Multivariate Option Pricing with Copulas.

In this paper we suggest the adoption of copula functions in order to price multivariate contingent claims. Copulas enable us to imbed the marginal distributions extracted from vertical spreads in the options markets in a multivariate pricing kernel. We prove that such kernel is a copula function, and that its super -replication strategy is represented by the Fréchet bounds. As applications, we provide prices for binary digital options, options on the minimum and options to exchange one asset for another. For each of these products, we provide no-arbitrage pricing bounds, as well as the values consistent with independence of the underlying assets. As a final reference value, we use a copula function calibrated on historical data.option pricing; basket options; copula functions; non-normal returns

The use of x-ray CT and MRI in the study of sacroiliac joints in patients with Behcet disease and acute anterior uveitis

Objective: It's controversial if Behcet Disease (BD) must be included in the group of seronegative spondyloarthropathy (SpA). Our aim was to establish the prevalence of sacroiliitis (SI) in patients with BD using X-Ray, CT and MRI, in comparison with patients with Acute Anterior Uveitis (AAU), that is known to belong to the subgroups of SpA. Methods: We considered, in the period from 04/2006 to 04/2009, 21 consecutive patients with BD, positive for HLA B51 and 28 consecutive patients with AAU, positive for HLA B27. These patients were previously selected by our Rheumatological Ward. Altogether we evaluated 98 sacroiliac joints (SIJ); each side of any patient was graded separately. Results: X-ray of the pelvis showed advanced SI (grade 4) in 14% of the cases in patients with AAU; in BD group only 7% CT showed advanced SI in 14% within AAU patients versus 6-12% of advanced SI (right to left) within BD patients. MR showed 14% of advanced SI (bilateral) within AAU versus 6-11% of advanced SI (right to left) in BD patients. Conclusions: This study supports the trend to not consider BD within the SpA, being the prevalence of SI in BD patients not very different from general population and anyway lower than that observed in patients with AAU. On the other side the prevalence of SI in AAU patients is higher than in BD patients and very similar to the one observed in patients with seronegative arthritis, and anyway high enough to consider joint involvement as an important feature of the disease

Banks’ governance and risk management frameworks: how to integrate ESG and climate risks

The transition towards a sustainable economy is currently one of the most pressing issues for managers, stakeholders and policy makers. For the banking sector, several regulatory initiatives have been promoted by European Supervisors and Regulators, which have recognized the pivotal role of financial sector in enhancing sustainable economic development and the risks to which financial intermediaries are exposed during this transition. The main purpose of this article is to outline the key elements that are crucial for a proper integration of sustainability and ESG considerations into banks’ strategic choices, business processes and risk management framework. In particular, an analysis of the main practices, regulatory requirements and outstanding issues will be performed in order to provide an overview of the main challenges that banks need to address in order to successfully incorporate ESG risks into their business processes and risk management frameworks. In addition, given the ongoing heterogeneity in the application of such regulatory expectations, the article provides an update on the state-of-the-art by reviewing the main international research and studies on this topic and by presenting the findings of some surveys carried out by the ECB and Aifirm (Associazione italiana financial risk managers) on a sample of European and Italian banks respectively

Constitutive and AP20187-induced Ret activation in photoreceptors does not protect from light-induced damage.

Purpose Delivery of glial cell-derived neurotrophic factor (GDNF), either as a recombinant protein or by retinal gene transfer results in photoreceptor (PR) neuroprotection in genetic models of retinitis pigmentosa (RP). The mechanism of GDNF action and its direct targets in the retina remain unknown. The goal of the present study was to test the neuroprotective effect of GDNF from light-induced damage, a commonly used stimulus of PR degeneration, and to determine whether protection occurs directly on PRs. Methods Adeno-associated viral vectors (AAV) were developed that expressed either GDNF or a constitutively (RetMen2A) or pharmacologically activated chimeric GDNF receptor (Fv2Ret). Fv2Ret homodimerization and activation are induced by the administration of the small dimerizer drug AP20187. AAV2/2 vectors and the cytomegalovirus (CMV) promoter were used to transduce GDNF in the retina, whereas RetMen2A and Fv2Ret were transduced by AAV2/5 vectors and their expression restricted to PRs by the rhodopsin promoter. In vivo GDNF levels were measured by ELISA, RetMen2A and Fv2Ret expression and activation in vitro and/or in vivo were assessed by Western blot and immunofluorescence analyses. ERG measurements and histologic analyses were performed to assess morphologic and functional rescue, respectively. Results GDNF gene transfer resulted in sustained protein expression in the eye. In addition, the results confirmed in vivo that PR-restricted activation of Ret signaling occurred after either AAV-mediated expression of RetMen2A or AP20187-dependent Fv2Ret activation. However, this or AAV-mediated GDNF retinal gene transfer did not result in functional or morphologic PR protection from light-induced damage. Conclusions The results suggest that the apoptotic pathways responsible for light-induced PR degeneration are not inhibited by GDNF. However, GDNF signaling was shown to be regulated in time and levels in the retina by the AP20187/Fv2Ret system which is therefore available to be tested as gene-based therapeutic strategy in models of PR degeneration responsive to GDNF

Pancreas divisum. Correlation between anatomical abnormalities and bile precipitation in the gallbladder in seven patients

Pancreas divisum is a genetic defect associated with recurrent acute pancreatitis due to insufficient drainage of the accessory pancreatic duct. Seven young patients diagnosed with pancreatic divisum and thickening of the gallbladder bile as shown on magnetic resonance cholangio-pancreatography without pancreatic ductal changes underwent laparoscopic cholecystectomy. During the mean follow-up of 32 months no episode of pancreatitis was reported. There is an association between PD and higher concentration of bile in the gallbladder. Cholecystectomy can be considered curative in patients with PD in the absence of indications for major surgery

Temporal occurrence of Cryptosporidium in the Manila clam Ruditapes philippinarum in northern Adriatic Italian lagoons.

In order to evaluate the temporal occurrence of Cryptosporidium oocysts in Ruditapes philippinarum clams bred along the northeastern Italian Adriatic coast and molecularly characterize the isolates, 2,160 specimens (180 clams per month) were collected from three clam farms from January to December 2004. Two farms (sites A and B) were located in Venice (Chioggia, Veneto region) and one (site C) in the Marano Lagoons (Friuli Venezia Giulia region). Clams from 36 pools (i.e., one pool of 60 clams per month per site) were subjected to a high-sensitivity seminested PCR assay specific for a 360-bp diagnostic region internal to the Cryptosporidium spp. outer wall protein gene. Positive amplicons were sequenced and analyzed. Cryptosporidium DNA was found in clams from seven pools (sites A and B) during 1 month of sampling at site A and 6 months of sampling at site B, with Cryptosporidium hominis and Cryptosporidium parvum being detected. The expected infection rate of the clams was 0.36%. Site B showed a significantly higher expected infection rate (1.15%) than did the other sites (A = 0.14% and C = 0%). Given its high sensitivity and specificity, this seminested PCR assay can be considered a reliable tool for detecting and distinguishing species within the Cryptosporidium genus. The seasonal pattern of contamination and the related public health risks are of particular concern

STUDIO PILOTA SULL’ANALISI DEL MICROBIOTA E DEL MICROBIOMA ORALE PRIMA E DOPO L’ESTRAZIONE DEGLI OTTAVI INFERIORI CON L’UTILIZZO DEL PROBIOTICO CURASEPT PREVENT

Obiettivo: L’obiettivo di questo studio è quello di valutare, con uno studio pilota clinico osservazionale, le differenze qualitative e quantitative del microbiota orale di pazienti sottoposti all’estrazione degli ottavi inferiori inclusi o seminclusi, in tre momenti diversi: T0 prima dell’estrazione, T1 alla rimozione delle suture dopo 5 giorni di terapia antibiotica e 10 giorni di terapia antisettica, T2 dopo 1 mese di terapia con probiotici. Materiali e Metodi: Sono stati arruolati 10 pazienti candidati all’estrazione del dente del giudizio inferiore. I soggetti sono stati sottoposti dopo l’intervento a terapia antibiotica, antisettica e probiotica a base di Bifidobacterium lactis HN019 e Kluyveromyces marxianus fragilis B0399. Attraverso il prelievo di tamponi orali prima dell’intervento, al termine della terapia antibiotica e antisettica e al termine della terapia probiotica, è stata effettuata un’analisi del microbioma orale tramite 16S NGS. Risultati: sono state rilevate differenze significative nel microbiota orale tra i dati ottenuti al termine della terapia antibiotica e antisettica e quelli prima dell’intervento (p=0,002) e dopo la terapia probiotica (p=0,019). Conclusioni: l’utilizzo della terapia antibiotica, antisettica e probiotica ha modificato significativamente il microbiota orale. Questo è uno studio pilota eseguito su dieci pazienti, saranno quindi necessari ulteriori studi per chiarire le dinamiche alla base dei risultati ottenuti

Matriz de transição para predição da distribuição diamétrica em Floresta Ombrófila Mista na flona de Irati (PR)A transition matrix for diameter distribution prognosis in a Mixed Ombrophyla Forest in Irati National Forest

Este trabalho teve como objetivo principal a construção e validação de um modelo de simulação baseado na matriz de transição (cadeia de Markov) para predizer a dinâmica da distribuição diamétrica em um remanescente de Floresta Ombrófila Mista. Os dados foram obtidos em um experimento permanente de 25 hectares, com 25 blocos de um hectare cada instalado em 2001, por pesquisadores da UNICENTRO, na Floresta Nacional de Irati – FLONA, localizada no município de Fernandes Pinheiro, região Centro-Sul do estado do Paraná. No primeiro inventário (medição 2001-2002) todas as árvores dos 25 hectares, com DAP (diâmetro à altura do peito) superior a dez centímetros, foram numeradas para permitir futuras remedições, cujo DAP foi medido, constituindo assim um banco de dados inicial para o trabalho. Já, no segundo inventário (remedição 2004-2005) além das árvores numeradas, que foram novamente medidas, para verificar se houve mudança na frequência (transição) de indivíduos que resulta da mudança de árvores de uma classe de diâmetro para outra, foram observadas também, a mortalidade e o recrutamento (ingresso) de novos indivíduos que atingiram dez centímetros de DAP. Com a construção da Matriz inicial (G) de probabilidade de transição, por classe diamétrica, para o período 2001-2002/2004-2005, pôde-se determinar a Matriz Yt+Δt = G . Yit + Iit, obtendo-se a projeção para o período 2007-2008, onde se evidenciou um ingresso significativo na primeira classe de diâmetro (dez a vinte centímetros), ou seja, 380 novas árvores, bem como uma grande probabilidade (88%) de as mesmas permanecerem na mesma classe, após três anos. AbstractThis work aimed the construction and validation of a simulation model based on the transition matrix (Markov`s chain) to predict the dynamics of the diameter distribution in a remnant of Mixed Ombrophylous Forest. The data were obtained in an ongoing trial of 25 hectares, with 25 blocks of 01 ha each installed in 2001 by researchers from UNICENTRO in the National Forest of Irati - FLONA, located in Fernandes Pinheiro region, on the Mid-Southern region of the State of Paraná. In the first inventory (measured 2001-2002) all trees of 25 hectares, with DBH (diameter at breast height) higher than 10 cm were numbered to allow future measurements, and whose DBH was measured, thus providing an initial database for working. During the second inventory (measurement 2004-2005), besides the previous numbered trees, which were measured again to verify if there were changes in frequency (transition) of individuals, which results from a change in trees diameter class to another, it was also observed the mortality and recruitment (admission) of new individuals reaching 10 cm in DBH. With the construction of the original Matrix (G) for probability of transition, by diameter class for the period 2001-2002/2004-2005, it was possible to establish the Matrix Yt+Δt = G . Yit + Ii, obtained from the projection for the period 2007-2008, which showed a significant entry in the first class of diameter (10 to 20 cm), ie, 380 new trees with a high probability of remaining (88 %) in the same class, after three years

Preferential silencing of a common dominant rhodopsin mutation does not inhibit retinal degeneration in a transgenic model

Autosomal dominant retinitis pigmentosa caused by the frequent rhodopsin P23H mutation is characterized by progressive photoreceptor cell death eventually leading to blindness and for which no therapies are available. Considering the gain-of-function effect exerted by the P23H mutation, strategies aimed at silencing the expression of the mutated allele, like RNA interference, are desirable. We have designed small interfering RNAs (siRNA) to silence specifically the P23H rhodopsin allele expressed by a transgenic rat model of the disease. We have selected in vitro one siRNA and generated an adeno-associated viral (AAV) vector expressing the short hairpin RNA (shRNA) based on the selected siRNA. In vitro the shRNA significantly inhibits the expression of the P23H but not the wild-type rhodopsin allele. Subretinal administration of the AAV2/5 vector encoding the shRNA in P23H transgenic rats results in inhibition of rhodopsin P23H expression that is not able to prevent or block photoreceptor degeneration. Since rhodopsin is the most abundant rod photoreceptor protein, systems resulting in more robust shRNA expression in the retina may be required to achieve therapeutic efficacy in vivo