Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and price of the Asian option as an analytic expression. Numerical computations which are based on this expression are provided

A Chromosome 7 Pericentric Inversion Defined at Single-Nucleotide Resolution Using Diagnostic Whole Genome Sequencing in a Patient with Hand-Foot-Genital Syndrome.

Next generation sequencing methodologies are facilitating the rapid characterisation of novel structural variants at nucleotide resolution. These approaches are particularly applicable to variants initially identified using alternative molecular methods. We report a child born with bilateral postaxial syndactyly of the feet and bilateral fifth finger clinodactyly. This was presumed to be an autosomal recessive syndrome, due to the family history of consanguinity. Karyotype analysis revealed a homozygous pericentric inversion of chromosome 7 (46,XX,inv(7)(p15q21)x2) which was confirmed to be heterozygous in both unaffected parents. Since the resolution of the karyotype was insufficient to identify any putatively causative gene, we undertook medium-coverage whole genome sequencing using paired-end reads, in order to elucidate the molecular breakpoints. In a two-step analysis, we first narrowed down the region by identifying discordant read-pairs, and then determined the precise molecular breakpoint by analysing the mapping locations of "soft-clipped" breakpoint-spanning reads. PCR and Sanger sequencing confirmed the identified breakpoints, both of which were located in intergenic regions. Significantly, the 7p15 breakpoint was located 523 kb upstream of HOXA13, the locus for hand-foot-genital syndrome. By inference from studies of HOXA locus control in the mouse, we suggest that the inversion has delocalised a HOXA13 enhancer to produce the phenotype observed in our patient. This study demonstrates how modern genetic diagnostic approach can characterise structural variants at nucleotide resolution and provide potential insights into functional regulation

Sub-Planckian black holes and the Generalized Uncertainty Principle

The Black Hole Uncertainty Principle correspondence suggests that there could exist black holes with mass beneath the Planck scale but radius of order the Compton scale rather than Schwarzschild scale. We present a modified, self-dual Schwarzschild-like metric that reproduces desirable aspects of a variety of disparate models in the sub-Planckian limit, while remaining Schwarzschild in the large mass limit. The self-dual nature of this solution under $M \leftrightarrow M^{-1}$ naturally implies a Generalized Uncertainty Principle with the linear form $\Delta x \sim \frac{1}{\Delta p} + \Delta p$. We also demonstrate a natural dimensional reduction feature, in that the gravitational radius and thermodynamics of sub-Planckian objects resemble that of $(1+1)$-D gravity. The temperature of sub-Planckian black holes scales as $M$ rather than $M^{-1}$ but the evaporation of those smaller than $10^{-36}$g is suppressed by the cosmic background radiation. This suggests that relics of this mass could provide the dark matter.Comment: 12 pages, 9 figures, version published in J. High En. Phy

Coherent Signal Amplification in Bistable Nanomechanical Oscillators by Stochastic Resonance

Stochastic resonance is a counter-intuitive concept[1,2], ; the addition of noise to a noisy system induces coherent amplification of its response. First suggested as a mechanism for the cyclic recurrence of ice ages, stochastic resonance has been seen in a wide variety of macroscopic physical systems: bistable ring lasers[3], SQUIDs[4,5], magnetoelastic ribbons[6], and neurophysiological systems such as the receptors in crickets[7] and crayfish[8]. Although it is fundamentally important as a mechanism of coherent signal amplification, stochastic resonance is yet to be observed in nanoscale systems. Here we report the observation of stochastic resonance in bistable nanomechanical silicon oscillators, which can play an important role in the realization of controllable high-speed nanomechanical memory cells. Our nanomechanical systems were excited into a dynamic bistable state and modulated in order to induce controllable switching; the addition of white noise showed a marked amplification of the signal strength. Stochastic resonance in nanomechanical systems paves the way for exploring macroscopic quantum coherence and tunneling, and controlling nanoscale quantum systems for their eventual use as robust quantum logic devices.Comment: 18 pages, 4 figure

Complete Genome Sequence of a Novel Avian Paramyxovirus (APMV-13) Isolated from a Wild Bird in Kazakhstan.

A novel avian paramyxovirus was identified during annual viral surveillance of wild bird populations in Kazakhstan in 2013. The virus was isolated from a white fronted goose (Anser albifrons) in northern Kazakhstan. Here, we report the complete genome sequence of the isolate, which we suggest should constitute a novel serotype

Primordial Black Holes: sirens of the early Universe

Primordial Black Holes (PBHs) are, typically light, black holes which can form in the early Universe. There are a number of formation mechanisms, including the collapse of large density perturbations, cosmic string loops and bubble collisions. The number of PBHs formed is tightly constrained by the consequences of their evaporation and their lensing and dynamical effects. Therefore PBHs are a powerful probe of the physics of the early Universe, in particular models of inflation. They are also a potential cold dark matter candidate.Comment: 21 pages. To be published in "Quantum Aspects of Black Holes", ed. X. Calmet (Springer, 2014

Robust diagnostic genetic testing using solution capture enrichment and a novel variant-filtering interface.

Targeted hybridization enrichment prior to next-generation sequencing is a widespread method for characterizing sequence variation in a research setting, and is being adopted by diagnostic laboratories. However, the number of variants identified can overwhelm clinical laboratories with strict time constraints, the final interpretation of likely pathogenicity being a particular bottleneck. To address this, we have developed an approach in which, after automatic variant calling on a standard unix pipeline, subsequent variant filtering is performed interactively, using AgileExomeFilter and AgilePindelFilter (http://dna.leeds.ac.uk/agile), tools designed for clinical scientists with standard desktop computers. To demonstrate the method's diagnostic efficacy, we tested 128 patients using (1) a targeted capture of 36 cancer-predisposing genes or (2) whole-exome capture for diagnosis of the genetically heterogeneous disorder primary ciliary dyskinesia (PCD). In the cancer cohort, complete concordance with previous diagnostic data was achieved across 793 variant genotypes. A high yield (42%) was also achieved for exome-based PCD diagnosis, underscoring the scalability of our method. Simple adjustments to the variant filtering parameters further allowed the identification of a homozygous truncating mutation in a presumptive new PCD gene, DNAH8. These tools should allow diagnostic laboratories to expand their testing portfolios flexibly, using a standard set of reagents and techniques

First report of an HIV-1 triple recombinant of subtypes B, C and F in Buenos Aires, Argentina

We describe the genetic diversity of currently transmitted strains of HIV-1 in men who have sex with men (MSM) in Buenos Aires, Argentina between 2000 and 2004. Nearly full-length sequence analysis of 10 samples showed that 6 were subtype B, 3 were BF recombinant and 1 was a triple recombinant of subtypes B, C and F. The 3 BF recombinants were 3 different unique recombinant forms. Full genome analysis of one strain that was subtype F when sequenced in pol was found to be a triple recombinant. Gag and pol were predominantly subtype F, while gp120 was subtype B; there were regions of subtype C interspersed throughout. The young man infected with this strain reported multiple sexual partners and sero-converted between May and November of 2004. This study reported for the first time the full genome analysis of a triple recombinant between subtypes B, C and F, that combines in one virus the three most common subtypes in South America

Increasing condom use in heterosexual men: development of a theory-based interactive digital intervention

Increasing condom use to prevent sexually transmitted infections is a key public health goal. Interventions are more likely to be effective if they are theory- and evidence-based. The Behaviour Change Wheel (BCW) provides a framework for intervention development. To provide an example of how the BCW was used to develop an intervention to increase condom use in heterosexual men (the MenSS website), the steps of the BCW intervention development process were followed, incorporating evidence from the research literature and views of experts and the target population. Capability (e.g. knowledge) and motivation (e.g. beliefs about pleasure) were identified as important targets of the intervention. We devised ways to address each intervention target, including selecting interactive features and behaviour change techniques. The BCW provides a useful framework for integrating sources of evidence to inform intervention content and deciding which influences on behaviour to target