Dry Markets and Superreplication Bounds of American Derivatives

This paper studies the impact of dry markets for underlying assets on the pricing of American derivatives, using a discrete time framework. Dry markets are characterized by the possibility of non-existence of trading at certain dates. Such non-existence may be deterministic or probabilistic. Using superreplicating strategies, we derive expectation representations for the range of arbitrage-free values of the dervatives. In the probabilistic case, if we consider an enlarged filtration induced by the price process and the market existence process, ordinary stopping times are required. If not, randomized stopping times are required. Several comparisons of the ranges obtained with the two market restrictions are performed. Finally, we conclude that arbitrage arguments are not enough to define the optimal exercise policy.N/

Fractional smoothness and applications in finance

This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ is a certain diffusion process. We review the connection to the real interpolation theory, give examples and applications of this concept. The applications in stochastic finance mainly concern the analysis of discrete time hedging errors. We close the review by indicating some further developments.Comment: Chapter of AMAMEF book. 20 pages

Spatial Statistics of Visual Keypoints for Texture Recognition

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ASTERIX and 2.0 Knowledge Management : exploring the appropriation of 2.0 KMS via the Myth of the Gaulish village

International audienceKnowledge Management Systems (KMS) in companies have profoundly changed in recent years. They have become KMS 2.0 that aim to transform the firm and are driven by a new relationship to knowledge in line with 2.0 organisations. These 2.0 KMS have implemented modes of organisation that disrupt those that previously guided firms’ performance. This can sometimes lead to paradoxical organizational dysfunctions as witnessed by the difficulties faced by some traditionally hierarchical French companies. Through a case study of Constructor and a theoretical background on IS appropriation in organizations and myths in management, we show how the Asterix myth contributes to understanding how 2.0. KMS are appropriated in such companies. We find evidence of similarities regarding knowledge and Knowledge Management between the Asterix’ myth and the behaviours and practices concerning knowledge management within Constructor. As a result, the Asterix’ myth may be a relevant perspective for understanding the obstacles, advantages and appropriations of 2.0. KMS within French organizations

On the Existence of Shadow Prices

For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless "shadow market" that yields the same optimal strategy and utility. However, the question of whether or not this indeed holds in generality has remained elusive so far. In this paper we present a counterexample which shows that shadow prices may fail to exist. On the other hand, we prove that short selling constraints are a sufficient condition to warrant their existence, even in very general multi-currency market models with possibly discontinuous bid-ask-spreads.Comment: 14 pages, 1 figure, to appear in "Finance and Stochastics

Defining patient outcomes in stage IV colorectal cancer: a prospective study with baseline stratification according to disease resectability status

BACKGROUND: Stage IV colorectal cancer encompasses a broad patient population in which both curative and palliative management strategies may be used. In a phase II study primarily designed to assess the efficacy of capecitabine and oxaliplatin, we were able to prospectively examine the outcomes of patients with stage IV colorectal cancer according to the baseline resectability status. METHODS: At enrolment, patients were stratified into three subgroups according to the resectability of liver disease and treatment intent: palliative chemotherapy (subgroup A), conversion therapy (subgroup B) or neoadjuvant therapy (subgroup C). All patients received chemotherapy with capecitabine 2000 mg m(-2) on days 1-14 and oxaliplatin 130 mg m(-2) on day 1 repeated every 3 weeks. Imaging was repeated every four cycles where feasible liver resection was undertaken after four or eight cycles of chemotherapy. RESULTS: Of 128 enrolled patients, 74, 22 and 32 were stratified into subgroups A, B and C, respectively. Attempt at curative liver resection was undertaken in 10 (45%) patients in subgroup B and 19 (59%) in subgroup C. The median overall survival was 14.6, 24.5 and 52.9 months in subgroups A, B and C, respectively. For patients in subgroups B and C who underwent an attempt at curative resection, 3-year progression-free survival was 10% in subgroup B and 37% for subgroup C. CONCLUSIONS: This prospective study shows the wide variation in outcome according to baseline resectability status and highlights the potential clinical value of a modified staging system to distinguish between these patient subgroups. British Journal of Cancer (2010) 102, 255-261. doi:10.1038/sj.bjc.6605508 www.bjcancer.com (C) 2010 Cancer Research U

Outcome of Microscopic Incomplete Resection (R1) of Colorectal Liver Metastases in the Era of Neoadjuvant Chemotherapy

Background: Data from patients with colorectal liver metastases (CRLM) who received neoadjuvant chemotherapy before resection were reviewed and evaluated to see whether neoadjuvant chemotherapy influences the predictive outcome of R1 resections (margin is 0 mm) in patients with CRLM. Methods: Between January 2000 and December 2008, all consecutive patients undergoing liver resection for CRLM were analyzed. Patients were divided into those who did and did not receive neoadjuvant chemotherapy. The outcome after R0 (tumor-free margin >0 mm) and R1 (tumor-free margin 0 mm) resection was compared. Results: A total of 264 were eligible for analysis. Median follow-up was 34 months. Patients without chemotherapy showed a significant difference in median disease-free survival (DFS) after R0 or R1 resection: 17 [95% confidence interval (CI) 10-24] months versus 8 (95% CI 4-12) months (P < 0.001), whereas in

Intramolecular hydrogen transfer reactions of thiyl radicals from glutathione: formation of carbon-centered radical at Glu, Cys and Gly

This document is the Accepted Manuscript version of a Published Work that appeared in final form in Chemical Research in Toxicology, copyright © American Chemical Society after peer review and technical editing by the publisher. To access the final edited and published work see http://pubs.acs.org/doi/abs/10.1021/tx3000494Glutathione thiyl radicals (GS•) were generated in H2O and D2O by either exposure of GSH to AAPH#, photoirradiation of GSH in the presence of acetone, or photoirradiation of GSSG. Detailed interpretation of the fragmentation pathways of deuterated GSH and GSH-derivatives during mass spectrometry analysis allowed us to demonstrate that reversible intramolecular H-atom transfer reactions between GS• and C-H bonds at Cys[αC], Cys[βC], and Gly[αC] are possible

Management of colorectal cancer presenting with synchronous liver metastases

Up to a fifth of patients with colorectal cancer (CRC) present with synchronous hepatic metastases. In patients with CRC who present without intestinal obstruction or perforation and in whom comprehensive whole-body imaging confirms the absence of extrahepatic disease, evidence indicates a state of equipoise between several different management pathways, none of which has demonstrated superiority. Neoadjuvant systemic chemotherapy is advocated by current guidelines, but must be integrated with surgical management in order to remove the primary tumour and liver metastatic burden. Surgery for CRC with synchronous liver metastases can take a number of forms: the 'classic' approach, involving initial colorectal resection, interval chemotherapy and liver resection as the final step; simultaneous removal of the liver and bowel tumours with neoadjuvant or adjuvant chemotherapy; or a 'liver-first' approach (before or after systemic chemotherapy) with removal of the colorectal tumour as the final procedure. In patients with rectal primary tumours, the liver-first approach can potentially avoid rectal surgery in patients with a complete response to chemoradiotherapy. We overview the importance of precise nomenclature, the influence of clinical presentation on treatment options, and the need for accurate, up-to-date surgical terminology, staging tests and contemporary management options in CRC and synchronous hepatic metastatic disease, with an emphasis on multidisciplinary care