Pricing Exotic Options in a Path Integral Approach

In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the cases of Asian, barrier knock out, reverse cliquet and basket call options, evaluating prices and Greeks. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at-the-money and out-of-the-money options, the path integral approach exhibits competitive performances.Comment: 21 pages, LaTeX, 3 figures, 6 table

Combination of letrozole, metronomic cyclophosphamide and sorafenib is well-tolerated and shows activity in patients with primary breast cancer

PURPOSE: To assess whether the combination of letrozole, metronomic cyclophosphamide and sorafenib (LCS) is well tolerated and shows activity in primary breast cancer (BC). METHODS:Thirteen oestrogen receptor-positive, postmenopausal, T2-4, N0-1 BC patients received the LCS combination for 6 months. In these patients we examined the pharmacokinetics of sorafenib and cyclophosphamide, toxicity of the regimen, the clinical response to therapy and changes in the levels of biologically relevant biomarkers. RESULTS:Adequate plasma concentrations of sorafenib were achieved in patients when it was dosed in combination with L+C. The mean plasma concentrations of C were consistently lower following administration of LCS, compared with administration of L+C only. The most common drug-related grade 3/4 adverse events were skin rash (69.3%), hand-foot skin reaction (69.3%) and diarrhoea (46.1%). According to RECIST Criteria, a clinical complete response was observed in 6 of 13 patients. A significant reduction in tumour size, evaluated with MRI, was also observed between baseline and 14 days of treatment in all 13 patients (P=0.005). A significant reduction in SUV uptake, measured by (18)FDG-PET/CT, was observed in all patients between baseline and 30 days of treatment (P=0.015) and between baseline and definitive surgery (P=0.0002). Using modified CT Criteria, a response was demonstrated in 8 out of 10 evaluable patients at 30 days and in 11 out of 13 evaluable patients at the definitive surgery. A significant reduction in Ki67 expression was observed in all patients at day 14 compared with baseline (P<0.00001) and in 9 out of 13 patients at the definitive surgery compared with baseline (P<0.03). There was also a significant suppression of CD31 and VEGF-A expression in response to treatment (P=0.01 and P=0.007, respectively).CONCLUSIONS:The LCS combination is feasible and tolerable. The tumour response and target biomarker modulation indicate that the combination is clinically and biologically active

Sex differences in cardiovascular complications and mortality in hospital patients with covid-19: registry based observational study

Objective To assess whether the risk of cardiovascular complications of covid-19 differ between the sexes and to determine whether any sex differences in risk are reduced in individuals with pre-existing cardiovascular disease. Design Registry based observational study. Setting 74 hospitals across 13 countries (eight European) participating in CAPACITY-COVID (Cardiac complicAtions in Patients With SARS Corona vIrus 2 regisTrY), from March 2020 to May 2021 Participants All adults (aged ≥18 years), predominantly European, admitted to hospital with highly suspected covid-19 disease or covid-19 disease confirmed by positive laboratory test results (n=11 167 patients). Main outcome measures Any cardiovascular complication during admission to hospital. Secondary outcomes were in-hospital mortality and individual cardiovascular complications with ≥20 events for each sex. Logistic regression was used to examine sex differences in the risk of cardiovascular outcomes, overall and grouped by pre-existing cardiovascular disease. Results Of 11 167 adults (median age 68 years, 40% female participants) included, 3423 (36% of whom were female participants) had pre-existing cardiovascular disease. In both sexes, the most common cardiovascular complications were supraventricular tachycardias (4% of female participants, 6% of male participants), pulmonary embolism (3% and 5%), and heart failure (decompensated or de novo) (2% in both sexes). After adjusting for age, ethnic group, pre-existing cardiovascular disease, and risk factors for cardiovascular disease, female individuals were less likely than male individuals to have a cardiovascular complication (odds ratio 0.72, 95% confidence interval 0.64 to 0.80) or die (0.65, 0.59 to 0.72). Differences between the sexes were not modified by pre-existing cardiovascular disease; for the primary outcome, the female-to-male ratio of the odds ratio in those without, compared with those with, pre-existing cardiovascular disease was 0.84 (0.67 to 1.07). Conclusions In patients admitted to hospital for covid-19, female participants were less likely than male participants to have a cardiovascular complication. The differences between the sexes could not be attributed to the lower prevalence of pre-existing cardiovascular disease in female individuals. The reasons for this advantage in female individuals requires further research

Constitutive modelling of skin ageing

The objective of this chapter is to review the main biomechanical and structural aspects associated with both intrinsic and extrinsic skin ageing, and to present potential research avenues to account for these effects in mathematical and computational models of the skin. This will be illustrated through recent work of the authors which provides a basis to those interested in developing mechanistic constitutive models capturing the mechanobiology of skin across the life course

Polygenic risk modeling for prediction of epithelial ovarian cancer risk

Polygenic risk scores (PRS) for epithelial ovarian cancer (EOC) have the potential to improve risk stratification. Joint estimation of Single Nucleotide Polymorphism (SNP) effects in models could improve predictive performance over standard approaches of PRS construction. Here, we implemented computationally efficient, penalized, logistic regression models (lasso, elastic net, stepwise) to individual level genotype data and a Bayesian framework with continuous shrinkage, "select and shrink for summary statistics" (S4), to summary level data for epithelial non-mucinous ovarian cancer risk prediction. We developed the models in a dataset consisting of 23,564 non-mucinous EOC cases and 40,138 controls participating in the Ovarian Cancer Association Consortium (OCAC) and validated the best models in three populations of different ancestries: prospective data from 198,101 women of European ancestries; 7,669 women of East Asian ancestries; 1,072 women of African ancestries, and in 18,915 BRCA1 and 12,337 BRCA2 pathogenic variant carriers of European ancestries. In the external validation data, the model with the strongest association for non-mucinous EOC risk derived from the OCAC model development data was the S4 model (27,240 SNPs) with odds ratios (OR) of 1.38 (95% CI: 1.28-1.48, AUC: 0.588) per unit standard deviation, in women of European ancestries; 1.14 (95% CI: 1.08-1.19, AUC: 0.538) in women of East Asian ancestries; 1.38 (95% CI: 1.21-1.58, AUC: 0.593) in women of African ancestries; hazard ratios of 1.36 (95% CI: 1.29-1.43, AUC: 0.592) in BRCA1 pathogenic variant carriers and 1.49 (95% CI: 1.35-1.64, AUC: 0.624) in BRCA2 pathogenic variant carriers. Incorporation of the S4 PRS in risk prediction models for ovarian cancer may have clinical utility in ovarian cancer prevention programs

Search for Dark Matter and Supersymmetry with a Compressed Mass Spectrum in the Vector Boson Fusion Topology in Proton-Proton Collisions at root s=8 TeV

Peer reviewe

FCC-ee: The Lepton Collider: Future Circular Collider Conceptual Design Report Volume 2

In response to the 2013 Update of the European Strategy for Particle Physics, the Future Circular Collider (FCC) study was launched, as an international collaboration hosted by CERN. This study covers a highest-luminosity high-energy lepton collider (FCC-ee) and an energy-frontier hadron collider (FCC-hh), which could, successively, be installed in the same 100 km tunnel. The scientific capabilities of the integrated FCC programme would serve the worldwide community throughout the 21st century. The FCC study also investigates an LHC energy upgrade, using FCC-hh technology. This document constitutes the second volume of the FCC Conceptual Design Report, devoted to the electron-positron collider FCC-ee. After summarizing the physics discovery opportunities, it presents the accelerator design, performance reach, a staged operation scenario, the underlying technologies, civil engineering, technical infrastructure, and an implementation plan. FCC-ee can be built with today’s technology. Most of the FCC-ee infrastructure could be reused for FCC-hh. Combining concepts from past and present lepton colliders and adding a few novel elements, the FCC-ee design promises outstandingly high luminosity. This will make the FCC-ee a unique precision instrument to study the heaviest known particles (Z, W and H bosons and the top quark), offering great direct and indirect sensitivity to new physics

FCC Physics Opportunities: Future Circular Collider Conceptual Design Report Volume 1

We review the physics opportunities of the Future Circular Collider, covering its e+e-, pp, ep and heavy ion programmes. We describe the measurement capabilities of each FCC component, addressing the study of electroweak, Higgs and strong interactions, the top quark and flavour, as well as phenomena beyond the Standard Model. We highlight the synergy and complementarity of the different colliders, which will contribute to a uniquely coherent and ambitious research programme, providing an unmatchable combination of precision and sensitivity to new physics

HE-LHC: The High-Energy Large Hadron Collider: Future Circular Collider Conceptual Design Report Volume 4

In response to the 2013 Update of the European Strategy for Particle Physics (EPPSU), the Future Circular Collider (FCC) study was launched as a world-wide international collaboration hosted by CERN. The FCC study covered an energy-frontier hadron collider (FCC-hh), a highest-luminosity high-energy lepton collider (FCC-ee), the corresponding 100 km tunnel infrastructure, as well as the physics opportunities of these two colliders, and a high-energy LHC, based on FCC-hh technology. This document constitutes the third volume of the FCC Conceptual Design Report, devoted to the hadron collider FCC-hh. It summarizes the FCC-hh physics discovery opportunities, presents the FCC-hh accelerator design, performance reach, and staged operation plan, discusses the underlying technologies, the civil engineering and technical infrastructure, and also sketches a possible implementation. Combining ingredients from the Large Hadron Collider (LHC), the high-luminosity LHC upgrade and adding novel technologies and approaches, the FCC-hh design aims at significantly extending the energy frontier to 100 TeV. Its unprecedented centre-of-mass collision energy will make the FCC-hh a unique instrument to explore physics beyond the Standard Model, offering great direct sensitivity to new physics and discoveries