Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model

Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the returns. We derive this distribution function using for C(K) a Black-Scholes (BS) expression with volatility in the form of a volatility smile. We show that this approach based on a volatility smile leads to relative minima for the distribution function ("bad" probabilities) never observed in real data and, in the worst cases, negative probabilities. We show that these undesirable effects can be eliminated by requiring "adiabatic" conditions on the volatility smile

Cardiac magnetic resonance assessment of central and peripheral vascular function in patients undergoing renal sympathetic denervation as predictor for blood pressure response

Background: Most trials regarding catheter-based renal sympathetic denervation (RDN) describe a proportion of patients without blood pressure response. Recently, we were able to show arterial stiffness, measured by invasive pulse wave velocity (IPWV), seems to be an excellent predictor for blood pressure response. However, given the invasiveness, IPWV is less suitable as a selection criterion for patients undergoing RDN. Consequently, we aimed to investigate the value of cardiac magnetic resonance (CMR) based measures of arterial stiffness in predicting the outcome of RDN compared to IPWV as reference. Methods: Patients underwent CMR prior to RDN to assess ascending aortic distensibility (AAD), total arterial compliance (TAC), and systemic vascular resistance (SVR). In a second step, central aortic blood pressure was estimated from ascending aortic area change and flow sequences and used to re-calculate total arterial compliance (cTAC). Additionally, IPWV was acquired. Results: Thirty-two patients (24 responders and 8 non-responders) were available for analysis. AAD, TAC and cTAC were higher in responders, IPWV was higher in non-responders. SVR was not different between the groups. Patients with AAD, cTAC or TAC above median and IPWV below median had significantly better BP response. Receiver operating characteristic (ROC) curves predicting blood pressure response for IPWV, AAD, cTAC and TAC revealed areas under the curve of 0.849, 0.828, 0.776 and 0.753 (p = 0.004, 0.006, 0.021 and 0.035). Conclusions: Beyond IPWV, AAD, cTAC and TAC appear as useful outcome predictors for RDN in patients with hypertension. CMR-derived markers of arterial stiffness might serve as non-invasive selection criteria for RDN

Calibration to American options: numerical investigation of the de-Americanization method.

American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is indispensable. The literature mainly discusses pricing methods for American options that are based on Monte Carlo, tree and partial differential equation methods. We present an alternative approach that has become popular under the name de-Americanization in the financial industry. The method is easy to implement and enjoys fast run-times (compared to a direct calibration to American options). Since it is based on ad hoc simplifications, however, theoretical results guaranteeing reliability are not available. To quantify the resulting methodological risk, we empirically test the performance of the de-Americanization method for calibration. We classify the scenarios in which de-Americanization performs very well. However, we also identify the cases where de-Americanization oversimplifies and can result in large errors

Gapless Assembly of Maize Chromosomes Using Long-Read Technologies

Creating gapless telomere-to-telomere assemblies of complex genomes is one of the ultimate challenges in genomics. We use two independent assemblies and an optical map-based merging pipeline to produce a maize genome (B73-Ab10) composed of 63 contigs and a contig N50 of 162 Mb. This genome includes gapless assemblies of chromosome 3 (236 Mb) and chromosome 9 (162 Mb), and 53 Mb of the Ab10 meiotic drive haplotype. The data also reveal the internal structure of seven centromeres and five heterochromatic knobs, showing that the major tandem repeat arrays (CentC, knob180, and TR-1) are discontinuous and frequently interspersed with retroelements

Cross-linguistic patterns in the acquisition of quantifiers.

Learners of most languages are faced with the task of acquiring words to talk about number and quantity. Much is known about the order of acquisition of number words as well as the cognitive and perceptual systems and cultural practices that shape it. Substantially less is known about the acquisition of quantifiers. Here, we consider the extent to which systems and practices that support number word acquisition can be applied to quantifier acquisition and conclude that the two domains are largely distinct in this respect. Consequently, we hypothesize that the acquisition of quantifiers is constrained by a set of factors related to each quantifier's specific meaning. We investigate competence with the expressions for "all," "none," "some," "some…not," and "most" in 31 languages, representing 11 language types, by testing 768 5-y-old children and 536 adults. We found a cross-linguistically similar order of acquisition of quantifiers, explicable in terms of four factors relating to their meaning and use. In addition, exploratory analyses reveal that language- and learner-specific factors, such as negative concord and gender, are significant predictors of variation.This is the author accepted manuscript. The final version is available from the National Academy of Sciences via http://dx.doi.org/10.1073/pnas.160134111

Mu Transposon Insertion Sites and Meiotic Recombination Events Co-Localize with Epigenetic Marks for Open Chromatin across the Maize Genome

The Mu transposon system of maize is highly active, with each of the ∼50–100 copies transposing on average once each generation. The approximately one dozen distinct Mu transposons contain highly similar ∼215 bp terminal inverted repeats (TIRs) and generate 9-bp target site duplications (TSDs) upon insertion. Using a novel genome walking strategy that uses these conserved TIRs as primer binding sites, Mu insertion sites were amplified from Mu stocks and sequenced via 454 technology. 94% of ∼965,000 reads carried Mu TIRs, demonstrating the specificity of this strategy. Among these TIRs, 21 novel Mu TIRs were discovered, revealing additional complexity of the Mu transposon system. The distribution of >40,000 non-redundant Mu insertion sites was strikingly non-uniform, such that rates increased in proportion to distance from the centromere. An identified putative Mu transposase binding consensus site does not explain this non-uniformity. An integrated genetic map containing more than 10,000 genetic markers was constructed and aligned to the sequence of the maize reference genome. Recombination rates (cM/Mb) are also strikingly non-uniform, with rates increasing in proportion to distance from the centromere. Mu insertion site frequencies are strongly correlated with recombination rates. Gene density does not fully explain the chromosomal distribution of Mu insertion and recombination sites, because pronounced preferences for the distal portion of chromosome are still observed even after accounting for gene density. The similarity of the distributions of Mu insertions and meiotic recombination sites suggests that common features, such as chromatin structure, are involved in site selection for both Mu insertion and meiotic recombination. The finding that Mu insertions and meiotic recombination sites both concentrate in genomic regions marked with epigenetic marks of open chromatin provides support for the hypothesis that open chromatin enhances rates of both Mu insertion and meiotic recombination

Exceptional Diversity, Non-Random Distribution, and Rapid Evolution of Retroelements in the B73 Maize Genome

Recent comprehensive sequence analysis of the maize genome now permits detailed discovery and description of all transposable elements (TEs) in this complex nuclear environment. Reiteratively optimized structural and homology criteria were used in the computer-assisted search for retroelements, TEs that transpose by reverse transcription of an RNA intermediate, with the final results verified by manual inspection. Retroelements were found to occupy the majority (>75%) of the nuclear genome in maize inbred B73. Unprecedented genetic diversity was discovered in the long terminal repeat (LTR) retrotransposon class of retroelements, with >400 families (>350 newly discovered) contributing >31,000 intact elements. The two other classes of retroelements, SINEs (four families) and LINEs (at least 30 families), were observed to contribute 1,991 and ∼35,000 copies, respectively, or a combined ∼1% of the B73 nuclear genome. With regard to fully intact elements, median copy numbers for all retroelement families in maize was 2 because >250 LTR retrotransposon families contained only one or two intact members that could be detected in the B73 draft sequence. The majority, perhaps all, of the investigated retroelement families exhibited non-random dispersal across the maize genome, with LINEs, SINEs, and many low-copy-number LTR retrotransposons exhibiting a bias for accumulation in gene-rich regions. In contrast, most (but not all) medium- and high-copy-number LTR retrotransposons were found to preferentially accumulate in gene-poor regions like pericentromeric heterochromatin, while a few high-copy-number families exhibited the opposite bias. Regions of the genome with the highest LTR retrotransposon density contained the lowest LTR retrotransposon diversity. These results indicate that the maize genome provides a great number of different niches for the survival and procreation of a great variety of retroelements that have evolved to differentially occupy and exploit this genomic diversity

The controversy of patellar resurfacing in total knee arthroplasty: Ibisne in medio tutissimus?

Early arthroplasty designs were associated with a high level of anterior knee pain as they failed to cater for the patello-femoral joint. Patellar resurfacing was heralded as the saviour safeguarding patient satisfaction and success but opinion on its necessity has since deeply divided the scientific community and has become synonymous to topics of religion or politics. Opponents of resurfacing contend that the native patella provides better patellar tracking, improved clinical function, and avoids implant-related complications, whilst proponents argue that patients have less pain, are overall more satisfied, and avert the need for secondary resurfacing. The question remains whether complications associated with patellar resurfacing including those arising from future component revision outweigh the somewhat increased incidence of anterior knee pain recorded in unresurfaced patients. The current scientific literature, which is often affected by methodological limitations and observer bias, remains confusing as it provides evidence in support of both sides of the argument, whilst blinded satisfaction studies comparing resurfaced and non-resurfaced knees generally reveal equivalent results. Even national arthroplasty register data show wide variations in the proportion of patellar resurfacing between countries that cannot be explained by cultural differences alone. Advocates who always resurface or never resurface indiscriminately expose the patella to a random choice. Selective resurfacing offers a compromise by providing a decision algorithm based on a propensity for improved clinical success, whilst avoiding potential complications associated with unnecessary resurfacing. Evidence regarding the validity of selection criteria, however, is missing, and the decision when to resurface is often based on intuitive reasoning. Our lack of understanding why, irrespective of pre-operative symptoms and patellar resurfacing, some patients may suffer pain following TKA and others may not have so far stifled our efforts to make the strategy of selective resurfacing succeed. We should hence devote our efforts in defining predictive criteria and indicators that will enable us to reliably identify those individuals who might benefit from a resurfacing procedure. Level of evidence V