Wavelet-based option pricing: An empirical study

In this paper, we adopt a wavelet-based option valuation model and empirically compare the pricing and forecasting performance of this model with that of the stochastic volatility model with jumps and the spline method. Both the in-sample valuation and out-of-sample forecasting accuracy are examined using daily index options in the UK, Germany, and Hong Kong from January 2009 to December 2012. Our results show that the wavelet-based model compares favorably with the other two models and that it provides an excellent alternative for valuing option prices. Its superior performance comes from the powerful ability of the wavelet method in approximating the risk-neutral moment-generating functions

Understand Funding Liquidity and Market Liquidity in a Regime-switching Model

We investigate the time-varying relationship of funding liquidity (FL) and market liquidity (ML) in a Markov regime-switching model. By using a comprehensive U.S. TRACE dataset, we provide strong evidence that FL and corporate bond ML are interlinked, and their impact on each other is highly regime-dependent. We find that FL and ML exhibit a large-and-positive mutual impact when money market is tight and equity market is volatile. But in normal regimes, FL is found to have a negative impact on ML with a much smaller magnitude than those in stressed regimes. Furthermore, FL is more stable than ML with less regime changes. Our paper offers insight on the important mechanism by which central banks can improve ML through the funding market

Revealing the Implied Risk-neutral MGF with the Wavelet Method

Options are believed to contain unique information about the risk- neutral moment generating function (MGF hereafter) or the risk-neutral probability density function (PDF hereafter). This paper applies the wavelet method to approximate the risk-neutral MGF of the under- lying asset from option prices. Monte Carlo simulation experiments are performed to elaborate how the risk-neutral MGF can be obtained using the wavelet method. The Black-Scholes model is chosen as the benchmark model. We offer a novel method for obtaining the implied risk-neutral MGF for pricing out-of-sample options and other complex or illiquid derivative claims on the underlying asset using information obtained from simulated data

Groupwise registration based on hierarchical image clustering and atlas synthesis

Groupwise registration has recently been proposed for simultaneous and consistent registration of all images in a group. Since many deformation parameters need to be optimized for each image under registration, the number of images that can be effectively handled by conventional groupwise registration methods is limited. Moreover, the robustness of registration is at stake due to significant intersubject variability. To overcome these problems, we present a groupwise registration framework, which is based on a hierarchical image clustering and atlas synthesis strategy. The basic idea is to decompose a large-scale groupwise registration problem into a series of small-scale problems, each of which is relatively easy to solve using a general computer. In particular, we employ a method called affinity propagation, which is designed for fast and robust clustering, to hierarchically cluster images into a pyramid of classes. Intraclass registration is then performed to register all images within individual classes, resulting in a representative center image for each class. These center images of different classes are further registered, from the bottom to the top in the pyramid. Once the registration reaches the summit of the pyramid, a single center image, or an atlas, is synthesized. Utilizing this strategy, we can efficiently and effectively register a large image group, construct their atlas, and, at the same time, establish shape correspondences between each image and the atlas. We have evaluated our framework using real and simulated data, and the results indicate that our framework achieves better robustness and registration accuracy compared to conventional methods

Glial Cell Line-Derived Neurotrophic Factor and Developing Mammalian Motoneurons: Regulation of Programmed Cell Death Among Motoneuron Subtypes

Because of discrepancies in previous reports regarding the role of glial cell line-derived neurotrophic factor (GDNF) in motoneuron (MN) development and survival, we have reexamined MNs in GDNF-deficient mice and in mice exposed to increased GDNF afte

SIPA1L3 methylation modifies the benefit of smoking cessation on lung adenocarcinoma survival: an epigenomic-smoking interaction analysis

Smoking cessation prolongs survival and decreases mortality of patients with non‐small‐cell lung cancer (NSCLC). In addition, epigenetic alterations of some genes are associated with survival. However, potential interactions between smoking cessation and epigenetics have not been assessed. Here, we conducted an epigenome‐wide interaction analysis between DNA methylation and smoking cessation on NSCLC survival. We used a two‐stage study design to identify DNA methylation-smoking cessation interactions that affect overall survival for early‐stage NSCLC. The discovery phase contained NSCLC patients from Harvard, Spain, Norway, and Sweden. A histology‐stratified Cox proportional hazards model adjusted for age, sex, clinical stage, and study center was used to test DNA methylation-smoking cessation interaction terms. Interactions with false discovery rate‐q ≤ 0.05 were further confirmed in a validation phase using The Cancer Genome Atlas database. Histology‐specific interactions were identified by stratification analysis in lung adenocarcinoma (LUAD) and lung squamous cell carcinoma (LUSC) patients. We identified one CpG probe (cg02268510SIPA1L3) that significantly and exclusively modified the effect of smoking cessation on survival in LUAD patients [hazard ratio (HR)interaction = 1.12; 95% confidence interval (CI): 1.07-1.16; P = 4.30 × 10-7]. Further, the effect of smoking cessation on early‐stage LUAD survival varied across patients with different methylation levels of cg02268510SIPA1L3. Smoking cessation only benefited LUAD patients with low methylation (HR = 0.53; 95% CI: 0.34-0.82; P = 4.61 × 10-3) rather than medium or high methylation (HR = 1.21; 95% CI: 0.86-1.70; P = 0.266) of cg02268510SIPA1L3. Moreover, there was an antagonistic interaction between elevated methylation of cg02268510SIPA1L3 and smoking cessation (HRinteraction = 2.1835; 95% CI: 1.27-3.74; P = 4.46 × 10−3). In summary, smoking cessation benefited survival of LUAD patients with low methylation at cg02268510SIPA1L3. The results have implications for not only smoking cessation after diagnosis, but also possible methylation‐specific drug targeting

Robust estimation of bacterial cell count from optical density

Optical density (OD) is widely used to estimate the density of cells in liquid culture, but cannot be compared between instruments without a standardized calibration protocol and is challenging to relate to actual cell count. We address this with an interlaboratory study comparing three simple, low-cost, and highly accessible OD calibration protocols across 244 laboratories, applied to eight strains of constitutive GFP-expressing E. coli. Based on our results, we recommend calibrating OD to estimated cell count using serial dilution of silica microspheres, which produces highly precise calibration (95.5% of residuals <1.2-fold), is easily assessed for quality control, also assesses instrument effective linear range, and can be combined with fluorescence calibration to obtain units of Molecules of Equivalent Fluorescein (MEFL) per cell, allowing direct comparison and data fusion with flow cytometry measurements: in our study, fluorescence per cell measurements showed only a 1.07-fold mean difference between plate reader and flow cytometry data

Morphological diversity of single neurons in molecularly defined cell types.

Dendritic and axonal morphology reflects the input and output of neurons and is a defining feature of neuronal types1,2, yet our knowledge of its diversity remains limited. Here, to systematically examine complete single-neuron morphologies on a brain-wide scale, we established a pipeline encompassing sparse labelling, whole-brain imaging, reconstruction, registration and analysis. We fully reconstructed 1,741 neurons from cortex, claustrum, thalamus, striatum and other brain regions in mice. We identified 11 major projection neuron types with distinct morphological features and corresponding transcriptomic identities. Extensive projectional diversity was found within each of these major types, on the basis of which some types were clustered into more refined subtypes. This diversity follows a set of generalizable principles that govern long-range axonal projections at different levels, including molecular correspondence, divergent or convergent projection, axon termination pattern, regional specificity, topography, and individual cell variability. Although clear concordance with transcriptomic profiles is evident at the level of major projection type, fine-grained morphological diversity often does not readily correlate with transcriptomic subtypes derived from unsupervised clustering, highlighting the need for single-cell cross-modality studies. Overall, our study demonstrates the crucial need for quantitative description of complete single-cell anatomy in cell-type classification, as single-cell morphological diversity reveals a plethora of ways in which different cell types and their individual members may contribute to the configuration and function of their respective circuits

Cellular anatomy of the mouse primary motor cortex.

An essential step toward understanding brain function is to establish a structural framework with cellular resolution on which multi-scale datasets spanning molecules, cells, circuits and systems can be integrated and interpreted1. Here, as part of the collaborative Brain Initiative Cell Census Network (BICCN), we derive a comprehensive cell type-based anatomical description of one exemplar brain structure, the mouse primary motor cortex, upper limb area (MOp-ul). Using genetic and viral labelling, barcoded anatomy resolved by sequencing, single-neuron reconstruction, whole-brain imaging and cloud-based neuroinformatics tools, we delineated the MOp-ul in 3D and refined its sublaminar organization. We defined around two dozen projection neuron types in the MOp-ul and derived an input-output wiring diagram, which will facilitate future analyses of motor control circuitry across molecular, cellular and system levels. This work provides a roadmap towards a comprehensive cellular-resolution description of mammalian brain architecture