A note on the alpha-quantile option

In this communication, we discuss some properties of a class of path dependent options based on the α-quantiles of Brownian motion. In particular we show that such options are well behaved in relation to standard options and comparatively cheaper than an equivalent class of lookback options

Energy poverty policies and measures in 5 EU countries: a comparative study

Energy Poverty (EP) is the inability to attain a socially and materially necessitated level of domestic energy services. In the EU this occurs primarily due to low incomes, poor energy performance of buildings and high energy costs. The impacts of EP range from impaired social lives to unhealthy living conditions, with further consequences in the physical and mental health of energy poor individuals. Member states have been assigned by the EU with the responsibility of dealing with EP within their own territories. This is attainable mainly by creating effective policies, while also encouraging synergies among policies of different fields. However, scientific knowledge is gathered and action is taken on a national level only in a limited number of EU countries. For this reason, this paper aims to fill in the gap and capture snapshots from five EU countries (Cyprus, Spain, Portugal, Bulgaria and Lithuania) where EP has not been exhaustively examined. The study provides an overview of selected policies and measures directly or indirectly targeting EP alleviation and analyses their history and evolution at an EU level as well as at national level. It considers the different geographical dimensions, conditions and aspects (e.g. national or regional) where EP is encountered, in an attempt to identify any variances or similarities in the approaches adopted. Through this comparative study, strengths and weaknesses of national strategies are identified and analysed. Conclusively, based on this analysis, recommendations are made on how to utilise policy tools and provide the most efficient support to energy poor households in the corresponding countries

Mismatch task conditions and error related ERPs

<p>Abstract</p> <p>Background</p> <p>The N200 component of event related potentials (ERPs) is considered an index of monitoring error related responses. The aim of the present work was to study the effect of mismatch conditions on the subjects' responses in an auditory identification task and their relation to the N200 of stimulus-locked ERPs.</p> <p>Methods</p> <p>An auditory identification task required to correctly map a horizontal slider onto an active frequency range by selecting a slider position that matched the stimulus tone in each trial. Fourteen healthy volunteers participated in the study and ERPs were recorded by 32 leads.</p> <p>Results</p> <p>Results showed that the subjects' erroneous responses were equally distributed within trials, but were dependent on mismatch conditions, generated by large differences between the frequencies of the tones of consecutive trials. Erroneous trials showed a significantly greater negativity within the time window of 164-191 ms after stimulus, located mainly at the Cz and Fz electrodes. The LORETA solution showed that maximum activations, as well as maximum differences, were localized mainly at the frontal lobe.</p> <p>Conclusions</p> <p>These findings suggest that the fronto-central N200 component, conceived an index of "reorientation of attention", represents a correlate of an error signal, being produced when representation of the actual response and the required response are compared. Furthermore the magnitude of the amplitude of the N200 rests on the relation between the present and the previous stimulus.</p

Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.Comment: 9 pages, 2 figures, 1 tabl

Producing valid statistics when legislation, culture, and medical practices differ for births at or before the threshold of survival: Report of a European workshop

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Increasing the Creativity of ENGINO Toy Sets and Generating Automatic Building Instructions

During the First Study Group with Industry which was held in Limassol, Cyprus, the ENGINO⃝R TOY SYSTEM introduced two challenging problems. The first is to get bounds on the number of possible models/toys which can be constructed using a given package of building blocks. And the second is to generate automatically the assembly instructions for a given toy. In this report we summarize our insights and provide preliminary results for the two challenges

Optimal Stopping in Levy Models, for Non-Monotone Discontinuous Payoffs

We give short proofs of general theorems about optimal entry and exit problems in Levy models, when payoff streams may have discontinuities and be non-monotone. As applications, we consider exit and entry problems in the theory of real options, and an entry problem with an embedded option to exit

Monte Carlo study of the effects of system geometry and antiscatter grids on cone-beam CT scatter distributions

Purpose: The proliferation of cone-beam CT (CBCT) has created interest in performance optimization,with x-ray scatter identifie among the main limitations to image quality. CBCT often contends with elevated scatter, but the wide variety of imaging geometry in different CBCT configuration suggests that not all configuration are affected to the same extent. Graphics processing unit (GPU) accelerated Monte Carlo (MC) simulations are employed over a range of imaging geometries to elucidate the factors governing scatter characteristics, effica y of antiscatter grids, guide system design, and augment development of scatter correction. Methods: A MC x-ray simulator implemented on GPU was accelerated by inclusion of variance reduction techniques (interaction splitting, forced scattering, and forced detection) and extended to include x-ray spectra and analytical models of antiscatter grids and flat-pane detectors. The simulator was applied to small animal (SA), musculoskeletal (MSK) extremity, otolaryngology (Head), breast, interventional C-arm, and on-board (kilovoltage) linear accelerator (Linac) imaging, with an axis-todetector distance (ADD) of 5, 12, 22, 32, 60, and 50 cm, respectively. Each configuratio was modeled with and without an antiscatter grid and with (i) an elliptical cylinder varying 70–280 mm in major axis; and (ii) digital murine and anthropomorphic models. The effects of scatter were evaluated in terms of the angular distribution of scatter incident upon the detector, scatter-to-primary ratio (SPR), artifact magnitude, contrast, contrast-to-noise ratio (CNR), and visual assessment. Results: Variance reduction yielded improvements in MC simulation efficien y ranging from ∼17-fold (for SA CBCT) to ∼35-fold (for Head and C-arm), with the most significan acceleration due to interaction splitting (∼6 to ∼10-fold increase in efficien y). The benefi of a more extended geometry was evident by virtue of a larger air gap—e.g., for a 16 cm diameter object, the SPR reduced from 1.5 for ADD = 12 cm (MSK geometry) to 1.1 for ADD = 22 cm (Head) and to 0.5 for ADD = 60 cm (C-arm). Grid efficien y was higher for configuration with shorter air gap due to a broader angular distribution of scattered photons—e.g., scatter rejection factor ∼0.8 for MSK geometry versus ∼0.65 for C-arm. Grids reduced cupping for all configuration but had limited improvement on scatterinduced streaks and resulted in a loss of CNR for the SA, Breast, and C-arm. Relative contribution of forward-directed scatter increased with a grid (e.g., Rayleigh scatter fraction increasing from ∼0.15 without a grid to ∼0.25 with a grid for the MSK configuration) resulting in scatter distributions with greater spatial variation (the form of which depended on grid orientation). Conclusions: A fast MC simulator combining GPU acceleration with variance reduction provided a systematic examination of a range of CBCT configuration in relation to scatter, highlighting the magnitude and spatial uniformity of individual scatter components, illustrating tradeoffs in CNR and artifacts and identifying the system geometries for which grids are more beneficia (e.g., MSK) from those in which an extended geometry is the better defense (e.g., C-arm head imaging). Compact geometries with an antiscatter grid challenge assumptions of slowly varying scatter distributions due to increased contribution of Rayleigh scatter.The research was supported by academic-industry partnership with Carestream Health Inc. (Rochester, NY) and National Institutes of Health (NIH) Grant No. 2R01-CA-112163. A. Sisniega is supported by FPU grant (Spanish Ministry of Education), AMIT project, RECAVA-RETIC Network, Project Nos. TEC2010-21619- C04-01, TEC2011-28972-C02-01, and PI11/00616 (Spanish Ministry of Science and Education), ARTEMIS program (Comunidad de Madrid), and PreDiCT-TB partnership.Publicad

Activating mutations in BRAF disrupt the hypothalamo-pituitary axis leading to hypopituitarism in mice and humans

Germline mutations in BRAF and other components of the MAPK pathway are associated with the congenital syndromes collectively known as RASopathies. Here, we report the association of Septo-Optic Dysplasia (SOD) including hypopituitarism and Cardio-Facio-Cutaneous (CFC) syndrome in patients harbouring mutations in BRAF. Phosphoproteomic analyses demonstrate that these genetic variants are gain-of-function mutations leading to activation of the MAPK pathway. Activation of the MAPK pathway by conditional expression of the BrafV600E/+ allele, or the knock-in BrafQ241R/+ allele (corresponding to the most frequent human CFC-causing mutation, BRAF p.Q257R), leads to abnormal cell lineage determination and terminal differentiation of hormone-producing cells, causing hypopituitarism. Expression of the BrafV600E/+ allele in embryonic pituitary progenitors leads to an increased expression of cell cycle inhibitors, cell growth arrest and apoptosis, but not tumour formation. Our findings show a critical role of BRAF in hypothalamo-pituitary-axis development both in mouse and human and implicate mutations found in RASopathies as a cause of endocrine deficiencies in humans

Uniform Boundary Harnack Principle for Rotationally Symmetric Levy processes in General Open Sets

In this paper we prove the uniform boundary Harnack principle in general open sets for harmonic functions with respect to a large class of rotationally symmetric purely discontinuous L\'evy processes.Comment: 21 Page