Option pricing in affine generalized Merton models

In this article we consider affine generalizations of the Merton jump diffusion model [Merton, J. Fin. Econ., 1976] and the respective pricing of European options. On the one hand, the Brownian motion part in the Merton model may be generalized to a log-Heston model, and on the other hand, the jump part may be generalized to an affine process with possibly state dependent jumps. While the characteristic function of the log-Heston component is known in closed form, the characteristic function of the second component may be unknown explicitly. For the latter component we propose an approximation procedure based on the method introduced in [Belomestny et al., J. Func. Anal., 2009]. We conclude with some numerical examples

Utilizing qualitative data from nominal groups: Exploring the influences on treatment outcome prioritization with rheumatoid arthritis patients

The nominal group technique generates quantitative data through a process of experts ranking items of interest. This article focuses on the additional collection of qualitative data from nominal groups with rheumatoid arthritis (RA) patients, used to explore the influences on prioritizing treatment outcomes. Across all groups, the top five outcomes with the highest importance scores were identified as: pain; joint damage; fatigue; activities of daily living; and mobility. Qualitative findings showed that the personal impact of RA influenced decisions on how to rank specific outcomes through four domains: disease impact; adaptation to illness; external resources and stressors; and social expectations. © The Author(s) 2011

The Sec1/Munc18 protein Vps45 regulates cellular levels of its SNARE binding partners Tlg2 and Snc2 in Saccharomyces cerevisiae

Intracellular membrane trafficking pathways must be tightly regulated to ensure proper functioning of all eukaryotic cells. Central to membrane trafficking is the formation of specific SNARE (soluble N-ethylmeleimide-sensitive factor attachment protein receptor) complexes between proteins on opposing lipid bilayers. The Sec1/Munc18 (SM) family of proteins play an essential role in SNARE-mediated membrane fusion, and like the SNAREs are conserved through evolution from yeast to humans. The SM protein Vps45 is required for the formation of yeast endosomal SNARE complexes and is thus essential for traffic through the endosomal system. Here we report that, in addition to its role in regulating SNARE complex assembly, Vps45 regulates cellular levels of its SNARE binding partners: the syntaxin Tlg2 and the v-SNARE Snc2: Cells lacking Vps45 have reduced cellular levels of Tlg2 and Snc2; and elevation of Vps45 levels results in concomitant increases in the levels of both Tlg2 and Snc2. As well as regulating traffic through the endosomal system, the Snc v-SNAREs are also required for exocytosis. Unlike most vps mutants, cells lacking Vps45 display multiple growth phenotypes. Here we report that these can be reversed by selectively restoring Snc2 levels in vps45 mutant cells. Our data indicate that as well as functioning as part of the machinery that controls SNARE complex assembly, Vps45 also plays a key role in determining the levels of its cognate SNARE proteins; another key factor in regulation of membrane traffic

The Energy Landscape, Folding Pathways and the Kinetics of a Knotted Protein

The folding pathway and rate coefficients of the folding of a knotted protein are calculated for a potential energy function with minimal energetic frustration. A kinetic transition network is constructed using the discrete path sampling approach, and the resulting potential energy surface is visualized by constructing disconnectivity graphs. Owing to topological constraints, the low-lying portion of the landscape consists of three distinct regions, corresponding to the native knotted state and to configurations where either the N- or C-terminus is not yet folded into the knot. The fastest folding pathways from denatured states exhibit early formation of the N-terminus portion of the knot and a rate-determining step where the C-terminus is incorporated. The low-lying minima with the N-terminus knotted and the C-terminus free therefore constitute an off-pathway intermediate for this model. The insertion of both the N- and C-termini into the knot occur late in the folding process, creating large energy barriers that are the rate limiting steps in the folding process. When compared to other protein folding proteins of a similar length, this system folds over six orders of magnitude more slowly.Comment: 19 page

Efficient assembly of very short oligonucleotides using T4 DNA Ligase

<p>Abstract</p> <p>Background</p> <p>In principle, a pre-constructed library of all possible short oligonucleotides could be used to construct many distinct gene sequences. In order to assess the feasibility of such an approach, we characterized T4 DNA Ligase activity on short oligonucleotide substrates and defined conditions suitable for assembly of a plurality of oligonucleotides.</p> <p>Findings</p> <p>Ligation by T4 DNA Ligase was found to be dependent on the formation of a double stranded DNA duplex of at least five base pairs surrounding the site of ligation. However, ligations could be performed effectively with overhangs smaller than five base pairs and oligonucleotides as small as octamers, in the presence of a second, complementary oligonucleotide. We demonstrate the feasibility of simultaneous oligonucleotide phosphorylation and ligation and, as a proof of principle for DNA synthesis through the assembly of short oligonucleotides, we performed a hierarchical ligation procedure whereby octamers were combined to construct a target 128-bp segment of the beta-actin gene.</p> <p>Conclusions</p> <p>Oligonucleotides as short as 8 nucleotides can be efficiently assembled using T4 DNA Ligase. Thus, the construction of synthetic genes, without the need for custom oligonucleotide synthesis, appears feasible.</p

Repetitive arm functional tasks after stroke (RAFTAS): a pilot randomised controlled trial

Background Repetitive functional task practise (RFTP) is a promising treatment to improve upper limb recovery following stroke. We report the findings of a study to determine the feasibility of a multi-centre randomised controlled trial to evaluate this intervention. Methods A pilot randomised controlled trial was conducted. Patients with new reduced upper limb function were recruited within 14 days of acute stroke from three stroke units in North East England. Participants were randomised to receive a four week upper limb RFTP therapy programme consisting of goal setting, independent activity practise, and twice weekly therapy reviews in addition to usual post stroke rehabilitation, or usual post stroke rehabilitation. The recruitment rate; adherence to the RFTP therapy programme; usual post stroke rehabilitation received; attrition rate; data quality; success of outcome assessor blinding; adverse events; and the views of study participants and therapists about the intervention were recorded. Results Fifty five eligible patients were identified, 4-6% of patients screened at each site. Twenty four patients participated in the pilot study. Two of the three study sites met the recruitment target of 1-2 participants per month. The median number of face to face therapy sessions received was 6 [IQR 3-8]. The median number of daily repetitions of activities recorded was 80 [IQR 39-80]. Data about usual post stroke rehabilitation were available for 18/24 (75%). Outcome data were available for 22/24 (92%) at one month and 20/24 (83%) at three months. Outcome assessors were unblinded to participant group allocation for 11/22 (50%) at one month and 6/20 (30%) at three months. Four adverse events were considered serious as they resulted in hospitalisation. None were related to study treatment. Feedback from patients and local NHS therapists about the RFTP programme was mainly positive. Conclusions A multi-centre randomised controlled trial to evaluate an upper limb RFTP therapy programme provided early after stroke is feasible and acceptable to patients and therapists, but there are issues which needed to be addressed when designing a Phase III study. A Phase III study will need to monitor and report not only recruitment and attrition but also adherence to the intervention, usual post stroke rehabilitation received, and outcome assessor blinding

Support and Assessment for Fall Emergency Referrals (SAFER 1) trial protocol. Computerised on-scene decision support for emergency ambulance staff to assess and plan care for older people who have fallen: evaluation of costs and benefits using a pragmatic cluster randomised trial

Background: Many emergency ambulance calls are for older people who have fallen. As half of them are left at home, a community-based response may often be more appropriate than hospital attendance. The SAFER 1 trial will assess the costs and benefits of a new healthcare technology - hand-held computers with computerised clinical decision support (CCDS) software - to help paramedics decide who needs hospital attendance, and who can be safely left at home with referral to community falls services. Methods/Design: Pragmatic cluster randomised trial with a qualitative component. We shall allocate 72 paramedics ('clusters') at random between receiving the intervention and a control group delivering care as usual, of whom we expect 60 to complete the trial. Patients are eligible if they are aged 65 or older, live in the study area but not in residential care, and are attended by a study paramedic following an emergency call for a fall. Seven to 10 days after the index fall we shall offer patients the opportunity to opt out of further follow up. Continuing participants will receive questionnaires after one and 6 months, and we shall monitor their routine clinical data for 6 months. We shall interview 20 of these patients in depth. We shall conduct focus groups or semi-structured interviews with paramedics and other stakeholders. The primary outcome is the interval to the first subsequent reported fall (or death). We shall analyse this and other measures of outcome, process and cost by 'intention to treat'. We shall analyse qualitative data thematically. Discussion: Since the SAFER 1 trial received funding in August 2006, implementation has come to terms with ambulance service reorganisation and a new national electronic patient record in England. In response to these hurdles the research team has adapted the research design, including aspects of the intervention, to meet the needs of the ambulance services. In conclusion this complex emergency care trial will provide rigorous evidence on the clinical and cost effectiveness of CCDS for paramedics in the care of older people who have fallen

The United Kingdom Research study into Ethnicity And COVID-19 outcomes in Healthcare workers (UK-REACH): Protocol for a prospective longitudinal cohort study of healthcare and ancillary workers in UK healthcare settings

Introduction: The COVID-19 pandemic has resulted in significant morbidity and mortality, and has devastated economies in many countries. Amongst the groups identified as being at increased risk from COVID-19 are healthcare workers (HCWs) and ethnic minority groups. Emerging evidence suggests HCWs from ethnic minority groups are at increased risk of adverse COVID-19-related physical and mental health outcomes. To date there has been no large-scale analysis of these risks in UK healthcare workers or ancillary workers in healthcare settings, stratified by ethnicity or occupation type, and adjusted for potential confounders. This paper reports the protocol for a prospective longitudinal questionnaire study of UK HCWs, as part of the UK-REACH programme (The United Kingdom Research study into Ethnicity And COVID-19 outcomes in Healthcare workers). Methods and analysis: A baseline questionnaire with follow-up questionnaires at 4 and 8 months will be administered to a national cohort of UK healthcare workers and ancillary workers in healthcare settings, and those registered with UK healthcare regulators. With consent, data will be linked to health records, and participants followed up for 25 years. Univariate associations between ethnicity and primary outcome measures (clinical COVID-19 outcomes, and physical and mental health) and key confounders/explanatory variables will be tested, followed by multivariable analyses to test for associations between ethnicity and key outcomes adjusted for the confounder/explanatory variables, with interactions included as appropriate. Using follow-up data, multilevel models will be used to model changes over time by ethnic group, facilitating understanding of absolute and relative risks in different ethnic groups, and generalisability of findings. Ethics and dissemination: The study is approved by Health Research Authority (reference 20/HRA/4718), and carries minimal risk to participants. We aim to manage the small risk of participant distress due to being asked questions on sensitive topics by clearly indicating on the participant information sheet that the questionnaire covers sensitive topics and that participants are under no obligation to answer these, or indeed any other, questions, and by providing links to support organisations. Results will be disseminated with reports to Government and papers uploaded to pre-print servers and submitted to peer reviewed journals. Registration details Trial ID: ISRCTN11811602 STRENGTHS AND LIMITATIONS OF THIS STUDY National, UK-wide, study, aiming to capture variety of healthcare worker job roles including ancillary workers in healthcare settings. Longitudinal study including three waves of questionnaire data collection, and linkage to administrative data over 25 years, with consent. Unique support from all major UK healthcare worker regulators, relevant healthcare worker organisations, and a Professional Expert Panel to increase participant uptake and the validity of findings. Potential for self-selection bias and low response rates, and the use of electronic invitations and online data collection makes it harder to reach ancillary workers without regular access to work email addresses