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

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

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

Reconstruction and measurement of (100) MeV energy electromagnetic activity from π0 arrow γγ decays in the MicroBooNE LArTPC

We present results on the reconstruction of electromagnetic (EM) activity from photons produced in charged current νμ interactions with final state π0s. We employ a fully-automated reconstruction chain capable of identifying EM showers of (100) MeV energy, relying on a combination of traditional reconstruction techniques together with novel machine-learning approaches. These studies demonstrate good energy resolution, and good agreement between data and simulation, relying on the reconstructed invariant π0 mass and other photon distributions for validation. The reconstruction techniques developed are applied to a selection of νμ + Ar → μ + π0 + X candidate events to demonstrate the potential for calorimetric separation of photons from electrons and reconstruction of π0 kinematics

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

Gain-loss based convex risk limits in discrete-time trading

Cataloged from PDF version of article.We present an approach for pricing and hedging in incomplete markets, which encompasses other recently introduced approaches for the same purpose. In a discrete time, finite space probability framework conducive to numerical computation we introduce a gain–loss ratio based restriction controlled by a loss aversion parameter, and characterize portfolio values which can be traded in discrete time to acceptability. The new risk measure specializes to a well-known risk measure (the Carr–Geman– Madan risk measure) for a specific choice of the risk aversion parameter, and to a robust version of the gain–loss measure (the Bernardo–Ledoit proposal) for a specific choice of thresholds. The result implies potentially tighter price bounds for contingent claims than the no-arbitrage price bounds. We illustrate the price bounds through numerical examples from option pricing

Chronic non-specific low back pain - sub-groups or a single mechanism?

Copyright 2008 Wand and O'Connell; licensee BioMed Central Ltd. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/2.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.Background: Low back pain is a substantial health problem and has subsequently attracted a considerable amount of research. Clinical trials evaluating the efficacy of a variety of interventions for chronic non-specific low back pain indicate limited effectiveness for most commonly applied interventions and approaches. Discussion: Many clinicians challenge the results of clinical trials as they feel that this lack of effectiveness is at odds with their clinical experience of managing patients with back pain. A common explanation for this discrepancy is the perceived heterogeneity of patients with chronic non-specific low back pain. It is felt that the effects of treatment may be diluted by the application of a single intervention to a complex, heterogeneous group with diverse treatment needs. This argument presupposes that current treatment is effective when applied to the correct patient. An alternative perspective is that the clinical trials are correct and current treatments have limited efficacy. Preoccupation with sub-grouping may stifle engagement with this view and it is important that the sub-grouping paradigm is closely examined. This paper argues that there are numerous problems with the sub-grouping approach and that it may not be an important reason for the disappointing results of clinical trials. We propose instead that current treatment may be ineffective because it has been misdirected. Recent evidence that demonstrates changes within the brain in chronic low back pain sufferers raises the possibility that persistent back pain may be a problem of cortical reorganisation and degeneration. This perspective offers interesting insights into the chronic low back pain experience and suggests alternative models of intervention. Summary: The disappointing results of clinical research are commonly explained by the failure of researchers to adequately attend to sub-grouping of the chronic non-specific low back pain population. Alternatively, current approaches may be ineffective and clinicians and researchers may need to radically rethink the nature of the problem and how it should best be managed

Calibration of the charge and energy loss per unit length of the MicroBooNE liquid argon time projection chamber using muons and protons

We describe a method used to calibrate the position- and time-dependent response of the MicroBooNE liquid argon time projection chamber anode wires to ionization particle energy loss. The method makes use of crossing cosmic-ray muons to partially correct anode wire signals for multiple effects as a function of time and position, including cross-connected TPC wires, space charge effects, electron attachment to impurities, diffusion, and recombination. The overall energy scale is then determined using fully-contained beam-induced muons originating and stopping in the active region of the detector. Using this method, we obtain an absolute energy scale uncertainty of 2% in data. We use stopping protons to further refine the relation between the measured charge and the energy loss for highly-ionizing particles. This data-driven detector calibration improves both the measurement of total deposited energy and particle identification based on energy loss per unit length as a function of residual range. As an example, the proton selection efficiency is increased by 2% after detector calibration

Fresh-blood-free diet for rearing malaria mosquito vectors

Mosquito breeding depends on the supply of fresh vertebrate blood, a major bottleneck for large-scale production of Anopheles spp. Feeding alternatives to fresh blood are thus a priority for research, outdoor large-cage trials and control interventions. Several artificial meal compositions were tested and Anopheles oogenesis, egg laying and development into the next generation of adult mosquitoes were followed. We identified blood-substitute-diets that supported ovarian development, egg maturation and fertility as well as, low progeny larval mortality, and normal development of offspring into adult mosquitoes. The formulated diet is an effective artificial meal, free of fresh blood that mimics a vertebrate blood meal and represents an important advance for the sustainability of Anopheles mosquito rearing in captivity.Agência financiadora / Número do subsídio Bill and Melinda Gates Foundation OPP1138841 Fundacao para a Ciencia e Tecnologia GHTM - UID/Multi/04413/201 CCMAR - UID/Multi/04326/2013 UID/Multi/04326/2013 RF SFRH/BPD/89811/2012 FAPEAM, Brazil 19716.UNI472.2459.20022014info:eu-repo/semantics/publishedVersio