Local Volatility Calibration by Optimal Transport

The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion process that matches the known densities of an asset price at two different dates, while minimizing a chosen cost function. Inspired by the seminal work of Benamou and Brenier [1], we formulate the problem as a convex optimization problem, derive its dual formulation, and solve it numerically via an augmented Lagrangian method and the alternative direction method of multipliers (ADMM) algorithm. The solution effectively reconstructs the dynamic of the asset price between the two dates by recovering the optimal local volatility function, without requiring any time interpolation of the option prices

Inter-hemispheric EEG coherence analysis in Parkinson's disease : Assessing brain activity during emotion processing

Parkinson’s disease (PD) is not only characterized by its prominent motor symptoms but also associated with disturbances in cognitive and emotional functioning. The objective of the present study was to investigate the influence of emotion processing on inter-hemispheric electroencephalography (EEG) coherence in PD. Multimodal emotional stimuli (happiness, sadness, fear, anger, surprise, and disgust) were presented to 20 PD patients and 30 age-, education level-, and gender-matched healthy controls (HC) while EEG was recorded. Inter-hemispheric coherence was computed from seven homologous EEG electrode pairs (AF3–AF4, F7–F8, F3–F4, FC5–FC6, T7–T8, P7–P8, and O1–O2) for delta, theta, alpha, beta, and gamma frequency bands. In addition, subjective ratings were obtained for a representative of emotional stimuli. Interhemispherically, PD patients showed significantly lower coherence in theta, alpha, beta, and gamma frequency bands than HC during emotion processing. No significant changes were found in the delta frequency band coherence. We also found that PD patients were more impaired in recognizing negative emotions (sadness, fear, anger, and disgust) than relatively positive emotions (happiness and surprise). Behaviorally, PD patients did not show impairment in emotion recognition as measured by subjective ratings. These findings suggest that PD patients may have an impairment of inter-hemispheric functional connectivity (i.e., a decline in cortical connectivity) during emotion processing. This study may increase the awareness of EEG emotional response studies in clinical practice to uncover potential neurophysiologic abnormalities

Tolerability of breast ductal lavage in women from families at high genetic risk of breast cancer

<p>Abstract</p> <p>Background</p> <p>Ductal lavage (DL) has been proposed as a minimally-invasive, well-tolerated tool for obtaining breast epithelial cells for cytological evaluation of breast cancer risk. We report DL tolerability in <it>BRCA1/2 </it>mutation-positive and -negative women from an IRB-approved research study.</p> <p>Methods</p> <p>165 <it>BRCA1/2 </it>mutation-positive, 26 mutation-negative and 3 mutation unknown women underwent mammography, breast MRI and DL. Psychological well-being and perceptions of pain were obtained before and after DL, and compared with pain experienced during other screening procedures.</p> <p>Results</p> <p>The average <b><it>anticipated </it></b>and <b><it>experienced </it></b>discomfort rating for DL, 47 and 48 (0–100), were significantly higher (<it>p </it>< 0.01) than the <b><it>anticipated </it></b>and <b><it>experienced </it></b>discomfort of mammogram (38 and 34), MRI (36 and 25) or nipple aspiration (42 and 27). Women with greater pre-existing emotional distress experienced more DL-related discomfort than they anticipated. Women reporting DL-related pain as worse than expected were nearly three times more likely to refuse subsequent DL than those reporting it as the same or better than expected. Twenty-five percent of participants refused repeat DL at first annual follow-up.</p> <p>Conclusion</p> <p>DL was anticipated to be and experienced as <b>more </b>uncomfortable than other procedures used in breast cancer screening. Higher underlying psychological distress was associated with decreased DL tolerability.</p

Estimates of adherence and error analysis of physical activity data collected via accelerometry in a large study of free-living adults

<p>Abstract</p> <p>Background</p> <p>Activity monitors (AM) are small, electronic devices used to quantify the amount and intensity of physical activity (PA). Unfortunately, it has been demonstrated that data loss that occurs when AMs are not worn by subjects (removals during sleeping and waking hours) tend to result in biased estimates of PA and total energy expenditure (TEE). No study has reported the degree of data loss in a large study of adults, and/or the degree to which the estimates of PA and TEE are affected. Also, no study in adults has proposed a methodology to minimize the effects of AM removals.</p> <p>Methods</p> <p>Adherence estimates were generated from a pool of 524 women and men that wore AMs for 13 – 15 consecutive days. To simulate the effect of data loss due to AM removal, a reference dataset was first compiled from a subset consisting of 35 highly adherent subjects (24 HR; minimum of 20 hrs/day for seven consecutive days). AM removals were then simulated during sleep and between one and ten waking hours using this 24 HR dataset. Differences in the mean values for PA and TEE between the 24 HR reference dataset and the different simulations were compared using paired <it>t</it>-tests and/or coefficients of variation.</p> <p>Results</p> <p>The estimated average adherence of the pool of 524 subjects was 15.8 ± 3.4 hrs/day for approximately 11.7 ± 2.0 days. Simulated data loss due to AM removals during sleeping hours in the 24 HR database (n = 35), resulted in biased estimates of PA (p < 0.05), but not TEE. Losing as little as one hour of data from the 24 HR dataset during waking hours results in significant biases (p < 0.0001) and variability (coefficients of variation between 7 and 21%) in the estimates of PA. Inserting a constant value for sleep and imputing estimates for missing data during waking hours significantly improved the estimates of PA.</p> <p>Conclusion</p> <p>Although estimated adherence was good, measurements of PA can be improved by relatively simple imputation of missing AM data.</p

Is Overweight in Stunted Preschool Children in Cameroon Related to Reductions in Fat Oxidation, Resting Energy Expenditure and Physical Activity?

Recent studies suggest that early modifications in metabolic pathways and behaviour, leading to energy conservation and reduced linear growth, could represent adaptations to nutritional constraints during foetal life and infancy. Impaired fat oxidation, low resting energy expenditure and reduced physical activity, resulting from these adaptations, could facilitate fat storage and development of overweight in growth-retarded children that consume more energy-dense food. This study aims at assessing whether: (1) dual-burden preschool children (simultaneously stunted and overweight) of Yaounde (Cameroon) have low birth-weight (indicator of foetal undernutrition) and reductions in fat oxidation, resting energy expenditure (REE) and physical activity, (2) fat oxidation, REE and physical activity are associated with foetal growth.162 children (24-72 months) were considered: 22 stunted-overweight (SO), 40 stunted (S), 41 overweight (O), and 59 non stunted-non overweight (NSNO). Nutritional status and body composition were assessed using anthropometry and multifrequency bioimpedance analysis. Fasting respiratory quotient (RQ) and REE were measured by indirect calorimetry. Physical activity was determined using accelerometers, food questionnaires were used for diet assessment and birth-weight was noted. Mean RQs and REE (weight adjusted) did not differ between stunted children (SO and S) and non-stunted children (O and NSNO). SO and S children spent more time in sedentary activities than O children (p = 0.01 and p = 0.02, respectively) and less time in moderate-to-vigorous activities than NSNO children (p = 0.05 and p = 0.04, respectively). SO children's diet was less diverse (p = 0.01) with less animal products (p = 0.006). Multiple linear regressions model revealed that birth-weight is predictive of RQ (β = 0.237, p<0.01, R(2) = 0.08).This study showed that growth retardation in stunted-overweight children could be associated with postnatal nutritional deficiencies. Overweight in stunted children could be associated with reduced physical activity in the context of nutrition transition. High birth-weight was a predictor of reduced lipid oxidation, a risk factor of fat deposition

Hormonal signaling in cnidarians : do we understand the pathways well enough to know whether they are being disrupted?

Author Posting. © The Author, 2006. This is the author's version of the work. It is posted here by permission of Springer for personal use, not for redistribution. The definitive version was published in Ecotoxicology 16 (2007): 5-13, doi:10.1007/s10646-006-0121-1.Cnidarians occupy a key evolutionary position as basal metazoans and are ecologically important as predators, prey and structure-builders. Bioregulatory molecules (e.g., amines, peptides and steroids) have been identified in cnidarians, but cnidarian signaling pathways remain poorly characterized. Cnidarians, especially hydras, are regularly used in toxicity testing, but few studies have used cnidarians in explicit testing for signal disruption. Sublethal endpoints developed in cnidarians include budding, regeneration, gametogenesis, mucus production and larval metamorphosis. Cnidarian genomic databases, microarrays and other molecular tools are increasingly facilitating mechanistic investigation of signaling pathways and signal disruption. Elucidation of cnidarian signaling processes in a comparative context can provide insight into the evolution and diversification of metazoan bioregulation. Characterizing signaling and signal disruption in cnidarians may also provide unique opportunities for evaluating risk to valuable marine resources, such as coral reefs

Age and Diet Affect Gene Expression Profiles in Canine Liver Tissue

BACKGROUND: The liver plays a central role in nutrient and xenobiotic metabolism, but its functionality declines with age. Senior dogs suffer from many of the chronic hepatic diseases as elderly humans, with age-related alterations in liver function influenced by diet. However, a large-scale molecular analysis of the liver tissue as affected by age and diet has not been reported in dogs. METHODOLOGY/PRINCIPAL FINDINGS: Liver tissue samples were collected from six senior (12-year old) and six young adult (1-year old) female beagles fed an animal protein-based diet (APB) or a plant protein-based diet (PPB) for 12 months. Total RNA in the liver tissue was extracted and hybridized to Affymetrix GeneChip® Canine Genome Arrays. Using a 2.0-fold cutoff and false discovery rate <0.10, our results indicated that expression of 234 genes was altered by age, while 137 genes were differentially expressed by diet. Based on functional classification, genes affected by age and/or diet were involved in cellular development, nutrient metabolism, and signal transduction. In general, gene expression suggested that senior dogs had an increased risk of the progression of liver disease and dysfunction, as observed in aged humans and rodents. In particular for aged liver, genes related to inflammation, oxidative stress, and glycolysis were up-regulated, whereas genes related to regeneration, xenobiotic metabolism, and cholesterol trafficking were down-regulated. Diet-associated changes in gene expression were more common in young adult dogs (33 genes) as compared to senior dogs (3 genes). CONCLUSION: Our results provide molecular insight pertaining to the aged canine liver and its predisposition to disease and abnormalities. Therefore, our data may aid in future research pertaining to age-associated alterations in hepatic function or identification of potential targets for nutritional management as a means to decrease incidence of age-dependent liver dysfunction

Sensing and Integration of Erk and PI3K Signals by Myc

The transcription factor Myc plays a central role in regulating cell-fate decisions, including proliferation, growth, and apoptosis. To maintain a normal cell physiology, it is critical that the control of Myc dynamics is precisely orchestrated. Recent studies suggest that such control of Myc can be achieved at the post-translational level via protein stability modulation. Myc is regulated by two Ras effector pathways: the extracellular signal-regulated kinase (Erk) and phosphatidylinositol 3-kinase (PI3K) pathways. To gain quantitative insight into Myc dynamics, we have developed a mathematical model to analyze post-translational regulation of Myc via sequential phosphorylation by Erk and PI3K. Our results suggest that Myc integrates Erk and PI3K signals to result in various cellular responses by differential stability control of Myc protein isoforms. Such signal integration confers a flexible dynamic range for the system output, governed by stability change. In addition, signal integration may require saturation of the input signals, leading to sensitive signal integration to the temporal features of the input signals, insensitive response to their amplitudes, and resistance to input fluctuations. We further propose that these characteristics of the protein stability control module in Myc may be commonly utilized in various cell types and classes of proteins

Prenatal Famine and Genetic Variation Are Independently and Additively Associated with DNA Methylation at Regulatory Loci within IGF2/H19

Both the early environment and genetic variation may affect DNA methylation, which is one of the major molecular marks of the epigenome. The combined effect of these factors on a well-defined locus has not been studied to date. We evaluated the association of periconceptional exposure to the Dutch Famine of 1944–45, as an example of an early environmental exposure, and single nucleotide polymorphisms covering the genetic variation (tagging SNPs) with DNA methylation at the imprinted IGF2/H19 region, a model for an epigenetically regulated genomic region. DNA methylation was measured at five differentially methylated regions (DMRs) that regulate the imprinted status of the IGF2/H19 region. Small but consistent differences in DNA methylation were observed comparing 60 individuals with periconceptional famine exposure with unexposed same-sex siblings at all IGF2 DMRs (PBH<0.05 after adjustment for multiple testing), but not at the H19 DMR. IGF2 DMR0 methylation was associated with IGF2 SNP rs2239681 (PBH = 0.027) and INS promoter methylation with INS SNPs, including rs689, which tags the INS VNTR, suggesting a mechanism for the reported effect of the VNTR on INS expression (PBH = 3.4×10−3). Prenatal famine and genetic variation showed similar associations with IGF2/H19 methylation and their contributions were additive. They were small in absolute terms (<3%), but on average 0.5 standard deviations relative to the variation in the population. Our analyses suggest that environmental and genetic factors could have independent and additive similarly sized effects on DNA methylation at the same regulatory site