Gene and Evaluation of Its Expression in Various Organs after GCRV Infection

Interaction between the chemokine receptor XCR1 and its ligand is closely related to the immune function in animals; however, there are only a few reports on role of XCR1 in the immune system of fish. We aimed to analyze the expression of XCR1 in various organs or tissues of grass carp before and after Grass Carp Reovirus (GCRV) infection to better understand the function of XCR1 in resistance to GCRV infection. We cloned and sequenced the cDNA of grass carp XCR1 and analyzed the molecular structure of XCR1 based its amino acid sequence. Further, we analyzed the relative expression levels of XCR1 in different organs or tissues of male parent grass carp with GCRV resistance (P1) and their first-generation offspring (F1) before and after GCRV infection. Our results show that the total length of cDNA of the grass carp XCR1 gene is 1659 bp and encodes 365 amino acids. XCR1 contains seven conserved transmembrane helical domains. The homologous tertiary structure of XCR1 is similar to its homologs in other species. After artificial GCRV infection, there were significant differences in the expression of the grass carp XCR1 gene in different tissues, at different time points, and between P1 and F1 fish. These results will contribute to our understanding of the role of XCR1 in fish immune responses and contribute to the development of GCRV-resistant grass carp

Levels of lncRNA GAS5 in Plasma of Patients with Severe Traumatic Brain Injury: Correlation with Systemic Inflammation and Early Outcome

Scientific efforts continue to concentrate on elucidating the complex molecular mechanisms underlying traumatic brain injury (TBI), and recent reports suggest that epigenetic regulation including long non-coding RNA (lncRNA) is involved. The present study aimed to investigate the plasma concentration of a long non-coding RNA, named growth arrest-specific 5 (GAS5), in a group of 45 patients with severe TBI (sTBI), and to analyze the correlations of GAS5 with TBI onset, injury severity, systemic inflammation, and early outcome of the patients. It was found that plasma GAS5 levels were substantially increased in sTBI patients compared with the relative controls (p &lt; 0.001). Further, significantly higher expression of plasma GAS5 was observed in patients with a Glasgow Coma Scale (GCS) score of less than five (p = 0.002) or unfavorable outcome at discharge (p &lt; 0.001). Circulating GAS5 expression had a negative correlation with GCS score (r = &minus;0.406, p = 0.006), and positive correlations with white blood cell count (r = 0.473, p = 0.001), neutrophil count (r = 0.502, p &lt; 0.001), and neutrophil/lymphocyte ratio (NLR) (r = 0.398, p = 0.007). Univariate and multivariate logistic regression analyses revealed that GCS score (OR = 0.318, 95% CI 0.132&ndash;0.767, p = 0.011) and GAS5 (OR = 2.771, 95% CI 1.025&ndash;7.494, p = 0.045) were the two independent predictors for early outcome of patients. The receiver operating characteristic (ROC) curves showed good prognostic values of GCS score (AUC = 0.856, 95% CI: 0.719&ndash;0.943) and GAS5 expression (AUC = 0.798, 95% CI: 0.651&ndash;0.903). Importantly, the combined use of them can improve the prognostic ability of TBI with an AUC of 0.895 (95% CI: 0.767&ndash;0.966). Collectively, our study indicated that the levels of lncRNA GAS5 in circulation were elevated following severe TBI and correlated well with injury severity and inflammatory parameters. In addition, GAS5 as well as GCS scores may have the potential to predict the early outcome of TBI patients

Functional Identification of Complement Factor D and Analysis of Its Expression during GCRV Infection in Grass Carp (Ctenopharyngodon idella)

Complement factor D (Df) is a serine protease well known for activating the alternative pathway (AP) in mammals by promoting the cleavage of complement component 3 (C3), thus becoming involved in innate defense. In teleost fish, however, the functional mechanisms of Df in the AP and against pathogen infection are far from clear. In the present study, we cloned and characterized the Df gene, CiDf, from grass carp (Ctenopharyngodon idella) and analyzed its function in promoting C3 cleavage and expression changes after grass carp reovirus (GCRV) infection. The open reading frame of CiDf was found to be 753 bp, encoding 250 amino acids with a molecular mass of 27.06 kDa. CiDf harbors a conserved Tryp_SPc domain, with three conserved residues representing the catalytic triad and three conserved binding sites in the substrate specificity pocket. Pairwise alignment showed that CiDf shares the highest identity (96%) and similarity (98%) with Df from Anabarilius grahami. Phylogenetic analysis indicated that CiDf and other fish Dfs formed a distinct evolutionary branch. Similar to most Dfs from other vertebrates, the CiDf gene structure is characterized by four introns and five exons. The incubation of recombinant CiDf protein with grass carp serum significantly increased the C3b content, demonstrating the conserved function of CiDf in the AP in promoting C3 cleavage, similar to Dfs in mammals. CiDf mRNA expression was widely detected in various tissues and levels were relatively higher in the liver, spleen, and intestine of grass carp. During GCRV infection over a 168-hour period, a high level of CiDf mRNA expression in the liver, spleen, and intestine was maintained at 144 and 168 h, suggesting AP activity at the late stage of GCRV infection. Collectively, the above results reveal the conserved structure and function of CiDf and its distinct expression patterns after GCRV infection, which provide a key basis for studying the roles of Df and AP during GCRV infection in the grass carp C. idella

A Modular Cooperative Wall-Climbing Robot Based on Internal Soft Bone

Most existing wall-climbing robots have a fixed range of load capacity and a step distance that is small and mostly immutable. It is therefore difficult for them to adapt to a discontinuous wall with particularly large gaps. Based on a modular design and inspired by leech peristalsis and internal soft-bone connection, a bionic crawling modular wall-climbing robot is proposed in this paper. The robot demonstrates the ability to handle variable load characteristics by carrying different numbers of modules. Multiple motion modules are coupled with the internal soft bone so that they work together, giving the robot variable-step-distance functionality. This paper establishes the robotic kinematics model, presents the finite element simulation analysis of the model, and introduces the design of the multi-module cooperative-motion method. Our experiments show that the advantage of variable step distance allows the robot not only to quickly climb and turn on walls, but also to cross discontinuous walls. The maximum climbing step distance of the robot can reach 3.6 times the length of the module and can span a discontinuous wall with a space of 150 mm; the load capacity increases with the number of modules in series. The maximum load that N modules can carry is about 1.3 times the self-weight