Options on realized variance and convex orders

Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk-neutral densities are said to be increasing in the convex order. For Leacutevy processes, such prices decrease with maturity. A time series analysis of squared log returns on the S&P 500 index also reveals such a decrease. If options are priced to a slightly increasing level of acceptability, then the resulting risk-neutral densities can be increasing in the convex order. Calibrated stochastic volatility models yield possibilities in both directions. Finally, we consider modeling strategies guaranteeing an increase in convex order for the normalized quadratic variation. These strategies model instantaneous variance as a normalized exponential of a Leacutevy process. Simulation studies suggest that other transformations may also deliver an increase in the convex order

The fine structure of asset returns: an empirical investigation

We investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, we allow for jump components displaying finite or infinite activity and variation. Empirical investigations of time series indicate that index dynamics are devoid of a diffusion component, which may be present in the dynamics of individual stocks. This leads to the conjecture, confirmed on options data, that the risk-neutral process should be free of a diffusion component. We conclude that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation

Classifying pairs with trees for supervised biological network inference

Networks are ubiquitous in biology and computational approaches have been largely investigated for their inference. In particular, supervised machine learning methods can be used to complete a partially known network by integrating various measurements. Two main supervised frameworks have been proposed: the local approach, which trains a separate model for each network node, and the global approach, which trains a single model over pairs of nodes. Here, we systematically investigate, theoretically and empirically, the exploitation of tree-based ensemble methods in the context of these two approaches for biological network inference. We first formalize the problem of network inference as classification of pairs, unifying in the process homogeneous and bipartite graphs and discussing two main sampling schemes. We then present the global and the local approaches, extending the later for the prediction of interactions between two unseen network nodes, and discuss their specializations to tree-based ensemble methods, highlighting their interpretability and drawing links with clustering techniques. Extensive computational experiments are carried out with these methods on various biological networks that clearly highlight that these methods are competitive with existing methods.Comment: 22 page

Study of dynamical charge fluctuations in the hadronic medium

The dynamical charge fluctuations have been studied in ultra-relativistic heavy-ion collisions by using hadronic model simulations, such as UrQMD and HIJING. The evolution of fluctuations has been calculated at different time steps during the collision as well as different observation window in pseudorapidity (\DelEta). The final state effects on the fluctuations have been investigated by varying $\bigtriangleup\eta$~ and the time steps with the aim of obtaining an optimum observation window for capturing maximum fluctuations. It is found that $\bigtriangleup\eta$~ between 2.0 and 3.5 gives the best coverage for the fluctuations studies. The results of these model calculations for Au+Au collisions at $\sqrt{s_{\rm NN}}$~=~7.7 to 200~GeV and for Pb+Pb collisions at 2.76 TeV are presented and compared with available experimental data from the Relativistic Heavy Ion Collider (RHIC) and the Large Hadron Collider (LHC).Comment: 6 pages, 4 Figure

Reward context determines risky choice in pigeons and humans

Whereas humans are risk averse for monetary gains, other animals can be risk seeking for food rewards, especially when faced with variable delays or under significant deprivation. A key difference between these findings is that humans are often explicitly told about the risky options, whereas non-human animals must learn about them from their own experience. We tested pigeons (Columba livia) and humans in formally identical choice tasks where all outcomes were learned from experience. Both species were more risk seeking for larger rewards than for smaller ones. The data suggest that the largest and smallest rewards experienced are overweighted in risky choice. This observed bias towards extreme outcomes represents a key step towards a consilience of these two disparate literatures, identifying common features that drive risky choice across phyla

Extradition in the Light of the Indian Constitution.

The present thesis is essentially a study of the law of extradition in the light of the Indian Constitution. It is a study of case law and of relevant statutory provisions on the subject not yet judicially considered. Cases on similar provisions decided by English, American, Australian, Canadian and Civil-law countries' courts have been considered. The early chapters of the thesis set the scene and establish the tone of the subject, which has unique features as a topic of law. Chapter I gives the details of the Constitutional aspects of the subject in general, including the powers of the legislature, judiciary and the executive. Chapter II gives the definition; general survey of the subject; historical background of the different extradition Acts in force in India; pre- and post-Constitution treaties, and the necessity of giving them the force of municipal law; the distinctions between extradition, deportation, expulsion, kidnapping and the right of asylum; special features of the Indian Extradition Act of 1962, and the improvements made in it compared with the earlier Extradition Acts and international practice and procedure. Chapter III deals with the procedure provided under Chapter II of the Extradition Act, 1962, with details of the jurisdiction of the magisterial and superior courts, and the Central Government's powers. Chapter IV deals with political offences and grounds of refusal for extradition. Chapter V deals with various topics on extradition with special reference to the relevant Articles of the Indian Constitution, with detailed Indian and foreign case law. Chapter VI deals with remedies available both to the fugitive offender and the requesting State, before the Superior Courts under the Indian Criminal Procedure Code and the Constitution, and before the Central Government. Chapter VII deals with practice and procedure of rendition within the Commonwealth, giving details of the differences in procedure under Chapters II and III of the Indian Extradition Act, 1962. Practice and procedure in International Law has also been considered. Suggestions have been made to amend further the present Act wherever necessary, and towards the framing of Rules under Section 36 of the Act

Two Modes of Solid State Nucleation - Ferrites, Martensites and Isothermal Transformation Curves

When a crystalline solid such as iron is cooled across a structural transition, its final microstructure depends sensitively on the cooling rate. For instance, an adiabatic cooling across the transition results in an equilibrium `ferrite', while a rapid cooling gives rise to a metastable twinned `martensite'. There exists no theoretical framework to understand the dynamics and conditions under which both these microstructures obtain. Existing theories of martensite dynamics describe this transformation in terms of elastic strain, without any explanation for the occurence of the ferrite. Here we provide evidence for the crucial role played by non-elastic variables, {\it viz.}, dynamically generated interfacial defects. A molecular dynamics (MD) simulation of a model 2-dimensional (2d) solid-state transformation reveals two distinct modes of nucleation depending on the temperature of quench. At high temperatures, defects generated at the nucleation front relax quickly giving rise to an isotropically growing `ferrite'. At low temperatures, the defects relax extremely slowly, forcing a coordinated motion of atoms along specific directions. This results in a twinned critical nucleus which grows rapidly at speeds comparable to that of sound. Based on our MD results, we propose a solid-state nucleation theory involving the elastic strain and non-elastic defects, which successfully describes the transformation to both a ferrite and a martensite. Our work provides useful insights on how to formulate a general dynamics of solid state transformations.Comment: 3 pages, 4 B/W + 2 color figure

Cohesive Energies and other Properties of Ionic Crystals—I. Alkali Halides

The lattice energies and other properties of ionic crystals have been studied on the basis of a Lennard-Jones (12 : 6) potential form and the necessary equations derived. Experimental data for the inter ionic distances and lattice energies for such crystal have been used to give the values of the repulsive force parameter B and the van der Waals Parameter C, which in turn have been utilized to obtain lattice energies, compress abilities and the coefficient of linear expansion. Satisfactory agreement is found between the experimental values and those calculated theoretically

BeWith: A Between-Within Method to Discover Relationships between Cancer Modules via Integrated Analysis of Mutual Exclusivity, Co-occurrence and Functional Interactions

The analysis of the mutational landscape of cancer, including mutual exclusivity and co-occurrence of mutations, has been instrumental in studying the disease. We hypothesized that exploring the interplay between co-occurrence, mutual exclusivity, and functional interactions between genes will further improve our understanding of the disease and help to uncover new relations between cancer driving genes and pathways. To this end, we designed a general framework, BeWith, for identifying modules with different combinations of mutation and interaction patterns. We focused on three different settings of the BeWith schema: (i) BeME-WithFun in which the relations between modules are enriched with mutual exclusivity while genes within each module are functionally related; (ii) BeME-WithCo which combines mutual exclusivity between modules with co-occurrence within modules; and (iii) BeCo-WithMEFun which ensures co-occurrence between modules while the within module relations combine mutual exclusivity and functional interactions. We formulated the BeWith framework using Integer Linear Programming (ILP), enabling us to find optimally scoring sets of modules. Our results demonstrate the utility of BeWith in providing novel information about mutational patterns, driver genes, and pathways. In particular, BeME-WithFun helped identify functionally coherent modules that might be relevant for cancer progression. In addition to finding previously well-known drivers, the identified modules pointed to the importance of the interaction between NCOR and NCOA3 in breast cancer. Additionally, an application of the BeME-WithCo setting revealed that gene groups differ with respect to their vulnerability to different mutagenic processes, and helped us to uncover pairs of genes with potentially synergetic effects, including a potential synergy between mutations in TP53 and metastasis related DCC gene