3,129 research outputs found

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

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    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

    Spatial Interpolation of Air Pollutants in Bangalore: 2010-2013

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    Air pollutants and their ill effects on the environment and health of populations are well known. However for informed decisions on the protection of the health of populations from elevated levels of air pollution, an understanding of spatial-temporal variance of air pollutant patterns is necessary. Bangalore and other similar developing cities do not have an adequate number of fixed monitoring stations that could provide a complete coverage of the air pollution levels for the entire city. This can be overcome by using geospatial interpolation techniques that provide a complete coverage of the levels of pollutants. The aim of this study is to locate sample points, characterise distribution patterns, map air pollutant distributions using interpolation techniques, highlight areas exceeding standard levels and in doing so determine spatial and temporal patterns of the levels of air pollutants. An air pollution map indicating levels of the variability of the pollutants will aid in the analysis of effects on health in populations due to elevated levels of pollutants

    Air Pollution in Bangalore, India: A Six-Year Trend and Health Implication Analysis

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    Air pollution is increasingly becoming a global concern and is believed to be amongst the leading causes of death in the world today. Developing countries, with rapidly growing economies, are struggling between the focus on economic development and curbing air pollution emissions. Bangalore is one of India’s fastest growing metropolises and, although benefiting economically due to its rapid development, has a rapidly deteriorating environment. This paper provides a critical analysis of the air pollution trend in the city over the period 2005-2011 at 6 specific locations where measurements have been consistently recorded. It also discusses the potential health implications pertaining to exceeding levels of pollutants where these are applicable

    Spatio-Temporal Analysis of the Effects of Air Pollution Hazards on Cardiovascular Health Outcomes in Bangalore, India

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    Recent research has established a link between exposure to certain pollutants and exacerbation or onset of cardiac diseases. Diseases have a spatial context and the evolution of computer applications, such as Geographical Information Systems (GIS), has favoured the studies of environment and their effects on health and populations. To aid in understanding the extent of air pollution and cardiac diseases in the city of Bangalore (India), this research explores the data requirements and GIS analysis tools that could be used to undertake a spatio-temporal analysis by developing a web based GIS application. The ultimate goal is to identify hotspots of air pollution, explore the relationships between environmental pollution hazards and cardiovascular diseases, integrate the available data to enable sharing among decision makers and disseminate information

    Role of the mucins in pathogenesis of COPD: implications for therapy.

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    Introduction: Evidence accumulated in the last decade has started to reveal the enormous complexity in the expression, interactions and functions of the large number of different mucins present in the different compartments of the human lower airways. This occurs both in normal subjects and in COPD patients in different clinical phases and stages of severity.Areas covered: We review the known physiological mechanisms that regulate mucin production in human lower airways of normal subjects, the changes in mucin synthesis/secretion in COPD patients and the clinical efficacy of drugs that modulate mucin synthesis/secretion.Expert opinion: It is evident that the old simplistic concept that mucus hypersecretion in COPD patients is associated with negative clinical outcomes is not valid and that the therapeutic potential of 'mucolytic drugs' is under-appreciated due to the complexity of the associated molecular network(s). Likewise, our current knowledge of the effects of the drugs already available on the market that target mucin synthesis/secretion/structure in the lower airways is extremely limited and often indirect and more well-controlled clinical trials are needed in this area

    Maternal obesity support services: a qualitative study of the perspectives of women and midwives

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    Background - Twenty percent of pregnant women in the UK are obese (BMI ≄ 30 kg/m2), reflecting the growing public health challenge of obesity in the 21st century. Obesity increases the risk of adverse outcomes during pregnancy and birth and has significant cost implications for maternity services. Gestational weight management strategies are a high priority; however the evidence for effective, feasible and acceptable weight control interventions is limited and inconclusive. This qualitative study explored the experiences and perceptions of pregnant women and midwives regarding existing support for weight management in pregnancy and their ideas for service development. Methods - A purposive sample of 6 women and 7 midwives from Doncaster, UK, participated in two separate focus groups. Transcripts were analysed thematically. Results - Two overarching themes were identified, 'Explanations for obesity and weight management' and 'Best care for pregnant women'. 'Explanations' included a lack of knowledge about weight, diet and exercise during pregnancy; self-talk messages which excused overeating; difficulties maintaining motivation for a healthy lifestyle; the importance of social support; stigmatisation; and sensitivity surrounding communication about obesity between midwives and their clients. 'Best care' suggested that weight management required care which was consistent and continuous, supportive and non-judgemental, and which created opportunities for interaction and mutual support between obese pregnant women. Conclusions - Women need unambiguous advice regarding healthy lifestyles, diet and exercise in pregnancy to address a lack of knowledge and a tendency towards unhelpful self-talk messages. Midwives expressed difficulties in communicating with their clients about their weight, given awareness that obesity is a sensitive and potentially stigmatising issue. This indicates more could be done to educate and support them in their work with obese pregnant women. Motivation and social support were strong explanatory themes for obesity and weight management, suggesting that interventions should focus on motivational strategies and social support facilitation

    Model Channel Ion Currents in NaCl - SPC/E Solution with Applied-Field Molecular Dynamics

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    Using periodic boundary conditions and a constant applied field, we have simulated current flow through an 8.125 Angstrom internal diameter, rigid, atomistic channel with polar walls in a rigid membrane using explicit ions and SPC/E water. Channel and bath currents were computed from ten 10-ns trajectories for each of 10 different conditions of concentration and applied voltage. An electric field was applied uniformly throughout the system to all mobile atoms. On average, the resultant net electric field falls primarily across the membrane channel, as expected for two conductive baths separated by a membrane capacitance. The channel is rarely occupied by more than one ion. Current-voltage relations are concentration-dependent and superlinear at high concentrations.Comment: Accepted for publication in Biophysical Journa

    A comparison of approximation techniques for variance-based sensitivity analysis of biochemical reaction systems

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    <p>Abstract</p> <p>Background</p> <p>Sensitivity analysis is an indispensable tool for the analysis of complex systems. In a recent paper, we have introduced a thermodynamically consistent variance-based sensitivity analysis approach for studying the robustness and fragility properties of biochemical reaction systems under uncertainty in the standard chemical potentials of the activated complexes of the reactions and the standard chemical potentials of the molecular species. In that approach, key sensitivity indices were estimated by Monte Carlo sampling, which is computationally very demanding and impractical for large biochemical reaction systems. Computationally efficient algorithms are needed to make variance-based sensitivity analysis applicable to realistic cellular networks, modeled by biochemical reaction systems that consist of a large number of reactions and molecular species.</p> <p>Results</p> <p>We present four techniques, derivative approximation (DA), polynomial approximation (PA), Gauss-Hermite integration (GHI), and orthonormal Hermite approximation (OHA), for <it>analytically </it>approximating the variance-based sensitivity indices associated with a biochemical reaction system. By using a well-known model of the mitogen-activated protein kinase signaling cascade as a case study, we numerically compare the approximation quality of these techniques against traditional Monte Carlo sampling. Our results indicate that, although DA is computationally the most attractive technique, special care should be exercised when using it for sensitivity analysis, since it may only be accurate at low levels of uncertainty. On the other hand, PA, GHI, and OHA are computationally more demanding than DA but can work well at high levels of uncertainty. GHI results in a slightly better accuracy than PA, but it is more difficult to implement. OHA produces the most accurate approximation results and can be implemented in a straightforward manner. It turns out that the computational cost of the four approximation techniques considered in this paper is orders of magnitude smaller than traditional Monte Carlo estimation. Software, coded in MATLAB<sup>Âź</sup>, which implements all sensitivity analysis techniques discussed in this paper, is available free of charge.</p> <p>Conclusions</p> <p>Estimating variance-based sensitivity indices of a large biochemical reaction system is a computationally challenging task that can only be addressed via approximations. Among the methods presented in this paper, a technique based on orthonormal Hermite polynomials seems to be an acceptable candidate for the job, producing very good approximation results for a wide range of uncertainty levels in a fraction of the time required by traditional Monte Carlo sampling.</p

    Will the US Economy Recover in 2010? A Minimal Spanning Tree Study

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    We calculated the cross correlations between the half-hourly times series of the ten Dow Jones US economic sectors over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11 segments within the present financial crisis, to construct minimal spanning trees (MSTs) of the US economy at the sector level. In all MSTs, a core-fringe structure is found, with consumer goods, consumer services, and the industrials consistently making up the core, and basic materials, oil and gas, healthcare, telecommunications, and utilities residing predominantly on the fringe. More importantly, we find that the MSTs can be classified into two distinct, statistically robust, topologies: (i) star-like, with the industrials at the center, associated with low-volatility economic growth; and (ii) chain-like, associated with high-volatility economic crisis. Finally, we present statistical evidence, based on the emergence of a star-like MST in Sep 2009, and the MST staying robustly star-like throughout the Greek Debt Crisis, that the US economy is on track to a recovery.Comment: elsarticle class, includes amsmath.sty, graphicx.sty and url.sty. 68 pages, 16 figures, 8 tables. Abridged version of the manuscript presented at the Econophysics Colloquim 2010, incorporating reviewer comment
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