A path-independent approach to integrated variance under the CEV model

In this paper, a closed form path-independent approximation of the fair variance strike for a variance swap under the constant elasticity of variance (CEV) model is obtained by applying the small disturbance asymptotic expansion. The realized variance is sampled continuously in a risk-neutral market environment. With the application of a Brownian bridge, we derive a theorem for the conditionally expected product of a Brownian motion at two different times for arbitrary powers. This theorem enables us to provide a conditional Monte-Carlo scheme for simulating the fair variance strike. Compared with results in the recent literature, the method outlined in our paper leads to a simplified approach for pricing variance swaps. The method may also be applied to other more sophisticated volatility derivatives. An empirical comparison of this model with the Heston model and a conditional Monte Carlo scheme is also presented using option data on the S&P 500

Pricing Extendible Options Using the Fast Fourier Transform

This paper applies the fast Fourier transform (FFT) approach, within the Black-Scholes framework, to the valuation of options whose time to maturity can be extended to a future date (extendible options). We determine the valuation of the extendible options as sums of expectations of indicator functions, leading to a semianalytic expression for the value of the options over a range of strikes. Compared to Monte Carlo simulation, numerical examples demonstrate that the FFT is both computationally more efficient and higher in accuracy.</jats:p

A New, Atypical Case of Cobalamin F Disorder Diagnosed by Whole Exome Sequencing

The Deciphering Developmental Disorders Study presents independent research commissioned by the Health Innovation Challenge Fund (HICF-1009-003), a parallel funding partnership between the Wellcome Trust and the Department of Health, and the Wellcome Trust Sanger Institute (WT098051). The views expressed in this publication are those of the author(s) and not necessarily those of the Wellcome Trust or the Department of Health. The research team acknowledges the support of the National Institute for Health Research, through the Comprehensive Clinical Research Network.Peer reviewedPublisher PD

CATKE: a turbulent-kinetic-energy-based parameterization for ocean microturbulence with dynamic convective adjustment

We describe CATKE, a parameterization for ocean microturbulence with scales between 1 and 100 meters. CATKE is a one-equation model that predicts diffusive turbulent vertical fluxes a prognostic turbulent kinetic energy (TKE) and a diagnostic mixing length that features a dynamic model for convective adjustment (CA). With its convective mixing length, CATKE predicts not just the depth range where microturbulence acts but also the timescale over which mixing occurs, an important aspect of turbulent convection not captured by convective adjustment schemes. As a result, CATKE can describe the competition between convection and other processes such as baroclinic restractification or biogeochemical production-destruction. We estimate CATKE's free parameters with a posteriori calibration to eighteen large eddy simulations of the ocean surface boundary layer, and validate CATKE against twelve additional large eddy simulations with stronger and weaker forcing than used during calibration. We find that a CATKE-parameterized single column model accurately predicts the depth structure of buoyancy and momentum at vertical resolutions between 2 and 16 meters and with time steps of 10-20 minutes. We propose directions for future model development, and future efforts to recalibrate CATKE's parameters against more comprehensive and realistic datasets.Comment: submitted to J. Adv. Model. Earth Sy., 24 pages, 8 figure

Oceananigans.jl: A model that achieves breakthrough resolution, memory and energy efficiency in global ocean simulations

Climate models must simulate hundreds of future scenarios for hundreds of years at coarse resolutions, and a handful of high-resolution decadal simulations to resolve localized extreme events. Using Oceananigans.jl, written from scratch in Julia, we report several achievements: First, a global ocean simulation with breakthrough horizontal resolution -- 488m -- reaching 15 simulated days per day (0.04 simulated years per day; SYPD). Second, Oceananigans simulates the global ocean at 488m with breakthrough memory efficiency on just 768 Nvidia A100 GPUs, a fraction of the resources available on current and upcoming exascale supercomputers. Third, and arguably most significant for climate modeling, Oceananigans achieves breakthrough energy efficiency reaching 0.95 SYPD at 1.7 km on 576 A100s and 9.9 SYPD at 10 km on 68 A100s -- the latter representing the highest horizontal resolutions employed by current IPCC-class ocean models. Routine climate simulations with 10 km ocean components are within reach

Transmission spectroscopy with VLT FORS2 : a featureless spectrum for the low-density transiting exoplanet WASP-88b

PS was supported by a UK Science and Technology Facilities Council (STFC) studentship. CH acknowledges funding from the European Union H2020-MSCA-ITN2019 under grant agreement no. 860470 (CHAMELEON). NM acknowledges funding from the UKRI Future Leaders Scheme (MR/T040866/1), Science and Technology Facilities Council Consolidated Grant (ST/R000395/1), and Leverhulme Trust research project grant (RPG-2020-82).We present ground-based optical transmission spectroscopy of the low-density hot Jupiter WASP-88b covering the wavelength range of 4413−8333  Å with the FOcal Reducer Spectrograph (FORS2) on the Very Large Telescope. The FORS2 white light curves exhibit a significant time-correlated noise that we model using a Gaussian process and remove as a wavelength-independent component from the spectroscopic light curves. We analyse complementary photometric observations from the Transiting Exoplanet Survey Satellite and refine the system properties and ephemeris. We find a featureless transmission spectrum with increased absorption towards shorter wavelengths. We perform an atmospheric retrieval analysis with the aura code, finding tentative evidence for haze in the upper atmospheric layers and a lower likelihood for a dense cloud deck. While our retrieval analysis results point towards clouds and hazes, further evidence is needed to definitively reject a clear-sky scenario.Publisher PDFPeer reviewe

Recommendations for Face Coverings While Exercising During the COVID-19 Pandemic

In an effort to reduce transmission and number of infections of the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2 or COVID-19) virus, governments and official bodies around the world have produced guidelines on the use of face masks and face coverings. While there is a growing body of recommendations for healthcare professionals and the wider population to use facial protection in “enclosed spaces” where minimal distancing from other individuals is not possible, there is a dearth of clear guidelines for individuals undertaking exercise and sporting activity. The present viewpoint aims to propose recommendations for face coverings while exercising during the COVID-19 pandemic that consider physical distancing, the environment, the density of active cases associated with the specific sports activity, and the practical use of face coverings in order to reduce potential viral transmission. Recommendations are provided on the basis of very limited available evidence in conjunction with the extensive collective clinical experience of the authors and acknowledging the need to consider the likelihood of the presence of the SARS-CoV-2 in the general population. We recommend that face coverings should be used in any environment considered to be of a high or moderate transmission risk, where tolerated and after individual risk assessment. In addition, as national caseloads fluctuate, individual sporting bodies should consider up to date guidance on the use of face coverings during sport and exercise, alongside other preventative measures

Chemo-radiation with or without mandatory split in anal carcinoma: experiences of two institutions and review of the literature

BACKGROUND: The split-course schedule of chemo-radiation for anal cancer is controversial. METHODS: Eighty-four patients with invasive anal cancer treated with definitive external beam radiotherapy (RT) with a mandatory split of 12 days (52 patients, Montreal, Canada) or without an intended split (32 patients, Zurich, Switzerland) were reviewed. Total RT doses were 52 Gy (Montreal) or 59.4 Gy (Zurich) given concurrently with 5-FU/MMC. RESULTS: After a mean follow-up of 40 +/- 27 months, overall survival and local tumor control at 5 years were 57% and 78% (Zurich) compared to 67% and 82% (Montreal), respectively. Split duration of patients with or without local relapse was 15 +/- 7 d vs. 14 +/- 7 d (Montreal, NS) and 11 +/- 11 d vs. 5 +/- 7 d (Zurich; P or = 7 d) had impaired cancer-specific survival compared with patients with only minor interruption (<7 d) (P = 0.06). Bowel toxicity was associated with prolonged RT (P = 0.03) duration as well as increased relapse probability (P = 0.05). Skin toxicity correlated with institution and was found in 79% (Montreal) and 28% (Zurich) (P < 0.0001). CONCLUSIONS: The study design did not allow demonstrating a clear difference in efficacy between the treatment regimens with or without short mandatory split. Cause-specific outcome appears to be impaired by unplanned prolonged interruption

An efficient likelihood-free Bayesian computation for model selection and parameter estimation applied to structural dynamics

Model selection is a challenging problem that is of importance in many branches of the sciences and engineering, particularly in structural dynamics. By definition, it is intended to select the most plausible model among a set of competing models, that best matches the dynamic behaviour of a real structure and better predicts the measured data. The Bayesian approach is based essentially on the evaluation of a likelihood function and is arguably the most popular approach. However, in some circumstances, the likelihood function is intractable or not available even in a closed form. To overcome this issue, likelihood-free or approximate Bayesian computation (ABC) algorithms have been introduced in the literature, which relax the need of an explicit likelihood function to measure the degree of similarity between model prediction and measurements. One major issue with the ABC algorithms in general is the low acceptance rate which is actually a common problem with the traditional Bayesian methods. To overcome this shortcoming and alleviate the computational burden, a new variant of the ABC algorithm based on an ellipsoidal nested sampling technique is introduced in this paper. It has been called ABC-NS. This paper will demonstrate how the new algorithm promises drastic speedups and provides good estimates of the unknown parameters. To demonstrate its practical applicability, two illustrative examples are considered. Firstly, the efficiency of the novel algorithm to deal with parameter estimation is demonstrated using a moving average process based on synthetic measurements. Secondly, a real structure called the VTT benchmark, which consists of a wire rope isolators mounted between a load mass and a base mass, is used to further assess the performance of the algorithm in solving the model selection issue

Phase-locking of bursting neuronal firing to dominant LFP frequency components

Neuronal firing in the hippocampal formation relative to the phase of local field potentials (LFP) has a key role in memory processing and spatial navigation. Firing can be in either tonic or burst mode. Although bursting neurons are common in the hippocampal formation, the characteristics of their locking to LFP phase are not completely understood. We investigated phase-locking properties of bursting neurons using simulations generated by a dual compartmental model of a pyramidal neuron adapted to match the bursting activity in the subiculum of a rat. The model was driven with stochastic input signals containing a power spectral profile consistent with physiologically relevant frequencies observed in LFP. The single spikes and spike bursts fired by the model were locked to a preferred phase of the predominant frequency band where there was a peak in the power of the driving signal. Moreover, the preferred phase of locking shifted with increasing burst size, providing evidence that LFP phase can be encoded by burst size. We also provide initial support for the model results by analysing example data of spontaneous LFP and spiking activity recorded from the subiculum of a single urethane-anaesthetised rat. Subicular neurons fired single spikes, two-spike bursts and larger bursts that locked to a preferred phase of either dominant slow oscillations or theta rhythms within the LFP, according to the model prediction. Both power-modulated phase-locking and gradual shift in the preferred phase of locking as a function of burst size suggest that neurons can use bursts to encode timing information contained in LFP phase into a spike-count code