Maximum Entropy Distributions Inferred from Option Portfolios on an Asset

We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly. We give a simple and robust algorithm for our method and compare our results to theirs. We present numerical results which show that our approach implies very realistic volatility surfaces even when calibrating only to at-the-money options. Finally, we apply our approach to options on the S&P 500 index.Comment: 23 pages, 5 figures, to appear in Finance and Stochastic

Measurement Based Reconfigurations in Optical Ring Metro Networks

Single-hop wavelength division multiplexing (WDM) optical ring networks operating in packet mode are one of themost promising architectures for the design of innovative metropolitan network (metro) architectures. They permit a cost-effective design, with a good combination of optical and electronic technologies, while supporting features like restoration and reconfiguration that are essential in any metro scenario. In this article, we address the tunability requirements that lead to an effective resource usage and permit reconfiguration in optical WDM metros.We introduce reconfiguration algorithms that, on the basis of traffic measurements, adapt the network configuration to traffic demands to optimize performance. Using a specific network architecture as a reference case, the paper aims at the broader goal of showing which are the advantages fostered by innovative network designs exploiting the features of optical technologies

The meaning of different forms of structural myocardial injury, immune response and timing of infarct necrosis and cardiac repair

Although a decline in the all-cause and cardiac mortality rates following myocardial infarction (MI) during the past 3 decades has been reported, MI is a major cause of death and disability worldwide. From a pathological point of view MI consists in a particular myocardial cell death due to prolonged ischemia. After the onset of myocardial ischemia, cell death is not immediate, but takes a finite period of time to develop. Once complete myocytes’ necrosis has occurred, a process leading to a healed infarction takes place. In fact, MI is a dynamic process that begins with the transition from reversible to irreversible ischemic injury and culminates in the replacement of dead myocardium by a fibrous scar. The pathobiological mechanisms underlying this process are very complex, involving an inflammatory response by several pathways, and pose a major challenge to ability to improve our knowledge. An improved understanding of the pathobiology of cardiac repair after MI and further studies of its underlying mechanisms provide avenues for the development of future strategies directed toward the identification of novel therapies. The chronologic dating of MI is of great importance both to clinical and forensic investigation, that is, the ability to create a theoretical timeline upon which either clinicians or forensic pathologists may increase their ability to estimate the time of MI. Aging of MI has very important practical implications in clinical practice since, based on the chronological dating of MI, attractive alternatives to solve therapeutic strategies in the various phases of MI are developing

Open research issues on multi-models for complex technological systems

Abstract -We are going to report here about state of the art works on multi-models for complex technological systems both from the theoretical and practical point of view. A variety of algorithmic approaches (k-mean, dss, etc.) and applicative domains (wind farms, neurological diseases, etc.) are reported to illustrate the extension of the research area

Statistical properties of entropy production derived from fluctuation theorems

Several implications of well-known fluctuation theorems, on the statistical properties of the entropy production, are studied using various approaches. We begin by deriving a tight lower bound on the variance of the entropy production for a given mean of this random variable. It is shown that the Evans-Searles fluctuation theorem alone imposes a significant lower bound on the variance only when the mean entropy production is very small. It is then nonetheless demonstrated that upon incorporating additional information concerning the entropy production, this lower bound can be significantly improved, so as to capture extensivity properties. Another important aspect of the fluctuation properties of the entropy production is the relationship between the mean and the variance, on the one hand, and the probability of the event where the entropy production is negative, on the other hand. Accordingly, we derive upper and lower bounds on this probability in terms of the mean and the variance. These bounds are tighter than previous bounds that can be found in the literature. Moreover, they are tight in the sense that there exist probability distributions, satisfying the Evans-Searles fluctuation theorem, that achieve them with equality. Finally, we present a general method for generating a wide class of inequalities that must be satisfied by the entropy production. We use this method to derive several new inequalities which go beyond the standard derivation of the second law.Comment: 14 pages, 1 figure; Submitted to Journal of Statistical Mechanios: Theory and Experimen

Discovery of Water Vapor in the High-redshift Quasar APM 08279+5255 at z = 3.91

We report a detection of the excited 2_(20)-2_(11) rotational transition of para-H_2O in APM 08279+5255 using the IRAM Plateau de Bure Interferometer. At z = 3.91, this is the highest-redshift detection of interstellar water to date. From large velocity gradient modeling, we conclude that this transition is predominantly radiatively pumped and on its own does not provide a good estimate of the water abundance. However, additional water transitions are predicted to be detectable in this source, which would lead to an improved excitation model. We also present a sensitive upper limit for the hydrogen fluoride (HF) J = 1-0 absorption toward APM 08279+5255. While the face-on geometry of this source is not favorable for absorption studies, the lack of HF absorption is still puzzling and may be indicative of a lower fluorine abundance at z = 3.91 compared with the Galactic interstellar medium