Pricing and Hedging American Options: A Recursive Integration Method

In this paper, we present a new method for pricing and hedging American options along with an efficient implementation procedure. The proposed method is efficient and accurate in computing both option values and various option hedge parameters. We demonstrate the computation accuracy and efficiency of this numerical procedure in relation to other competing approaches. We also show how the method can be applied to the case of any American option for which a closed-form solution exists for the corresponding European option

A fast approach to removing muscle artifacts for EEG with signal serialization based Ensemble Empirical Mode Decomposition

An electroencephalogram (EEG) is an electrophysiological signal reflecting the functional state of the brain. As the control signal of the brain-computer interface (BCI), EEG may build a bridge between humans and computers to improve the life quality for patients with movement disorders. The collected EEG signals are extremely susceptible to the contamination of electromyography (EMG) artifacts, affecting their original characteristics. Therefore, EEG denoising is an essential preprocessing step in any BCI system. Previous studies have confirmed that the combination of ensemble empirical mode decomposition (EEMD) and canonical correlation analysis (CCA) can effectively suppress EMG artifacts. However, the time-consuming iterative process of EEMD limits the application of the EEMD-CCA method in real-time monitoring of BCI. Compared with the existing EEMD, the recently proposed signal serialization based EEMD (sEEMD) is a good choice to provide effective signal analysis and fast mode decomposition. In this study, an EMG denoising method based on sEEMD and CCA is discussed. All of the analyses are carried out on semi-simulated data. The results show that, in terms of frequency and amplitude, the intrinsic mode functions (IMFs) decomposed by sEEMD are consistent with the IMFs obtained by EEMD. There is no significant difference in the ability to separate EMG artifacts from EEG signals between the sEEMD-CCA method and the EEMD-CCA method (p > 0.05). Even in the case of heavy contamination (signal-to-noise ratio is less than 2 dB), the relative root mean squared error is about 0.3, and the average correlation coefficient remains above 0.9. The running speed of the sEEMD-CCA method to remove EMG artifacts is significantly improved in comparison with that of EEMD-CCA method (p < 0.05). The running time of the sEEMD-CCA method for three lengths of semi-simulated data is shortened by more than 50%. This indicates that sEEMD-CCA is a promising tool for EMG artifact removal in real-time BCI systems.Fil: Dai, Yangyang. Nankai University; ChinaFil: Duan, Feng. Nankai University; ChinaFil: Feng, Fan. Nankai University; ChinaFil: Sun, Zhe. RIKEN; JapónFil: Zhang, Yu. Lehigh University Bethlehem; Estados UnidosFil: Caiafa, César Federico. Provincia de Buenos Aires. Gobernación. Comisión de Investigaciones Científicas. Instituto Argentino de Radioastronomía. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - La Plata. Instituto Argentino de Radioastronomía; ArgentinaFil: Marti Puig, Pere. Central University of Catalonia; EspañaFil: Solé Casals, Jordi. Central University of Catalonia; Españ

Resolving spectral overlap issue of intermediate band solar cells using non‐uniform sub‐bandgap state filling

Intermediate band solar cell provides novel alternative to multi‐junction solar cell, but its efficiency is significantly degraded when spectral overlap exists between different absorption bands. Here, a scheme using non‐uniform sub‐bandgap state filling together with intermediate band transport is proposed to resolve the spectral overlap issue. On the basis of detailed balance calculation, spectrally decoupled devices using low–high state filling is shown to achieve 52.8% conversion efficiency when 4 eV spectral overlap is present between absorption coefficients of different bands, compared with baseline efficiency equal to 35.1% for conventional half‐filled intermediate band devices. If a base material without intermediate band is added to the two section low–high state filling devices, the efficiency is further increased to 61.5%, which approaches efficiency of 63.2% for intermediate band devices with no spectral overlap and 63.8% for unconstrained triple‐junction tandem cells. The junction thermalization loss associated with proposed new structures is shown to be equal to conventional half‐filled intermediate band devices. Copyright © 2013 John Wiley & Sons, Ltd. Spectral overlap between different absorption bands limits the practical efficiency achievable by intermediate band solar cells. By using non‐uniform state filling, the spectral overlap can be effectively decoupled. This work shows that theoretical efficiency achieved by intermediate band solar cells with non‐uniform state filling is close to ideal non‐overlap efficiency limit.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/108621/1/pip2358.pd

Field effect enhancement in buffered quantum nanowire networks

III-V semiconductor nanowires have shown great potential in various quantum transport experiments. However, realizing a scalable high-quality nanowire-based platform that could lead to quantum information applications has been challenging. Here, we study the potential of selective area growth by molecular beam epitaxy of InAs nanowire networks grown on GaAs-based buffer layers. The buffered geometry allows for substantial elastic strain relaxation and a strong enhancement of field effect mobility. We show that the networks possess strong spin-orbit interaction and long phase coherence lengths with a temperature dependence indicating ballistic transport. With these findings, and the compatibility of the growth method with hybrid epitaxy, we conclude that the material platform fulfills the requirements for a wide range of quantum experiments and applications

Biomarkers and low risk in heart failure. Data from COACH and TRIUMPH

Aim Traditionally, risk stratification in heart failure (HF) emphasizes assessment of high risk. We aimed to determine if biomarkers could identify patients with HF at low risk for death or HF rehospitalization. Methods and results This analysis was a substudy of The Coordinating Study Evaluating Outcomes of Advising and Counselling in Heart Failure (COACH) trial. Enrolment of HF patients occurred before discharge. We defined low risk as the absence of death and/or HF rehospitalizations at 180 days. We tested a diverse group of 29 biomarkers on top of a clinical risk model, with and without N-terminal pro-B-type natriuretic peptide (NT-proBNP), and defined the low risk biomarker cut-off at the 10th percentile associated with high positive predictive value. The best performing biomarkers together with NT-proBNP and cardiac troponin I (cTnI) were re-evaluated in a validation cohort of 285 HF patients. Of 592 eligible COACH patients, the mean (± SD) age was 71 (± 11) years and median (IQR) NT-proBNP was 2521 (1301-5634) pg/mL. Logistic regression analysis showed that only galectin-3, fully adjusted, was significantly associated with the absence of events at 180 days (OR 8.1, 95% confidence interval 1.06-50.0, P = 0.039). Galectin-3, showed incremental value when added to the clinical risk model without NT-proBNP (increase in area under the curve from 0.712 to 0.745, P = 0.04). However, no biomarker showed significant improvement by net reclassification improvement on top of the clinical risk model, with or without NT-proBNP. We confirmed our results regarding galectin-3, NT-proBNP, and cTnI in the independent validation cohort. Conclusion We describe the value of various biomarkers to define low risk, and demonstrate that galectin-3 identifies HF patients at (very) low risk for 30-day and 180-day mortality and HF rehospitalizations after an episode of acute HF. Such patients might be safely discharged

Engineered Biosynthesis of Regioselectively Modified Aromatic Polyketides Using Bimodular Polyketide Synthases

Bacterial aromatic polyketides such as tetracycline and doxorubicin are a medicinally important class of natural products produced as secondary metabolites by actinomyces bacteria. Their backbones are derived from malonyl-CoA units by polyketide synthases (PKSs). The nascent polyketide chain is synthesized by the minimal PKS, a module consisting of four dissociated enzymes. Although the biosynthesis of most aromatic polyketide backbones is initiated through decarboxylation of a malonyl building block (which results in an acetate group), some polyketides, such as the estrogen receptor antagonist R1128, are derived from nonacetate primers. Understanding the mechanism of nonacetate priming can lead to biosynthesis of novel polyketides that have improved pharmacological properties. Recent biochemical analysis has shown that nonacetate priming is the result of stepwise activity of two dissociated PKS modules with orthogonal molecular recognition features. In these PKSs, an initiation module that synthesizes a starter unit is present in addition to the minimal PKS module. Here we describe a general method for the engineered biosynthesis of regioselectively modified aromatic polyketides. When coexpressed with the R1128 initiation module, the actinorhodin minimal PKS produced novel hexaketides with propionyl and isobutyryl primer units. Analogous octaketides could be synthesized by combining the tetracenomycin minimal PKS with the R1128 initiation module. Tailoring enzymes such as ketoreductases and cyclases were able to process the unnatural polyketides efficiently. Based upon these findings, hybrid PKSs were engineered to synthesize new anthraquinone antibiotics with predictable functional group modifications. Our results demonstrate that (i) bimodular aromatic PKSs present a general mechanism for priming aromatic polyketide backbones with nonacetate precursors; (ii) the minimal PKS controls polyketide chain length by counting the number of atoms incorporated into the backbone rather than the number of elongation cycles; and (iii) in contrast, auxiliary PKS enzymes such as ketoreductases, aromatases, and cyclases recognize specific functional groups in the backbone rather than overall chain length. Among the anthracyclines engineered in this study were compounds with (i) more superior activity than R1128 against the breast cancer cell line MCF-7 and (ii) inhibitory activity against glucose-6-phosphate translocase, an attractive target for the treatment of Type II diabetes

Hydrological cycle in the Danube basin in present-day and XXII century simulations by IPCCAR4 global climate models

We present an intercomparison and verification analysis of 20 GCMs (Global Circulation Models) included in the 4th IPCC assessment report regarding their representation of the hydrological cycle on the Danube river basin for 1961–2000 and for the 2161–2200 SRESA1B scenario runs. The basin-scale properties of the hydrological cycle are computed by spatially integrating the precipitation, evaporation, and runoff fields using the Voronoi-Thiessen tessellation formalism. The span of the model- simulated mean annual water balances is of the same order of magnitude of the observed Danube discharge of the Delta; the true value is within the range simulated by the models. Some land components seem to have deficiencies since there are cases of violation of water conservation when annual means are considered. The overall performance and the degree of agreement of the GCMs are comparable to those of the RCMs (Regional Climate Models) analyzed in a previous work, in spite of the much higher resolution and common nesting of the RCMs. The reanalyses are shown to feature several inconsistencies and cannot be used as a verification benchmark for the hydrological cycle in the Danubian region. In the scenario runs, for basically all models the water balance decreases, whereas its interannual variability increases. Changes in the strength of the hydrological cycle are not consistent among models: it is confirmed that capturing the impact of climate change on the hydrological cycle is not an easy task over land areas. Moreover, in several cases we find that qualitatively different behaviors emerge among the models: the ensemble mean does not represent any sort of average model, and often it falls between the models’ clusters

Functionally heterogeneous human satellite cells identified by single cell RNA sequencing.

Although heterogeneity is recognized within the murine satellite cell pool, a comprehensive understanding of distinct subpopulations and their functional relevance in human satellite cells is lacking. We used a combination of single cell RNA sequencing and flow cytometry to identify, distinguish, and physically separate novel subpopulations of human PAX7+ satellite cells (Hu-MuSCs) from normal muscles. We found that, although relatively homogeneous compared to activated satellite cells and committed progenitors, the Hu-MuSC pool contains clusters of transcriptionally distinct cells with consistency across human individuals. New surface marker combinations were enriched in transcriptional subclusters, including a subpopulation of Hu-MuSCs marked by CXCR4/CD29/CD56/CAV1 (CAV1+). In vitro, CAV1+ Hu-MuSCs are morphologically distinct, and characterized by resistance to activation compared to CAV1- Hu-MuSCs. In vivo, CAV1+ Hu-MuSCs demonstrated increased engraftment after transplantation. Our findings provide a comprehensive transcriptional view of normal Hu-MuSCs and describe new heterogeneity, enabling separation of functionally distinct human satellite cell subpopulations

A genome-wide association study provides evidence of sex-specific involvement of Chr1p35.1 (<i>ZSCAN20-TLR12P</i>) and Chr8p23.1 (<i>HMGB1P46</i>) with diabetic neuropathic pain

AbstractNeuropathic pain is defined as pain arising as a direct consequence of a lesion or a disease affecting the somatosensory system and it affects around 1 in 4 diabetic patients in the UK. The purpose of this genome-wide association study (GWAS) was to identify genetic contributors to this disorder. Cases of neuropathic pain were defined as diabetic patients with a multiple prescription history of at least one of five drugs specifically indicated for the treatment of neuropathic pain. Controls were diabetic individuals who were not prescribed any of these drugs, nor amitriptyline, carbamazepine, or nortriptyline. Overall, 961 diabetic neuropathic pain cases and 3260 diabetic controls in the Genetics of Diabetes Audit and Research Tayside (GoDARTS) cohort were identified. We found a cluster in the Chr1p35.1 (ZSCAN20-TLR12P) with a lowest P value of 2.74×10−7 at rs71647933 in females and a cluster in the Chr8p23.1, next to HMGB1P46 with a lowest P value of 8.02×10−7 at rs6986153 in males. Sex-specific narrow sense heritability was higher in males (30.0%) than in females (14.7%). This GWAS on diabetic neuropathic pain provides evidence for the sex-specific involvement of Chr1p35.1 (ZSCAN20-TLR12P) and Chr8p23.1 (HMGB1P46) with the disorder, indicating the need for further research

Loop 2 in Saccharomyces cerevisiae Rad51 protein regulates filament formation and ATPase activity

Previous studies showed that the K342E substitution in the Saccharomyces cerevisiae Rad51 protein increases the interaction with Rad54 protein in the two-hybrid system, leads to increased sensitivity to the alkylating agent MMS and hyper-recombination in an oligonucleotide-mediated gene targeting assay. K342 localizes in loop 2, a region of Rad51 whose function is not well understood. Here, we show that Rad51-K342E displays DNA-independent and DNA-dependent ATPase activities, owing to its ability to form filaments in the absence of a DNA lattice. These filaments exhibit a compressed pitch of 81 Å, whereas filaments of wild-type Rad51 and Rad51-K342E on DNA form extended filaments with a 97 Å pitch. Rad51-K342E shows near normal binding to ssDNA, but displays a defect in dsDNA binding, resulting in less stable protein-dsDNA complexes. The mutant protein is capable of catalyzing the DNA strand exchange reaction and is insensitive to inhibition by the early addition of dsDNA. Wild-type Rad51 protein is inhibited under such conditions, because of its ability to bind dsDNA. No significant changes in the interaction between Rad51-K342E and Rad54 could be identified. These findings suggest that loop 2 contributes to the primary DNA-binding site in Rad51, controlling filament formation and ATPase activity