A stochastic control approach to No-Arbitrage bounds given marginals, with an application to Lookback options

We consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes with some given maturity. This problem is classically approached by means of the Skorohod Embedding Problem (SEP). Instead, we provide a dual formulation which converts the superhedging problem into a continuous martingale optimal transportation problem. We then show that this formulation allows to recover previously known results about Lookback options. In particular, our methodology induces a new presentation of the Azema-Yor solution of the SEP.Forthoming

On Human Capital and Team Stability

In many economic contexts, agents from a same population team up to better exploit their human capital. In such contexts (often called “roommate matching problems”), stable matchings may fail to exist even when utility is transferable. We show that when each individual has a close substitute, a stable matching can be implemented with minimal policy intervention. Our results shed light on the stability of partnerships on the labor market. Moreover, they imply that the tools crafted in empirical studies of the marriage problem can easily be adapted to many roommate problems

The Roommate Problem is More Stable than You Think

Stable matchings may fail to exist in the roommate matching problem, both when utility is transferable and when it is not. We show that when utility is transferable, the existence of a stable matching is restored when there is an even number of individuals of indistinguishable characteristics and tastes (types). As a consequence, when the number of individuals of any given type is large enough there always exist quasi-stable matchings: a stable matching can be restored with minimal policy intervention. Our results build on an analogy with an associated bipartite problem; it follows that the tools crafted in empirical studies of the marriage problem can easily be adapted to the roommate problem

Unrecognized sequence homologies may confound genome-wide association studies

Genome-wide association studies (GWAS) have become a preferred method to identify new genetic susceptibility loci. This technique aims to understanding the molecular etiology of common diseases, but in many cases, it has led to the identification of loci with no obvious biological relevance. Herein, we show that previously unrecognized sequence homologies have caused single-nucleotide polymorphism (SNP) microarrays to incorrectly associate a phenotype to a given locus when in fact the linkage is to another distant locus. Using genetic differences between male and female subjects as a model to study the effect of one specific genomic region on the whole SNP microarray, we provide strong evidence that the use of standard methods for GWAS can be misleading. We suggest a new systematic quality control step in the biological interpretation of previous and future GWAS

Epithelial to mesenchymal transition as a biomarker in renal fibrosis: are we ready for the bedside?

International audienceOver the past two decades, the concept of the epithelial to mesenchymal transition (EMT) has been imported from embryology and oncology to fibrosis, particularly in the kidney. This interest in EMT in the context of renal fibrosis stems from observations of epithelial cells undergoing phenotypic changes reminiscent of fibroblasts. Whether EMT is actually a source of interstitial fibroblasts has been the subject of heated debate, and this controversy has caused physicians to neglect the value of EMT as a biomarker in renal fibrosis. In this review, we describe the evolution of the techniques used to detect EMT during fibrosing renal diseases, and what information they provide in the diagnosis of various renal diseases. Highlighting the great heterogeneity of these techniques and the need to standardize them, we warn against some misleading uses of EMT markers. We suggest using the association of vimentin and β-catenin for the diagnosis of EMT in renal pathology because it is both sensitive and prognostic, thus satisfying the properties required for a screening test. Finally, we discuss the potential interests to diagnose EMT for the comprehension of renal fibrosis and for clinical practice

Evidence of dipstick superiority over urine microscopy analysis for detection of hematuria

International audienceBackgroundThere is an unresolved debate on the best screening method for hematuria as a symptom of glomerulonephritis or urological malignancies. The urinary dipstick is generally considered as an imperfect surrogate for urine microscopy analysis.ResultsWe designed a study to compare urine microscopy analysis, urinary dipstick and flow cytometry, using controlled dilutions of blood in urine samples from volunteers collected in two different physiologically-relevant conditions (basal state and hyperhydration). We found that although all techniques were 100 % effective in detecting hematuria at basal state, these results were variably reproduced when testing the same final amount of hematuria in urine collected after hyperhydration. Our data shows a variable sensitivity for the detection of hematuria by urine microscopy analysis or flow cytometry, but not by urinary dipstick.ConclusionsUrinary dipstick qualifies as a better screening test for hematuria than urine microscopy analysis or flow cytometry, as it is sensitive and performs better in unstandardized conditions. It is universally available and also faster and cheaper than cytometric techniques