Pricing holder-extendable options in a stochastic volatility model with an ornstein-uhlenbeck process

Holder-extendable options are characterized by two maturity dates, which means the option can be exercised at either the expiration date or the extended maturity date. This paper develops a pricing framework for holder-extendable options which deals with the extended version of a stochastic volatility model with an Ornstein-Uhlenbeck (OU) process. The extended model allows correlation between volatility and asset returns. The method uses Fourier inversion techniques that does not require an initial guess of the characteristic functions. A closed-form pricing formula for holder-extendable options is derived for logarithmic asset price dynamics

Pricing holder-extendable call options with mean-reverting stochastic volatility

Options with extendable features have many applications in finance and these provide the motivation for this study. The pricing of extendable options when the underlying asset follows a geometric Brownian motion with constant volatility has appeared in the literature. In this paper, we consider holder-extendable call options when the underlying asset follows a mean-reverting stochastic volatility. The option price is expressed in integral forms which have known closed-form characteristic functions. We price these options using a fast Fourier transform, a finite difference method and Monte Carlo simulation, and we determine the efficiency and accuracy of the Fourier method in pricing holder-extendable call options for Heston parameters calibrated from the subprime crisis. We show that the fast Fourier transform reduces the computational time required to produce a range of holder-extendable call option prices by at least an order of magnitude. Numerical results also demonstrate that when the Heston correlation is negative, the Black-Scholes model under-prices in-the-money and over-prices out-of-the-money holder-extendable call options compared with the Heston model, which is analogous to the behaviour for vanilla calls

Measurement of illumination exposure in postpartum women

BACKGROUND: Low levels of light exposure at critical times are thought to cause seasonal affective disorder. Investigators, in studies demonstrating the usefulness of bright light therapy, also have implicated light's role in non-seasonal depression. The precise cause of postpartum depression has not been delineated, but it seemed possible that new mothers would spend reduced time in daylight. The goal of this study was to examine the levels of illumination experienced by postpartum mothers and to discover any relationship between light exposure and mood levels experienced during the postpartum period. METHODS: Fifteen postpartum women, who did not have any baseline indication of depression, wore a wrist device (Actillume) for 72 hours to measure their exposure to light. At the end of the recording period, they completed a self-reported measure of mood. The mean light exposure of these postpartum women (expressed as the 24-hour average logarithm of illumination in lux) was compared with that of a representative sample of women of comparable age, residence, and seasonal months of recording. Mood levels were then rank-ordered and tested for correlation with light exposure levels. RESULTS: There was no significant difference between the amount of light [log(10)lux] experienced by postpartum (1.01 SD 0.236) and control women (1.06 SD 0.285). Mood was not correlated with illumination in the postpartum sample. CONCLUSIONS: Postpartum women in San Diego did not receive reduced light, nor was low mood related to low illumination

Transarterial chemoembolisation (TACE) using irinotecan-loaded beads for the treatment of unresectable metastases to the liver in patients with colorectal cancer: an interim report

<p>Abstract</p> <p>Background</p> <p>Following failure of standard systemic chemotherapy, the role of hepatic transarterial therapy for colorectal hepatic metastasis continues to evolve as the experience with this technique matures. The aim of this study to gain a better understanding of the value of drug eluting bead therapy when administered to patients with unresectable colorectal hepatic metastasis.</p> <p>Methods</p> <p>This was an open-label, multi-center, single arm study, of unresectable colorectal hepatic metastasis patients who had failed standard therapy from 10/2006-10/2008. Patients received repeat embolizations with Irinotecan loaded beads(max 100 mg per embolization) per treating physician's discretion.</p> <p>Results</p> <p>Fifty-five patients underwent 99 treatments using Irinotecan drug eluting beads. The median number of total treatments per patient was 2(range of 1-5). Median length of hospital stay was 23 hours(range 23 hours - 10 days). There were 30(30%) sessions associated with adverse reactions during or after the treatment. The median disease free and overall survival from the time of first treatment was 247 days and 343 days. Six patients(10%) were downstaged from their original disease status. Of these, four were treated with surgery and two with RFA.</p> <p>Neither number of liver lesions, size of liver lesions or extent of liver replacement(<= 25% vs >25%) were predictors of overall survival. Only the presence of extrahepatic disease(p = 0,001), extent of prior chemotherapy (failed 1^stand 2^ndline vs > 2 line failure)(p = 0,007) were predictors of overall survival in multivariate analysis.</p> <p>Conclusion</p> <p>Chemoembolization using Irinotecan loaded beads was safe and effective in the treatment of patients as demonstrated by a minimal complication rate and acceptable tumor response.</p

Fecal Microbiota in Premature Infants Prior to Necrotizing Enterocolitis

Intestinal luminal microbiota likely contribute to the etiology of necrotizing enterocolitis (NEC), a common disease in preterm infants. Microbiota development, a cascade of initial colonization events leading to the establishment of a diverse commensal microbiota, can now be studied in preterm infants using powerful molecular tools. Starting with the first stool and continuing until discharge, weekly stool specimens were collected prospectively from infants with gestational ages ≤32 completed weeks or birth weights≤1250 g. High throughput 16S rRNA sequencing was used to compare the diversity of microbiota and the prevalence of specific bacterial signatures in nine NEC infants and in nine matched controls. After removal of short and low quality reads we retained a total of 110,021 sequences. Microbiota composition differed in the matched samples collected 1 week but not <72 hours prior to NEC diagnosis. We detected a bloom (34% increase) of Proteobacteria and a decrease (32%) in Firmicutes in NEC cases between the 1 week and <72 hour samples. No significant change was identified in the controls. At both time points, molecular signatures were identified that were increased in NEC cases. One of the bacterial signatures detected more frequently in NEC cases (p<0.01) matched closest to γ-Proteobacteria. Although this sequence grouped to the well-studied Enterobacteriaceae family, it did not match any sequence in Genbank by more than 97%. Our observations suggest that abnormal patterns of microbiota and potentially a novel pathogen contribute to the etiology of NEC

Usefulness of NT-pro BNP monitoring to identify echocardiographic responders following cardiac resynchronization therapy

<p>Abstract</p> <p>Background</p> <p>Cardiac resynchronization therapy (CRT) improves left ventricular (LV) volumes, mitral regurgitation (MR) severity and symptoms of patients with heart failure (HF). However, ≥ 30% of patients have no significant clinical or echocardiographic improvement following CRT. Reverse remodeling after CRT correlates with improved clinical outcomes. We hypothesized that in NT-pro BNP monitoring is accurate to identify responders following CRT.</p> <p>Methods</p> <p>42 consecutive patients (mean age 66 ± 12 years, male 68%) with HF undergoing CRT were prospectively enrolled. Responders at follow-up were defined by echocardiography (decrease in LV end systolic volume ≥ 15%). Echocardiography and NT-pro BNP measurement were performed at baseline and repeated 3 to 6 month after CRT.</p> <p>Results</p> <p>There was no significant difference between responders (n = 29, 69%) and non-responders (n = 13, 31%) regarding baseline NT-pro BNP level. Responders had significantly higher decrease in NT-pro BNP levels during follow-up than non-responders (absolute: -1428 ± 1333 pg.ml^-1vs. -61 ± 959 pg.ml^-1, p = 0.002; relative: -45 ± 28% vs. 2 ± 28%, p < 0.0001). A decrease of ≥ 15% in NT-pro BNP 3–6 months after CRT identifies echocardiographic responders with a sensitivity of 90% and a specificity of 77%.</p> <p>Conclusion</p> <p>NT-pro BNP monitoring can accurately identify echocardiographic responders after CRT.</p

TRY plant trait database - enhanced coverage and open access

Plant traits-the morphological, anatomical, physiological, biochemical and phenological characteristics of plants-determine how plants respond to environmental factors, affect other trophic levels, and influence ecosystem properties and their benefits and detriments to people. Plant trait data thus represent the basis for a vast area of research spanning from evolutionary biology, community and functional ecology, to biodiversity conservation, ecosystem and landscape management, restoration, biogeography and earth system modelling. Since its foundation in 2007, the TRY database of plant traits has grown continuously. It now provides unprecedented data coverage under an open access data policy and is the main plant trait database used by the research community worldwide. Increasingly, the TRY database also supports new frontiers of trait-based plant research, including the identification of data gaps and the subsequent mobilization or measurement of new data. To support this development, in this article we evaluate the extent of the trait data compiled in TRY and analyse emerging patterns of data coverage and representativeness. Best species coverage is achieved for categorical traits-almost complete coverage for 'plant growth form'. However, most traits relevant for ecology and vegetation modelling are characterized by continuous intraspecific variation and trait-environmental relationships. These traits have to be measured on individual plants in their respective environment. Despite unprecedented data coverage, we observe a humbling lack of completeness and representativeness of these continuous traits in many aspects. We, therefore, conclude that reducing data gaps and biases in the TRY database remains a key challenge and requires a coordinated approach to data mobilization and trait measurements. This can only be achieved in collaboration with other initiatives

Post partum anxiety and depression in peri-urban communities of Karachi, Pakistan: a quasi-experimental study

<p>Abstract</p> <p>Background</p> <p>Postpartum anxiety and depression is a major public health concern because of its adverse effects on the cognitive and social development of the infant. Globally postpartum depression has been widely investigated but as anxiety is a more prominent feature of postpartum depression we assessed the prevalence of anxiety and depression and their associated factors in post partum women.</p> <p>Methods</p> <p>A quasi-experimental study investigating the impact of postpartum anxiety and depression on child growth and development was conducted in two peri-urban, multiethnic, communities of Karachi, a mega city of Pakistan. A house to house questionnaire based survey was done by trained field workers; 420 consenting pregnant women were identified and data for socio-demographic, home environment and family relationship variables was collected between 36 weeks of pregnancy and within 10 days of childbirth. Mother's levels of anxiety and depression were assessed after one month, two months, six months and twelve months of childbirth; this was two step process: initially an indigenous, validated screening instrument Aga Khan University Anxiety and Depression Scale was used and diagnostic confirmation was done through a psychologist's interview based on DSM IV criteria. Women found to be anxious and depressed at least once out of four assessments were considered for the computation of overall prevalence of postpartum anxiety and depression as well as its risk factors. However, point prevalence's of postpartum anxiety and depression were also reported at each assessment time. Two sixty seven women could be followed for one year. Data was analyzed using SPSS. Chi-square test, simple and multiple logistic regression were used to see the association of different factors.</p> <p>Results</p> <p>The overall prevalence of postpartum anxiety and depression was found to be 28.8 percent. Domestic violence, difficulty in breast feeding at birth and unplanned current pregnancy were found to be significantly associated with postpartum anxiety and depression.</p> <p>Conclusion</p> <p>Domestic violence and not having the right to plan pregnancy are related to the patriarchal culture and lack of empowerment of women. The association with difficulties in breast feeding needs to be further explored in future studies</p

Python as a Federation Tool for GENESIS 3.0

The GENESIS simulation platform was one of the first broad-scale modeling systems in computational biology to encourage modelers to develop and share model features and components. Supported by a large developer community, it participated in innovative simulator technologies such as benchmarking, parallelization, and declarative model specification and was the first neural simulator to define bindings for the Python scripting language. An important feature of the latest version of GENESIS is that it decomposes into self-contained software components complying with the Computational Biology Initiative federated software architecture. This architecture allows separate scripting bindings to be defined for different necessary components of the simulator, e.g., the mathematical solvers and graphical user interface. Python is a scripting language that provides rich sets of freely available open source libraries. With clean dynamic object-oriented designs, they produce highly readable code and are widely employed in specialized areas of software component integration. We employ a simplified wrapper and interface generator to examine an application programming interface and make it available to a given scripting language. This allows independent software components to be ‘glued’ together and connected to external libraries and applications from user-defined Python or Perl scripts. We illustrate our approach with three examples of Python scripting. (1) Generate and run a simple single-compartment model neuron connected to a stand-alone mathematical solver. (2) Interface a mathematical solver with GENESIS 3.0 to explore a neuron morphology from either an interactive command-line or graphical user interface. (3) Apply scripting bindings to connect the GENESIS 3.0 simulator to external graphical libraries and an open source three dimensional content creation suite that supports visualization of models based on electron microscopy and their conversion to computational models. Employed in this way, the stand-alone software components of the GENESIS 3.0 simulator provide a framework for progressive federated software development in computational neuroscience