Option Valuation with Conditional Skewness

There is extensive empirical evidence that index option prices systematically differ from Black-Scholes prices. Out-of-the-money put prices (and in-the-money call prices) are relatively high compared to the Black-Scholes price. Motivated by these empirical facts, we develop a new discrete time dynamic model of stock returns with Inverse Gaussian innovations. The model allows for conditional skewness as well as conditional heteroskedasticity and a leverage effect. We present an analytic option pricing formula consistent with this stock return dynamic. An extensive empirical test of the model using S&P500 index options shows that the new Inverse Gaussian GARCH model's performance is superior to a standard existing nested model for out-of-the money puts, thus demonstrating the importance of conditional skewness. The discrete-time Inverse Gaussian GARCH process has two interesting continuous-time limits. One limit is the standard stochastic volatility model of Heston (1993). The other is a pure jump process with stochastic intensity. Using these limit results, an equivalent motivation for our model is that it generalizes standard stochastic volatility models by allowing for "jumps" and other fat-tailed negative movements in stock returns. The empirical results therefore also demonstrate the importance of jumps for the pricing of out-of-the-money puts. Il est clair empiriquement que les prix d'options sur indices diffèrent de manière systématique des prix Black-Scholes. Les prix des options de vente hors du cours (et les prix des options d'achat dans le cours) sont relativement élevés par rapport au prix Black-Scholes. Motivés par ces faits empiriques, nous développons un nouveau modèle dynamique à temps discret de rendements d'actions avec des innovations gaussiennes inverses. Le modèle permet de tenir compte de l'asymétrie conditionnelle ainsi que de l'hétéroskédasticité conditionnelle et d'un effet de levier financier. Nous présentons une formule analytique de prix d'option conforme à cette dynamique des rendements. Un test empirique intensif du modèle à partir des options sur l'indice S&P500 montre que la performance du nouveau modèle GARCH gaussien inverse est supérieure à celle des modèles imbriqués standards pour les options de vente hors du cours, de ce fait démontrant l'importance de l'asymétrie conditionnelle. Le processus GARCH gaussien inverse à temps discret présente deux limites intéressantes en temps continu. Une de ces limites correspond au modèle de volatilité stochastique standard de Heston (1993). L'autre est un processus de sauts purs avec intensité stochastique. En utilisant ces résultats de limites, une motivation équivalente pour notre modèle est qu'il généralise les modèles de volatilité stochastique standards de volatilité en permettant des "sauts" et d'autres mouvements négatifs de queues épaisses dans les rendements d'action. Les résultats empiriques démontrent donc également l'importance des sauts pour l'évaluation des prix d'options de vente hors du cours.GARCH, out-of-sample, jumps, discrete-time model, continuous-time limit, GARCH, hors échantillon, sauts, modèles à temps discret, limites en temps continu

Healing through Music...with a Lil\u27 Bit o\u27 Southern Drawl

OBJECTIVE:Since 1987 all fecal samples referred to the clinical microbiology laboratory of the UZ Brussel were screened for the presence of Shiga toxin-producing E. coli (STEC). In this study all STEC strains isolated over a period of 27 years (1987-2014) were reexamined to achieve deeper insight in the STEC infections in our patient population. METHODS:A total of 606 STEC strains from 604 patients were subjected to molecular methods for shiga toxin (stx) subtyping, detection of additional virulence genes, typing of the O-serogroups, and phylogenetic relatedness assessment of STEC O157:H7/H-. RESULTS:Since the introduction of PCR in 1991 the annual positivity rates varied between 1.1% and 2.7%. The isolation rate of STEC O157:H7/H- remained stable over the years while the isolation rate of non-O157 serotypes increased, mainly since 2011. The majority of the patients were children. Uncomplicated- and bloody diarrhea were the most prevalent gastrointestinal manifestations (respectively 51.9% and 13.6%), 4.3% of the strains were related to the hemolytic uremic syndrome (HUS), and 30.2% of the patients showed none of these symptoms. The strains were very diverse; they belonged to 72 different O-serovars and all stx subtypes except stx1d and stx2g were identified. Out of the 23 stx2f-positives one was associated with HUS and one belonged to the E. albertii species. As seen in other studies, the frequency of strains of the O157:H7/H- serotype and strains carrying stx2a, eaeA and ehxA was higher in patients with HUS. CONCLUSIONS:The characteristics and trends of STEC infection seen in our patient population are similar to those noted in other countries. STEC infections in our hospital are mainly sporadic, and a substantial portion of the patients were asymptomatic carriers. Human STEC Stx2f infection was less rare than previously assumed and we report the first Belgian STEC stx2f HUS case and stx2f positive E. albertii infection

Three-Dimensionally Preserved Integument Reveals Hydrodynamic Adaptations in the Extinct Marine Lizard Ectenosaurus (Reptilia, Mosasauridae)

The physical properties of water and the environment it presents to its inhabitants provide stringent constraints and selection pressures affecting aquatic adaptation and evolution. Mosasaurs (a group of secondarily aquatic reptiles that occupied a broad array of predatory niches in the Cretaceous marine ecosystems about 98–65 million years ago) have traditionally been considered as anguilliform locomotors capable only of generating short bursts of speed during brief ambush pursuits. Here we report on an exceptionally preserved, long-snouted mosasaur (Ectenosaurus clidastoides) from the Santonian (Upper Cretaceous) part of the Smoky Hill Chalk Member of the Niobrara Formation in western Kansas, USA, that contains phosphatized remains of the integument displaying both depth and structure. The small, ovoid neck and/or anterior trunk scales exhibit a longitudinal central keel, and are obliquely arrayed into an alternating pattern where neighboring scales overlap one another. Supportive sculpturing in the form of two parallel, longitudinal ridges on the inner scale surface and a complex system of multiple, superimposed layers of straight, cross-woven helical fiber bundles in the underlying dermis, may have served to minimize surface deformation and frictional drag during locomotion. Additional parallel fiber bundles oriented at acute angles to the long axis of the animal presumably provided stiffness in the lateral plane. These features suggest that the anterior torso of Ectenosaurus was held somewhat rigid during swimming, thereby limiting propulsive movements to the posterior body and tail

Mindful violence? Responses to the Rambo series' shifting aesthetic of aggression

Rambo (2008) marked the return of Sylvester Stallone's iconic action hero. What is most striking about the fourth film (as the response from reviewers testifies), is its graphic violence. My intention here is to critically engage with Rambo (2008) as rewriting the series' established aesthetic of violence. My overarching aim is to highlight how the popular press has sought to read the 2008 version of Rambo according to the discursive narratives surrounding Stallone's 1980s action films. The negative response to Rambo, I argue, stems from relying on critical patterns that do not fit the film itself

Sustainability in the Tapis Framework

As more research depends fundamentally on software, sustainability becomes increasingly critical. Nevertheless, despite valiant efforts from a growing number of researchers and practitioners, a basic understanding of best-practices for sustainable software remains elusive. In this paper, we review the specific practices and strategies that have helped to sustain Tapis, a cyberinfastructure project that has been in use for over a decade. The Tapis framework is an open-source, software-as-a-service Application Programming Interface (API) for collaborative, automated, reproducible computational research which began as the Foundation API for the iPlant Collaborative Project in 2008, and today is used by tens of thousands of individuals across more than a dozen active projects. This paper describes our multi-faceted approach to sustaining an increasingly complex ecosystem of software, documentation and other digital assets, including both technical and organizational strategies for minimizing the cost of sustainment while maximizing available resources for sustainment activities

Universal light quark mass dependence and heavy-light meson spectroscopy

Clean predictions are presented for all the spin-averaged heavy-light meson spectroscopies. A new symmetry is identified wherein the energy eigenstates have a universal dependence on both the light and heavy quark masses. This universality is used in an efficient analysis of these mesons within the QCD string/flux tube picture. Unique predictions for all the D, D_s, B, and B_s type mesons in terms of just four measured quantities.Comment: REVTeX4, 6 pages, 9 eps figure

“Be patient, dear mother … wait for me”: the neo-infirmity film, female illness and contemporary cinema

In social reality, illness and death occur in myriad ways, yet Hollywood films have historically preferred spectacular, violent death over realist depictions of the terminal stages of life. Yet an ever-growing number of popular films, which I term neo-infirmity films, incorporate episodes of women characters debilitated by illness or injury. Operating at the intersection of melodrama and realism, the scenes are instrumental in staging contemporary cinema's gender politics. I argue that women's deathbed and hospital-bed scenes in contemporary cinema validate anew the maternal role and the figure of the mother, transporting the woman-centered discursive space of melodrama into narrative terrain often hostile to women's presence. Through this relocation, the films emphasize her importance to sons in particular (and less often to daughters, husbands, and the larger family unit). Many such scenes simultaneously undermine women's agency, reducing mothers to principally symbolic, literally immobile roles. Ailing women can become catalysts for male psychological transformation occurring through grief, action, or both in combination. In all, such scenes speak to continued ambivalence surrounding women's representation in popular cinema, and to continued patrolling of the boundaries of female power. This essay compares selected texts from contemporary Hollywood cinema, alongside three parallel discourses that also deploy melodramatic modes of articulation: nonfiction amateur video as relayed via television news programs, international art cinema, and US independent cinema. Arguing for homologies across multiple fields of textual production, I seek through this comparison to generate insights into the cultural work done by filmic representation

Prevalence of CADASIL and Fabry Disease in a Cohort of MRI Defined Younger Onset Lacunar Stroke.

BACKGROUND AND PURPOSE: Cerebral autosomal dominant arteriopathy with subcortical infarcts and leukoencephalopathy (CADASIL), caused by mutations in the NOTCH3 gene, is the most common monogenic disorder causing lacunar stroke and cerebral small vessel disease (SVD). Fabry disease (FD) due to mutations in the GLA gene has been suggested as an underdiagnosed cause of stroke, and one feature is SVD. Previous studies reported varying prevalence of CADASIL and FD in stroke, likely due to varying subtypes studied; no studies have looked at a large cohort of younger onset SVD. We determined the prevalence in a well-defined, MRI-verified cohort of apparently sporadic patients with lacunar infarct. METHODS: Caucasian patients with lacunar infarction, aged ≤70 years (mean age 56.7 (SD8.6)), were recruited from 72 specialist stroke centres throughout the UK as part of the Young Lacunar Stroke DNA Resource. Patients with a previously confirmed monogenic cause of stroke were excluded. All MRI's and clinical histories were reviewed centrally. Screening was performed for NOTCH3 and GLA mutations. RESULTS: Of 994 subjects five had pathogenic NOTCH3 mutations (R169C, R207C, R587C, C1222G and C323S) all resulting in loss or gain of a cysteine in the NOTCH3 protein. All five patients had confluent leukoaraiosis (Fazekas grade ≥2). CADASIL prevalence overall was 0.5% (95% CI 0.2%-1.1%) and among cases with confluent leukoaraiosis 1.5% (95% CI 0.6%-3.3%). No classic pathogenic FD mutations were found; one patient had a missense mutation (R118C), associated with late-onset FD. CONCLUSION: CADASIL cases are rare and only detected in SVD patients with confluent leukoaraiosis. No definite FD cases were detected.The UK Young Lacunar Stroke DNA Study was funded by a grants from the Wellcome Trust (WT072952, www.wellcome.ac.uk) and the Stroke Association (TSA 2010/01& TSA 2013/02, www.stroke.org.uk). Fabry disease screening was supported by an unrestricted scientific grant from Shire Human Genetic Therapies (www.shire.com). The sponsors of the study had no role in the study design, data collection, data analysis, interpretation, writing of the manuscript, or the decision to submit the manuscript for publication. L R-J’s salary is funded by a Stroke Association/ British Heart Foundation grant. (TSA/BHF 2010/01). HM is supported by an National Institute for Health Research Senior Investigator award (www.nihr.ac.uk). HM and SB are supported by the Cambridge University Trust National Institute for Health Research Comprehensive Research Centre (www.cambridge-brc.org.uk).This is the final version of the article. It first appeared from PLoS via http://dx.doi.org/10.1371/journal.pone.013635

Fabrication

What aspects of optical fabrication technology need to be developed so as to facilitate existing planned missions, or enable new ones? Throughout the submillimeter to UV wavelengths, the common goal is to push technology to the limits to make the largest possible apertures that are diffraction limited. At any one wavelength, the accuracy of the surface must be better than lambda/30 (rms error). The wavelength range is huge, covering four orders of magnitude from 1 mm to 100 nm. At the longer wavelengths, diffraction limited surfaces can be shaped with relatively crude techniques. The challenge in their fabrication is to make as large as possible a reflector, given the weight and volume constraints of the launch vehicle. The limited cargo diameter of the shuttle has led in the past to emphasis on deployable or erectable concepts such as the Large Deployable Reflector (LDR), which was studied by NASA for a submillimeter astrophysics mission. Replication techniques that can be used to produce light, low-cost reflecting panels are of great interest for this class of mission. At shorter wavelengths, in the optical and ultraviolet, optical fabrication will tax to the limit the most refined polishing methods. Methods of mechanical and thermal stabilization of the substrate will be severely stressed. In the thermal infrared, the need for large aperture is tempered by the even stronger need to control the telescope's thermal emission by cooled or cryogenic operation. Thus, the SIRTF mirror at 1 meter is not large and does not require unusually high accuracy, but the fabrication process must produce a mirror that is the right shape at a temperature of 4 K. Future large cooled mirrors will present more severe problems, especially if they must also be accurate enough to work at optical wavelengths. At the very shortest wavelengths accessible to reflecting optics, in the x-ray domain, the very low count fluxes of high energy photons place a premium on the collecting area. It is not necessary to reach or even approach the diffraction limit, which would demand subnanometer fabrication and figure control. Replication techniques that produce large very lightweight surfaces are of interest for x-ray optics just as they are for the submillimeter region. Optical fabrication requirements are examined in more detail for missions in each of the three spectral regions of interest in astrophysics