Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.Comment: 9 pages, 2 figures, 1 tabl

The Nucleon Spectral Function at Finite Temperature and the Onset of Superfluidity in Nuclear Matter

Nucleon selfenergies and spectral functions are calculated at the saturation density of symmetric nuclear matter at finite temperatures. In particular, the behaviour of these quantities at temperatures above and close to the critical temperature for the superfluid phase transition in nuclear matter is discussed. It is shown how the singularity in the thermodynamic T-matrix at the critical temperature for superfluidity (Thouless criterion) reflects in the selfenergy and correspondingly in the spectral function. The real part of the on-shell selfenergy (optical potential) shows an anomalous behaviour for momenta near the Fermi momentum and temperatures close to the critical temperature related to the pairing singularity in the imaginary part. For comparison the selfenergy derived from the K-matrix of Brueckner theory is also calculated. It is found, that there is no pairing singularity in the imaginary part of the selfenergy in this case, which is due to the neglect of hole-hole scattering in the K-matrix. From the selfenergy the spectral function and the occupation numbers for finite temperatures are calculated.Comment: LaTex, 23 pages, 21 PostScript figures included (uuencoded), uses prc.sty, aps.sty, revtex.sty, psfig.sty (last included

Layered control architectures in robots and vertebrates

We revieiv recent research in robotics, neuroscience, evolutionary neurobiology, and ethology with the aim of highlighting some points of agreement and convergence. Specifically, we com pare Brooks' (1986) subsumption architecture for robot control with research in neuroscience demonstrating layered control systems in vertebrate brains, and with research in ethology that emphasizes the decomposition of control into multiple, intertwined behavior systems. From this perspective we then describe interesting parallels between the subsumption architecture and the natural layered behavior system that determines defense reactions in the rat. We then consider the action selection problem for robots and vertebrates and argue that, in addition to subsumption- like conflict resolution mechanisms, the vertebrate nervous system employs specialized selection mechanisms located in a group of central brain structures termed the basal ganglia. We suggest that similar specialized switching mechanisms might be employed in layered robot control archi tectures to provide effective and flexible action selection

Eclipses during the 2010 eruption of the recurrent nova U Scorpii

The eruption of the recurrent nova U Scorpii on 2010 January 28 is now the all-time best observed nova event. We report 36,776 magnitudes throughout its 67 day eruption, for an average of one measure every 2.6 minutes. This unique and unprecedented coverage is the first time that a nova has had any substantial amount of fast photometry. With this, two new phenomena have been discovered: the fast flares in the early light curve seen from days 9-15 (which have no proposed explanation) and the optical dips seen out of eclipse from days 41-61 (likely caused by raised rims of the accretion disk occulting the bright inner regions of the disk as seen over specific orbital phases). The expanding shell and wind cleared enough from days 12-15 so that the inner binary system became visible, resulting in the sudden onset of eclipses and the turn-on of the supersoft X-ray source. On day15, a strong asymmetry in the out-of-eclipse light points to the existence of the accretion stream. The normal optical flickering restarts on day 24.5. For days 15-26, eclipse mapping shows that the optical source is spherically symmetric with a radius of 4.1 R⊙. For days 26-41, the optical light is coming from a rim-bright disk of radius 3.4 R ⊙. For days 41-67, the optical source is a center-bright disk of radius 2.2 R⊙. Throughout the eruption, the colors remain essentially constant. We present 12 eclipse times during eruption plus five just after the eruption

Global, regional, and national comparative risk assessment of 79 behavioural, environmental and occupational, and metabolic risks or clusters of risks, 1990-2015: A systematic analysis for the Global Burden of Disease Study 2015

Background: The Global Burden of Diseases, Injuries, and Risk Factors Study 2015 provides an up-to-date synthesis of the evidence for risk factor exposure and the attributable burden of disease. By providing national and subnational assessments spanning the past 25 years, this study can inform debates on the importance of addressing risks in context. Methods: We used the comparative risk assessment framework developed for previous iterations of the Global Burden of Disease Study to estimate attributable deaths, disability-adjusted life-years (DALYs), and trends in exposure by age group, sex, year, and geography for 79 behavioural, environmental and occupational, and metabolic risks or clusters of risks from 1990 to 2015. This study included 388 risk-outcome pairs that met World Cancer Research Fund-defined criteria for convincing or probable evidence. We extracted relative risk and exposure estimates from randomised controlled trials, cohorts, pooled cohorts, household surveys, census data, satellite data, and other sources. We used statistical models to pool data, adjust for bias, and incorporate covariates. We developed a metric that allows comparisons of exposure across risk factors—the summary exposure value. Using the counterfactual scenario of theoretical minimum risk level, we estimated the portion of deaths and DALYs that could be attributed to a given risk. We decomposed trends in attributable burden into contributions from population growth, population age structure, risk exposure, and risk-deleted cause-specific DALY rates. We characterised risk exposure in relation to a Socio-demographic Index (SDI). Findings: Between 1990 and 2015, global exposure to unsafe sanitation, household air pollution, childhood underweight, childhood stunting, and smoking each decreased by more than 25%. Global exposure for several occupational risks, high body-mass index (BMI), and drug use increased by more than 25% over the same period. All risks jointly evaluated in 2015 accounted for 57·8% (95% CI 56·6–58·8) of global deaths and 41·2% (39·8–42·8) of DALYs. In 2015, the ten largest contributors to global DALYs among Level 3 risks were high systolic blood pressure (211·8 million [192·7 million to 231·1 million] global DALYs), smoking (148·6 million [134·2 million to 163·1 million]), high fasting plasma glucose (143·1 million [125·1 million to 163·5 million]), high BMI (120·1 million [83·8 million to 158·4 million]), childhood undernutrition (113·3 million [103·9 million to 123·4 million]), ambient particulate matter (103·1 million [90·8 million to 115·1 million]), high total cholesterol (88·7 million [74·6 million to 105·7 million]), household air pollution (85·6 million [66·7 million to 106·1 million]), alcohol use (85·0 million [77·2 million to 93·0 million]), and diets high in sodium (83·0 million [49·3 million to 127·5 million]). From 1990 to 2015, attributable DALYs declined for micronutrient deficiencies, childhood undernutrition, unsafe sanitation and water, and household air pollution; reductions in risk-deleted DALY rates rather than reductions in exposure drove these declines. Rising exposure contributed to notable increases in attributable DALYs from high BMI, high fasting plasma glucose, occupational carcinogens, and drug use. Environmental risks and childhood undernutrition declined steadily with SDI; low physical activity, high BMI, and high fasting plasma glucose increased with SDI. In 119 countries, metabolic risks, such as high BMI and fasting plasma glucose, contributed the most attributable DALYs in 2015. Regionally, smoking still ranked among the leading five risk factors for attributable DALYs in 109 countries; childhood underweight and unsafe sex remained primary drivers of early death and disability in much of sub-Saharan Africa. Interpretation: Declines in some key environmental risks have contributed to declines in critical infectious diseases. Some risks appear to be invariant to SDI. Increasing risks, including high BMI, high fasting plasma glucose, drug use, and some occupational exposures, contribute to rising burden from some conditions, but also provide opportunities for intervention. Some highly preventable risks, such as smoking, remain major causes of attributable DALYs, even as exposure is declining. Public policy makers need to pay attention to the risks that are increasingly major contributors to global burden. Funding: Bill & Melinda Gates Foundation

Multisensory Processing of unisensory information in primary cortical areas

Lakatos P, Kayser C, Schroeder C. Multisensory Processing of unisensory information in primary cortical areas. In: Stein BE, ed. The New Handbook of Multisensory Processing. MIT Press; 2012: 135-152