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

5G network slicing with QKD and quantum-safe security

We demonstrate how the 5G network slicing model can be extended to address data security requirements. In this work we demonstrate two different slice configurations, with different encryption requirements, representing two diverse use-cases for 5G networking: namely, an enterprise application hosted at a metro network site, and a content delivery network. We create a modified software-defined networking (SDN) orchestrator which calculates and provisions network slices according to the requirements, including encryption backed by quantum key distribution (QKD), or other methods. Slices are automatically provisioned by SDN orchestration of network resources, allowing selection of encrypted links as appropriate, including those which use standard Diffie-Hellman key exchange, QKD and quantum-resistant algorithms (QRAs), as well as no encryption at all. We show that the set-up and tear-down times of the network slices takes of the order of 1-2 minutes, which is an order of magnitude improvement over manually provisioning a link today

Improving cluster recovery with feature rescaling factors

The data preprocessing stage is crucial in clustering. Features may describe entities using different scales. To rectify this, one usually applies feature normalisation aiming at rescaling features so that none of them overpowers the others in the objective function of the selected clustering algorithm. In this paper, we argue that the rescaling procedure should not treat all features identically. Instead, it should favour the features that are more meaningful for clustering. With this in mind, we introduce a feature rescaling method that takes into account the within-cluster degree of relevance of each feature. Our comprehensive simulation study, carried out on real and synthetic data, with and without noise features, clearly demonstrates that clustering methods that use the proposed data normalization strategy clearly outperform those that use traditional data normalization

Dual Erb B Inhibition in Oesophago-gastric Cancer (DEBIOC): A phase I dose escalating safety study and randomised dose expansion of AZD8931 in combination with oxaliplatin and capecitabine chemotherapy in patients with oesophagogastric adenocarcinoma

Background: AZD8931 has equipotent activity against epidermal growth factor receptor, erbB2, and erbB3. Primary objectives were to determine the recommended phase II dose (RP2D) of AZD8931 + chemotherapy, and subsequently assess safety/preliminary clinical activity in patients with operable oesophagogastric cancer (OGC). Methods: AZD8931 (20 mg, 40 mg or 60 mg bd) was given with Xelox (oxaliplatin + capecitabine) for eight 21-day cycles, continuously or with intermittent schedule (4 days on/3 off every week; 14 days on/7 off, per cycle) in a rolling-six design. Subsequently, patients with OGC were randomised 2:1 to AZD8931 + Xelox at RP2D or Xelox only for two cycles, followed by radical oesophagogastric surgery. Secondary outcomes were safety, complete resection (R0) rate, six-month progression-free survival (PFS) and overall survival. Results: During escalation, four dose-limiting toxicities were observed among 24 patients: skin rash (1) and failure to deliver 100% of Xelox because of treatment-associated grade III-IV adverse events (AEs) (3: diarrhoea and vomiting; vomiting; fatigue). Serious adverse events (SAE) occurred in 15 of 24 (63%) patients. RP2D was 20-mg bd with the 4/3 schedule. In the expansion phase, 2 of 20 (10%) patients in the Xelox + AZD8931 group and 5/10 (50%) patients in the Xelox group had grade III–IV AEs. Six-month PFS was 85% (90% CI: 66%–94%) in Xelox + AZD8931 and 100% in Xelox alone. Seven deaths (35%) occurred with Xelox + AZD8931 and one (10%) with Xelox. R0 rate was 45% (9/20) with Xelox + AZD8931 and 90% (9/10) with Xelox-alone (P = 0.024). Conclusion: Xelox + AZD8931 (20 mg bd 4/3 days) has an acceptable safety profile administered as neoadjuvant therapy in operable patients with OGC. (Trial registration: EudraCT 2011-003169-13, ISRCTN-68093791)

Carotid axillary bypass in a patient with blocked subclavian stents: a case report

<p>Abstract</p> <p>Introduction</p> <p>Surgical treatment of symptomatic occlusive lesions of the proximal subclavian artery is infrequently necessary. Carotid subclavian bypass has gained popularity and is now considered standard treatment when stenting is not possible. Exposure of the subclavian artery and bypass grafting onto it is difficult, as the vessel is delicate, thin-walled and located deep in the supraclavicular fossa. The thoracic duct and brachial plexus are in close proximity to the left subclavian artery and are therefore susceptible to damage. Distal grafting to the axillary artery instead of the subclavian artery has the potential of avoiding some of these risks. Infraclavicular exposure of the axillary artery is more straightforward. The vessel wall is thicker and is easier to handle. In this case report, we describe a patient with a left proximal subclavian occlusion which was stented twice and blocked on both occasions. The patient underwent a carotid axillary bypass, as grafting onto the subclavian artery was impossible because of the two occluded metal stents.</p> <p>Case presentation</p> <p>A 56-year-old Caucasian woman, a heavy smoker, presented acutely with left arm numbness and pain and blood pressure discrepancies in both arms. A diagnosis of subclavian stenosis was confirmed on the basis of a computed tomographic scan and a magnetic resonance angiogram. The patient had undergone subclavian artery stenting twice, and unfortunately the stents blocked on both occasions. The patient underwent carotid axillary bypass surgery. She had an uneventful recovery and was able to return to a full, normal life.</p> <p>Conclusion</p> <p>Carotid axillary bypass appears to be a good alternative to carotid subclavian bypass in the treatment of symptomatic proximal stenosis or occlusion of the subclavian artery.</p

Immune checkpoint inhibitor-induced colitis is mediated by polyfunctional lymphocytes and is dependent on the IL23/IFNg axis

Immune checkpoint inhibitors (CPIs) have revolutionised cancer treatment, with previously untreatable disease now amenable to potential cure. Combination regimens of anti-CTLA-4 and anti-PD-1 show enhanced efficacy but are prone to off-target immune-mediated tissue injury, particularly at the barrier surfaces. CPI-induced colitis is a common and serious complication. To probe the impact of immune checkpoints on intestinal homeostasis, mice were challenged with combination anti-CTLA-4/anti-PD-1 immunotherapy and manipulation of the intestinal microbiota. Colonic immune responses were profiled using bulk and single-cell RNA-sequencing and flow cytometry. CPI-colitis was dependent on the composition of the intestinal microbiota and was characterized by remodelling of mucosal lymphocytes with induction of polyfunctional lymphocyte responses characterized by increased expression of interferon-γ (IFNγ), other pro-inflammatory cytokines/chemokines (Il22, Il17a Ccl3, Ccl4 and Ccl9), cytotoxicity molecules (Gzmb, Gzma, Prf1, Nkg7) and the chemokine receptor Cxcr6. In comparison with mucosal lymphocytes in the steady state, polyfunctional lymphocytes from both CD4+ and CD8+ lineages upregulated costimulatory molecules and checkpoint molecules in CPI-colitis, indicating that these cells are tightly regulated. CPI-colitis was attenuated following depletion of effector lymphocytes or following blockade of the IL23/IFNγ axis. This study provides new mechanistic insights into CPI-colitis, identifying polyfunctional, cytotoxic lymphocytes as key mediators of disease. Therapeutic targeting of their effector response or regulatory networks, including the IL23/IFNγ axis likely holds the key to preventing and reversing CPI-colitis

Disorder-specific functional abnormalities during sustained attention in youth with Attention Deficit Hyperactivity Disorder (ADHD) and with Autism

Attention Deficit Hyperactivity Disorder (ADHD) and Autism Spectrum Disorder (ASD) are often comorbid and share behavioural-cognitive abnormalities in sustained attention. A key question is whether this shared cognitive phenotype is based on common or different underlying pathophysiologies. To elucidate this question, we compared 20 boys with ADHD to 20 age and IQ matched ASD and 20 healthy boys using functional magnetic resonance imaging (fMRI) during a parametrically modulated vigilance task with a progressively increasing load of sustained attention. ADHD and ASD boys had significantly reduced activation relative to controls in bilateral striato–thalamic regions, left dorsolateral prefrontal cortex (DLPFC) and superior parietal cortex. Both groups also displayed significantly increased precuneus activation relative to controls. Precuneus was negatively correlated with the DLPFC activation, and progressively more deactivated with increasing attention load in controls, but not patients, suggesting problems with deactivation of a task-related default mode network in both disorders. However, left DLPFC underactivation was significantly more pronounced in ADHD relative to ASD boys, which furthermore was associated with sustained performance measures that were only impaired in ADHD patients. ASD boys, on the other hand, had disorder-specific enhanced cerebellar activation relative to both ADHD and control boys, presumably reflecting compensation. The findings show that ADHD and ASD boys have both shared and disorder-specific abnormalities in brain function during sustained attention. Shared deficits were in fronto–striato–parietal activation and default mode suppression. Differences were a more severe DLPFC dysfunction in ADHD and a disorder-specific fronto–striato–cerebellar dysregulation in ASD

A latent trait look at pretest-posttest validation of criterion-referenced test items

Since Cox and Vargas (1966) introduced their pretest-posttest validity index for criterion-referenced test items, a great number of additions and modifications have followed. All are based on the idea of gain scoring; that is, they are computed from the differences between proportions of pretest and posttest item responses. Although the method is simple and generally considered as the prototype of criterion-referenced item analysis, it has many and serious disadvantages. Some of these go back to the fact that it leads to indices based on a dual test administration- and population-dependent item p values. Others have to do with the global information about the discriminating power that these indices provide, the implicit weighting they suppose, and the meaningless maximization of posttest scores they lead to. Analyzing the pretest-posttest method from a latent trait point of view, it is proposed to replace indices like Cox and Vargas’ Dpp by an evaluation of the item information function for the mastery score. An empirical study was conducted to compare the differences in item selection between both methods