Perturbation Expansion for Option Pricing with Stochastic Volatility

We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis type. An option pricing formula is derived from the same superposition of Black-Scholes expressions. An explicit analytic formula is deduced from a perturbation expansion around a Black-Scholes formula with the mean volatility. The expansion has two parts. The first takes into account the non-Gaussian character of the stock-fluctuations and is organized by powers of the excess kurtosis, the second is contract based, and is organized by the moments of moneyness of the option. With this expansion we show that for the Dow Jones Euro Stoxx 50 option data, a Delta-hedging strategy is close to being optimal.Comment: 33 pages, 13 figures, LaTeX

Bayesian detection of unmodeled bursts of gravitational waves

The data analysis problem of coherently searching for unmodeled gravitational-wave bursts in the data generated by a global network of gravitational-wave observatories has been at the center of research for almost two decades. As data from these detectors is starting to be analyzed, a renewed interest in this problem has been sparked. A Bayesian approach to the problem of coherently searching for gravitational wave bursts with a network of ground-based interferometers is here presented. We demonstrate how to systematically incorporate prior information on the burst signal and its source into the analysis. This information may range from the very minimal, such as best-guess durations, bandwidths, or polarization content, to complete prior knowledge of the signal waveforms and the distribution of sources through spacetime. We show that this comprehensive Bayesian formulation contains several previously proposed detection statistics as special limiting cases, and demonstrate that it outperforms them.Comment: 18 pages, 3 figures, revisions based on referee comment

OTUD4 enhances TGFβ signalling through regulation of the TGFβ receptor complex

© 2020, The Author(s). Systematic control of the transforming growth factor-β (TGFβ) pathway is essential to keep the amplitude and the intensity of downstream signalling at appropriate levels. Ubiquitination plays a crucial role in the general regulation of this pathway. Here we identify the deubiquitinating enzyme OTUD4 as a transcriptional target of the TGFβ pathway that functions through a positive feedback loop to enhance overall TGFβ activity. Interestingly we demonstrate that OTUD4 functions through both catalytically dependent and independent mechanisms to regulate TGFβ activity. Specifically, we find that OTUD4 enhances TGFβ signalling by promoting the membrane presence of TGFβ receptor I. Furthermore, we demonstrate that OTUD4 inactivates the TGFβ negative regulator SMURF2 suggesting that OTUD4 regulates multiple nodes of the TGFβ pathway to enhance TGFβ activity

Soil water improvements with the long-term use of a winter rye cover crop

AbstractThe Midwestern United States, a region that produces one-third of maize and one-quarter of soybean grain globally, is projected to experience increasing rainfall variability. One approach to mitigate climate impacts is to utilize crop and soil management practices that enhance soil water storage and reduce the risks of flooding as well as drought-induced crop water stress. While some research indicates that a winter cover crop in maize-soybean rotations increases soil water availability, producers continue to be concerned that water use by cover crops will reduce water for a following cash crop. We analyzed continuous in-field soil water measurements from 2008 to 2014 at a Central Iowa research site that has included a winter rye cover crop in a maize-soybean rotation for thirteen years. This period of study included years in the top third of the wettest on record (2008, 2010, 2014) as well as drier years in the bottom third (2012, 2013). We found the cover crop treatment to have significantly higher soil water storage at the 0–30cm depth from 2012 to 2014 when compared to the no cover crop treatment and in most years greater soil water content on individual days analyzed during the cash crop growing season. We further found that the cover crop significantly increased the field capacity water content by 10–11% and plant available water by 21–22%. Finally, in 2013 and 2014, we measured maize and soybean biomass every 2–3 weeks and did not see treatment differences in crop growth, leaf area or nitrogen uptake. Final crop yields were not statistically different between the cover and no cover crop treatment in any of the seven years of this analysis. This research indicates that the long-term use of a winter rye cover crop can improve soil water dynamics without sacrificing cash crop growth in maize-soybean crop rotations in the Midwestern United States

Patterns of Oncogene Coexpression at Single-Cell Resolution Influence Survival in Lymphoma

Cancers often overexpress multiple clinically relevant oncogenes, but it is not known if combinations of oncogenes in cellular subpopulations within a cancer influence clinical outcomes. Using quantitative multispectral imaging of the prognostically relevant oncogenes MYC, BCL2, and BCL6 in diffuse large B-cell lymphoma (DLBCL), we show that the percentage of cells with a unique combination MYC+BCL2+BCL6- (M+2+6-) consistently predicts survival across four independent cohorts (n = 449), an effect not observed with other combinations including M+2+6+. We show that the M+2+6- percentage can be mathematically derived from quantitative measurements of the individual oncogenes and correlates with survival in IHC (n = 316) and gene expression (n = 2,521) datasets. Comparative bulk/single-cell transcriptomic analyses of DLBCL samples and MYC/BCL2/BCL6-transformed primary B cells identify molecular features, including cyclin D2 and PI3K/AKT as candidate regulators of M+2+6- unfavorable biology. Similar analyses evaluating oncogenic combinations at single-cell resolution in other cancers may facilitate an understanding of cancer evolution and therapy resistance

THE DEUBIQUITINATING ENZYME OTUD4 IS A NOVEL MODULATOR OF TGF? SIGNALING

Ph.DPHD IN CANCER BIOLOG

A Randomized, Controlled Pragmatic Trial of TelephonicMedication Therapy Management to ReduceHospitalization inHomeHealth Patients

OBJECTIVE: To evaluate the effectiveness of a telephonic medication therapy management (MTM) service on reducing hospitalizations among home health patients. SETTING: Forty randomly selected, geographically diverse home health care centers in the United States. DESIGN: Two-stage, randomized, controlled trial with 60-day follow-up. All Medicare- insured home health care patients were eligible to participate. Twenty-eight consecutive patients within each care center were recruited and randomized to usual care or MTM intervention. The MTM intervention consisted of the following: (1) initial phone call by a pharmacy technician to verify active medications; (2) pharmacist-provided medication regimen review by telephone; and (3) follow-up pharmacist phone calls at day seven and as needed for 30 days. The primary outcome was 60-day all-cause hospitalization. DATA COLLECTION: Data were collected from in-home nursing assessments using the OASIS-C. Multivariate logistic regression modeled the effect of the MTM intervention on the probability of hospitalization while adjusting for patients' baseline risk of hospitalization, number of medications taken daily, and other OASIS-C data elements. PRINCIPAL FINDINGS: A total of 895 patients (intervention n = 415, control n = 480) were block-randomized to the intervention or usual care. There was no significant difference in the 60-day probability of hospitalization between the MTM intervention and control groups (Adjusted OR: 1.26, 95 percent CI: 0.89-1.77, p = .19). For patients within the lowest baseline risk quartile (n = 232), the intervention group was three times more likely to remain out of the hospital at 60 days (Adjusted OR: 3.79, 95 percent CI: 1.35-10.57, p = .01) compared to the usual care group. CONCLUSIONS: This MTM intervention may not be effective for all home health patients; however, for those patients with the lowest-risk profile, the MTM intervention prevented patients from being hospitalized at 60 days