Local time and the pricing of time-dependent barrier options

A time-dependent double-barrier option is a derivative security that delivers the terminal value $\phi(S_T)$ at expiry $T$ if neither of the continuous time-dependent barriers b_\pm:[0,T]\to \RR_+ have been hit during the time interval $[0,T]$. Using a probabilistic approach we obtain a decomposition of the barrier option price into the corresponding European option price minus the barrier premium for a wide class of payoff functions $\phi$, barrier functions $b_\pm$ and linear diffusions $(S_t)_{t\in[0,T]}$. We show that the barrier premium can be expressed as a sum of integrals along the barriers $b_\pm$ of the option's deltas \Delta_\pm:[0,T]\to\RR at the barriers and that the pair of functions $(\Delta_+,\Delta_-)$ solves a system of Volterra integral equations of the first kind. We find a semi-analytic solution for this system in the case of constant double barriers and briefly discus a numerical algorithm for the time-dependent case.Comment: 32 pages, to appear in Finance and Stochastic

Horizontal Branch Stars: The Interplay between Observations and Theory, and Insights into the Formation of the Galaxy

We review HB stars in a broad astrophysical context, including both variable and non-variable stars. A reassessment of the Oosterhoff dichotomy is presented, which provides unprecedented detail regarding its origin and systematics. We show that the Oosterhoff dichotomy and the distribution of globular clusters (GCs) in the HB morphology-metallicity plane both exclude, with high statistical significance, the possibility that the Galactic halo may have formed from the accretion of dwarf galaxies resembling present-day Milky Way satellites such as Fornax, Sagittarius, and the LMC. A rediscussion of the second-parameter problem is presented. A technique is proposed to estimate the HB types of extragalactic GCs on the basis of integrated far-UV photometry. The relationship between the absolute V magnitude of the HB at the RR Lyrae level and metallicity, as obtained on the basis of trigonometric parallax measurements for the star RR Lyrae, is also revisited, giving a distance modulus to the LMC of (m-M)_0 = 18.44+/-0.11. RR Lyrae period change rates are studied. Finally, the conductive opacities used in evolutionary calculations of low-mass stars are investigated. [ABRIDGED]Comment: 56 pages, 22 figures. Invited review, to appear in Astrophysics and Space Scienc

Magnetic Field Amplification in Galaxy Clusters and its Simulation

We review the present theoretical and numerical understanding of magnetic field amplification in cosmic large-scale structure, on length scales of galaxy clusters and beyond. Structure formation drives compression and turbulence, which amplify tiny magnetic seed fields to the microGauss values that are observed in the intracluster medium. This process is intimately connected to the properties of turbulence and the microphysics of the intra-cluster medium. Additional roles are played by merger induced shocks that sweep through the intra-cluster medium and motions induced by sloshing cool cores. The accurate simulation of magnetic field amplification in clusters still poses a serious challenge for simulations of cosmological structure formation. We review the current literature on cosmological simulations that include magnetic fields and outline theoretical as well as numerical challenges.Comment: 60 pages, 19 Figure

American thoracic society/national heart, lung, and blood institute asthma-chronic obstructive pulmonary disease overlap workshop report

Asthma and chronic obstructive pulmonary disease (COPD) are highly prevalent chronic obstructive lung diseases with an associated high burden of disease. Asthma, which is often allergic in origin, frequently begins in infancy or childhood with variable airflow obstruction and intermittent wheezing, cough, and dyspnea. Patients with COPD, in contrast, are usually current or former smokers who present after the age of 40 years with symptoms (often persistent) including dyspnea and a productive cough. On the basis of age and smoking history, it is often easy to distinguish between asthma andCOPD. However, some patients have features compatible with both diseases. Because clinical studies typically exclude these patients, their underlying disease mechanisms and appropriate treatment remain largely uncertain. To explore the status of and opportunities for research in this area, the NHLBI, in partnership with the American Thoracic Society, convened a workshop of investigators in San Francisco, California on May 14, 2016. At the workshop, current understanding of asthma-COPD overlap was discussed among clinicians, pathologists, radiologists, epidemiologists, and investigators with expertise in asthma and COPD. They considered knowledge gaps in our understanding of asthma-COPD overlap and identified strategies and research priorities that will advance its understanding. This report summarizes those discussions

Genome-wide meta-analysis uncovers novel loci influencing circulating leptin levels.

Leptin is an adipocyte-secreted hormone, the circulating levels of which correlate closely with overall adiposity. Although rare mutations in the leptin (LEP) gene are well known to cause leptin deficiency and severe obesity, no common loci regulating circulating leptin levels have been uncovered. Therefore, we performed a genome-wide association study (GWAS) of circulating leptin levels from 32,161 individuals and followed up loci reaching P<10(-6) in 19,979 additional individuals. We identify five loci robustly associated (P<5 × 10(-8)) with leptin levels in/near LEP, SLC32A1, GCKR, CCNL1 and FTO. Although the association of the FTO obesity locus with leptin levels is abolished by adjustment for BMI, associations of the four other loci are independent of adiposity. The GCKR locus was found associated with multiple metabolic traits in previous GWAS and the CCNL1 locus with birth weight. Knockdown experiments in mouse adipose tissue explants show convincing evidence for adipogenin, a regulator of adipocyte differentiation, as the novel causal gene in the SLC32A1 locus influencing leptin levels. Our findings provide novel insights into the regulation of leptin production by adipose tissue and open new avenues for examining the influence of variation in leptin levels on adiposity and metabolic health

Cross-ancestry genome-wide association analysis of corneal thickness strengthens link between complex and Mendelian eye diseases

Central corneal thickness (CCT) is a highly heritable trait associated with complex eye diseases such as keratoconus and glaucoma. We perform a genome-wide association meta-analysis of CCT and identify 19 novel regions. In addition to adding support for known connective tissue-related pathways, pathway analyses uncover previously unreported gene sets. Remarkably, >20% of the CCT-loci are near or within Mendelian disorder genes. These included FBN1, ADAMTS2 and TGFB2 which associate with connective tissue disorders (Marfan, Ehlers-Danlos and Loeys-Dietz syndromes), and the LUM-DCN-KERA gene complex involved in myopia, corneal dystrophies and cornea plana. Using index CCT-increasing variants, we find a significant inverse correlation in effect sizes between CCT and keratoconus (r =-0.62, P = 5.30 × 10-5) but not between CCT and primary open-angle glaucoma (r =-0.17, P = 0.2). Our findings provide evidence for shared genetic influences between CCT and keratoconus, and implicate candidate genes acting in collagen and extracellular matrix regulation

Meta-analysis of type 2 Diabetes in African Americans Consortium

Type 2 diabetes (T2D) is more prevalent in African Americans than in Europeans. However, little is known about the genetic risk in African Americans despite the recent identification of more than 70 T2D loci primarily by genome-wide association studies (GWAS) in individuals of European ancestry. In order to investigate the genetic architecture of T2D in African Americans, the MEta-analysis of type 2 DIabetes in African Americans (MEDIA) Consortium examined 17 GWAS on T2D comprising 8,284 cases and 15,543 controls in African Americans in stage 1 analysis. Single nucleotide polymorphisms (SNPs) association analysis was conducted in each study under the additive model after adjustment for age, sex, study site, and principal components. Meta-analysis of approximately 2.6 million genotyped and imputed SNPs in all studies was conducted using an inverse variance-weighted fixed effect model. Replications were performed to follow up 21 loci in up to 6,061 cases and 5,483 controls in African Americans, and 8,130 cases and 38,987 controls of European ancestry. We identified three known loci (TCF7L2, HMGA2 and KCNQ1) and two novel loci (HLA-B and INS-IGF2) at genome-wide significance (4.15 × 10(-94)<P<5 × 10(-8), odds ratio (OR)  = 1.09 to 1.36). Fine-mapping revealed that 88 of 158 previously identified T2D or glucose homeostasis loci demonstrated nominal to highly significant association (2.2 × 10(-23) < locus-wide P<0.05). These novel and previously identified loci yielded a sibling relative risk of 1.19, explaining 17.5% of the phenotypic variance of T2D on the liability scale in African Americans. Overall, this study identified two novel susceptibility loci for T2D in African Americans. A substantial number of previously reported loci are transferable to African Americans after accounting for linkage disequilibrium, enabling fine mapping of causal variants in trans-ethnic meta-analysis studies.Peer reviewe

Physical Processes in Star Formation

© 2020 Springer-Verlag. The final publication is available at Springer via https://doi.org/10.1007/s11214-020-00693-8.Star formation is a complex multi-scale phenomenon that is of significant importance for astrophysics in general. Stars and star formation are key pillars in observational astronomy from local star forming regions in the Milky Way up to high-redshift galaxies. From a theoretical perspective, star formation and feedback processes (radiation, winds, and supernovae) play a pivotal role in advancing our understanding of the physical processes at work, both individually and of their interactions. In this review we will give an overview of the main processes that are important for the understanding of star formation. We start with an observationally motivated view on star formation from a global perspective and outline the general paradigm of the life-cycle of molecular clouds, in which star formation is the key process to close the cycle. After that we focus on the thermal and chemical aspects in star forming regions, discuss turbulence and magnetic fields as well as gravitational forces. Finally, we review the most important stellar feedback mechanisms.Peer reviewedFinal Accepted Versio