Pricing holder-extendable options in a stochastic volatility model with an ornstein-uhlenbeck process

Holder-extendable options are characterized by two maturity dates, which means the option can be exercised at either the expiration date or the extended maturity date. This paper develops a pricing framework for holder-extendable options which deals with the extended version of a stochastic volatility model with an Ornstein-Uhlenbeck (OU) process. The extended model allows correlation between volatility and asset returns. The method uses Fourier inversion techniques that does not require an initial guess of the characteristic functions. A closed-form pricing formula for holder-extendable options is derived for logarithmic asset price dynamics

Bacteriological and chemical properties of soil amended with fermented poultry bird feather

Huge amount of poultry wastes are generated annually in developing nations, of which end up in our environment. Feather as a poultry waste have caused environmental concerns in many of these countries. In this research work, poultry feather was used to study its effects on bacteriological and chemical properties in agricultural soil. The feathers collected were grinded, sterilized and fermented before mixing it with soil. Total heterotrophic counts of colonies were enumerated from the soil samples. Isolates were characterized based on morphological and series of biochemical tests. Soil chemical analysis for pH, carbon, nitrogen, phosphorus, calcium, potassium was also carried out. The heterotrophic bacteria count of the treated soil had the highest count in the range of 1.54 x106 to 2.02 x106 (CFU/g) as against the control soil with 1.24 x106 (CFU/g). The bacteria identified from these samples were Bacillus sp., Proteus sp., Staphylococcus sp. and Actinomyces sp. Actinomyces sp. was isolated only after three weeks of treatment with the feather while all other bacteria were also present in the control soil but at elevated levels based on heterotrophic bacteria count in the treated soil. The soil chemical analysis of the treated soil had high amount of mineral (Organic carbon 1.10 %, nitrogen 0.09%, phosphorus 0.53±0.02 mg/kg, magnesium 0.45±0.01 mg/kg as against the control (Organic carbon 0.26%, nitrogen 0.05%, phosphorus 0.30±0.10 mg/kg, magnesium 0.45±0.01 mg/kg) and their pH is almost near neutrality, 7.12 and 7.08 respectively. The result suggested that soil treated with poultry feather increased the plate count of Bacillus sp, Proteus sp, Staphylococcus sp and Actinomyces sp. Poultry feather which is a waste by-product can provide essential nutrients for the survival of soil microorganisms, plant growth and therefore can be exploited as biofertilizer.Keywords: Bacillus sp., biofertilizer, fermentation, keratin, poultry wast

Pricing holder-extendable call options with mean-reverting stochastic volatility

Options with extendable features have many applications in finance and these provide the motivation for this study. The pricing of extendable options when the underlying asset follows a geometric Brownian motion with constant volatility has appeared in the literature. In this paper, we consider holder-extendable call options when the underlying asset follows a mean-reverting stochastic volatility. The option price is expressed in integral forms which have known closed-form characteristic functions. We price these options using a fast Fourier transform, a finite difference method and Monte Carlo simulation, and we determine the efficiency and accuracy of the Fourier method in pricing holder-extendable call options for Heston parameters calibrated from the subprime crisis. We show that the fast Fourier transform reduces the computational time required to produce a range of holder-extendable call option prices by at least an order of magnitude. Numerical results also demonstrate that when the Heston correlation is negative, the Black-Scholes model under-prices in-the-money and over-prices out-of-the-money holder-extendable call options compared with the Heston model, which is analogous to the behaviour for vanilla calls

A new CP violating observable for the LHC

We study a new type of CP violating observable that arises in three body decays that are dominated by an intermediate resonance. If two interfering diagrams exist with different orderings of final state particles, the required CP-even phase arises due to the different virtualities of the resonance in each of the two diagrams. This method can be an important tool for accessing new CP phases at the LHC and future colliders.Comment: 22 pages, v2: discussion of charged particle decays and a few references added v3: typos corrected, matches published versio

Young neutron stars with soft gamma ray emission and anomalous X-ray pulsar

The observational properties of Soft Gamma Repeaters and Ano\-malous X-ray Pulsars (SGR/AXP) indicate to necessity of the energy source different from a rotational energy of a neutron star. The model, where the source of the energy is connected with a magnetic field dissipation in a highly magnetized neutron star (magnetar) is analyzed. Some observational inconsistencies are indicated for this interpretation. The alternative energy source, connected with the nuclear energy of superheavy nuclei stored in the nonequilibrium layer of low mass neutron star is discussed.Comment: 29 pages, 13 figures, Springer International Publishing Switzerland 2016 A.W. Alsabti, P. Murdin (eds.), Handbook of Supernova

Infinite mixture-of-experts model for sparse survival regression with application to breast cancer

BACKGROUND: We present an infinite mixture-of-experts model to find an unknown number of sub-groups within a given patient cohort based on survival analysis. The effect of patient features on survival is modeled using the Cox's proportionality hazards model which yields a non-standard regression component. The model is able to find key explanatory factors (chosen from main effects and higher-order interactions) for each sub-group by enforcing sparsity on the regression coefficients via the Bayesian Group-Lasso. RESULTS: Simulated examples justify the need of such an elaborate framework for identifying sub-groups along with their key characteristics versus other simpler models. When applied to a breast-cancer dataset consisting of survival times and protein expression levels of patients, it results in identifying two distinct sub-groups with different survival patterns (low-risk and high-risk) along with the respective sets of compound markers. CONCLUSIONS: The unified framework presented here, combining elements of cluster and feature detection for survival analysis, is clearly a powerful tool for analyzing survival patterns within a patient group. The model also demonstrates the feasibility of analyzing complex interactions which can contribute to definition of novel prognostic compound markers

Studies in RF power communication, SAR, and temperature elevation in wireless implantable neural interfaces

Implantable neural interfaces are designed to provide a high spatial and temporal precision control signal implementing high degree of freedom real-time prosthetic systems. The development of a Radio Frequency (RF) wireless neural interface has the potential to expand the number of applications as well as extend the robustness and longevity compared to wired neural interfaces. However, it is well known that RF signal is absorbed by the body and can result in tissue heating. In this work, numerical studies with analytical validations are performed to provide an assessment of power, heating and specific absorption rate (SAR) associated with the wireless RF transmitting within the human head. The receiving antenna on the neural interface is designed with different geometries and modeled at a range of implanted depths within the brain in order to estimate the maximum receiving power without violating SAR and tissue temperature elevation safety regulations. Based on the size of the designed antenna, sets of frequencies between 1 GHz to 4 GHz have been investigated. As expected the simulations demonstrate that longer receiving antennas (dipole) and lower working frequencies result in greater power availability prior to violating SAR regulations. For a 15 mm dipole antenna operating at 1.24 GHz on the surface of the brain, 730 uW of power could be harvested at the Federal Communications Commission (FCC) SAR violation limit. At approximately 5 cm inside the head, this same antenna would receive 190 uW of power prior to violating SAR regulations. Finally, the 3-D bio-heat simulation results show that for all evaluated antennas and frequency combinations we reach FCC SAR limits well before 1 °C. It is clear that powering neural interfaces via RF is possible, but ultra-low power circuit designs combined with advanced simulation will be required to develop a functional antenna that meets all system requirements. © 2013 Zhao et al

Limited effect of patient and disease characteristics on compliance with hospital antimicrobial guidelines

Objective: Physicians frequently deviate from guidelines that promote prudent use of antimicrobials. We explored to what extent patient and disease characteristics were associated with compliance with guideline recommendations for three common infections. Methods: In a 1-year prospective observational study, 1,125 antimicrobial prescriptions were analysed for compliance with university hospital guidelines. Results: Compliance varied significantly between and within the groups of infections studied. Compliance was much higher for lower respiratory tract infections (LRTIs; 79%) than for sepsis (53%) and urinary tract infections (UTIs; 40%). Only predisposing illnesses and active malignancies were associated with more compliant prescribing, whereas alcohol/ intravenous drug abuse and serum creatinine levels > 130 mu mol/l were associated with less compliant prescribing. Availability of culture results had no impact on compliance with guidelines for sepsis but was associated with more compliance in UTIs and less in LRTIs. Narrowing initial broad-spectrum antimicrobial therapy to cultured pathogens was seldom practised. Most noncompliant prescribing concerned a too broad spectrum of activity when compared with guideline-recommended therapy. Conclusion: Patient characteristics had only a limited impact on compliant prescribing for a variety of reasons. Physicians seemed to practise defensive prescribing behaviour, favouring treatment success in current patients over loss of effectiveness due to resistance in future patients

Generalized linear model for interval mapping of quantitative trait loci

We developed a generalized linear model of QTL mapping for discrete traits in line crossing experiments. Parameter estimation was achieved using two different algorithms, a mixture model-based EM (expectation–maximization) algorithm and a GEE (generalized estimating equation) algorithm under a heterogeneous residual variance model. The methods were developed using ordinal data, binary data, binomial data and Poisson data as examples. Applications of the methods to simulated as well as real data are presented. The two different algorithms were compared in the data analyses. In most situations, the two algorithms were indistinguishable, but when large QTL are located in large marker intervals, the mixture model-based EM algorithm can fail to converge to the correct solutions. Both algorithms were coded in C++ and interfaced with SAS as a user-defined SAS procedure called PROC QTL