Implied volatility of basket options at extreme strikes

In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dynamics of asset prices are described by the multidimensional Black-Scholes model. Next, we find the leading term of asymptotics of the implied volatility in the case where the asset prices follow the multidimensional Black-Scholes model with time change by an independent increasing stochastic process. Finally, we deal with a general situation in which the dependence between the assets is described by a given copula function. In this setting, we obtain a model-free tail-wing formula that links the implied volatility to a special characteristic of the copula called the weak lower tail dependence function

Phase I study of MLN8237—investigational Aurora A kinase inhibitor—in relapsed/refractory multiple myeloma, Non-Hodgkin lymphoma and chronic lymphocytic leukemia

Purpose Amplification or over-expression of the mitotic Aurora A kinase (AAK) has been reported in several heme-lymphatic malignancies. MLN8237 (alisertib) is a novel inhibitor of AAK that is being developed for the treatment of advanced malignancies. The objectives of this phase I study were to establish the safety, tolerability, and pharmacokinetic profiles of escalating doses of MLN8237 in patients with relapsed or refractory heme-lymphatic malignancies. Methods Sequential cohorts of patients received MLN8237 orally as either a powder-in-capsule (PIC) or enteric-coated tablet (ECT) formulation. Patients received MLN8237 PIC 25–90 mg for 14 or 21 consecutive days plus 14 or 7 days’ rest, respectively, or MLN8237 ECT, at a starting dose of 40 mg/day once-daily (QD) for 14 days plus 14 days’ rest, all in 28-day cycles. Subsequent cohorts received MLN8237 ECT 30–50 mg twice-daily (BID) for 7 days plus 14 days’ rest in 21-day cycles. Results Fifty-eight patients were enrolled (PIC n = 28, ECT n = 30). The most frequent grade ≥3 drug-related toxicities were neutropenia (45 %), thrombocytopenia (28 %), anemia (19 %), and leukopenia (19 %). The maximum tolerated dose on the ECT 7-day schedule was 50 mg BID. The terminal half-life of MLN8237 was approximately 19 h. Six (13 %) patients achieved partial responses and 13 (28 %) stable disease. Conclusion The recommended phase II dose of MLN8237 ECT is 50 mg BID for 7 days in 21-day cycles, which is currently being evaluated as a single agent in phase II/III trials in patients with peripheral T-cell lymphoma. ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:10.1007/s10637-013-0050-9) contains supplementary material, which is available to authorized users

Mean-Field Limits Beyond Ordinary Differential Equations

16th International School on Formal Methods for the Design of Computer, Communication, and Software Systems, SFM 2016, Bertinoro, Italy, June 20-24, 2016, Advanced LecturesInternational audienceWe study the limiting behaviour of stochastic models of populations of interacting agents, as the number of agents goes to infinity. Classical mean-field results have established that this limiting behaviour is described by an ordinary differential equation (ODE) under two conditions: (1) that the dynamics is smooth; and (2) that the population is composed of a finite number of homogeneous sub-populations, each containing a large number of agents. This paper reviews recent work showing what happens if these conditions do not hold. In these cases, it is still possible to exhibit a limiting regime at the price of replacing the ODE by a more complex dynamical system. In the case of non-smooth or uncertain dynamics, the limiting regime is given by a differential inclusion. In the case of multiple population scales, the ODE is replaced by a stochastic hybrid automaton

Crafting the Composite Garment: The role of hand weaving in digital creation

There is a growing body of practice-led textile research, focused on how digital technologies can inform new design and production strategies that challenge and extend the field. To date, this research has emphasized a traditional linear transition between hand and digital production; with hand production preceding digital as a means of acquiring the material and process knowledge required to negotiate technologies and conceptualize designs. This paper focuses on current Doctoral research into the design and prototyping of 3D woven or 'composite' garments and how the re-learning, or reinterpreting, of hand weaving techniques in a digital Jacquard format relies heavily on experiential knowledge of craft weaving skills. Drawing parallels between hand weaving and computer programming, that extend beyond their shared binary (pixel-based) language, the paper discusses how the machine-mediated experience of hand weaving can prime the weaver to ‘think digitally’ and make the transition to digital production. In a process where the weaver acts simultaneously as designer, constructor and programmer, the research explores the inspiring, but often indefinable space between craft and digital technology by challenging the notion that 'the relationship between hand, eye and material’ naturally precedes the use of computing (Harris 2012: 93). This is achieved through the development of an iterative working methodology that encompasses a cycle of transitional development, where hand weaving and digital processes take place in tandem, and techniques and skills are reinterpreted to exploit the advantages and constraints of each construction method. It is argued that the approach challenges the codes and conventions of computer programming, weaving and fashion design to offer a more sustainable clothing solution

After the sunset: the residual effect of temporary legislation

The difference between permanent legislation and temporary legislation is the default rule of termination: permanent legislation governs perpetually, while temporary legislation governs for a limited time. Recent literature on legislative timing rules considers the effect of temporary legislation to stop at the moment of expiration. When the law expires, so does its regulatory effect. This article extends that literature by examining the effect of temporary legislation beyond its expiration. We show that in addition to affecting compliance behavior which depends on statutory enforcement, temporary legislation also affects compliance behavior which does not depend on statutory enforcement, and more generally, organizational behavior after a sunset. When temporary legislation expires therefore, it can continue to administer regulatory and other effects. We specify the conditions for this process and give the optimal legislative response

Stochastic Approximation to Understand Simple Simulation Models

This paper illustrates how a deterministic approximation of a stochastic process can be usefully applied to analyse the dynamics of many simple simulation models. To demonstrate the type of results that can be obtained using this approximation, we present two illustrative examples which are meant to serve as methodological references for researchers exploring this area. Finally, we prove some convergence results for simulations of a family of evolutionary games, namely, intra-population imitation models in n-player games with arbitrary payoffs.Ministerio de Educación (JC2009- 00263), Ministerio de Ciencia e Innovación (CONSOLIDER-INGENIO 2010: CSD2010-00034, DPI2010-16920

Requirement for Ergosterol in V-ATPase Function Underlies Antifungal Activity of Azole Drugs

Ergosterol is an important constituent of fungal membranes. Azoles inhibit ergosterol biosynthesis, although the cellular basis for their antifungal activity is not understood. We used multiple approaches to demonstrate a critical requirement for ergosterol in vacuolar H+-ATPase function, which is known to be essential for fungal virulence. Ergosterol biosynthesis mutants of S. cerevisiae failed to acidify the vacuole and exhibited multiple vma~ phenotypes. Extraction of ergosterol from vacuolar membranes also inactivated V-ATPase without disrupting membrane association of its subdomains. In both S. cerevisiae and the fungal pathogen C. albicans, fluconazole impaired vacuolar acidification, whereas concomitant ergosterol feeding restored V-ATPase function and cell growth. Furthermore, fluconazole exacerbated cytosolic Ca2+ and H+ surges triggered by the antimicrobial agent amiodarone, and impaired Ca2+ sequestration in purified vacuolar vesicles. These findings provide a mechanistic basis for the synergy between azoles and amiodarone observed in vitro. Moreover, we show the clinical potential of this synergy in treatment of systemic fungal infections using a murine model of Candidiasis. In summary, we demonstrate a new regulatory component in fungal V-ATPase function, a novel role for ergosterol in vacuolar ion homeostasis, a plausible cellular mechanism for azole toxicity in fungi, and preliminary in vivo evidence for synergism between two antifungal agents. New insights into the cellular basis of azole toxicity in fungi may broaden therapeutic regimens for patient populations afflicted with systemic fungal infections.Fil: Zhang, Yong-Qiang. Johns Hopkins School Of Medicine;Fil: Gamarra, Maria Soledad. Public Health Research Institute;Fil: Garcia, Guillermo Manuel. Universidad Nacional del Litoral; ArgentinaFil: Park, Steven. Public Health Research Institute;Fil: Perlin, David S.. Public Health Research Institute;Fil: Rao, Rajini. Johns Hopkins School Of Medicine