A general framework for pricing Asian options under stochastic volatility on parallel architectures

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper

Number statistics for β\beta-ensembles of random matrices: applications to trapped fermions at zero temperature

Let $\mathcal{P}_{\beta}^{(V)} (N_{\cal I})$ be the probability that a $N\times N$ $\beta$-ensemble of random matrices with confining potential $V(x)$ has $N_{\cal I}$ eigenvalues inside an interval ${\cal I}=[a,b]$ of the real line. We introduce a general formalism, based on the Coulomb gas technique and the resolvent method, to compute analytically $\mathcal{P}_{\beta}^{(V)} (N_{\cal I})$ for large $N$. We show that this probability scales for large $N$ as $\mathcal{P}_{\beta}^{(V)} (N_{\cal I})\approx \exp\left(-\beta N^2 \psi^{(V)}(N_{\cal I} /N)\right)$, where $\beta$ is the Dyson index of the ensemble. The rate function $\psi^{(V)}(k_{\cal I})$, independent of $\beta$, is computed in terms of single integrals that can be easily evaluated numerically. The general formalism is then applied to the classical $\beta$-Gaussian (${\cal I}=[-L,L]$), $\beta$-Wishart (${\cal I}=[1,L]$) and $\beta$-Cauchy (${\cal I}=[-L,L]$) ensembles. Expanding the rate function around its minimum, we find that generically the number variance ${\rm Var}(N_{\cal I})$ exhibits a non-monotonic behavior as a function of the size of the interval, with a maximum that can be precisely characterized. These analytical results, corroborated by numerical simulations, provide the full counting statistics of many systems where random matrix models apply. In particular, we present results for the full counting statistics of zero temperature one-dimensional spinless fermions in a harmonic trap.Comment: 34 pages, 19 figure

Controlled Assembly of CdSe Nanoplatelet Thin Films and Nanowires

We assemble semiconductor CdSe nanoplatelets (NPs) at the air/liquid interface into 2D monolayers several micrometers wide, distinctly displaying nematic order. We show that this configuration is the most favorable energetically and that the edge-to-edge distance between neighboring NPs can be tuned by ligand exchange without disrupting film topology and nanoparticle orientation. We explore the rich assembly phase space by using depletion interactions to direct the formation of 1D nanowires from stacks of NPs. The improved control and understanding of the assembly of semiconductor NPs offers opportunities for the development of cheaper optoelectronic devices that rely on 1D or 2D charge delocalization throughout the assembled monolayers and nanowires

PSD-95 protects synapses from β-amyloid

Beta-amyloid (Aβ) depresses excitatory synapses by a poorly understood mechanism requiring NMDA receptor (NMDAR) function. Here, we show that increased PSD-95, a major synaptic scaffolding molecule, blocks the effects of Aβ on synapses. The protective effect persists in tissue lacking the AMPA receptor subunit GluA1, which prevents the confounding synaptic potentiation by increased PSD-95. Aβ modifies the conformation of the NMDAR C-terminal domain (CTD) and its interaction with protein phosphatase 1 (PP1), producing synaptic weakening. Higher endogenous levels or overexpression of PSD-95 block Aβ-induced effects on the NMDAR CTD conformation, its interaction with PP1, and synaptic weakening. Our results indicate that increased PSD-95 protects synapses from Aβ toxicity, suggesting that low levels of synaptic PSD-95 may be a molecular sign indicating synapse vulnerability to Aβ. Importantly, pharmacological inhibition of its depalmitoylation increases PSD-95 at synapses and rescues deficits caused by Aβ, possibly opening a therapeutic avenue against Alzheimer’s disease

Tunable Plasmonic Microcapsules with Embedded Noble Metal Nanoparticles for Optical Microsensing

We report a comprehensive investigation of the synthetic conditions leading to the formation of tunable plasmonic microcapsules (MCs) made of a hydrophobic liquid core encapsulated into a hard silica shell embedding plasmonic metallic nanoparticles (NPs). The distinctive and remarkable features of the prepared MCs are the inert nanometer-thin silica shell and the small plasmonic NPs embedded in it, which confer interesting optical absorbance properties. We tie the mechanical robustness of the MCs to the thickness of their silica shell. We show that several oils can be used for the synthesis of MCs and we evidence how the relative solubility of the silica precursor and the polarity of the oil phase influence the final MC characteristics. We also evidence the synthesis of “monoflavor” or “multiflavor” MCs with, respectively, a single type of NPs or a mixture of metallic NPs, respectively, embedded in the silica shell. Using experiments and simulations, we demonstrate that the optical response of the MCs can be finely tuned by choosing the right ratio between Ag and Au NPs initially suspended in the solution. Our heterogeneous hybrid MCs exhibit optical properties directly resulting from the choice of NP composition and shell thickness, making them of great interest not only for mechanical and chemical microsensing but also for applications in photothermal therapy, surface-enhanced Raman spectroscopy studies, microreactor vesicles for interfacial electrocatalysis, antimicrobial activity, and drug delivery. Our simple and versatile emulsion template method holds great promise for the tailored design of a generation of multifunctional MCs consisting of modular nanoscale building blocks

Slow thermo-optomechanical pulsations in suspended 1D photonic crystal nanocavities

We investigate the nonlinear optical response of suspended 1D photonic crystal nanocavities fabricated on a silicon nitride chip. Strong thermo-optical nonlinearities are demonstrated for input powers as low as $2\,\mu\text{W}$ and a self-sustained pulsing regime is shown to emerge with periodicity of several seconds. As the input power and laser wavelength are varied the temporal patterns change in period, duty cycle and shape. This dynamics is attributed to the multiple timescale competition between thermo-optical and thermo-optomechanical effects and closely resembles the relaxation oscillations states found in mathematical models of neuronal activity. We introduce a simplified model that reproduces all the experimental observations and allows us to explain them in terms of the properties of a 1D critical manifold which governs the slow evolution of the system.Comment: 9 pages, 6 figure

Urinary iodine in patients with auto-immune thyroid disorders in Santo andré, SP, is comparable to normal controls and has been steady for the last 10 years

OBJECTIVE: Evaluate whether the increase of iodine in the diet would be the triggering factor for auto-immune thyropathies in the city of Santo André, SP. METHODS: Urinary iodine was determined in samples isolated from 58 patients, divided in 4 Groups, and in 13 normal individuals (controls). RESULTS: Urinary Iodine: Group 1 - hyperthyroidism = 203.5±152.71 µg/ L(mean±sd); Group 2 - hypothyroidism = 258.31±148,2 µg/L; Group 3 - chronic auto-immune thyroiditis = 244.29±191.6 µg/L; group 4 (Amiodarone) = 1157.5±261.8 µg/L; Group 5 - Controls = 262.31±146.2 µg/L. On comparing the means of urinary iodine among the groups, the means for groups 1, 2, 3, and 5 did not present significant differences (p>0.05), and all differed from group 4 (p 0,05) e todos diferiram do grupo 4 (p < 0,05). A iodúria dos grupos 1, 2, 3 e 5, obtida em 2002 e 2003, não diferiram dos valores determinados em 1994 em escolares em Santo André. CONCLUSÃO: Este estudo evidencia que o iodo não deve ser considerado o agente responsável pelas tireopatias autoimunes em Santo André, e outros fatores ambientais devem ser investigados.Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)Universidade de São Paulo Departamento de Clínica Médica Disciplina de EndocrinologiaUniversidade de São Paulo (USP) Faculdade de Medicina Departamento de Saúde da Coletividade da Faculdade de Medicina da Fundação ABCUniversidade Federal de São Paulo (UNIFESP) Departamento d Medicina, Escola Paulista de Medicina Disciplina de EndocrinologiaUNIFESP, Depto. d Medicina, Escola Paulista de Medicina Disciplina de EndocrinologiaSciEL

Ten-Color flow cytometry reveals distinct patterns of expression of CD124 and CD126 by developing thymocytes

<p>Abstract</p> <p>Background</p> <p>We have developed a 12-parameter/10-color flow cytometric staining method for the simultaneous detection and characterization of 21 mouse thymocyte subpopulations that represent discreet stages of T cell development. To demonstrate the utility of this method, we assessed cytokine receptor expression on mouse thymocyte subsets. These experiments revealed distinct patterns of surface expression of receptors for the cytokines IL-4 and IL-6.</p> <p>Results</p> <p>The IL-4 receptor α chain (CD124) was highly expressed on the earliest thymocyte subsets, then downregulated prior to T cell receptor β-selection and finally upregulated in the CD4/CD8 double positive cells prior to positive selection. The IL-6 receptor α chain (CD126) showed a different pattern of expression. It was expressed on the most mature subsets within the CD4 and CD8 single positive (SP) compartments and was absent on all other thymocytes with the exception of a very small cKit^-CD4^-CD8^-population. Intracellular staining of SP thymocytes for phosphorylated STAT-1 demonstrated that IL-6 signaling was confined to the most mature SP subsets.</p> <p>Conclusions</p> <p>This 12-parameter staining methodology uses only commercially available fluorochrome-coupled monoclonal antibodies and therefore could be employed by any investigator with access to a 4-laser flow cytometer. This novel staining scheme allowed us to easily phenotype thymocyte subpopulations that span across development, from the early thymic progenitors (ETPs) to the most mature subsets of the CD4 and CD8 single positive populations.</p