Pricing Exotic Options in a Path Integral Approach

In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the cases of Asian, barrier knock out, reverse cliquet and basket call options, evaluating prices and Greeks. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at-the-money and out-of-the-money options, the path integral approach exhibits competitive performances.Comment: 21 pages, LaTeX, 3 figures, 6 table

Cryptanalysis of GlobalPlatform Secure Channel Protocols

GlobalPlatform (GP) card specifications are the de facto standards for the industry of smart cards. Being highly sensitive, GP specifications were defined regarding stringent security requirements. In this paper, we analyze the cryptographic core of these requirements; i.e. the family of Secure Channel Protocols (SCP). Our main results are twofold. First, we demonstrate a theoretical attack against SCP02, which is the most popular protocol in the SCP family. We discuss the scope of our attack by presenting an actual scenario in which a malicious entity can exploit it in order to recover encrypted messages. Second, we investigate the security of SCP03 that was introduced as an amendment in 2009. We find that it provably satisfies strong notions of security. Of particular interest, we prove that SCP03 withstands algorithm substitution attacks (ASAs) defined by Bellare et al. that may lead to secret mass surveillance. Our findings highlight the great value of the paradigm of provable security for standards and certification, since unlike extensive evaluation, it formally guarantees the absence of security flaws

Annual variations in the number of malaria cases related to two different patterns of Anopheles darlingi transmission potential in the Maroni area of French Guiana

<p>Abstract</p> <p>Background</p> <p>With an Annual Parasite Incidence (API) of 132.1, in the high and moderate risks zones, the Maroni area of French Guiana has the second highest malaria incidence of South-America after Guyana (API = 183.54) and far above Brazil (API = 28.25). Malaria transmission is occurring despite strong medical assistance and active vector control, based on general WHO recommendations. This situation is generated by two main factors that are the social and cultural characteristics of this border area, where several ethnic groups are living, and the lack of understanding of transmission dynamics of the main mosquito vector, <it>Anopheles darlingi.</it> In this context, entomological data collected in two villages belonging to two different ethnic groups of the French border of the Maroni River, were retrospectively analysed to find out how the mosquito bionomics are related to the malaria transmission patterns.</p> <p>Methods</p> <p>Data were provided by human landing catches of mosquitoes carried out each month for two years in two villages belonging to two ethnic groups, the Amerindians Wayanas and the Aloukous of African origin. The mosquitoes were sorted by species, sex, date, hour and place of collection and processed for <it>Plasmodium sp</it>. parasite detection. The data were compiled to provide the following variables: human biting rates (HBR), parity rates (PR), numbers of infective bites (IB), entomological inoculation rates (EIR) and numbers of infected mosquitoes surviving enough to transmit (IMT). Spatial and temporal differences of variables between locations and during the night were tested by the Kruskall-Wallis analysis of variance to find out significant variations.</p> <p>Results</p> <p>The populations of the main mosquito vector <it>An. darlingi </it>showed significant variations in the spatial and temporal HBR/person/night and HBR/person/hour, IB/person/month and IB/person/hour, and IMT/village/night and IMT/village/hour. In the village of Loca (Aloukous), the IMT peaked from June to August with a very low transmission during the other months. The risks were higher during the first part of the night and an EIR of 10 infective bites per person and per year was estimated. In the village of Twenke (Wayanas), high level of transmission was reported all year with small peaks in March and October. The risk was higher during the second part of the night and an EIR of 5 infective bites per person and per year was estimated.</p> <p>Conclusion</p> <p>For the first time in the past 40 years, the mosquito bionomics was related to the malaria transmission patterns in French Guiana. The peak of malaria cases reported from August to October in the Maroni region is concomitant with the significant peak of <it>An. darlingi </it>IMT, reported from the village of Loca where transmission is higher. However, the persistent number of cases reported all year long may also be related to the transmission in the Amerindian villages. The <it>An. darlingi </it>bionomics for these two close populations were found significantly different and may explain why a uniform vector control method is inadequate. Following these findings, malaria prevention measures adapted to the local conditions are needed. Finally, the question of the presence of <it>An. darlingi </it>sub-species is raised.</p

Therapeutic strategies to slow chronic kidney disease progression

Childhood chronic kidney disease commonly progresses toward end-stage renal failure, largely independent of the underlying disorder, once a critical impairment of renal function has occurred. Hypertension and proteinuria are the most important independent risk factors for renal disease progression. Therefore, current therapeutic strategies to prevent progression aim at controlling blood pressure and reducing urinary protein excretion. Renin-angiotensin-system (RAS) antagonists preserve kidney function not only by lowering blood pressure but also by their antiproteinuric, antifibrotic, and anti-inflammatory properties. Intensified blood pressure control, probably aiming for a target blood pressure below the 75th percentile, may exert additional renoprotective effects. Other factors contributing in a multifactorial manner to renal disease progression include dyslipidemia, anemia, and disorders of mineral metabolism. Measures to preserve renal function should therefore also comprise the maintenance of hemoglobin, serum lipid, and calcium-phosphorus ion product levels in the normal range

A historical overview of the classification, evolution, and dispersion of Leishmania parasites and sandflies

Background The aim of this study is to describe the major evolutionary historical events among Leishmania, sandflies, and the associated animal reservoirs in detail, in accordance with the geographical evolution of the Earth, which has not been previously discussed on a large scale. Methodology and Principal Findings Leishmania and sandfly classification has always been a controversial matter, and the increasing number of species currently described further complicates this issue. Despite several hypotheses on the origin, evolution, and distribution of Leishmania and sandflies in the Old and New World, no consistent agreement exists regarding dissemination of the actors that play roles in leishmaniasis. For this purpose, we present here three centuries of research on sandflies and Leishmania descriptions, as well as a complete description of Leishmania and sandfly fossils and the emergence date of each Leishmania and sandfly group during different geographical periods, from 550 million years ago until now. We discuss critically the different approaches that were used for Leishmana and sandfly classification and their synonymies, proposing an updated classification for each species of Leishmania and sandfly. We update information on the current distribution and dispersion of different species of Leishmania (53), sandflies (more than 800 at genus or subgenus level), and animal reservoirs in each of the following geographical ecozones: Palearctic, Nearctic, Neotropic, Afrotropical, Oriental, Malagasy, and Australian. We propose an updated list of the potential and proven sandfly vectors for each Leishmania species in the Old and New World. Finally, we address a classical question about digenetic Leishmania evolution: which was the first host, a vertebrate or an invertebrate? Conclusions and Significance We propose an updated view of events that have played important roles in the geographical dispersion of sandflies, in relation to both the Leishmania species they transmit and the animal reservoirs of the parasites

Design concepts for the Cherenkov Telescope Array CTA: an advanced facility for ground-based high-energy gamma-ray astronomy

Ground-based gamma-ray astronomy has had a major breakthrough with the impressive results obtained using systems of imaging atmospheric Cherenkov telescopes. Ground-based gamma-ray astronomy has a huge potential in astrophysics, particle physics and cosmology. CTA is an international initiative to build the next generation instrument, with a factor of 5-10 improvement in sensitivity in the 100 GeV-10 TeV range and the extension to energies well below 100 GeV and above 100 TeV. CTA will consist of two arrays (one in the north, one in the south) for full sky coverage and will be operated as open observatory. The design of CTA is based on currently available technology. This document reports on the status and presents the major design concepts of CTA

Mean field games and systemic risk

© 2015 International Press. We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of N banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the system depends on the rate of inter-bank borrowing and lending. Systemic risk is characterized by a large number of banks reaching a default threshold by a given time horizon. Our model incorporates a game feature where each bank controls its rate of borrowing/lending to a central bank. The optimization reflects the desire of each bank to borrow from the central bank when its monetary reserve falls below a critical level or lend if it rises above this critical level which is chosen here as the average monetary reserve. Borrowing from or lending to the central bank is also subject to a quadratic cost at a rate which can be fixed by the regulator. We solve explicitly for Nash equilibria with finitely many players, and we show that in this model the central bank acts as a clearing house, adding liquidity to the system without affecting its systemic risk. We also study the corresponding Mean Field Game in the limit of a large number of banks in the presence of a common noise

Systemic Risk and Stochastic Games with Delay

We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of banks is described by coupled diffusions driven by controls with delay in their drifts. Banks are minimizing their finite-horizon objective functions which take into account a quadratic cost for lending or borrowing and a linear incentive to borrow if the reserve is low or lend if the reserve is high relative to the average capitalization of the system. As such, our problem is a finite-player linear–quadratic stochastic differential game with delay. An open-loop Nash equilibrium is obtained using a system of fully coupled forward and advanced-backward stochastic differential equations. We then describe how the delay affects liquidity and systemic risk characterized by a large number of defaults. We also derive a closed-loop Nash equilibrium using a Hamilton–Jacobi–Bellman partial differential equation approach