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

Time as an Illusion

We review the idea, due to Einstein, Eddington, Hoyle and Ballard, that time is a subjective label, whose primary purpose is to order events, perhaps in a higher-dimensional universe. In this approach, all moments in time exist simultaneously, but they are ordered to create the illusion of an unfolding experience by some physical mechanism. This, in the language of relativity, may be connected to a hypersurface in a world that extends beyond spacetime. Death in such a scenario may be merely a phase change

The effect of consignment to broodmare sales on physiological stress measured by faecal glucocorticoid metabolites in pregnant thoroughbred mares

BACKGROUND: Validation of a method for the minimally-invasive measurement of physiological stress will help understanding of risk factors that may contribute to stress-associated events including recrudescence of Equid herpesvirus (EHV), which is anecdotally associated with sales consignment of pregnant Thoroughbred mares. In this study we compared two similar groups of late-gestation Thoroughbred broodmares on the same farm: a consigned Sales group (N = 8) and a non-consigned Control group (N = 6). The Sales mares were separated from their paddock companions and grouped prior to their preparation for, transport to, and return from the sales venue. Both groups were monitored by sampling at regular intervals from 5 days prior to until 14 days after the sales date (D0) to measure physiological stress in terms of changes in faecal glucocorticoid metabolite (FGM) concentrations, and for event-related viral recrudescence via daily body temperature measurements and periodic nasal swabs for PCR analysis for EHV-1 and −4 DNA. RESULTS: In both groups, FGM levels increased post-sales before returning to pre-sales levels. Specifically, FGM concentrations in the Sales mares were significantly higher on D + 3 and D + 10 than on D-4 and D-3 (F = 12.03, P < 0.0001, Post hoc: P = 0.0003 – 0.0008) and in the Control group FGM concentrations were higher on D + 10 than D-4 (F = 5.52, P = 0.004, Post hoc: P = 0.005). Interestingly, mean FGM levels in Control mares were significantly higher at 4 of the 5 sampling points (t = 5.64 – 2.25, p = 0.0001 – 0.044). Only one (Sales) mare showed PCR evidence of EHV-1 shedding. CONCLUSIONS : Using FGM to measure physiological stress was supported by the increases observed in all mares after Sales consignment, including those not consigned to the sale. Monitoring FGM levels therefore represents an appropriate, minimally-invasive method for future studies to assess the contribution of physiological stress to EHV recrudescence in horses transported to sales or equestrian events.The Equine Research Centre of the University of Pretoria funded the study.http://www.biomedcentral.com/bmcvetresam201

An approach for the calculation of one-loop effective actions, vacuum energies, and spectral counting functions

In this paper, we provide an approach for the calculation of one-loop effective actions, vacuum energies, and spectral counting functions and discuss the application of this approach in some physical problems. Concretely, we construct the equations for these three quantities; this allows us to achieve them by directly solving equations. In order to construct the equations, we introduce shifted local one-loop effective actions, shifted local vacuum energies, and local spectral counting functions. We solve the equations of one-loop effective actions, vacuum energies, and spectral counting functions for free massive scalar fields in $\mathbb{R}^{n}$, scalar fields in three-dimensional hyperbolic space $H_{3}$ (the Euclidean Anti-de Sitter space $AdS_{3}$), in $H_{3}/Z$ (the geometry of the Euclidean BTZ black hole), and in $S^{1}$, and the Higgs model in a $(1+1)$-dimensional finite interval. Moreover, in the above cases, we also calculate the spectra from the counting functions. Besides exact solutions, we give a general discussion on approximate solutions and construct the general series expansion for one-loop effective actions, vacuum energies, and spectral counting functions. In doing this, we encounter divergences. In order to remove the divergences, renormalization procedures are used. In this approach, these three physical quantities are regarded as spectral functions in the spectral problem.Comment: 37 pages, no figure. This is an enlarged and improved version of the paper published in JHE

Pharmacological basis and clinical evidence of dabigatran therapy

Dabigatran is an emerging oral anticoagulant which is a direct inhibitor of thrombin activity. It has been approved in the European Union and the United States of America for the prevention of thrombosis after major orthopedic surgery. It has also been approved by the American Food and Drug Administration and the European Medicines Agency for the prevention of stroke in chronic atrial fibrillation. Dabigatran provides a stable anticoagulation effect without any need to perform periodical laboratory controls. Of note, there is a growing amount of clinical evidence which shows its safety and efficacy. For these reasons, dabigatran may suppose a revolution in oral anticoagulation. However, two important limitations remain. First, it is contraindicated in patients with end-stage renal disease. Second, there is no evidence of the prevention of thrombosis in mechanical heart valves

Thermodynamical Control by Frequent Quantum Measurements

Heat flow between a large ``bath'' and a smaller system brings them progressively closer to thermal equilibrium while increasing their entropy. Deviations from this trend are fluctuations involving a small fraction of a statistical ensemble of systems interacting with the bath: in this respect, quantum and classical thermodynamics are in agreement. Can there be drastic differences between them? Here we address a distinctly quantum mechanical setting that displays such differences: disturbances of thermal equilibrium between two-level systems (TLS) and a bath by frequent and brief quantum (non-demolishing) measurements of the TLS energy-states. If the measurements are frequent enough to induce either the Zeno or the anti-Zeno regime, namely, the slowdown or speedup of the TLS relaxation, then the resulting entropy and temperature of both the system and the bath are found to be completely unrelated to what is expected by standard thermodynamical rules that hold for memoryless baths. The practical advantage of these anomalies is the possibility of very fast control of heat and entropy, allowing cooling and state-purification of quantum systems much sooner than their thermal equilibration time.Comment: 10 Pages. Pre-submission version of Nature {\bf 452}, 724 (2008). Includes Supplementary Informatio

Landscape Encodings Enhance Optimization

Hard combinatorial optimization problems deal with the search for the minimum cost solutions (ground states) of discrete systems under strong constraints. A transformation of state variables may enhance computational tractability. It has been argued that these state encodings are to be chosen invertible to retain the original size of the state space. Here we show how redundant non-invertible encodings enhance optimization by enriching the density of low-energy states. In addition, smooth landscapes may be established on encoded state spaces to guide local search dynamics towards the ground state

Trial design: Computer guided normal-low versus normal-high potassium control in critically ill patients: Rationale of the GRIP-COMPASS study

Background: Potassium depletion is common in hospitalized patients and can cause serious complications such as cardiac arrhythmias. In the intensive care unit (ICU) the majority of patients require potassium suppletion. However, there are no data regarding the optimal control target in critically ill patients. After open-heart surgery, patients have a strongly increased risk of atrial fibrillation or atrial flutter (AFF). In a novel trial design, we examined if in these patients different potassium control-targets within the normal range may have different effects on the incidence of AFF. Methods/Design: The "computer-driven Glucose and potassium Regulation program in Intensive care Patients with COMparison of PotASSium targets within normokalemic range (GRIP-COMPASS) trial" is a single-center prospective trial in which a total of 1200 patients are assigned to either a potassium control-target of 4.0 mmol/L or 4.5 mmol/L in consecutive alternating blocks of 50 patients each. Potassium levels are regulated by the computer-assisted potassium suppletion algorithm called GRIP-II (Glucose and potassium regulation for Intensive care Patients). Primary endpoint is the in-hospital incidence of AFF after cardiac surgery. Secondary endpoints are: in-hospital AFF in medical patients or patients after non-cardiac surgery, actually achieved potassium levels and their variation, electrolyte and glucose levels, potassium and insulin requirements, cumulative fluid balance, (ICU) length of stay, ICU mortality, hospital mortality and 90-day mortality. Discussion: The GRIP-COMPASS trial is the first controlled clinical trial to date that compares potassium targets. Other novel methodological elements of the study are that it is performed in ICU patients where both targets are within the normal range and that a computer-assisted potassium suppletion algorithm is used

Aging, telomeres and heart failure

During normal aging, the heart undergoes functional, morphological and cellular changes. Although aging per se does not lead to the expression of heart failure, it is likely that age-associated changes lower the threshold for the manifestation of signs and symptoms of heart failure. In patients, the susceptibility, age of onset and pace of progression of heart failure are highly variable. The presence of conventional risk factors cannot completely explain this variability. Accumulation of DNA damage and telomere attrition results in an increase in cellular senescence and apoptosis, resulting in a decrease in the number and function of cells, contributing to the overall tissue and organ dysfunction. Biological aging, characterized by reduced telomere length, provides an explanation for the highly interindividual variable threshold to express the clinical syndrome of heart failure at some stage during life. In this review, we will elaborate on the current knowledge of aging of the heart, telomere biology and its potential role in the development of heart failure

Descriptive epidemiology of selected birth defects, areas of Lombardy, Italy, 1999

<p>Abstract</p> <p>Background</p> <p>Birth defects are a leading cause of neonatal and infant mortality in Italy, however little is known of the etiology of most defects. Improvements in diagnosis have revealed increasing numbers of clinically insignificant defects, while improvements in treatment have increased the survival of those with more serious and complex defects. For etiological studies, prevention, and management, it is important to have population-based monitoring which provides reliable data on the prevalence at birth of such defects.</p> <p>Methods</p> <p>We recently initiated population-based birth defect monitoring in the Provinces of Mantova, Sondrio and Varese of the Region of Lombardy, northern Italy, and report data for the first year of operation (1999). The registry uses all-electronic source files (hospital discharge files, death certificates, regional health files, and pathology reports) and a proven case-generation methodology, which is described.</p> <p>The data were checked manually by consulting clinical records in hospitals. Completeness was checked against birth certificates by capture-recapture. Data on cases were coded according to the four-digit malformation codes of the International Classification of Diseases, Ninth Revision (ICD-9). We present data only on selected defects.</p> <p>Results</p> <p>We found 246 selected birth defects in 12,008 live births in 1999, 148 among boys and 98 among girls. Congenital heart defects (particularly septal defects) were the most common (90.8/10,000), followed by defects of the genitourinary tract (34.1/10, 000) (particularly hypospadias in boys), digestive system (23.3/10,000) and central nervous system (14.9/10,000), orofacial clefts (10.8/10,000) and Down syndrome (8.3/10,000). Completeness was satisfactory: analysis of birth certificates resulted in the addition of two birth defect cases to the registry.</p> <p>Conclusion</p> <p>This is the first population-based analysis on selected major birth defects in the Region. The high birth prevalences for septal heart defect and hypospadias are probably due to the inclusion of minor defects and lack of coding standardization; the latter problem also seems important for other defects. However the data produced are useful for estimating the demands made on the health system by babies with birth defects.</p