A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in discrete time. Our approach is to recursively compute the so-called continuation values. They are defined as regression functions of the cash flow, which would occur over a series of subsequent time periods, if the approximated optimal exercise strategy is applied. We use nonparametric least squares regression estimates to approximate the continuation values from a set of sample paths which we simulate from the underlying stochastic process. The parameters of the regression estimates and the regression problems are chosen in a data-dependent manner. We present results concerning the consistency and rate of convergence of the new algorithm. Finally, we illustrate its performance by pricing high-dimensional Bermudan basket options with strangle-spread payoff based on the average of the underlying assets.Comment: Published in at http://dx.doi.org/10.1214/105051607000000249 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Conception of an Eddy Current In-process Quality Control for the Production of Carbon Fibre Reinforced Components in the RTM Process Chain

The integration of quality control processes in immature production systems such as the resin transfer moulding (RTM) process in the production of carbon fibre reinforced plastics (CFRP) faces numerous challenges. Requirements towards the reliability and product design as well as the consideration of economic restrictions lead to challenging requirements for measurement systems. This paper presents the development of a process integrated quality control using eddy current inspection. The concept focuses on an eddy current sensor array that is integrated in a preforming tool and thus enables a 100% quality control of CRFP parts with minor effects on the production environment

Funktionaler Analphabetismus im Erwachsenenalter: eine Definition

Der Beitrag stellt eine aktuelle Definition des funktionalen Analphabetismus vor. Ziel ist das Aufstellen einer definitorischen Grundlage, die für Wissenschaft und Praxis nutzbar ist. Diese Definition kann als Kernaussage verstanden werden. Sie ist aber auch anschlussfähig für Erweiterungen, um spezifische Fragestellungen berücksichtigen zu können. Dazu wird auf der Grundlage allgemein akzeptierter früherer Arbeitsdefinitionen eine neue Definition des funktionalen Analphabetismus aufgestellt, elaboriert und diskutiert. Besonderes Augenmerk wird dabei auf die Operationalisierbarkeit gelegt. Der Kern der Definition lautet: Funktionaler Analphabetismus ist gegeben, wenn die schriftsprachlichen Kompetenzen von Erwachsenen niedriger sind als diejenigen, die minimal erforderlich sind und als selbstverständlich vorausgesetzt werden, um den jeweiligen gesellschaftlichen Anforderungen gerecht zu werden. Diese schriftsprachlichen Kompetenzen werden als notwendig erachtet, um gesellschaftliche Teilhabe und die Realisierung individueller Verwirklichungschancen zu eröffnen

A Simulation Approach to Optimal Stopping Under Partial Information

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional diffusion with correlated noise. Such models where the controller is not fully aware of her environment are of interest in applied probability and financial mathematics. We propose a new approximate numerical algorithm based on the particle filtering and regression Monte Carlo methods. The algorithm maintains a continuous state-space and yields an integrated approach to the filtering and control sub-problems. Our approach is entirely simulation-based and therefore allows for a robust implementation with respect to model specification. We carry out the error analysis of our scheme and illustrate with several computational examples. An extension to discretely observed stochastic volatility models is also considered

Association of Interprofessional Discharge Planning Using an Electronic Health Record Tool With Hospital Length of Stay Among Patients with Multimorbidity: A Nonrandomized Controlled Trial

Whether interprofessional collaboration is effective and safe in decreasing hospital length of stay remains controversial.; To evaluate the outcomes and safety associated with an electronic interprofessional-led discharge planning tool vs standard discharge planning to safely reduce length of stay among medical inpatients with multimorbidity.; This multicenter prospective nonrandomized controlled trial used interrupted time series analysis to examine medical acute hospitalizations at 82 hospitals in Switzerland. It was conducted from February 2017 through January 2019. Data analysis was conducted from March 2021 to July 2022.; After a 12-month preintervention phase (February 2017 through January 2018), an electronic interprofessional-led discharge planning tool was implemented in February 2018 in 7 intervention hospitals in addition to standard discharge planning.; Mixed-effects segmented regression analyses were used to compare monthly changes in trends of length of stay, hospital readmission, in-hospital mortality, and facility discharge after the implementation of the tool with changes in trends among control hospitals.; There were 54 695 hospitalizations at intervention hospitals, with 27 219 in the preintervention period (median [IQR] age, 72 [59-82] years; 14 400 [52.9%] men) and 27 476 in the intervention phase (median [IQR] age, 72 [59-82] years; 14 448 [52.6%] men) and 438 791 at control hospitals, with 216 261 in the preintervention period (median [IQR] age, 74 [60-83] years; 109 770 [50.8%] men) and 222 530 in the intervention phase (median [IQR] age, 74 [60-83] years; 113 053 [50.8%] men). The mean (SD) length of stay in the preintervention phase was 7.6 (7.1) days for intervention hospitals and 7.5 (7.4) days for control hospitals. During the preintervention phase, population-averaged length of stay decreased by -0.344 hr/mo (95% CI, -0.599 to -0.090 hr/mo) in control hospitals; however, no change in trend was observed among intervention hospitals (-0.034 hr/mo; 95% CI, -0.646 to 0.714 hr/mo; difference in slopes, P = .09). Over the intervention phase (February 2018 through January 2019), length of stay remained unchanged in control hospitals (slope, -0.011 hr/mo; 95% CI, -0.281 to 0.260 hr/mo; change in slope, P = .03), but decreased steadily among intervention hospitals by -0.879 hr/mo (95% CI, -1.607 to -0.150 hr/mo; change in slope, P = .04, difference in slopes, P = .03). Safety analyses showed no change in trends of hospital readmission, in-hospital mortality, or facility discharge over the whole study time.; In this nonrandomized controlled trial, the implementation of an electronic interprofessional-led discharge planning tool was associated with a decline in length of stay without an increase in hospital readmission, in-hospital mortality, or facility discharge.; isrctn.org Identifier: ISRCTN83274049

The Structure of a Rigorously Conserved RNA Element within the SARS Virus Genome

We have solved the three-dimensional crystal structure of the stem-loop II motif (s2m) RNA element of the SARS virus genome to 2.7-Å resolution. SARS and related coronaviruses and astroviruses all possess a motif at the 3′ end of their RNA genomes, called the s2m, whose pathogenic importance is inferred from its rigorous sequence conservation in an otherwise rapidly mutable RNA genome. We find that this extreme conservation is clearly explained by the requirement to form a highly structured RNA whose unique tertiary structure includes a sharp 90° kink of the helix axis and several novel longer-range tertiary interactions. The tertiary base interactions create a tunnel that runs perpendicular to the main helical axis whose interior is negatively charged and binds two magnesium ions. These unusual features likely form interaction surfaces with conserved host cell components or other reactive sites required for virus function. Based on its conservation in viral pathogen genomes and its absence in the human genome, we suggest that these unusual structural features in the s2m RNA element are attractive targets for the design of anti-viral therapeutic agents. Structural genomics has sought to deduce protein function based on three-dimensional homology. Here we have extended this approach to RNA by proposing potential functions for a rigorously conserved set of RNA tertiary structural interactions that occur within the SARS RNA genome itself. Based on tertiary structural comparisons, we propose the s2m RNA binds one or more proteins possessing an oligomer-binding-like fold, and we suggest a possible mechanism for SARS viral RNA hijacking of host protein synthesis, both based upon observed s2m RNA macromolecular mimicry of a relevant ribosomal RNA fold

HEXIM1 is a promiscuous double-stranded RNA-binding protein and interacts with RNAs in addition to 7SK in cultured cells

P-TEFb regulates eukaryotic gene expression at the level of transcription elongation, and is itself controlled by the reversible association of 7SK RNA and an RNA-binding protein HEXIM1 or HEXIM2. In an effort to determine the minimal region of 7SK needed to interact with HEXIM1 in vitro, we found that an oligo comprised of nucleotides 10–48 sufficed. A bid to further narrow down the minimal region of 7SK led to a surprising finding that HEXIM1 binds to double-stranded RNA in a sequence-independent manner. Both dsRNA and 7SK (10–48), but not dsDNA, competed efficiently with full-length 7SK for HEXIM1 binding in vitro. Upon binding dsRNA, a large conformational change was observed in HEXIM1 that allowed the recruitment and inhibition of P-TEFb. Both subcellular fractionation and immunofluorescence demonstrated that, while most HEXIM1 is found in the nucleus, a significant fraction is found in the cytoplasm. Immunoprecipitation experiments demonstrated that both nuclear and cytoplasmic HEXIM1 is associated with RNA. Interestingly, the one microRNA examined (mir-16) was found in HEXIM1 immunoprecipitates, while the small nuclear RNAs, U6 and U2, were not. Our study illuminates novel properties of HEXIM1 both in vitro and in vivo, and suggests that HEXIM1 may be involved in other nuclear and cytoplasmic processes besides controlling P-TEFb

Proteome-wide identification of poly(ADP-ribose) binding proteins and poly(ADP-ribose)-associated protein complexes

Poly(ADP-ribose) (pADPr) is a polymer assembled from the enzymatic polymerization of the ADP-ribosyl moiety of NAD by poly(ADP-ribose) polymerases (PARPs). The dynamic turnover of pADPr within the cell is essential for a number of cellular processes including progression through the cell cycle, DNA repair and the maintenance of genomic integrity, and apoptosis. In spite of the considerable advances in the knowledge of the physiological conditions modulated by poly(ADP-ribosyl)ation reactions, and notwithstanding the fact that pADPr can play a role of mediator in a wide spectrum of biological processes, few pADPr binding proteins have been identified so far. In this study, refined in silico prediction of pADPr binding proteins and large-scale mass spectrometry-based proteome analysis of pADPr binding proteins were used to establish a comprehensive repertoire of pADPr-associated proteins. Visualization and modeling of these pADPr-associated proteins in networks not only reflect the widespread involvement of poly(ADP-ribosyl)ation in several pathways but also identify protein targets that could shed new light on the regulatory functions of pADPr in normal physiological conditions as well as after exposure to genotoxic stimuli

The Swiss cohort of elderly patients with venous thromboembolism (SWITCO65+): rationale and methodology

Venous thromboembolism (VTE) is common and has a high impact on morbidity, mortality, and costs of care. Although most of the patients with VTE are aged ≥65years, there is little data about the medical outcomes in the elderly with VTE. The Swiss Cohort of Elderly Patients with VTE (SWITCO65+) is a prospective multicenter cohort study of in- and outpatients aged ≥65years with acute VTE from all five Swiss university and four high-volume non-university hospitals. The goal is to examine which clinical and biological factors and processes of care drive short- and long-term medical outcomes, health-related quality of life, and medical resource utilization in elderly patients with acute VTE. The cohort also includes a large biobank with biological material from each participant. From September 2009 to March 2012, 1,863 elderly patients with VTE were screened and 1003 (53.8%) were enrolled in the cohort. Overall, 51.7% of patients were aged ≥75years and 52.7% were men. By October 16, 2012, after an average follow-up time of 512days, 799 (79.7%) patients were still actively participating. SWITCO65+ is a unique opportunity to study short- and long-term outcomes in elderly patients with VTE. The Steering Committee encourages national and international collaborative research projects related to SWITCO65+, including sharing anonymized data and biological sample