Smile-consistent libor market models: Theory, approximations and properties.

Abstract not available

On the optimal investment

In 1988 Dybvig introduced the payoff distribution pricing model (PDPM) as an alternative to the capital asset pricing model (CAPM). Under this new paradigm agents preferences depend on the probability distribution of the payoff and for the same distribution agents prefer the payoff that requires less investment. In this context he gave the notion of efficient payoff. Both approaches run parallel to the theory of choice of von Neumann -Morgenstern (1947), known as the Expected Utility Theory and posterior axiomatic alternatives. In this paper we consider the notion of optimal payoff as that maximizing the terminal position for a chosen preference functional and we investigate the relationship between both concepts, optimal and efficient payoffs, as well as the behavior of the efficient payoffs under different market dynamics. We also show that path-dependent options can be efficient in some simple models

Congenital Plasmodium falciparum infection in neonates in Muheza District, Tanzania

BACKGROUND\ud \ud Although recent reports on congenital malaria suggest that the incidence is increasing, it is difficult to determine whether the clinical disease is due to parasites acquired before delivery or as a result of contamination by maternal blood at birth. Understanding of the method of parasite acquisition is important for estimating the time incidence of congenital malaria and design of preventive measures. The aim of this study was to determine whether the first Plasmodium falciparum malaria disease in infants is due to same parasites present on the placenta at birth.\ud \ud METHODS\ud \ud Babies born to mothers with P. falciparum parasites on the placenta detected by PCR were followed up to two years and observed for malaria episodes. Paired placental and infant peripheral blood samples at first malaria episode within first three months of life were genotyped (msp2) to determine genetic relatedness. Selected amplifications from nested PCR were sequenced and compared between pairs.\ud \ud RESULTS\ud \ud Eighteen (19.1%) out of 95 infants who were followed up developed clinical malaria within the first three months of age. Eight pairs (60%) out of 14 pairs of sequenced placental and cord samples were genetically related while six (40%) were genetically unrelated. One pair (14.3%) out of seven pairs of sequenced placental and infants samples were genetically related. In addition, infants born from primigravidae mothers were more likely to be infected with P. falciparum (P < 0.001) as compared to infants from secundigravidae and multigravidae mothers during the two years of follow up. Infants from multigravidae mothers got the first P. falciparum infection earlier than those from secundigravidae and primigravidae mothers (RR = 1.43).\ud \ud CONCLUSION\ud \ud Plasmodium falciparum malaria parasites present on the placenta as detected by PCR are more likely to result in clinical disease (congenital malaria) in the infant during the first three months of life. However, sequencing data seem to question the validity of this likelihood. Therefore, the relationship between placental parasites and first clinical disease need to be confirmed in larger studies

Plasmodium falciparum variant STEVOR antigens are expressed in merozoites and possibly associated with erythrocyte invasion

<p>Abstract</p> <p>Background</p> <p><it>Plasmodium falciparum </it>STEVOR proteins, encoded by the multicopy <it>stevor </it>gene family have no known biological functions. Their expression and unique locations in different parasite life cycle stages evoke multiple functionalities. Their abundance and hypervariability support a role in antigenic variation.</p> <p>Methods</p> <p>Immunoblotting of total parasite proteins with an anti-STEVOR antibody was used to identify variant antigens of this gene family and to follow changes in STEVOR expression in parasite populations panned on CSA or CD36 receptors. Immunofluorescence assays and immunoelectron microscopy were performed to study the subcellular localization of STEVOR proteins in different parasite stages. The capacity of the antibody to inhibit merozoite invasion of erythrocytes was assessed to determine whether STEVOR variants were involved in the invasion process.</p> <p>Results</p> <p>Antigenic variation of STEVORs at the protein level was observed in blood stage parasites. STEVOR variants were found to be present on the merozoite surface and in rhoptries. An insight into a participation in erythrocyte invasion was gained through an immunofluorescence analysis of a sequence of thin slides representing progressive steps in erythrocyte invasion. An interesting feature of the staining pattern was what appeared to be the release of STEVORs around the invading merozoites. Because the anti-STEVOR antibody did not inhibit invasion, the role of STEVORs in this process remains unknown.</p> <p>Conclusion</p> <p>The localization of STEVOR proteins to the merozoite surface and the rhoptries together with its prevalence as a released component in the invading merozoite suggest a role of these antigens in adhesion and/or immune evasion in the erythrocyte invasion process. These observations would also justify STEVORs for undergoing antigenic variation. Even though a role in erythrocyte invasion remains speculative, an association of members of the STEVOR protein family with invasion-related events has been shown.</p

Congenital malaria in Urabá, Colombia

<p>Abstract</p> <p>Background</p> <p>Congenital malaria has been considered a rare event; however, recent reports have shown frequencies ranging from 3% to 54.2% among newborns of mothers who had suffered malaria during pregnancy. There are only a few references concerning the epidemiological impact of this entity in Latin-America and Colombia.</p> <p>Objective</p> <p>The aim of the study was to measure the prevalence of congenital malaria in an endemic Colombian region and to determine some of its characteristics.</p> <p>Methods</p> <p>A prospective, descriptive study was carried out in the mothers who suffered malaria during pregnancy and their newborns. Neonates were clinically evaluated at birth and screened for <it>Plasmodium spp</it>. infection by thick smear from the umbilical cord and peripheral blood, and followed-up weekly during the first 21 days of postnatal life through clinical examinations and thick smears.</p> <p>Results</p> <p>116 newborns were included in the study and 80 umbilical cord samples were obtained. Five cases of congenital infection were identified (four caused by <it>P. vivax </it>and one by <it>P. falciparum</it>), two in umbilical cord blood and three in newborn peripheral blood. One case was diagnosed at birth and the others during follow-up. Prevalence of congenital infection was 4.3%. One of the infected newborns was severely ill, while the others were asymptomatic and apparently healthy. The mothers of the newborns with congenital malaria had been diagnosed with malaria in the last trimester of pregnancy or during delivery, and also presented placental infection.</p> <p>Conclusions</p> <p>Congenital malaria may be a frequent event in newborns of mothers who have suffered malaria during pregnancy in Colombia. An association was found between congenital malaria and the diagnosis of malaria in the mother during the last trimester of pregnancy or during delivery, and the presence of placental infection.</p

Minimal q-entropy martingale measures for exponential time-changed Lévy processes

Lévy process, Time change, Subordination, Generalized relative entropy, Martingale measures, 60G44, 60G51, 91B28, G10,

Fair valuation of insurance contracts under Lévy process specifications

The valuation of options embedded in insurance contracts using concepts from financial mathematics (in particular, from option pricing theory), typically referred to as fair valuation, has recently attracted considerable interest in academia as well as among practitioners. The aim of this article is to investigate the valuation of participating and unit-linked life insurance contracts, which are characterized by embedded rate guarantees and bonus distribution rules. In contrast to the existing literature, our approach models the dynamics of the reference portfolio by means of an exponential Lévy process. Our analysis sheds light on the impact of the dynamics of the reference portfolio on the fair contract value for several popular types of insurance policies. Moreover, it helps to assess the potential risk arising from misspecification of the stochastic process driving the reference portfolio.