The evaluation of american option prices under stochastic volatility and jump-diffusion dynamics using the method of lines

This paper considers the problem of numerically evaluating American option prices when the dynamics of the underlying are driven by both stochastic volatility following the square root process of Heston [18], and by a Poisson jump process of the type originally introduced by Merton [25]. We develop a method of lines algorithm to evaluate the price as well as the delta and gamma of the option, thereby extending the method developed by Meyer [26] for the case of jump-diffusion dynamics. The accuracy of the method is tested against two numerical methods that directly solve the integro-partial differential pricing equation. The first is an extension to the jump-diffusion situation of the componentwise splitting method of Ikonen and Toivanen [21]. The second method is a Crank-Nicolson scheme that is solved using projected successive over relaxation and which is taken as the benchmark for the price. The relative efficiency of these methods for computing the American call option price, delta, gamma and free boundary is analysed. If one seeks an algorithm that gives not only the price but also the delta and gamma to the same level of accuracy for a given computational effort then the method of lines seems to perform best amongst the methods considered. © 2009 World Scientific Publishing Company

Calibration with confidence:A principled method for panel assessment

Frequently, a set of objects has to be evaluated by a panel of assessors, but not every object is assessed by every assessor. A problem facing such panels is how to take into account different standards amongst panel members and varying levels of confidence in their scores. Here, a mathematically-based algorithm is developed to calibrate the scores of such assessors, addressing both of these issues. The algorithm is based on the connectivity of the graph of assessors and objects evaluated, incorporating declared confidences as weights on its edges. If the graph is sufficiently well connected, relative standards can be inferred by comparing how assessors rate objects they assess in common, weighted by the levels of confidence of each assessment. By removing these biases, "true" values are inferred for all the objects. Reliability estimates for the resulting values are obtained. The algorithm is tested in two case studies, one by computer simulation and another based on realistic evaluation data. The process is compared to the simple averaging procedure in widespread use, and to Fisher's additive incomplete block analysis. It is anticipated that the algorithm will prove useful in a wide variety of situations such as evaluation of the quality of research submitted to national assessment exercises; appraisal of grant proposals submitted to funding panels; ranking of job applicants; and judgement of performances on degree courses wherein candidates can choose from lists of options.Comment: 32 pages including supplementary information; 5 figure

La metrologia negli edifici pubblici e privati della Sicilia romana: persistenze e innovazioni nei centri di Agrigentum, Lilybaeum e Tyndaris

La presente tesi studia la metrologia relativa ad alcuni edifici chiave, sia pubblici, sia privati, dei centri romani di Agrigentum, Lilybaeum e Tyndaris, cercando di cogliere persistenze o sviluppi nell'uso dei sistemi metrici adoperati. Unendo a questo tipo di ricerca un'analisi storica, politica e architettonica dei tre centri, si cerca di cogliere chi fossero i committenti e quali le maestranze per cui fu utilizzato un dato sistema di misurazione

A Decidable Multi-agent Logic for Reasoning About Actions, Instruments, and Norms

We formally introduce a novel, yet ubiquitous, category of norms: norms of instrumentality. Norms of this category describe which actions are obligatory, or prohibited, as instruments for certain purposes. We propose the Logic of Agency and Norms (LAN) that enables reasoning about actions, instrumentality, and normative principles in a multi-agent setting. Leveraging LAN , we formalize norms of instrumentality and compare them to two prevalent norm categories: norms to be and norms to do. Last, we pose principles relating the three categories and evaluate their validity vis-à-vis notions of deliberative acting. On a technical note, the logic will be shown decidable via the finite model property

Discovery of new methylation markers to improve screening for cervical intraepithelial neoplasia grade 2/3

Background: Assessment of DNA promoter methylation markers in cervical scrapings for the detection of cervical intraepithelial neoplasia (CIN) and cervical cancer is feasible, but finding methylation markers with both high sensitivity as well as high specificity remains a challenge. In this study, we aimed to identify new methylation markers for the detection of high-grade CIN (CIN2/3 or worse, CIN2+) by using innovative genome-wide methylation analysis (MethylCap-seq). We focused on diagnostic performance of methylation markers with high sensitivity and high specificity considering any methylation level as positive. Results: MethylCap-seq of normal cervices and CIN2/3 revealed 176 differentially methylated regions (DMRs) comprising 164 genes. After verification and validation of the 15 best discriminating genes with methylation-specific PCR (MSP), 9 genes showed significant differential methylation in an independent cohort of normal cervices versus CIN2/3 lesions (p < 0.05). For further diagnostic evaluation, these 9 markers were tested with quantitative MSP (QMSP) in cervical scrapings from 2 cohorts: (1) cervical carcinoma versus healthy controls and (2) patients referred from population-based screening with an abnormal Pap smear in whom also HPV status was determined. Methylation levels of 8/9 genes were significantly higher in carcinoma compared to normal scrapings. For all 8 genes, methylation levels increased with the severity of the underlying histological lesion in scrapings from patients referred with an abnormal Pap smear. In addition, the diagnostic performance was investigated, using these 8 new genes and 4 genes (previously identified by our group: C13ORF18, JAM3, EPB41L3, and TERT). In a triage setting (after a positive Pap smear), sensitivity for CIN2+ of the best combination of genes (C13ORF18/JAM3/ANKRD18CP) (74 %) was comparable to hrHPV testing (79 %), while specificity was significantly higher (76 % versus 42 %, p <= 0.05). In addition, in hrHPV-positive scrapings, sensitivity and specificity for CIN2+ of this best-performing combination was comparable to the population referred with abnormal Pap smear. Conclusions: We identified new CIN2/3-specific methylation markers using genome-wide DNA methylation analysis. The diagnostic performance of our new methylation panel shows higher specificity, which should result in prevention of unnecessary colposcopies for women referred with abnormal cytology. In addition, these newly found markers might be applied as a triage test in hrHPV-positive women from population-based screening. The next step before implementation in primary screening programs will be validation in population-based cohorts

Inverse spin-s portrait and representation of qudit states by single probability vectors

Using the tomographic probability representation of qudit states and the inverse spin-portrait method, we suggest a bijective map of the qudit density operator onto a single probability distribution. Within the framework of the approach proposed, any quantum spin-j state is associated with the (2j+1)(4j+1)-dimensional probability vector whose components are labeled by spin projections and points on the sphere. Such a vector has a clear physical meaning and can be relatively easily measured. Quantum states form a convex subset of the 2j(4j+3) simplex, with the boundary being illustrated for qubits (j=1/2) and qutrits (j=1). A relation to the (2j+1)^2- and (2j+1)(2j+2)-dimensional probability vectors is established in terms of spin-s portraits. We also address an auxiliary problem of the optimum reconstruction of qudit states, where the optimality implies a minimum relative error of the density matrix due to the errors in measured probabilities.Comment: 23 pages, 4 figures, PDF LaTeX, submitted to the Journal of Russian Laser Researc

Long-Dose Intensive Therapy Is Necessary for Strong, Clinically Significant, Upper Limb Functional Gains and Retained Gains in Severe/Moderate Chronic Stroke

Background. Effective treatment methods are needed for moderate/severely impairment chronic stroke. Objective. The questions were the following: (1) Is there need for long-dose therapy or is there a mid-treatment plateau? (2) Are the observed gains from the prior-studied protocol retained after treatment? Methods. Single-blind, stratified/randomized design, with 3 applied technology treatment groups, combined with motor learning, for long-duration treatment (300 hours of treatment). Measures were Arm Motor Ability Test time and coordination-function (AMAT-T, AMAT-F, respectively), acquired pre-/posttreatment and 3-month follow-up (3moF/U); Fugl-Meyer (FM), acquired similarly with addition of mid-treatment. Findings. There was no group difference in treatment response (P ≥ .16), therefore data were combined for remaining analyses (n = 31; except for FM pre/mid/post, n = 36). Pre-to-Mid-treatment and Mid-to-Posttreatment gains of FM were statistically and clinically significant (P \u3c .0001; 4.7 points and P \u3c .001; 5.1 points, respectively), indicating no plateau at 150 hours and benefit of second half of treatment. From baseline to 3moF/U: (1) FM gains were twice the clinically significant benchmark, (2) AMAT-F gains were greater than clinically significant benchmark, and (3) there was statistically significant improvement in FM (P \u3c .0001); AMAT-F (P \u3c .0001); AMAT-T (P \u3c .0001). These gains indicate retained clinically and statistically significant gains at 3moFU. From posttreatment to 3moF/U, gains on FM were maintained. There were statistically significant gains in AMAT-F (P = .0379) and AMAT-T P = .003