A Delayed Black and Scholes Formula I

In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market data, and is yet simple enough to allow for a closed-form representation of the option price. Furthermore, the model maintains the no-arbitrage property and the completeness of the market. The derivation of the option-pricing formula is based on an equivalent martingale measure

Smooth stable and unstable manifolds for stochastic partial differential equations

Invariant manifolds are fundamental tools for describing and understanding nonlinear dynamics. In this paper, we present a theory of stable and unstable manifolds for infinite dimensional random dynamical systems generated by a class of stochastic partial differential equations. We first show the existence of Lipschitz continuous stable and unstable manifolds by the Lyapunov-Perron's method. Then, we prove the smoothness of these invariant manifolds

Uniform shrinking and expansion under isotropic Brownian flows

We study some finite time transport properties of isotropic Brownian flows. Under a certain nondegeneracy condition on the potential spectral measure, we prove that uniform shrinking or expansion of balls under the flow over some bounded time interval can happen with positive probability. We also provide a control theorem for isotropic Brownian flows with drift. Finally, we apply the above results to show that under the nondegeneracy condition the length of a rectifiable curve evolving in an isotropic Brownian flow with strictly negative top Lyapunov exponent converges to zero as $t\to \infty$ with positive probability

Low-lying quadrupole collective states of the light and medium Xenon isotopes

Collective low lying levels of light and medium Xenon isotopes are deduced from the Generalized Bohr Hamiltonian (GBH). The microscopic seven functions entering into the GBH are built from a deformed mean field of the Woods-Saxon type. Theoretical spectra are found to be close to the ones of the experimental data taking into account that the calculations are completely microscopic, that is to say, without any fitting of parameters.Comment: 8 pages, 4 figures, 1 tabl

ACOTES project: Advanced compiler technologies for embedded streaming

Streaming applications are built of data-driven, computational components, consuming and producing unbounded data streams. Streaming oriented systems have become dominant in a wide range of domains, including embedded applications and DSPs. However, programming efficiently for streaming architectures is a challenging task, having to carefully partition the computation and map it to processes in a way that best matches the underlying streaming architecture, taking into account the distributed resources (memory, processing, real-time requirements) and communication overheads (processing and delay). These challenges have led to a number of suggested solutions, whose goal is to improve the programmer’s productivity in developing applications that process massive streams of data on programmable, parallel embedded architectures. StreamIt is one such example. Another more recent approach is that developed by the ACOTES project (Advanced Compiler Technologies for Embedded Streaming). The ACOTES approach for streaming applications consists of compiler-assisted mapping of streaming tasks to highly parallel systems in order to maximize cost-effectiveness, both in terms of energy and in terms of design effort. The analysis and transformation techniques automate large parts of the partitioning and mapping process, based on the properties of the application domain, on the quantitative information about the target systems, and on programmer directives. This paper presents the outcomes of the ACOTES project, a 3-year collaborative work of industrial (NXP, ST, IBM, Silicon Hive, NOKIA) and academic (UPC, INRIA, MINES ParisTech) partners, and advocates the use of Advanced Compiler Technologies that we developed to support Embedded Streaming.Peer ReviewedPostprint (published version

The inner junction protein CFAP20 functions in motile and non-motile cilia and is critical for vision

Motile and non-motile cilia are associated with mutually-exclusive genetic disorders. Motile cilia propel sperm or extracellular fluids, and their dysfunction causes primary ciliary dyskinesia. Non-motile cilia serve as sensory/signalling antennae on most cell types, and their disruption causes single-organ ciliopathies such as retinopathies or multi-system syndromes. CFAP20 is a ciliopathy candidate known to modulate motile cilia in unicellular eukaryotes. We demonstrate that in zebrafish, cfap20 is required for motile cilia function, and in C. elegans, CFAP-20 maintains the structural integrity of non-motile cilia inner junctions, influencing sensory-dependent signalling and development. Human patients and zebrafish with CFAP20 mutations both exhibit retinal dystrophy. Hence, CFAP20 functions within a structural/functional hub centered on the inner junction that is shared between motile and non-motile cilia, and is distinct from other ciliopathy-associated domains or macromolecular complexes. Our findings suggest an uncharacterised pathomechanism for retinal dystrophy, and potentially for motile and non-motile ciliopathies in general.</p

Loss-of-function mutations in UDP-Glucose 6-Dehydrogenase cause recessive developmental epileptic encephalopathy

Developmental epileptic encephalopathies are devastating disorders characterized by intractable epileptic seizures and developmental delay. Here, we report an allelic series of germline recessive mutations in UGDH in 36 cases from 25 families presenting with epileptic encephalopathy with developmental delay and hypotonia. UGDH encodes an oxidoreductase that converts UDP-glucose to UDP-glucuronic acid, a key component of specific proteoglycans and glycolipids. Consistent with being loss-of-function alleles, we show using patients’ primary fibroblasts and biochemical assays, that these mutations either impair UGDH stability, oligomerization, or enzymatic activity. In vitro, patient-derived cerebral organoids are smaller with a reduced number of proliferating neuronal progenitors while mutant ugdh zebrafish do not phenocopy the human disease. Our study defines UGDH as a key player for the production of extracellular matrix components that are essential for human brain development. Based on the incidence of variants observed, UGDH mutations are likely to be a frequent cause of recessive epileptic encephalopathy

The global, regional, and national burden of pancreatic cancer and its attributable risk factors in 195 countries and territories, 1990-2017: a systematic analysis for the Global Burden of Disease Study 2017

Background: Worldwide, both the incidence and death rates of pancreatic cancer are increasing. Evaluation of pancreatic cancer burden and its global, regional, and national patterns is crucial to policy making and better resource allocation for controlling pancreatic cancer risk factors, developing early detection methods, and providing faster and more effective treatments. Methods: Vital registration, vital registration sample, and cancer registry data were used to generate mortality, incidence, and disability-adjusted life-years (DALYs) estimates. We used the comparative risk assessment framework to estimate the proportion of deaths attributable to risk factors for pancreatic cancer: smoking, high fasting plasma glucose, and high body-mass index. All of the estimates were reported as counts and age-standardised rates per 100 000 person-years. 95% uncertainty intervals (UIs) were reported for all estimates. Findings: In 2017, there were 448 000 (95% UI 439 000\u2013456 000) incident cases of pancreatic cancer globally, of which 232 000 (210 000\u2013221 000; 51\ub79%) were in males. The age-standardised incidence rate was 5\ub70 (4\ub79\u20135\ub71) per 100 000 person-years in 1990 and increased to 5\ub77 (5\ub76\u20135\ub78) per 100 000 person-years in 2017. There was a 2\ub73 times increase in number of deaths for both sexes from 196 000 (193 000\u2013200 000) in 1990 to 441 000 (433 000\u2013449 000) in 2017. There was a 2\ub71 times increase in DALYs due to pancreatic cancer, increasing from 4\ub74 million (4\ub73\u20134\ub75) in 1990 to 9\ub71 million (8\ub79\u20139\ub73) in 2017. The age-standardised death rate of pancreatic cancer was highest in the high-income super-region across all years from 1990 to 2017. In 2017, the highest age-standardised death rates were observed in Greenland (17\ub74 [15\ub78\u201319\ub70] per 100 000 person-years) and Uruguay (12\ub71 [10\ub79\u201313\ub75] per 100 000 person-years). These countries also had the highest age-standardised death rates in 1990. Bangladesh (1\ub79 [1\ub75\u20132\ub73] per 100 000 person-years) had the lowest rate in 2017, and S\ue3o Tom\ue9 and Pr\uedncipe (1\ub73 [1\ub71\u20131\ub75] per 100 000 person-years) had the lowest rate in 1990. The numbers of incident cases and deaths peaked at the ages of 65\u201369 years for males and at 75\u201379 years for females. Age-standardised pancreatic cancer deaths worldwide were primarily attributable to smoking (21\ub71% [18\ub78\u201323\ub77]), high fasting plasma glucose (8\ub79% [2\ub71\u201319\ub74]), and high body-mass index (6\ub72% [2\ub75\u201311\ub74]) in 2017. Interpretation: Globally, the number of deaths, incident cases, and DALYs caused by pancreatic cancer has more than doubled from 1990 to 2017. The increase in incidence of pancreatic cancer is likely to continue as the population ages. Prevention strategies should focus on modifiable risk factors. Development of screening programmes for early detection and more effective treatment strategies for pancreatic cancer are needed. Funding: Bill &amp; Melinda Gates Foundation

Future and potential spending on health 2015-40: Development assistance for health, and government, prepaid private, and out-of-pocket health spending in 184 countries

Background: The amount of resources, particularly prepaid resources, available for health can affect access to health care and health outcomes. Although health spending tends to increase with economic development, tremendous variation exists among health financing systems. Estimates of future spending can be beneficial for policy makers and planners, and can identify financing gaps. In this study, we estimate future gross domestic product (GDP), all-sector government spending, and health spending disaggregated by source, and we compare expected future spending to potential future spending. Methods: We extracted GDP, government spending in 184 countries from 1980-2015, and health spend data from 1995-2014. We used a series of ensemble models to estimate future GDP, all-sector government spending, development assistance for health, and government, out-of-pocket, and prepaid private health spending through 2040. We used frontier analyses to identify patterns exhibited by the countries that dedicate the most funding to health, and used these frontiers to estimate potential health spending for each low-income or middle-income country. All estimates are inflation and purchasing power adjusted. Findings: We estimated that global spending on health will increase from US$9.21 trillion in 2014 to$24.24 trillion (uncertainty interval [UI] 20.47-29.72) in 2040. We expect per capita health spending to increase fastest in upper-middle-income countries, at 5.3% (UI 4.1-6.8) per year. This growth is driven by continued growth in GDP, government spending, and government health spending. Lower-middle income countries are expected to grow at 4.2% (3.8-4.9). High-income countries are expected to grow at 2.1% (UI 1.8-2.4) and low-income countries are expected to grow at 1.8% (1.0-2.8). Despite this growth, health spending per capita in low-income countries is expected to remain low, at $154 (UI 133-181) per capita in 2030 and$195 (157-258) per capita in 2040. Increases in national health spending to reach the level of the countries who spend the most on health, relative to their level of economic development, would mean $321 (157-258) per capita was available for health in 2040 in low-income countries. Interpretation: Health spending is associated with economic development but past trends and relationships suggest that spending will remain variable, and low in some low-resource settings. Policy change could lead to increased health spending, although for the poorest countries external support might remain essential

Tracking development assistance for health and for COVID-19 : a review of development assistance, government, out-of-pocket, and other private spending on health for 204 countries and territories, 1990-2050

Background The rapid spread of COVID-19 renewed the focus on how health systems across the globe are financed, especially during public health emergencies. Development assistance is an important source of health financing in many low-income countries, yet little is known about how much of this funding was disbursed for COVID-19. We aimed to put development assistance for health for COVID-19 in the context of broader trends in global health financing, and to estimate total health spending from 1995 to 2050 and development assistance for COVID-19 in 2020. Methods We estimated domestic health spending and development assistance for health to generate total health-sector spending estimates for 204 countries and territories. We leveraged data from the WHO Global Health Expenditure Database to produce estimates of domestic health spending. To generate estimates for development assistance for health, we relied on project-level disbursement data from the major international development agencies' online databases and annual financial statements and reports for information on income sources. To adjust our estimates for 2020 to include disbursements related to COVID-19, we extracted project data on commitments and disbursements from a broader set of databases (because not all of the data sources used to estimate the historical series extend to 2020), including the UN Office of Humanitarian Assistance Financial Tracking Service and the International Aid Transparency Initiative. We reported all the historic and future spending estimates in inflation-adjusted 2020 US$, 2020 US$ per capita, purchasing-power parity-adjusted US$per capita, and as a proportion of gross domestic product. We used various models to generate future health spending to 2050. Findings In 2019, health spending globally reached$8. 8 trillion (95% uncertainty interval [UI] 8.7-8.8) or $1132 (1119-1143) per person. Spending on health varied within and across income groups and geographical regions. Of this total,$40.4 billion (0.5%, 95% UI 0.5-0.5) was development assistance for health provided to low-income and middle-income countries, which made up 24.6% (UI 24.0-25.1) of total spending in low-income countries. We estimate that $54.8 billion in development assistance for health was disbursed in 2020. Of this,$13.7 billion was targeted toward the COVID-19 health response. $12.3 billion was newly committed and$1.4 billion was repurposed from existing health projects. $3.1 billion (22.4$2.4 billion (17.9%) was for supply chain and logistics. Only $714.4 million (7.7$1519 (1448-1591) per person in 2050, although spending across countries is expected to remain varied. Interpretation Global health spending is expected to continue to grow, but remain unequally distributed between countries. We estimate that development organisations substantially increased the amount of development assistance for health provided in 2020. Continued efforts are needed to raise sufficient resources to mitigate the pandemic for the most vulnerable, and to help curtail the pandemic for all. Copyright (C) 2021 The Author(s). Published by Elsevier Ltd.Peer reviewe