Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations

In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa (2003). Efficient path-generation algorithms, such as Linear Transformation and Principal Component Analysis, exhibit a high computational cost in a market with time-dependent volatilities. We present a new and fast Cholesky algorithm for block matrices that makes the Linear Transformation even more convenient. Moreover, we propose a new-path generation technique based on a Kronecker Product Approximation. This construction returns the same accuracy of the Linear Transformation used for the computation of the deltas and the prices in the case of correlated asset returns while requiring a lower computational time. All these techniques can be easily employed for stochastic volatility models based on the mixture of multi-dimensional dynamics introduced by Brigo et al. (2004).Comment: 16 page

Aggregating behaviour in invasive Caribbean lionfish is driven by habitat complexity

Caribbean lionfish (Pterois spp.) are considered the most heavily impacting invasive marine vertebrate ever recorded. However, current management is largely inadequate, relying on opportunistic culling by recreational SCUBA divers. Culling efficiency could be greatly improved by exploiting natural aggregations, but to date this behaviour has only been recorded anecdotally, and the drivers are unknown. We found aggregations to be common in situ, but detected no conspecific attraction through visual or olfactory cues in laboratory experiments. Aggregating individuals were on average larger, but showed no further differences in morphology or life history. However, using visual assessments and 3D modelling we show lionfish prefer broad-scale, but avoid fine-scale, habitat complexity. We therefore suggest that lionfish aggregations are coincidental based on individuals’ mutual attraction to similar reef structure to maximise hunting efficiency. Using this knowledge, artificial aggregation devices might be developed to concentrate lionfish densities and thus improve culling efficiency

Y-box protein-1/p18 fragment identifies malignancies in patients with chronic liver disease

<p>Abstract</p> <p>Background</p> <p>Immunohistochemical detection of cold shock proteins is predictive for deleterious outcome in various malignant diseases. We recently described active secretion of a family member, denoted Y-box (YB) protein-1. We tested the clinical and diagnostic value of YB-1 protein fragment p18 (YB-1/p18) detection in blood for malignant diseases.</p> <p>Methods</p> <p>We used a novel monoclonal anti-YB-1 antibody to detect YB-1/p18 by immunoblotting in plasma samples of healthy volunteers (n = 33), patients with non-cancerous, mostly inflammatory diseases (n = 60), hepatocellular carcinoma (HCC; n = 25) and advanced solid tumors (n = 20). YB-1/p18 was then tested in 111 patients with chronic liver diseases, alongside established tumor markers and various diagnostic measures, during evaluation for potential liver transplantation.</p> <p>Results</p> <p>We developed a novel immunoblot to detect the 18 kD fragment of secreted YB-1 in human plasma (YB-1/p18) that contains the cold-shock domains (CSD) 1-3 of the full-length protein. YB-1/p18 was detected in 11/25 HCC and 16/20 advanced carcinomas compared to 0/33 healthy volunteers and 10/60 patients with non-cancerous diseases. In 111 patients with chronic liver disease, YB-1/p18 was detected in 20 samples. Its occurrence was not associated with advanced Child stages of liver cirrhosis or liver function. In this cohort, YB-1/p18 was not a good marker for HCC, but proved most powerful in detecting malignancies other than HCC (60% positive) with a lower rate of false-positive results compared to established tumor markers. Alpha-fetoprotein (AFP) was most sensitive in detecting HCC, but simultaneous assessment of AFP, CA19-9 and YB-1/p18 improved overall identification of HCC patients.</p> <p>Conclusions</p> <p>Plasma YB-1/p18 can identify patients with malignancies, independent of acute inflammation, renal impairment or liver dysfunction. The detection of YB-1/p18 in human plasma may have potential as a tumor marker for screening of high-risk populations, e.g. before organ transplantation, and should therefore be evaluated in larger prospective studies.</p

The role of resuscitation promoting factors in pathogenesis and reactivation of Mycobacterium tuberculosis during intra-peritoneal infection in mice

<p>Abstract</p> <p>Background</p> <p><it>Mycobacterium tuberculosis </it>can enter into a dormant state which has resulted in one third of the world's population being infected with latent tuberculosis making the study of latency and reactivation of utmost importance. <it>M. tuberculosis </it>encodes five resuscitation promoting factors (Rpfs) that bear strong similarity to a lysozyme-like enzyme previously implicated in reactivation of dormant bacteria <it>in vitro</it>.</p> <p>We have developed an intraperitoneal infection model in mice, with immune modulation, that models chronic infection with similar properties in mouse lungs as those observed in the murine aerosol infection model. We have assessed the behavior of mutants that lack two or three <it>rpf </it>genes in different combinations in our intraperitoneal model.</p> <p>Methods</p> <p>C57Bl/6 mice were intraperitonealy infected with H37Rv wild type <it>M. tuberculosis </it>or mutant strains that lacked two or three <it>rpf </it>genes in different combinations. After 90 days of infection aminoguanidine (AG) or anti-TNFα antibodies were administrated. Organ bacillary loads were determined at various intervals post infection by plating serial dilutions of organ homogenates and enumerating bacteria.</p> <p>Results</p> <p>We found that the <it>rpf </it>triple and double mutants tested were attenuated in their ability to disseminate to mouse lungs after intraperitoneal administration and were defective in their ability to re-grow after immunosuppression induced by administration of aminoguanidine and anti-TNFα antibodies.</p> <p>Conclusion</p> <p>Rpf proteins may have a significant physiological role for development of chronic TB infection and its reactivation <it>in vivo</it>.</p

Childhood indicators of susceptibility to subsequent cervical cancer

Common warts could indicate cervical cancer susceptibility, as both are caused by human papillomavirus (HPV). Eczema was also investigated, as atopic eczema has been negatively associated with warts, but non-atopic eczema may be associated with compromised host defences, as observed in patients with HIV, suggesting increased susceptibility to HPV infection and cervical cancer. ‘Cervical cancer’ was self-reported during an interview by 87 of 7594 women members of two longitudinal British birth cohorts. The accuracy of the diagnoses is limited by lack of confirmation using medical records. Odds ratios are adjusted for common warts and eczema in childhood; and cigarette smoking, number of cohabiting partners and social class in early adult life. The odds ratios of warts and eczema with cervical cancer are 2.50 (95% confidence interval 1.14–5.47) and 3.27 (1.95–5.49), respectively. The association of eczema with cervical cancer is independent of hay fever as a marker of atopy, suggesting the importance of non-atopic eczema. Both heavier smoking compared with non-smoking and four or more cohabiting partners compared with one/none have odds ratios for cervical cancer of 8.26 (4.25–15.10) and 4.89 (1.39–17.18), respectively. Common warts in childhood may indicate cervical cancer susceptibility; this and the relationship with eczema deserves investigation

Associations between DSM-IV diagnosis, psychiatric symptoms and morning cortisol levels in a community sample of adolescents

Purpose. Dysfunction of the hypothalamic-pituitary-adrenocortical axis (HPA-axis) is implicated in a variety of psychiatric and emotional disorders. In this study, we explore the association between HPA-axis functioning, as measured by morning cortisol, and common psychiatric disorders and symptoms among a community sample of adolescents. Method. Data from a cross-sectional school-based survey of 501 school pupils, aged 15, were used to establish the strength of association between salivary morning cortisol and both diagnosis of psychiatric disorders and a number of psychiatric symptoms, as measured via a computerised psychiatric interview. Analysis, conducted separately by gender, used multiple regressions, adjusting for relevant confounders. Results-á-áWith one exception (a positive association between conduct disorder symptoms and cortisol among females) there was no association between morning cortisol and psychiatric diagnosis or symptoms. However, there was a significant two-way interaction between gender and conduct symptoms, with females showing a positive and males a negative association between cortisol and conduct symptoms. A further three-way interaction showed that while the association between cortisol and conduct symptoms was negative among males with a few mood disorder symptoms, among females with many mood symptoms it was positive. Conclusions. Except in relation to conduct symptoms, dysregulation of morning cortisol levels seems unrelated to any psychiatric disorder or symptoms. However, the relationship between cortisol and conduct symptoms is moderated by both gender and mood symptoms. Findings are compatible with the recent work suggesting research should concentrate on the moderated associations between gender, internalising and externalising symptoms and cortisol, rather than any simple relationship

Dose finding of melatonin for chronic idiopathic childhood sleep onset insomnia: an RCT

Contains fulltext : 86695.pdf (publisher's version ) (Open Access)Rationale Pharmacokinetics of melatonin in children might differ from that in adults. Objectives This study aims to establish a dose–response relationship for melatonin in advancing dim light melatonin onset (DLMO), sleep onset (SO), and reducing sleep onset latency (SOL) in children between 6 and 12 years with chronic sleep onset insomnia (CSOI). Methods The method used for this study is the randomized, placebo-controlled double-blind trial. Children with CSOI (n=72) received either melatonin 0.05, 0.1, and 0.15 mg/kg or placebo during 1 week. Sleep was assessed with log and actigraphy during this week and the week before. Outcomes were the shifts in DLMO, SO, and SOL. Results Treatment with melatonin significantly advanced SO and DLMO by approximately 1 h and decreased SOL by 35 min. Within the three melatonin groups, effect size was not different, but the circadian time of administration (TOA) correlated significantly with treatment effect on DLMO (rs=-0.33, p=0.022) and SO (rs=-0.38, p=0.004), whereas clock TOA was correlated with SO shift (r=-0.35, p=0.006) and not with DLMO shift. Conclusions No dose–response relationship of melatonin with SO, SOL, and DLMO is found within a dosage range of 0.05–0.15 mg/kg. The effect of exogenous melatonin on SO, SOL, and DLMO increases with an earlier circadian TOA. The soporific effects of melatonin enhance the SO shift. This study demonstrates that melatonin for treatment of CSOI in children is effective in a dosage of 0.05 mg/kg given at least 1 to 2 h before DLMO and before desired bedtime.13 p

Tumor necrosis is associated with increased alphavbeta3 integrin expression and poor prognosis in nodular cutaneous melanomas

<p>Abstract</p> <p>Background</p> <p>Tumor necrosis and apoptotic activity are considered important in cancer progression, but these features have not been much studied in melanomas. Our hypothesis was that rapid growth in cutaneous melanomas of the vertical growth phase might lead to tissue hypoxia, alterations in apoptotic activity and tumor necrosis. We proposed that these tumor characteristics might be associated with changes in expression of cell adhesion proteins leading to increased invasive capacity and reduced patient survival.</p> <p>Methods</p> <p>A well characterized series of nodular melanoma (originally 202 cases) and other benign and malignant melanocytic tumors (109 cases) were examined for the presence of necrosis, apoptotic activity (TUNEL assay), immunohistochemical expression of hypoxia markers (HIF-1 α, CAIX, TNF-α, Apaf-1) and cell adhesion proteins (α_vβ₃integrin, CD44/HCAM and osteopontin). We hypothesized that tumor hypoxia and necrosis might be associated with increased invasiveness in melanoma through alterations of tumor cell adhesion proteins.</p> <p>Results</p> <p>Necrosis was present in 29% of nodular melanomas and was associated with increased tumor thickness, tumor ulceration, vascular invasion, higher tumor proliferation and apoptotic index, increased expression of α_vβ₃integrin and poor patient outcome by multivariate analysis. Tumor cell apoptosis did also correlate with reduced patient survival. Expression of TNF-α and Apaf-1 was significantly associated with tumor thickness, and osteopontin expression correlated with increased tumor cell proliferation (Ki-67).</p> <p>Conclusion</p> <p>Tumor necrosis and apoptotic activity are important features of melanoma progression and prognosis, at least partly through alterations in cell adhesion molecules such as increased α_vβ₃integrin expression, revealing potentially important targets for new therapeutic approaches to be further explored.</p

The predictive value of post-traumatic stress disorder symptoms for quality of life: a longitudinal study of physically injured victims of non-domestic violence

<p>Abstract</p> <p>Background</p> <p>Little is known about longitudinal associations between post-traumatic stress disorder (PTSD) and quality of life (QoL) after exposure to violence. The aims of the current study were to examine quality of life (QoL) and the predictive value of post-traumatic stress disorder (PTSD) for QoL in victims of non-domestic violence over a period of 12 months.</p> <p>Methods</p> <p>A single-group (n = 70) longitudinal design with three repeated measures over a period of 12 months were used. Posttraumatic psychological symptoms were assessed by using the Impact of Event Scale, a 15-item self-rating questionnaire comprising two subscales (intrusion and avoidance) as a screening instrument for PTSD. The questionnaire WHOQOL-Bref was used to assess QoL. The WHOQOL-BREF instrument comprises 26 items, which measure the following broad domains: physical health, psychological health, social relationships, and environment. Results of the analysis were summarized by fitting Structural Equation Modelling (SEM).</p> <p>Results</p> <p>For each category of PTSD (probable cases, risk level cases and no cases), the mean levels of the WHOQOL-Bref subscales (the four domains and the two single items) were stable across time of assessment. Individuals who scored as probable PTSD or as risk level cases had significantly lower scores on the QoL domains such as physical health, psychological health, social relationships and environmental than those without PTSD symptoms. In addition, the two items examining perception of overall quality of life and perception of overall health in WHOQOL showed the same results according to PTSD symptoms such as QoL domains. PTSD symptoms predicted lower QoL at all three assessments. Similarly PTSD symptoms at T1 predicted lower QoL at T2 and PTSD symptoms at T2 predicted lower QoL at T3.</p> <p>Conclusion</p> <p>The presence of PTSD symptoms predicted lower QoL, both from an acute and prolonged perspective, in victims of non-domestic violence. Focusing on the individual's perception of his/her QoL in addition to the illness may increase the treatment priorities and efforts.</p