Local Volatility Calibration by Optimal Transport

The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion process that matches the known densities of an asset price at two different dates, while minimizing a chosen cost function. Inspired by the seminal work of Benamou and Brenier [1], we formulate the problem as a convex optimization problem, derive its dual formulation, and solve it numerically via an augmented Lagrangian method and the alternative direction method of multipliers (ADMM) algorithm. The solution effectively reconstructs the dynamic of the asset price between the two dates by recovering the optimal local volatility function, without requiring any time interpolation of the option prices

Social isolation, cognitive reserve, and cognition in older people with depression and anxiety

This is the final version. Available on open access from Taylor & Francis via the DOI in this record. Objectives: Poor social connections may be associated with poor cognition in older people who are not experiencing mental health problems, and the trajectory of this association may be moderated by cognitive reserve. However, it is unclear whether this relationship is the same for older people with symptoms of depression and anxiety. This paper aims to explore social relationships and cognitive function in older people with depression and anxiety. Method: Baseline and two-year follow-up data were analysed from the Cognitive Function and Ageing Study–Wales (CFAS-Wales). We compared levels of social isolation, loneliness, social contact, cognitive function, and cognitive reserve at baseline amongst older people with and without depression or anxiety. Linear regression was used to assess the relationship between isolation and cognition at baseline and two-year follow-up in a subgroup of older people meeting pre-defined criteria for depression or anxiety. A moderation analysis tested for the moderating effect of cognitive reserve. Results: Older people with depression or anxiety perceived themselves as more isolated and lonely than those without depression or anxiety, despite having an equivalent level of social contact with friends and family. In people with depression or anxiety, social isolation was associated with poor cognitive function at baseline, but not with cognitive change at two-year follow-up. Cognitive reserve did not moderate this association. Conclusion: Social isolation was associated with poor cognitive function at baseline, but not two-year follow-up. This may be attributed to a reduction in mood-related symptoms at follow-up, linked to improved cognitive function.Economic and Social Research Council (ESRC)Alzheimer’s Societ

Brain glucose sensing, glucokinase and neural control of metabolism and islet function.

It is increasingly apparent that the brain plays a central role in metabolic homeostasis, including the maintenance of blood glucose. This is achieved by various efferent pathways from the brain to periphery, which help control hepatic glucose flux and perhaps insulin-stimulated insulin secretion. Also, critically important for the brain given its dependence on a constant supply of glucose as a fuel--emergency counter-regulatory responses are triggered by the brain if blood glucose starts to fall. To exert these control functions, the brain needs to detect rapidly and accurately changes in blood glucose. In this review, we summarize some of the mechanisms postulated to play a role in this and examine the potential role of the low-affinity hexokinase, glucokinase, in the brain as a key part of some of this sensing. We also discuss how these processes may become altered in diabetes and related metabolic diseases.Funding and support from Wellcome Trust, Medical Research Council including the Cambridge MRC Centre for Study of Obesity and Related Disorders (MRC-CORD), NIHR Cambridge Biomedical Research Centre, Diabetes UK (RD05/003059) and Yousef Jameel Fund).This is the final version published version. It first appeared at http://onlinelibrary.wiley.com/doi/10.1111/dom.12334/abstract

Vestibular schwannoma: role of conservative management

Objective: To assess the outcome of conservative management of vestibular schwannoma.Study design: Observational study. Setting: Tertiary referral centre.Patients: Four hundred and thirty-six patients with vestibular schwannoma (490 tumours), including 327 sporadic tumours and 163 tumours in 109 patients with neurofibromatosis type two.Main outcome measures: The relationship of tumour growth to tumour size at presentation, and to certain demographic features.Results: The initial tumour size was significantly larger in the neurofibromatosis type two group (11 mm) than in the sporadic vestibular schwannoma group (5.1 mm). In both groups, 68 per cent of tumours did not grow during follow up (mean 3.6 years; range one to 14 years). The mean growth rate was 1.1 mm/year (range 0-15 mm/year) for sporadic tumours and 1.7 mm/year (range 0-18 mm/year) for neurofibromatosis type two tumours. The tumour growth rate correlated positively with tumour size in the sporadic tumour group, and correlated negatively with age in the neurofibromatosis type two group.Conclusion: Two-thirds of vestibular schwannomas did not grow. Radiological surveillance is an acceptable approach in carefully selected patients. Once a sporadic vestibular schwannoma reaches 2 cm in intracranial diameter, it is likely to continue growing. We do not recommend conservative management for sporadic tumours with an intracranial diameter of 1.5 cm or more. Vestibular schwannoma management is more complex in patients with neurofibromatosis type two

The depression in visual impairment trial (DEPVIT): trial design and protocol

<b>Background</b> The prevalence of depression in people with a visual disability is high but screening for depression and referral for treatment is not yet an integral part of visual rehabilitation service provision. One reason for this may be that there is no good evidence about the effectiveness of treatments in this patient group. This study is the first to evaluate the effect of depression treatments on people with a visual impairment and co morbid depression.<p></p> <b>Methods/design</b> The study is an exploratory, multicentre, individually randomised waiting list controlled trial. Participants will be randomised to receive Problem Solving Therapy (PST), a ‘referral to the GP’ requesting treatment according to the NICE’s ‘stepped care’ recommendations or the waiting list arm of the trial. The primary outcome measure is change (from randomisation) in depressive symptoms as measured by the Beck’s Depression Inventory (BDI-II) at 6 months. Secondary outcomes include change in depressive symptoms at 3 months, change in visual function as measured with the near vision subscale of the VFQ-48 and 7 item NEI-VFQ at 3 and 6 months, change in generic health related quality of life (EQ5D), the costs associated with PST, estimates of incremental cost effectiveness, and recruitment rate estimation.<p></p> <b>Discussion</b> Depression is prevalent in people with disabling visual impairment. This exploratory study will establish depression screening and referral for treatment in visual rehabilitation clinics in the UK. It will be the first to explore the efficacy of PST and the effectiveness of NICE’s ‘stepped care’ approach to the treatment of depression in people with a visual impairment.<p></p&gt

Effect of water vapor on the spallation of thermal barrier coating systems during laboratory cyclic oxidation testing.

The effect of water and water vapor on the lifetime of Ni-based superalloy samples coated with a typical thermal barrier coating system—b-(Ni,Pt)Al bond coat and yttria stabilized zirconia (YSZ) top coat deposited by electron beam physical vapor deposition (EB-PVD) was studied. Samples were thermally cycled to 1,150 C and subjected to a water-drop test in order to elucidate the effect of water vapor on thermal barrier coating (TBC) spallation. It was shown that the addition of water promotes spallation of TBC samples after a given number of cycles at 1,150 C. This threshold was found to be equal to 170 cycles for the present system. Systems based on b-NiAl bond coat or on Pt-rich c/c0 bond coat were also sensitive to the water-drop test. Moreover, it was shown that water vapor in ambient air after minutes or hours at room temperature, promotes also TBC spallation once the critical number of cycles has been reached. This desktop spalling (DTS) can be prevented by locking up the cycled samples in a dry atmosphere box. These results for TBC systems confirm and document Smialek’s theory about DTS and moisture induced delayed spalling (MIDS) being the same phenomenon. Finally, the mechanisms implying hydrogen embrittlement or surface tension modifications are discussed

Introduction to the Workshop

Public health administrators are forced to consider efficiency as a criterion in their choice of preventive programs because of the numerous programs to choose from, restricted budgets, and declining caries experience in children. Interest in cost effectiveness in dental prevention has risen considerably since the initial conference on this issue at the University of Michigan in 1978. This article introduces the goals of the workshop, the nature of the work groups, and the data they will use.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/66042/1/j.1752-7325.1989.tb02083.x.pd

A probabilistic analysis of argument cogency

This paper offers a probabilistic treatment of the conditions for argument cogency as endorsed in informal logic: acceptability, relevance, and sufficiency. Treating a natural language argument as a reason-claim-complex, our analysis identifies content features of defeasible argument on which the RSA conditions depend, namely: change in the commitment to the reason, the reason’s sensitivity and selectivity to the claim, one’s prior commitment to the claim, and the contextually determined thresholds of acceptability for reasons and for claims. Results contrast with, and may indeed serve to correct, the informal understanding and applications of the RSA criteria concerning their conceptual dependence, their function as update-thresholds, and their status as obligatory rather than permissive norms, but also show how these formal and informal normative approachs can in fact align

Organophosphate Pesticide Exposure and Neurodevelopment in Young Mexican-American Children

BACKGROUND: Organophosphate (OP) pesticides are widely used in agriculture and homes. Animal studies suggest that even moderate doses are neurodevelopmental toxicants, but there are few studies in humans. OBJECTIVES: We investigated the relationship of prenatal and child OP urinary metabolite levels with children’s neurodevelopment. METHODS: Participating children were from a longitudinal birth cohort of primarily Latino farm-worker families in California. We measured six nonspecific dialkylphosphate (DAP) metabolites in maternal and child urine as well as metabolites specific to malathion (MDA) and chlorpyrifos (TCPy) in maternal urine. We examined their association with children’s performance at 6 (n = 396), 12 (n = 395), and 24 (n = 372) months of age on the Bayley Scales of Infant Development [Mental Development (MDI) and Psychomotor Development (PDI) Indices] and mother’s report on the Child Behavior Checklist (CBCL) (n = 356). RESULTS: Generally, pregnancy DAP levels were negatively associated with MDI, but child measures were positively associated. At 24 months of age, these associations reached statistical significance [per 10-fold increase in prenatal DAPs: β = −3.5 points; 95% confidence interval (CI), −6.6 to −0.5; child DAPs: β = 2.4 points; 95% CI, 0.5 to 4.2]. Neither prenatal nor child DAPs were associated with PDI or CBCL attention problems, but both prenatal and postnatal DAPs were associated with risk of pervasive developmental disorder [per 10-fold increase in prenatal DAPs: odds ratio (OR) = 2.3, p = 0.05; child DAPs OR = 1.7, p = 0.04]. MDA and TCPy were not associated with any outcome. CONCLUSIONS: We report adverse associations of prenatal DAPs with mental development and pervasive developmental problems at 24 months of age. Results should be interpreted with caution given the observed positive relationship with postnatal DAPs

The biological origin of linguistic diversity

In contrast with animal communication systems, diversity is characteristic of almost every aspect of human language. Languages variously employ tones, clicks, or manual signs to signal differences in meaning; some languages lack the noun-verb distinction (e.g., Straits Salish), whereas others have a proliferation of fine-grained syntactic categories (e.g., Tzeltal); and some languages do without morphology (e.g., Mandarin), while others pack a whole sentence into a single word (e.g., Cayuga). A challenge for evolutionary biology is to reconcile the diversity of languages with the high degree of biological uniformity of their speakers. Here, we model processes of language change and geographical dispersion and find a consistent pressure for flexible learning, irrespective of the language being spoken. This pressure arises because flexible learners can best cope with the observed high rates of linguistic change associated with divergent cultural evolution following human migration. Thus, rather than genetic adaptations for specific aspects of language, such as recursion, the coevolution of genes and fast-changing linguistic structure provides the biological basis for linguistic diversity. Only biological adaptations for flexible learning combined with cultural evolution can explain how each child has the potential to learn any human language