The evaluation of american option prices under stochastic volatility and jump-diffusion dynamics using the method of lines

This paper considers the problem of numerically evaluating American option prices when the dynamics of the underlying are driven by both stochastic volatility following the square root process of Heston [18], and by a Poisson jump process of the type originally introduced by Merton [25]. We develop a method of lines algorithm to evaluate the price as well as the delta and gamma of the option, thereby extending the method developed by Meyer [26] for the case of jump-diffusion dynamics. The accuracy of the method is tested against two numerical methods that directly solve the integro-partial differential pricing equation. The first is an extension to the jump-diffusion situation of the componentwise splitting method of Ikonen and Toivanen [21]. The second method is a Crank-Nicolson scheme that is solved using projected successive over relaxation and which is taken as the benchmark for the price. The relative efficiency of these methods for computing the American call option price, delta, gamma and free boundary is analysed. If one seeks an algorithm that gives not only the price but also the delta and gamma to the same level of accuracy for a given computational effort then the method of lines seems to perform best amongst the methods considered. © 2009 World Scientific Publishing Company

Synthesis, characterization, and biocompatible properties of alanine-grafted chitosan copolymers

In order to overcome major problems regarding the lack of affinity to solvents and limited reactivity of the free amines of chitosan, introduction of appropriate spacer arms having terminal amine function is considered of interest. L-Alanine-N-carboxyanhydride was grafted onto chitosan via anionic ring-opening polymerization. The chemical and structural characterizations of L-alanine-grafted chitosan (Ala-g-Cts) were confirmed through Fourier transform infrared spectroscopy and proton nuclear magnetic resonance spectroscopy ((1)H NMR). In addition, the viscoelastic properties of Ala-g-Cts were examined by means of a rotational viscometer, and thermal analysis was carried out with a thermogravimetric analyzer and differential scanning calorimetry. Morphological changes in the chitosan L-alanine moiety were determined by x-ray diffraction. To determine the feasibility of using these films as biomedical materials, we investigated the effects of their L-alanine content on physical and mechanical properties. The biodegradation results of crosslinked Ala-g-Cts films were evaluated in phosphate-buffered solution containing lysozyme at 37℃. Proliferation of MC3T3-E1 cells on crosslinked Ala-g-Cts films was also investigated with use of the CCK-8 assay

Crystallization and preliminary X-ray crystallographic analysis of a yedU gene product from Escherichia coli

A yedU gene product with a molecular mass of 31 kDa is a hypothetical protein with no known function. The protein was purified and crystallized at 296 K. X-ray diffraction data have been collected to 2.3 Angstrom using synchrotron radiation. The crystals belong to the primitive orthorhombic system, with unit-cell parameters a = 50.56, b = 63.45, c = 168.02 Angstrom. The asymmetric unit contains two monomers of the protein, with a corresponding V-M of 2.25 Angstrom(3) Da(-1) and a solvent content of 44.84%.open2

Frequent reduced expression of alpha-1B-adrenergic receptor caused by aberrant promoter methylation in gastric cancers

Recent studies have suggested that epigenetic inactivation of tumour-related genes by promoter methylation participates in the development of gastric cancer. We newly identified the frequently aberrant promoter methylation of alpha-1B-adrenergic receptor (ADRA1B) in colorectal cancer by methylation-sensitive representational difference analysis (MS-RDA) and examined the methylation status of the ADRA1B promoter in 34 paired samples of colorectal cancer and surrounding epithelial tissue, and 34 paired samples of gastric cancer and surrounding epithelial tissue. In colorectal cancers, only four of 34 (11.8%) tumours showed ADRA1B promoter methylation. In contrast, ADRA1B promoter methylation was detected in 24 of 34 (70.6%) gastric cancers and in 14 of 34 (41.2%) surrounding epithelial tissues. The frequency of ADRA1B promoter methylation was higher in gastric epithelial tissues with intestinal metaplasia (41.6%) than in those without intestinal metaplasia (25.0%). Reverse transcription–PCR detected reduced ADRA1B expression in 12 of 18 (66.7%) gastric cancers, and its promoter methylation was detected in 11 of these 12 (91.7%) gastric cancers with reduced ADRA1B expression. Thus, ADRA1B promoter is frequently methylated in gastric cancer. Our results suggest that the ADRA1B gene is an important tumour-related gene frequently involved in the development and progression of gastric cancer

Analyses of the mechanical, electrical and electromagnetic shielding properties of thermoplastic composites doped with conductive nanofillers

The purpose of this study is to observe effect of incorporating vapor-grown carbon nanofibers with various amounts in polyvinylidene fluoride matrix in terms of mechanical strength and electromagnetic shielding effectiveness. Thermoplastic conductive nanocomposites were prepared by heat-pressed compression molding. Vapor-grown carbon nanofibers were utilized at various weight ratios (1 wt.%, 3 wt.%, 5 wt.%, and 8 wt.%) as conductive and reinforcing materials. Polyvinylidene fluoride was used as a thermoplastic polymer matrix. Scanning electron microscopic analysis was conducted in order to characterize the morphology and structural properties of the nanocomposites and results revealed well dispersion of carbon nanofibers within the matrix for all concentrations. Mechanical characteristics were investigated according to standards. Findings proved that overall increments of 16%, 37.5%, and 56% were achieved in terms of tensile strength, elasticity modulus, and impact energy, respectively, where a total reduction of 44.8% was observed in terms of elongation for 8 wt.% vapor-grown nanofiber matrix compared to that of 0 wt.%. Electromagnetic shielding effectiveness's of the nanocomposites were determined by standard protocol using coaxial transmission line measurement technique in the frequency range of 15–3000 MHz. It was observed that resistance, sheet resistance, and resistivity of nanocomposites depicted substantial reduction with the increment in nanofiber content. Nevertheless, it was observed that nanofiber content, dispersion, and network formation within the composites were highly influent on the electromagnetic shielding effectiveness performance of the structures

Structure of hadron resonances with a nearby zero of the amplitude

We discuss the relation between the analytic structure of the scattering amplitude and the origin of an eigenstate represented by a pole of the amplitude.If the eigenstate is not dynamically generated by the interaction in the channel of interest, the residue of the pole vanishes in the zero coupling limit. Based on the topological nature of the phase of the scattering amplitude, we show that the pole must encounter with the Castillejo-Dalitz-Dyson (CDD) zero in this limit. It is concluded that the dynamical component of the eigenstate is small if a CDD zero exists near the eigenstate pole. We show that the line shape of the resonance is distorted from the Breit-Wigner form as an observable consequence of the nearby CDD zero. Finally, studying the positions of poles and CDD zeros of the KbarN-piSigma amplitude, we discuss the origin of the eigenstates in the Lambda(1405) region.Comment: 7 pages, 3 figures, v2: published versio

Serial interferon-gamma release assays during treatment of active tuberculosis in young adults

<p>Abstract</p> <p>Background</p> <p>The role of interferon-γ release assay (IGRA) in monitoring responses to anti-tuberculosis (TB) treatment is not clear. We evaluated the results of the QuantiFERON-TB Gold In-tube (QFT-GIT) assay over time during the anti-TB treatment of adults with no underlying disease.</p> <p>Methods</p> <p>We enrolled soldiers who were newly diagnosed with active TB and admitted to the central referral military hospital in South Korea between May 1, 2008 and September 30, 2009. For each participant, we preformed QFT-GIT assay before treatment (baseline) and at 1, 3, and 6 months after initiating anti-TB medication.</p> <p>Results</p> <p>Of 67 eligible patients, 59 (88.1%) completed the study protocol. All participants were males who were human immunodeficiency virus (HIV)-negative and had no chronic diseases. Their median age was 21 years (range, 20-48). Initially, 57 (96.6%) patients had positive QFT-GIT results, and 53 (89.8%), 42 (71.2%), and 39 (66.1%) had positive QFT-GIT results at 1, 3, and 6 months, respectively. The IFN-γ level at baseline was 5.31 ± 5.34 IU/ml, and the levels at 1, 3, and 6 months were 3.95 ± 4.30, 1.82 ± 2.14, and 1.50 ± 2.12 IU/ml, respectively. All patients had clinical and radiologic improvements after treatment and were cured. A lower IFN-γ level, C-reactive protein ≥ 3 mg/dl, and the presence of fever (≥ 38.3°C) at diagnosis were associated with negative reversion of the QFT-GIT assay.</p> <p>Conclusion</p> <p>Although the IFN-γ level measured by QFT-GIT assay decreased after successful anti-TB treatment in most participants, less than half of them exhibited QFT-GIT reversion. Thus, the reversion to negativity of the QFT-GIT assay may not be a good surrogate for treatment response in otherwise healthy young patients with TB.</p