Local Volatility Calibration by Optimal Transport

The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion process that matches the known densities of an asset price at two different dates, while minimizing a chosen cost function. Inspired by the seminal work of Benamou and Brenier [1], we formulate the problem as a convex optimization problem, derive its dual formulation, and solve it numerically via an augmented Lagrangian method and the alternative direction method of multipliers (ADMM) algorithm. The solution effectively reconstructs the dynamic of the asset price between the two dates by recovering the optimal local volatility function, without requiring any time interpolation of the option prices

A study on the failure of steel chains in rotary cement kilns

The failure of steel chains which are used in rotary cement kilns costs cement companies a significant price. This study investigated the causes of chains failure at the Kufa cement plant and proposes new materials that can serve for a prolonged period of time. Two grades of steel chains were investigated including DIN 1.4742 (AISI 10F) and St37. Ten samples of chains from different locations from the kiln flame have been taken after 30 days and after 180 days of continuous work inside the rotary cement kiln. To study the effect of the distance from the kiln flame on the DIN 1.4742 (AISI 10F), another two samples have been replaced the St37 grade at a distance of 28.2 m. Chemical analysis for each sample under study has been carried out in order to highlight the differences between the used chain and the original chain in terms of alloying elements weight. An optical images of the unused and used chains of DIN 1.4742 (AISI 10F) steel grade have been taken to understand that the change occurs in the grain size. SEM-EDS technique was also applied to understand the possible segregation of elements. The results showed that the decrease of alloying elements pct, especially Cr, in the microstructure was the main reason of chain failure by corrosion/erosion mechanism. Preventing Cr from segregation can prolong the life of kiln chains during service. The study suggests new steel grades to replace DIN 1.4742 (AISI 10F) and St37 steel grades

The role of agri-environment schemes in conservation and environmental management.

Over half of the European landscape is under agricultural management and has been for millennia. Many species and ecosystems of conservation concern in Europe depend on agricultural management and are showing ongoing declines. Agri-environment schemes (AES) are designed partly to address this. They are a major source of nature conservation funding within the European Union (EU) and the highest conservation expenditure in Europe. We reviewed the structure of current AES across Europe. Since a 2003 review questioned the overall effectiveness of AES for biodiversity, there has been a plethora of case studies and meta-analyses examining their effectiveness. Most syntheses demonstrate general increases in farmland biodiversity in response to AES, with the size of the effect depending on the structure and management of the surrounding landscape. This is important in the light of successive EU enlargement and ongoing reforms of AES. We examined the change in effect size over time by merging the data sets of 3 recent meta-analyses and found that schemes implemented after revision of the EU's agri-environmental programs in 2007 were not more effective than schemes implemented before revision. Furthermore, schemes aimed at areas out of production (such as field margins and hedgerows) are more effective at enhancing species richness than those aimed at productive areas (such as arable crops or grasslands). Outstanding research questions include whether AES enhance ecosystem services, whether they are more effective in agriculturally marginal areas than in intensively farmed areas, whether they are more or less cost-effective for farmland biodiversity than protected areas, and how much their effectiveness is influenced by farmer training and advice? The general lesson from the European experience is that AES can be effective for conserving wildlife on farmland, but they are expensive and need to be carefully designed and targeted.This is the final published version. It first appeared from Wiley http://dx.doi.org/10.1111/cobi.1253

Free-standing graphene films embedded in epoxy resin with enhanced thermal properties

The poor thermal conductivity of polymer composites has long been a deterrent to their increased use in high-end aerospace or defence applications. This study describes a new approach for the incorporation of graphene in an epoxy resin, through the addition of graphene as free-standing film in the polymeric matrix. The electrical and thermal conductivity of composites embedding two different free-standing graphene films was compared to composites with embedded carbon nanotube buckypapers (CNT-BP). Considerably higher thermal conductivity values than those achieved with conventional dispersing methods of graphene or CNTs in epoxy resins were obtained. The characterisation was complemented with a study of the structure at the microscale by cross-sectional scanning electron microscopy (SEM) images and a thermogravimetric analysis (TGA). The films are preconditioned in order to incorporate them into the composites, and the complete manufacturing process proposed allows the production and processing of these materials in large batches. The high thermal conductivity obtained for the composites opens the way for their use in demanding thermal management applications, such as electronic enclosures or platforms facing critical temperature loads.European Defence Agency tender No 17.ESI.OP.066. Study on the Impact of Graphene on Defence Application

Adenosine-mono-phosphate-activated protein kinase-independent effects of metformin in T cells

The anti-diabetic drug metformin regulates T-cell responses to immune activation and is proposed to function by regulating the energy-stress-sensing adenosine-monophosphate-activated protein kinase (AMPK). However, the molecular details of how metformin controls T cell immune responses have not been studied nor is there any direct evidence that metformin acts on T cells via AMPK. Here, we report that metformin regulates cell growth and proliferation of antigen-activated T cells by modulating the metabolic reprogramming that is required for effector T cell differentiation. Metformin thus inhibits the mammalian target of rapamycin complex I signalling pathway and prevents the expression of the transcription factors c-Myc and hypoxia-inducible factor 1 alpha. However, the inhibitory effects of metformin on T cells did not depend on the expression of AMPK in T cells. Accordingly, experiments with metformin inform about the importance of metabolic reprogramming for T cell immune responses but do not inform about the importance of AMPK

AutoClickChem: Click Chemistry in Silico

Academic researchers and many in industry often lack the financial resources available to scientists working in “big pharma.” High costs include those associated with high-throughput screening and chemical synthesis. In order to address these challenges, many researchers have in part turned to alternate methodologies. Virtual screening, for example, often substitutes for high-throughput screening, and click chemistry ensures that chemical synthesis is fast, cheap, and comparatively easy. Though both in silico screening and click chemistry seek to make drug discovery more feasible, it is not yet routine to couple these two methodologies. We here present a novel computer algorithm, called AutoClickChem, capable of performing many click-chemistry reactions in silico. AutoClickChem can be used to produce large combinatorial libraries of compound models for use in virtual screens. As the compounds of these libraries are constructed according to the reactions of click chemistry, they can be easily synthesized for subsequent testing in biochemical assays. Additionally, in silico modeling of click-chemistry products may prove useful in rational drug design and drug optimization. AutoClickChem is based on the pymolecule toolbox, a framework that may facilitate the development of future python-based programs that require the manipulation of molecular models. Both the pymolecule toolbox and AutoClickChem are released under the GNU General Public License version 3 and are available for download from http://autoclickchem.ucsd.edu

Controlling the Electromagnetic Field Confinement with Metamaterials

The definition of a precise illumination region is essential in many applications where the electromagnetic field should be confined in some specific volume. By using conventional structures, it is difficult to achieve an adequate confinement distance (or volume) with negligible levels of radiation leakage beyond it. Although metamaterial structures and metasurfaces are well-known to provide high controllability of their electromagnetic properties, this feature has not yet been applied to solve this problem. We present a method of electromagnetic field confinement based on the generation of evanescent waves by means of metamaterial structures. With this method, the confinement volume can be controlled, namely, it is possible to define a large area with an intense field without radiation leakage. A prototype working in the microwave region has been implemented, and very good agreement between the measurements and the theoretical prediction of field distribution has been obtained

Rubber Impact on 3D Textile Composites

A low velocity impact study of aircraft tire rubber on 3D textile-reinforced composite plates was performed experimentally and numerically. In contrast to regular unidirectional composite laminates, no delaminations occur in such a 3D textile composite. Yarn decohesions, matrix cracks and yarn ruptures have been identified as the major damage mechanisms under impact load. An increase in the number of 3D warp yarns is proposed to improve the impact damage resistance. The characteristic of a rubber impact is the high amount of elastic energy stored in the impactor during impact, which was more than 90% of the initial kinetic energy. This large geometrical deformation of the rubber during impact leads to a less localised loading of the target structure and poses great challenges for the numerical modelling. A hyperelastic Mooney-Rivlin constitutive law was used in Abaqus/Explicit based on a step-by-step validation with static rubber compression tests and low velocity impact tests on aluminium plates. Simulation models of the textile weave were developed on the meso- and macro-scale. The final correlation between impact simulation results on 3D textile-reinforced composite plates and impact test data was promising, highlighting the potential of such numerical simulation tools

Foot Bone in Vivo: Its Center of Mass and Centroid of Shape

This paper studies foot bone geometrical shape and its mass distribution and establishes an assessment method of bone strength. Using spiral CT scanning, with an accuracy of sub-millimeter, we analyze the data of 384 pieces of foot bones in vivo and investigate the relationship between the bone's external shape and internal structure. This analysis is explored on the bases of the bone's center of mass and its centroid of shape. We observe the phenomenon of superposition of center of mass and centroid of shape fairly precisely, indicating a possible appearance of biomechanical organism. We investigate two aspects of the geometrical shape, (i) distance between compact bone's centroid of shape and that of the bone and (ii) the mean radius of the same density bone issue relative to the bone's centroid of shape. These quantities are used to interpret the influence of different physical exercises imposed on bone strength, thereby contributing to an alternate assessment technique to bone strength.Comment: 9 pages, 4 figure

Second language user support

Computer users rarely experience entirely trouble-free interaction. The natural variety ofindividuals ensures that no software systems yield constantly fluent interaction for allusers. In consequence, software designers often strive to ameliorate this situation bybuilding 'user support' into their systems. User support can take different forms but,conventionally, each aims to assist the needy end-user by means of facilities directly supporting the performance of certain operations, or through supply of information thatadvises the user on available system functionality.The present paper briefly characterises a range of user support facilities before describingone requirement in greater detail. This aspect considers the needs of users whose mother-tongue is not English, but who are obliged to use English-based information systems. Inthis context, 'helping the user' must reasonably extend beyond mere advice on systemoperation to selective elucidation of information content. We regard this move as alogical extension of the user support concept, by seeking to address specific interactionneeds in a target user population. An example of this approach is described through aninformation system, in the domain of civil engineering, for native Chinese speakers ofEnglish