Model risk quantification in option pricing

This thesis investigates a methodology for quantification of model risk in option pricing. A set of different pricing models is specified and each model is assigned a probability weight based on the Akaike Information Criteria. It is then possible to obtain a price distribution of an exotic derivative from these probability weights. Two measures of model risk inspired by the regulatory standards on prudent valuation are proposed based on this methodology. The model risk measures are studied for different equity options which are priced using a set of stochastic volatility models, with and without jumps. The models are calibrated to vanilla call options from the S&P 500 index, as well as to synthetic option prices based on market data simulated using the Bates model. For comparable options, the model risk is higher for up-and-out barrier options compared to vanilla, digital and Asian options. Moreover, the model risk measure, in relative terms of option price, increases quickly with strike level for call options far out of the money, while the model risk in absolute terms is lowest when the option is deep out of the money. The model risk for up-and-out barrier options tends to be higher when the barrier is closer to the spot price, although the increase in risk does not have to be monotonic with decreasing barrier level. The methodology is flexible and easy to implement, yielding intuitive results. However, it is sensitive to different assumptions in the structure of the pricing errors

Fertility preservation in women—a practical guide to preservation techniques and therapeutic strategies in breast cancer, Hodgkin's lymphoma and borderline ovarian tumours by the fertility preservation network FertiPROTEKT

Purpose: Fertility preservation methods are playing an increasing role in women up to the age of 40years because of rising survival rates in those affected by cancer. However, balanced practical recommendations concerning all relevant fertility preservation, to support doctors in counselling and treating patients, are still rare. Methods: These recommendations were prepared by the network FertiPROTEKT ( http://www.fertiprotect.eu ), a collaboration of around 70 centres in Germany, Switzerland and Austria. The recommendations were developed by specialists in reproductive medicine, reproductive biology and oncology, which gave a comprehensive overview of all named techniques as well as their benefits and risks. Furthermore, practice-orientated recommendations for the individual use of fertility preservation methods for various indications such as breast cancer, Hodgkin's lymphoma and borderline ovarian tumours are given. Results: Various options such as ovarian stimulation and cryopreservation of unfertilised or fertilised oocytes, cryopreservation and transplantation of ovarian tissue, GnRH-agonist administration and transposition of the ovaries can be offered. All the techniques can be performed alone or in combination within a maximum of 2weeks with low risk and different success rates. Conclusions: Fertility preservation in women has become an option with realistic chances to become pregnant after cytotoxic therapies. The information provided allows a well balanced and realistic counselling and treatmen

Nur noch kurz die Welt retten... Zur Diskursivierung gesellschaftspolitischer Interdiskurse in Let’s-Play-Video-Communities am Beispiel des Spiels ECO

Ausgehend von dem Befund, dass Let’s-Play-Videos in der Mediensozialisation von Heranwachsenden eine bedeutsame Rolle einnehmen können, geht der Artikel der Frage nach, wie dieser mediale Sozialisationsraum Kindern und Jugendlichen einen Zugang zu gesellschaftspolitischen Themen eröffnen kann. Im Zentrum stehen das 2018 veröffentlichte Simulationsspiel ECO und die dazugehörige Community of Practice. Betrachtet wird ein mit 1,2 Mio. Aufrufen innerhalb der Community stark rezipiertes Let’s-Play-Video des Content Creators Gronkh. Durch die spielbegleitende Interaktion und die ausgiebige Kommentierung der Rezipient*innen ergeben sich hier intermediale Transzendierungseffekte, innerhalb der Community dokumentiert sich auf mehreren Ebenen eine Mediengrenzen überschreitende Partizipationspraxis. Die dargestellte exemplarische Fallstudie fokussiert auf Grundlage eines sequenziell-gesprächsanalytischen Ansatzes u.a. das literarisch-ludische Spannungsverhältnis von Fiktionalisierung und Faktualität, das mit Blick auf das Potenzial zum politischen Denken als einem Denken in Möglichkeiten und unter Bezugnahme auf gesellschafts-politische Diskurse analytisch erschlossen und diskutiert wird.   Abstract (english): Just gotta save the world real quick. About the production of social and political discourses in the Let´ s-Play-video-community by the example of the game ECO Based on the finding that Let’s Play videos can play a significant role in the media socialization of adolescents, the article explores the question of how this medial socialization space can open up access to sociopolitical topics for children and adolescents. A special focus is placed on the simulation game Eco and the associated Community of Practice. The study examines a Let’s Play video by the content creator Gronkh, which has received 1.2 million views within the community. The interaction accompanying the game and the extensive comments of the recipients result in several intermedial transcendence effects; within the community, a practice of participation that transcends media boundaries is documented on several levels. On the basis of a sequential-conversation-analytical approach the exemplary case study presented here focuses on the literary-ludic tension between fictionalization and factuality which is analytically developed and discussed with a view to the potential for political thinking as a thinking in possibilities and with reference to socio-political discourses

Study protocol for a randomised controlled trial of an e-health stepped care approach for the treatment of internet use disorders versus a placebo condition: the SCAPIT study

Introduction Excessive internet use can lead to problems for some individuals. The WHO has introduced Gaming Disorder in the International Classification of Diseases-11 (ICD-11). Previous research has shown that other internet applications can cause serious mental health problems as well. It is important to provide measures of prevention, early intervention and therapy for internet use disorders (IUDs). Methods and analysis The study ‘Stepped Care Approach for Problematic Internet use Treatment’ is a randomised, two-arm, parallel-group, observer-blind trial. The aim of the study is to investigate if a stepped care approach is effective to reduce symptom severity for IUD. The sample is primarily recruited online with a focus on employees in companies with support of health insurances. After screening, the stepped care approach depends on the success of the previous step—that is, the successful reduction of criteria—and comprise: (1) app-intervention with questionnaires and feedback, (2) two telephone counsellings (duration: 50 min) based on motivational interviewing, (3) online therapy over 17 weeks (15 weekly group sessions, eight individual sessions) based on cognitive–behavioural therapy. A follow-up is conducted after 6 months. A total of 860 participants will be randomised. Hierarchical testing procedure is used to test the coprimary endpoints number of Diagnostic and Statistical Manual of Mental Disorders, fifth edition and ICD-11 criteria. Primary analysis will be performed with a sequential logit model. Ethics and dissemination The study has been approved by the Ethics Committees of the Universities of Lübeck (file number: 21-068), Mainz (file number: 2021-15907) and Berlin (file number: 015.2021). Results will be reported in accordance to the CONSORT statement. If the approach is superior to the control condition, it may serve as part of treatment for IUD. Trial registration number DRKS00025994

Individual variation in 3-methylbutanal: A putative link between human leukocyte antigen and skin microflora

The human derma emits volatile compounds whose interaction with a receiver's olfactory sensory system may affect individual recognition and mating preferences. Studies suggest that both genes and environmental factors determine characteristic odor of an individual. Here, we use solid phase micro-extraction and GC-MS to identify 3-methylbutanal (3-MB) in human axillary odor, show that the abundance of this volatile compound varies significantly between individuals and demonstrate in vitro that its formation may be influenced by interaction between human leukocyte antigen peptide and dermal microflora

Neotropical Freshwater Fishes: A dataset of occurrence and abundance of freshwater fishes in the Neotropics

The Neotropical region hosts 4225 freshwater fish species, ranking first among the world's most diverse regions for freshwater fishes. Our NEOTROPICAL FRESHWATER FISHES data set is the first to produce a large-scale Neotropical freshwater fish inventory, covering the entire Neotropical region from Mexico and the Caribbean in the north to the southern limits in Argentina, Paraguay, Chile, and Uruguay. We compiled 185,787 distribution records, with unique georeferenced coordinates, for the 4225 species, represented by occurrence and abundance data. The number of species for the most numerous orders are as follows: Characiformes (1289), Siluriformes (1384), Cichliformes (354), Cyprinodontiformes (245), and Gymnotiformes (135). The most recorded species was the characid Astyanax fasciatus (4696 records). We registered 116,802 distribution records for native species, compared to 1802 distribution records for nonnative species. The main aim of the NEOTROPICAL FRESHWATER FISHES data set was to make these occurrence and abundance data accessible for international researchers to develop ecological and macroecological studies, from local to regional scales, with focal fish species, families, or orders. We anticipate that the NEOTROPICAL FRESHWATER FISHES data set will be valuable for studies on a wide range of ecological processes, such as trophic cascades, fishery pressure, the effects of habitat loss and fragmentation, and the impacts of species invasion and climate change. There are no copyright restrictions on the data, and please cite this data paper when using the data in publications.Fil: Tonella, Lívia Helena. Universidade Estadual de Maringá. Departamento de Engenharia Química. Laboratorio de Pesquisa.; BrasilFil: Ruaro, Renata. Universidade Estadual de Maringá. Departamento de Engenharia Química. Laboratorio de Pesquisa.; BrasilFil: Daga, Vanessa Salete. Universidade Federal do Paraná; BrasilFil: Garcia, Diego Azevedo Zoccal. Universidade Estadual de Londrina; BrasilFil: Barroso Vitorino Júnior, Oscar. Instituto Natureza do Tocantins-Naturatins; BrasilFil: Lobato de Magalhães, Tatiana. Universidad Autonoma de Queretaro.; MéxicoFil: Reis, Roberto Esser. Museu de Ciências e Tecnologia; BrasilFil: Di Dario, Fabio. Universidade Federal do Rio de Janeiro; BrasilFil: Petry, Ana Cristina. Universidade Federal do Rio de Janeiro; BrasilFil: Mincarone, Michael Maia. Universidade Federal do Rio de Janeiro; BrasilFil: Assis Montag, Luciano Fogaça. Universidade Federal do Pará; BrasilFil: Pompeu, Paulo Santos. Universidade Federal de Lavras; BrasilFil: Teixeira, Adonias Aphoena Martins. Universidade Estadual da Paraiba; BrasilFil: Carmassi, Alberto Luciano. Universidade Federal de Sao Paulo; Brasil. Universidade Federal do São Carlos; BrasilFil: Sánchez, Alberto J.. Universidad Juárez Autónoma de Tabasco; MéxicoFil: Giraldo Pérez, Alejandro. Universidade Federal de Minas Gerais; BrasilFil: Bono, Alessandra. Universidad de Vale do Rio dos Sinos; BrasilFil: Datovo, Aléssio. Universidade de Sao Paulo; BrasilFil: Flecker, Alexander S.. Cornell University; Estados UnidosFil: Sanches, Alexandra. Universidade de Sao Paulo; Brasil. Universidade Federal do São Carlos; BrasilFil: Godinho, Alexandre Lima. Universidade Federal de Minas Gerais; BrasilFil: Matthiensen, Alexandre. Embrapa Suínos e Aves; BrasilFil: Peressin, Alexandre. Universidade Federal de Lavras; BrasilFil: Silva Hilsdorf, Alexandre Wagner. Universidade de Mogi das Cruzes; BrasilFil: Barufatti, Alexéia. Universidade Federal da Grande Dourados; BrasilFil: Hirschmann, Alice. Universidade Federal do Pampa; BrasilFil: Jung, Aline. Universidade Do Estado de Mato Grosso (unemat);Fil: Cruz Ramírez, Allan K.. Universidad Juárez Autónoma de Tabasco; MéxicoFil: Braga Silva, Alline. Instituto Federal de Goiás; BrasilFil: Cunico, Almir Manoel. Universidade Federal do Paraná; BrasilFil: Tagliaferro, Marina Beatriz. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Austral de Investigaciones Científicas; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Córdoba. Instituto de Diversidad y Ecología Animal. Universidad Nacional de Córdoba. Facultad de Ciencias Exactas Físicas y Naturales. Instituto de Diversidad y Ecología Animal; Argentin

A Novel Human Cytomegalovirus Locus Modulates Cell Type-Specific Outcomes of Infection

Clinical strains of HCMV encode 20 putative ORFs within a region of the genome termed ULb′ that are postulated to encode functions related to persistence or immune evasion. We have previously identified ULb′-encoded pUL138 as necessary, but not sufficient, for HCMV latency in CD34+ hematopoietic progenitor cells (HPCs) infected in vitro. pUL138 is encoded on polycistronic transcripts that also encode 3 additional proteins, pUL133, pUL135, and pUL136, collectively comprising the UL133-UL138 locus. This work represents the first characterization of these proteins and identifies a role for this locus in infection. Similar to pUL138, pUL133, pUL135, and pUL136 are integral membrane proteins that partially co-localized with pUL138 in the Golgi during productive infection in fibroblasts. As expected of ULb′ sequences, the UL133-UL138 locus was dispensable for replication in cultured fibroblasts. In CD34+ HPCs, this locus suppressed viral replication in HPCs, an activity attributable to both pUL133 and pUL138. Strikingly, the UL133-UL138 locus was required for efficient replication in endothelial cells. The association of this locus with three context-dependent phenotypes suggests an exciting role for the UL133-UL138 locus in modulating the outcome of viral infection in different contexts of infection. Differential profiles of protein expression from the UL133-UL138 locus correlated with the cell-type dependent phenotypes associated with this locus. We extended our in vitro findings to analyze viral replication and dissemination in a NOD-scid IL2Rγcnull-humanized mouse model. The UL133-UL138NULL virus exhibited an increased capacity for replication and/or dissemination following stem cell mobilization relative to the wild-type virus, suggesting an important role in viral persistence and spread in the host. As pUL133, pUL135, pUL136, and pUL138 are conserved in virus strains infecting higher order primates, but not lower order mammals, the functions encoded likely represent host-specific viral adaptations

Fission Yeast Cells Undergo Nuclear Division in the Absence of Spindle Microtubules

Through a previously undescribed mechanism, fission yeast cells can undergo nuclear division and enter the next cell cycle, even in the absence of spindle microtubules