Derivative pricing under the possibility of long memory in the supOU stochastic volatility model

We consider the supOU stochastic volatility model which is able to exhibit long-range dependence. For this model we give conditions for the discounted stock price to be a martingale, calculate the characteristic function, give a strip where it is analytic and discuss the use of Fourier pricing techniques. Finally, we present a concrete specification with polynomially decaying autocorrelations and calibrate it to observed market prices of plain vanilla options

A perspective on using experiment and theory to identify design principles in dye-sensitized solar cells

Dye-sensitized solar cells (DSCs) have been the subject of wide-ranging studies for many years because of their potential for large-scale manufacturing using roll-to-roll processing allied to their use of earth abundant raw materials. Two main challenges exist for DSC devices to achieve this goal; uplifting device efficiency from the 12 to 14% currently achieved for laboratory-scale ‘hero’ cells and replacement of the widely-used liquid electrolytes which can limit device lifetimes. To increase device efficiency requires optimized dye injection and regeneration, most likely from multiple dyes while replacement of liquid electrolytes requires solid charge transporters (most likely hole transport materials – HTMs). While theoretical and experimental work have both been widely applied to different aspects of DSC research, these approaches are most effective when working in tandem. In this context, this perspective paper considers the key parameters which influence electron transfer processes in DSC devices using one or more dye molecules and how modelling and experimental approaches can work together to optimize electron injection and dye regeneration. This paper provides a perspective that theory and experiment are best used in tandem to study DSC device

Improving response rates using a monetary incentive for patient completion of questionnaires: an observational study

Background: Poor response rates to postal questionnaires can introduce bias and reduce the statistical power of a study. To improve response rates in our trial in primary care we tested the effect of introducing an unconditional direct payment of 5 pound for the completion of postal questionnaires. Methods: We recruited patients in general practice with knee problems from sites across the United Kingdom. An evidence-based strategy was used to follow-up patients at twelve months with postal questionnaires. This included an unconditional direct payment of 5 pound to patients for the completion and return of questionnaires. The first 105 patients did not receive the 5 pound incentive, but the subsequent 442 patients did. We used logistic regression to analyse the effect of introducing a monetary incentive to increase the response to postal questionnaires. Results: The response rate following reminders for the historical controls was 78.1% ( 82 of 105) compared with 88.0% ( 389 of 442) for those patients who received the 5 pound payment (diff = 9.9%, 95% CI 2.3% to 19.1%). Direct payments significantly increased the odds of response ( adjusted odds ratio = 2.2, 95% CI 1.2 to 4.0, P = 0.009) with only 12 of 442 patients declining the payment. The incentive did not save costs to the trial - the extra cost per additional respondent was almost 50 pound. Conclusion: The direct payment of 5 pound significantly increased the completion of postal questionnaires at negligible increase in cost for an adequately powered study

The age of anxiety? It depends where you look: changes in STAI trait anxiety, 1970–2010

Purpose Population-level surveys suggest that anxiety has been increasing in several nations, including the USA and UK. We sought to verify the apparent anxiety increases by looking for systematic changes in mean anxiety questionnaire scores from research publications. Methods We analyzed all available mean State–Trait Anxiety Inventory scores published between 1970 and 2010. We collected 1703 samples, representing more than 205,000 participants from 57 nations. Results Results showed a significant anxiety increase worldwide, but the pattern was less clear in many individual nations. Our analyses suggest that any increase in anxiety in the USA and Canada may be limited to students, anxiety has decreased in the UK, and has remained stable in Australia. Conclusions Although anxiety may have increased worldwide, it might not be increasing as dramatically as previously thought, except in specific populations, such as North American students. Our results seem to contradict survey results from the USA and UK in particular. We do not claim that our results are more reliable than those of large population surveys. However, we do suggest that mental health surveys and other governmental sources of disorder prevalence data may be partially biased by changing attitudes toward mental health: if respondents are more aware and less ashamed of their anxiety, they are more likely to report it to survey takers. Analyses such as ours provide a useful means of double-checking apparent trends in large population surveys

Energy- and flux-budget (EFB) turbulence closure model for the stably stratified flows. Part I: Steady-state, homogeneous regimes

We propose a new turbulence closure model based on the budget equations for the key second moments: turbulent kinetic and potential energies: TKE and TPE (comprising the turbulent total energy: TTE = TKE + TPE) and vertical turbulent fluxes of momentum and buoyancy (proportional to potential temperature). Besides the concept of TTE, we take into account the non-gradient correction to the traditional buoyancy flux formulation. The proposed model grants the existence of turbulence at any gradient Richardson number, Ri. Instead of its critical value separating - as usually assumed - the turbulent and the laminar regimes, it reveals a transition interval, 0.1< Ri <1, which separates two regimes of essentially different nature but both turbulent: strong turbulence at Ri<<1; and weak turbulence, capable of transporting momentum but much less efficient in transporting heat, at Ri>1. Predictions from this model are consistent with available data from atmospheric and lab experiments, direct numerical simulation (DNS) and large-eddy simulation (LES).Comment: 40 pages, 6 figures, Boundary-layer Meteorology, resubmitted, revised versio

Self-adaptive quantum particle swarm optimization for dynamic environments

The quantum-inspired particle swarm optimization (QPSO) algorithm has been developed to find and track an optimum for dynamic optimization problems. Though QPSO has been shown to be effective, despite its simplicity, it does introduce an additional control parameter: the radius of the quantum cloud. The performance of QPSO is sensitive to the value assigned to this problem dependent parameter, which basically limits the area of the search space wherein new, better optima can be detected. This paper proposes a strategy to dynamically adapt the quantum radius, with changes in the environment. A comparison of the adaptive radius QPSO with the static radius QPSO showed that the adaptive approach achieves desirable results, without prior tuning of the quantum radius.http://link.springer.combookseries/5582019-10-03hj2018Computer Scienc

A Novel System for the Efficient Generation of Antibodies Following Immunization of Unique Knockout Mouse Strains

International audienceBACKGROUND: We wished to develop alternate production strategies to generate antibodies against traditionally problematic antigens. As a model we chose butyrylcholinesterase (BChE), involved in termination of cholinergic signaling, and widely considered as a poor immunogen. METHODOLOGY/PRINCIPAL FINDINGS: Jettisoning traditional laborious in silico searching methods to define putative epitopes, we simply immunized available BChE knock-out mice with full-length recombinant BChE protein (having been produced for crystallographic analysis). Immunization with BChE, in practically any form (recombinant human or mouse BChE, BChE purified from human serum, native or denatured), resulted in strong immune responses. Native BChE produced antibodies that favored ELISA and immunostaining detection. Denatured and reduced BChE were more selective for antibodies specific in Western blots. Two especially sensitive monoclonal antibodies were found capable of detecting 0.25 ng of BChE within one min by ELISA. One is specific for human BChE; the other cross-reacts with mouse and rat BChE. Immunization of wild-type mice served as negative controls. CONCLUSIONS/SIGNIFICANCE: We examined a simple, fast, and highly efficient strategy to produce antibodies by mining two expanding databases: namely those of knock-out mice and 3D crystallographic protein-structure analysis. We conclude that the immunization of knock-out mice should be a strategy of choice for antibody production

The use of the multivariate Principal Response Curve (PRC) for community analysis: a case study on the effects of carbendazim on enchytraeids in Terrestrial Model Ecosystems (TME).

The effects of the fungicide carbendazim (formulation Derosal®) on enchytraeids were determined in Terrestrial Model Ecosystem (TME) tests. TMEs consisted of intact soil columns (diameter 17.5 cm; length 40 cm) taken from three grassland sites (Amsterdam (The Netherlands), Bangor (Wales, England) and Flörsheim (Germany)) or an arable site (Coimbra (Portugal)). Results for each TME site were evaluated using the multivariate Principal Response Curve (PRC) method. The resulting No-Observable Effect Concentrations (NOECs) for the community were compared with the NOECs generated by univariate statistical methods. Furthermore, the E

Resonances and Surface Waves in Elastic Wave Scattering from Cavities and Inclusions

Elastic-wave scattering from various types of cavities and inclusions has been studied theoretically with special emphasis on surface wave effects that appear during the scattering process. Resonances in the scattering amplitudes are caused by the phase matching of circumnavigating surface waves, and manifest themselves as poles in the complex frequency plane that correspond to the (complex) eigenfrequencies of the cavity of inclusion. These results are most easily obtained for scatterers of separable geometry, such as spheres, where theoretical amplitudes are well-known. Here, the formalism for a complete treatment of elastic-wave scattering from infinite cylindrical cavities and solid inclusions has been worked out for general oblique incidence. Poles of scattering amplitudes have been found for evacuated and for fluid-filled cylinders, and have been physically interpreted in terms of helical surface waves propagating both interior and exterior to the cylinder. Dispersion, attenuation, and refraction of these surface waves have been obtained. Progressing to more generally-shaped obstacles, we have studied surface waves and complex-frequency poles for finite- length cylindrical cavities with flat ends. In this fashion, the resonance features(particularly the cavity eigenfrequencies) that appear prominently in the scattering amplitude can be understood as to their physical origin and their dependence on the type of cavity, and may be exploited for purposes of classification and identification of flaws by their ultrasonic resonances (ultrasonic “resonance spectroscopy”)

A national survey on the patterns of treatment of inflammatory bowel disease in Canada

BACKGROUND: There is a general lack of information on the care of inflammatory bowel disease (IBD) in a broad, geographically diverse, non-clinic population. The purposes of this study were (1) to compare a sample drawn from the membership of a national Crohn's and Colitis Foundation to published clinic-based and population-based IBD samples, (2) to describe current patterns of health care use, and (3) to determine if unexpected variations exist in how and by whom IBD is treated. METHODS: Mailed survey of 4453 members of the Crohn's and Colitis Foundation of Canada. The questionnaire, in members stated language of preference, included items on demographic and disease characteristics, general health behaviors and current and past IBD treatment. Each member received an initial and one reminder mailing. RESULTS: Questionnaires were returned by 1787, 913, and 128 people with Crohn's disease, ulcerative colitis and indeterminate colitis, respectively. At least one operation had been performed on 1159 Crohn's disease patients, with risk increasing with duration of disease. Regional variation in surgical rates in ulcerative colitis patients was identified. 6-Mercaptopurine/Azathioprine was used by 24% of patients with Crohn's disease and 12% of patients with ulcerative colitis (95% CI for the difference: 8.9% – 15%). In patients with Crohn's disease, use was not associated with gender, income or region of residence but was associated with age and markers of disease activity. Infliximab was used by 112 respondents (4%), the majority of whom had Crohn's disease. Variations in infliximab use based on region of residence and income were not seen. Sixty-eight percent of respondents indicated that they depended most on a gastroenterologist for their IBD care. There was significant regional variation in this. However, satisfaction with primary physician did not depend on physician type (for example, gastroenterologist versus general practitioner). CONCLUSION: This study achieved the goal of obtaining a large, geographically diverse sample that is more representative of the general IBD population than a clinic sample would have been. We could find no evidence of significant regional variation in medical treatments due to gender, region of residence or income level. Differences were noted between different age groups, which deserves further attention