Asymptotic Implied Volatility at the Second Order with Application to the SABR Model

We provide a general method to compute a Taylor expansion in time of implied volatility for stochastic volatility models, using a heat kernel expansion. Beyond the order 0 implied volatility which is already known, we compute the first order correction exactly at all strikes from the scalar coefficient of the heat kernel expansion. Furthermore, the first correction in the heat kernel expansion gives the second order correction for implied volatility, which we also give exactly at all strikes. As an application, we compute this asymptotic expansion at order 2 for the SABR model.Comment: 27 pages; v2: typos fixed and a few notation changes; v3: published version, typos fixed and comments added. in Large Deviations and Asymptotic Methods in Finance, Springer (2015) 37-6

In the face of threat: neural and endocrine correlates of impaired facial emotion recognition in cocaine dependence.

The ability to recognize facial expressions of emotion in others is a cornerstone of human interaction. Selective impairments in the recognition of facial expressions of fear have frequently been reported in chronic cocaine users, but the nature of these impairments remains poorly understood. We used the multivariate method of partial least squares and structural magnetic resonance imaging to identify gray matter brain networks that underlie facial affect processing in both cocaine-dependent (n = 29) and healthy male volunteers (n = 29). We hypothesized that disruptions in neuroendocrine function in cocaine-dependent individuals would explain their impairments in fear recognition by modulating the relationship with the underlying gray matter networks. We found that cocaine-dependent individuals not only exhibited significant impairments in the recognition of fear, but also for facial expressions of anger. Although recognition accuracy of threatening expressions co-varied in all participants with distinctive gray matter networks implicated in fear and anger processing, in cocaine users it was less well predicted by these networks than in controls. The weaker brain-behavior relationships for threat processing were also mediated by distinctly different factors. Fear recognition impairments were influenced by variations in intelligence levels, whereas anger recognition impairments were associated with comorbid opiate dependence and related reduction in testosterone levels. We also observed an inverse relationship between testosterone levels and the duration of crack and opiate use. Our data provide novel insight into the neurobiological basis of abnormal threat processing in cocaine dependence, which may shed light on new opportunities facilitating the psychosocial integration of these patients.This work was funded by a research grant from the Medical Research Council (G0701497) and supported by the infrastructure of the Behavioural and Clinical Neuroscience Institute (which is supported by a joint award from the Medical Research Council and the Wellcome Trust). This study was jointly sponsored by the Cambridge University Hospitals NHS Foundation Trust and the University of Cambridge. KD Ersche, CC Hagan, and PS Jones are supported by the Medical Research Council, and DG Smith by the Cambridge Overseas Trust.This is the final version of the article. It first appeared from NPG via http://dx.doi.org/10.1038/tp.2015.5

Tear fluid biomarkers in ocular and systemic disease: potential use for predictive, preventive and personalised medicine

In the field of predictive, preventive and personalised medicine, researchers are keen to identify novel and reliable ways to predict and diagnose disease, as well as to monitor patient response to therapeutic agents. In the last decade alone, the sensitivity of profiling technologies has undergone huge improvements in detection sensitivity, thus allowing quantification of minute samples, for example body fluids that were previously difficult to assay. As a consequence, there has been a huge increase in tear fluid investigation, predominantly in the field of ocular surface disease. As tears are a more accessible and less complex body fluid (than serum or plasma) and sampling is much less invasive, research is starting to focus on how disease processes affect the proteomic, lipidomic and metabolomic composition of the tear film. By determining compositional changes to tear profiles, crucial pathways in disease progression may be identified, allowing for more predictive and personalised therapy of the individual. This article will provide an overview of the various putative tear fluid biomarkers that have been identified to date, ranging from ocular surface disease and retinopathies to cancer and multiple sclerosis. Putative tear fluid biomarkers of ocular disorders, as well as the more recent field of systemic disease biomarkers, will be shown

At Least Ten Genes Define the Imprinted Dlk1-Dio3 Cluster on Mouse Chromosome 12qF1

Background: Genomic imprinting is an exception to Mendelian genetics in that imprinted genes are expressed monoallelically, dependent on parental origin. In mammals, imprinted genes are critical in numerous developmental and physiological processes. Aberrant imprinted gene expression is implicated in several diseases including Prader-Willi/ Angelman syndromes and cancer. Methodology/Principal Findings: To identify novel imprinted genes, transcription profiling was performed on two uniparentally derived cell lines, androgenetic and parthenogenetic primary mouse embryonic fibroblasts. A maternally expressed transcript termed Imprinted RNA near Meg3/Gtl2 (Irm) was identified and its expression studied by Northern blotting and whole mounts in situ hybridization. The imprinted region that contains Irm has a parent of origin effect in three mammalian species, including the sheep callipyge locus. In mice and humans, both maternal and paternal uniparental disomies (UPD) cause embryonic growth and musculoskeletal abnormalities, indicating that both alleles likely express essential genes. To catalog all imprinted genes in this chromosomal region, twenty-five mouse mRNAs in a 1.96Mb span were investigated for allele specific expression. Conclusions/Significance: Ten imprinted genes were elucidated. The imprinting of three paternally expressed protein coding genes (Dlk1, Peg11, and Dio3) was confirmed. Seven noncoding RNAs (Meg3/Gtl2, Anti-Peg11, Meg8, Irm/‘‘Rian’’

Solvent-selective routing for centrifugally automated solid-phase purification of RNA

The final publication is available at Springer via https://doi.org/10.1007/s10404-014-1477-9.We present a disc-based module for rotationally controlled solid-phase purification of RNA from cell lysate. To this end, multi-stage routing of a sequence of aqueous and organic liquids into designated waste and elution reservoirs is implemented by a network of strategically placed, solvent-selective composite valves. Using a bead-based stationary phase at the entrance of the router, we show that total RNA is purified with high integrity from cultured MCF7 and T47D cell lines, human leucocytes and Haemophilus influenzae cell lysates. Furthermore, we demonstrate the broad applicability of the device through the in vitro amplification of RNA purified on-disc using RT-PCR and NASBA. Our novel router will be at the pivot of a forthcoming, fully integrated and automated sample preparation system for RNA-based analysis.Peer reviewe

Outer membrane protein folding from an energy landscape perspective

The cell envelope is essential for the survival of Gram-negative bacteria. This specialised membrane is densely packed with outer membrane proteins (OMPs), which perform a variety of functions. How OMPs fold into this crowded environment remains an open question. Here, we review current knowledge about OFMP folding mechanisms in vitro and discuss how the need to fold to a stable native state has shaped their folding energy landscapes. We also highlight the role of chaperones and the β-barrel assembly machinery (BAM) in assisting OMP folding in vivo and discuss proposed mechanisms by which this fascinating machinery may catalyse OMP folding

Hacking into bacterial biofilms: a new therapeutic challenge

Microbiologists have extensively worked during the past decade on a particular phase of the bacterial cell cycle known as biofilm, in which single-celled individuals gather together to form a sedentary but dynamic community within a complex structure, displaying spatial and functional heterogeneity. In response to the perception of environmental signals by sensing systems, appropriate responses are triggered, leading to biofilm formation. This process involves various molecular systems that enable bacteria to identify appropriate surfaces on which to anchor themselves, to stick to those surfaces and to each other, to construct multicellular communities several hundreds of micrometers thick, and to detach from the community. The biofilm microbial community is a unique, highly competitive, and crowded environment facilitating microevolutionary processes and horizontal gene transfer between distantly related microorganisms. It is governed by social rules, based on the production and use of "public" goods, with actors and recipients. Biofilms constitute a unique shield against external aggressions, including drug treatment and immune reactions. Biofilm-associated infections in humans have therefore generated major problems for the diagnosis and treatment of diseases. Improvements in our understanding of biofilms have led to innovative research designed to interfere with this process

Detection of microRNA Expression in Human Peripheral Blood Microvesicles

MicroRNAs (miRNA) are small non-coding RNAs that regulate translation of mRNA and protein. Loss or enhanced expression of miRNAs is associated with several diseases, including cancer. However, the identification of circulating miRNA in healthy donors is not well characterized. Microvesicles, also known as exosomes or microparticles, circulate in the peripheral blood and can stimulate cellular signaling. In this study, we hypothesized that under normal healthy conditions, microvesicles contain miRNAs, contributing to biological homeostasis.Microvesicles were isolated from the plasma of normal healthy individuals. RNA was isolated from both the microvesicles and matched mononuclear cells and profiled for 420 known mature miRNAs by real-time PCR. Hierarchical clustering of the data sets indicated significant differences in miRNA expression between peripheral blood mononuclear cells (PBMC) and plasma microvesicles. We observed 71 miRNAs co-expressed between microvesicles and PBMC. Notably, we found 33 and 4 significantly differentially expressed miRNAs in the plasma microvesicles and mononuclear cells, respectively. Prediction of the gene targets and associated biological pathways regulated by the detected miRNAs was performed. The majority of the miRNAs expressed in the microvesicles from the blood were predicted to regulate cellular differentiation of blood cells and metabolic pathways. Interestingly, a select few miRNAs were also predicted to be important modulators of immune function.This study is the first to identify and define miRNA expression in circulating plasma microvesicles of normal subjects. The data generated from this study provides a basis for future studies to determine the predictive role of peripheral blood miRNA signatures in human disease and will enable the definition of the biological processes regulated by these miRNA