Turbocharging Monte Carlo pricing for the rough Bergomi model

The rough Bergomi model, introduced by Bayer, Friz and Gatheral [Quant. Finance 16(6), 887-904, 2016], is one of the recent rough volatility models that are consistent with the stylised fact of implied volatility surfaces being essentially time-invariant, and are able to capture the term structure of skew observed in equity markets. In the absence of analytical European option pricing methods for the model, we focus on reducing the runtime-adjusted variance of Monte Carlo implied volatilities, thereby contributing to the model's calibration by simulation. We employ a novel composition of variance reduction methods, immediately applicable to any conditionally log-normal stochastic volatility model. Assuming one targets implied volatility estimates with a given degree of confidence, thus calibration RMSE, the results we demonstrate equate to significant runtime reductions - roughly 20 times on average, across different correlation regimes

Black carbon concentration trends in Helsinki during 1996?2005

International audienceThe black carbon (BC) concentration trends were studied during ten years in Helsinki, Finland. Measurements were made in three campaigns between 1996 and 2005 at an urban area locating two kilometres from the centre of Helsinki. The first campaign was from November 1996 to June 1997, the second from September 2000 to May 2001 and the third from March 2004 to October 2005. In this study, only data from winter and spring months was analysed. The effect of traffic and meteorological variables on the measured BC concentrations was studied by means of a multiple regression analysis, where the meteorological data was obtained from a meteorological pre-processing model (MPP-FMI). During the ten years, the campaign median BC concentrations were found to decrease slightly from 1.11 to 1.00 ?g m?3. The lowest campaign median concentration (0.93 ?g m?3) was measured during the second campaign in 2000?2001, when also the lowest traffic rates were measured. The strongest decrease between campaigns 1 and 3 was observed during weekday daytimes, when the traffic rates are highest. The variables affecting the measured BC concentrations most were traffic, wind speed and mixing height. On weekdays, traffic had clearly the most important influence and on weekends the effect of wind speed diluted the effect of traffic. The affecting variables and their influence on the BC concentration were similar in winter and spring. The separate examination of the three campaigns showed that the effect of traffic on the BC concentrations had decreased during the studied years. This reduction was caused by cleaner emissions from vehicles, since between years 1996 and 2005 the traffic rates had increased. A rough estimate gave that vehicle number-scaled BC mass concentrations have decreased from 0.0028 to 0.0020 ?g m?3 between campaigns 1 and 3

Temporal variations in black carbon concentrations with different time scales in Helsinki during 1996?2005

International audienceVariations in black carbon (BC) concentrations over different timescales, including annual, weekly and diurnal changes, were studied during ten years in Helsinki, Finland. Measurements were made in three campaigns between 1996 and 2005 at an urban area locating two kilometres of the centre of Helsinki. The first campaign took place from November 1996 to June 1997, the second from September 2000 to May 2001 and the third from March 2004 to October 2005. A detailed comparison between the campaigns was only made for winter and spring months when data from all campaigns existed. The effect of traffic and meteorological variables on the measured BC concentrations was studied by means of a multiple regression analysis, where the meteorological data was obtained from a meteorological pre-processing model (MPP-FMI). The BC concentrations showed annual pattern with maxima in fall and late winter due to the weakened mixing and enhanced emissions. Between 1996 and 2005, the campaign median BC concentrations decreased slightly from 1.11 to 1.00 ?g m?3. The lowest campaign median concentration (0.93 ?g m?3) was measured during the second campaign in 2000?2001, when also the lowest traffic rates were measured. The strongest decrease between Campaigns 1 and 3 was observed on weekday daytimes, when also the traffic rates are highest. The variables affecting the measured BC concentrations most were traffic, wind speed and mixing height. On weekdays, traffic had clearly the most important influence before the wind speed and on weekends the effect of wind speed diluted the effect of traffic. The affecting variables and their influence on the BC concentrations were similar in winter and spring. The separate examination of the three campaigns showed that the effect of traffic on the BC concentrations had decreased during the studied years. This reduction was caused by lower emitting vehicles, since between years 1996 and 2005 the traffic rates had increased

Size distributions, sources and source areas of water-soluble organic carbon in urban background air

International audienceThis paper represents the results of one year long measurement period of the size distributions of water-soluble organic carbon (WSOC), inorganic ions and gravimetric mass of particulate matter. Measurements were done at an urban background station (SMEAR III) by using a micro-orifice uniform deposit impactor (MOUDI). The site is located in northern European boreal region in Helsinki, Finland. The WSOC size distribution measurements were completed with the chemical analysis of inorganic ions, organic carbon (OC) and monosaccharide anhydrides from the filter samples. During the measurements gravimetric mass in the MOUDI collections varied between 3.4 and 55.0 ?g m?3 and the WSOC concentration was between 0.3 and 7.4 ?g m?3. On average, water-soluble particulate organic matter (WSPOM, WSOC multiplied by 1.6) comprised 25±7.7% and 7.5±3.4% of aerosol PM1 mass and the PM1?10 mass, respectively. Inorganic ions contributed 33±12% and 28±19% of the analyzed PM1 and PM1?10 aerosol mass. Five different aerosol categories corresponding to different sources or source areas were identified (long-range transport aerosols, biomass burning aerosols from wild land fires and from small-scale wood combustion, aerosols originating from marine areas and from the clean arctic areas). Clear differences in WSOC concentrations and size distributions originating from different sources or source areas were observed, although there are also many other factors which might affect the results. E.g. the local conditions and sources of volatile organic compounds (VOCs) and aerosols as well as various transformation processes are likely to have an impact on the measured aerosol composition. Using the source categories, it was identified that especially the oxidation products of biogenic VOCs in summer had a clear effect on WSOC concentrations

Increased Oxidative Burden Associated with Traffic Component of Ambient Particulate Matter at Roadside and Urban Background Schools Sites in London

As the incidence of respiratory and allergic symptoms has been reported to be increased in children attending schools in close proximity to busy roads, it was hypothesised that PM from roadside schools would display enhanced oxidative potential (OP). Two consecutive one-week air quality monitoring campaigns were conducted at seven school sampling sites, reflecting roadside and urban background in London. Chemical characteristics of size fractionated particulate matter (PM) samples were related to the capacity to drive biological oxidation reactions in a synthetic respiratory tract lining fluid. Contrary to hypothesised contrasts in particulate OP between school site types, no robust size-fractionated differences in OP were identified due high temporal variability in concentrations of PM components over the one-week sampling campaigns. For OP assessed both by ascorbate (OPAA m−3) and glutathione (OPGSH m−3) depletion, the highest OP per cubic metre of air was in the largest size fraction, PM1.9–10.2. However, when expressed per unit mass of particles OPAA µg−1 showed no significant dependence upon particle size, while OPGSH µg−1 had a tendency to increase with increasing particle size, paralleling increased concentrations of Fe, Ba and Cu. The two OP metrics were not significantly correlated with one another, suggesting that the glutathione and ascorbate depletion assays respond to different components of the particles. Ascorbate depletion per unit mass did not show the same dependence as for GSH and it is possible that other trace metals (Zn, Ni, V) or organic components which are enriched in the finer particle fractions, or the greater surface area of smaller particles, counter-balance the redox activity of Fe, Ba and Cu in the coarse particles. Further work with longer-term sampling and a larger suite of analytes is advised in order to better elucidate the determinants of oxidative potential, and to fuller explore the contrasts between site types.\ud \u

Level structure of 153Dy and the competition between collective and few-particle excitation modes in Dy Nuclei

The 153Dy level structure has been studied through the 124Sn(34S, 5n) reaction. The low-spin collective character of 153Dy gives way to single particle yrast configurations at I > 41 2; an I= 47 2 isomer at 5591 ke V shows the single particle character (and overall oblate shape) to be well established at that spin. Nuclear shape charges in Dy nuclei are discussed

Four-valence-proton yrast states in Er8268150

The level structure of the four-valence-proton N=82 nucleus Er150 has been studied by -ray spectroscopy following reactions of 225-255 MeV Ni58,60 beams on Mo92,94,95 and Nb93 targets. Yrast levels in Er150 are established up to 9.5 MeV excitation energy; they include isomeric levels at 2797, 7372, and 9509 keV. The observed levels up to 5222 keV are interpreted in terms of shell model configurations involving the four valence protons outside the Gd146 core. They include states with dominant seniority two and four configurations h1124, h1123s12, and h1123d32, and octupole excitations. The levels above 5222 keV must involve excitation of the Gd146 core, and they are not interpreted in detail. The energies of the h1124 levels are found to agree reasonably with predictions based on empirical two-body interactions taken from the h1122 spectrum of Dy148. Even better agreement is obtained by taking account also of the known h1123 energies in Ho149. The dependence of E2 transition probabilities in N=82 nuclei on the h112 subshell occupation number is discussed

Triglyceride Blisters in Lipid Bilayers: Implications for Lipid Droplet Biogenesis and the Mobile Lipid Signal in Cancer Cell Membranes

Triglycerides have a limited solubility, around 3%, in phosphatidylcholine lipid bilayers. Using millisecond-scale course grained molecular dynamics simulations, we show that the model lipid bilayer can accommodate a higher concentration of triolein (TO) than earlier anticipated, by sequestering triolein molecules to the bilayer center in the form of a disordered, isotropic, mobile neutral lipid aggregate, at least 17 nm in diameter, which forms spontaneously, and remains stable on at least the microsecond time scale. The results give credence to the hotly debated existence of mobile neutral lipid aggregates of unknown function present in malignant cells, and to the early biogenesis of lipid droplets accommodated between the two leaflets of the endoplasmic reticulum membrane. The TO aggregates give the bilayer a blister-like appearance, and will hinder the formation of multi-lamellar phases in model, and possibly living membranes. The blisters will result in anomalous membrane probe partitioning, which should be accounted for in the interpretation of probe-related measurements

Head-to-Head Comparison of Humoral Immune Responses to Vi Capsular Polysaccharide and Salmonella Typhi Ty21a Typhoid Vaccines-A Randomized Trial

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