Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model

A simple approach to determining the Gaussian kernel that constitutes the backbone of the multi-factor Heston model is proposed based on a suitable expansion in powers of volatilities of volatilities. This analysis provides Black-Scholes-like formulas for pricing European vanilla options, allowing for accurate approximations of the option prices under the multi-factor Heston model up to volatilities of volatilities on the order of 50%. The analysis also leads to a simple formula for the implied volatility showing that changes in the convexity of the volatility smile are due only to price skewness, and an easy formula to reproduce volatility indices via the realized volatility. Interestingly, the variance of the Gaussian kernel is equal to the variance of the continuously compounded return in the case of the Heston model. The empirical analyses presented assess the potential of our approach to capture market distortions while adequately forecasting the dynamics of the VIX index

MIRELLA: a mathematical model explains the effect of microRNA-mediated synthetic genes regulation on intracellular resource allocation

Competition for intracellular resources, also known as gene expression burden, induces coupling between independently co-expressed genes, a detrimental effect on predictability and reliability of gene circuits in mammalian cells. We recently showed that microRNA (miRNA)-mediated target downregulation correlates with the upregulation of a co-expressed gene, and by exploiting miRNAs-based incoherent-feed-forward loops (iFFLs) we stabilise a gene of interest against burden. Considering these findings, we speculate that miRNA-mediated gene downregulation causes cellular resource redistribution. Despite the extensive use of miRNA in synthetic circuits regulation, this indirect effect was never reported before. Here we developed a synthetic genetic system that embeds miRNA regulation, and a mathematical model, MIRELLA, to unravel the miRNA (MI) RolE on intracellular resource aLLocAtion. We report that the link between miRNA-gene downregulation and independent genes upregulation is a result of the concerted action of ribosome redistribution and ‘queueing-effect’ on the RNA degradation pathway. Taken together, our results provide for the first time insights into the hidden regulatory interaction of miRNA-based synthetic networks, potentially relevant also in endogenous gene regulation. Our observations allow to define rules for complexity- and context-aware design of genetic circuits, in which transgenes co-expression can be modulated by tuning resource availability via number and location of miRNA target sites

Mechanotransduction in human and mouse beta cell lines: reliable models to characterize novel signaling pathways controlling beta cell fate

Background and aims: Attempts to influence \u3b2-cell differentiation by engineering substrates that mimic appropriate extracellular matrix (ECM) topographies are hampered by the fact that profound details of mechanosensing/transduction complexity remain elusive. We recently demonstrated that human islets of Langerhans sense the ECM nanotopography and activate a mechanotransductive pathway, which is essential for preserving long-term \u3b2-cell differentiation and function in vitro. However, human islets of Langerhans are extremely heterogeneous and their availability for research purpose is limited. Therefore, aim of the proposed research was to investigate whether mouse and human \u3b2-cell lines might sense changes innthe ECM topography and might be used as a simplified model to dissect the molecular pathways involved in mechanotransduction. Materials and methods: We used supersonic cluster beam deposition to fabricate nanostructured substrates characterized by a quantitatively controllable ECM-like nanoroughness. Mouse \u3b2TC3 and human 1.1B4 cells were seeded on these substrates and after five days in culture, the activation of the mechanotransductive pathway was verified by means of morphological (super-resolution fluorescence microscopy), functional and proteomic techniques. Results: Quantitative immunofluorescence studies demonstrated that the cell-nanotopography interaction affects the focal adhesion structures (smaller vinculin clusters), the organization of the actin cytoskeleton (shorter actin fiber) and the nuclear architecture. Functional studies revealed that nanostructured surfaces improve the \u3b2-cell mitochondrial activity and increase the glucose-stimulated Ca2+currents and insulin release. Label-free shotgun proteomics broadly confirmed the morphological and functional studies and showed the upregulation of a number of mechanosensors and transcription factors involved in \u3b2-cell differentiation in cells grown on nanostructured substrates compared to those grown on flat standard control surfaces. Conclusion: Our data reveal that mouse and human \u3b2-cell lines sense changes in extracellular mechanical forces and activate a mechanotransductive pathway. The findings from this study will be useful to clarify the link between mechanotransduction and cell fate and to successfully engineer scaffolds in order to have functional beta cells

Suspended Multifunctional Nanocellulose as Additive for Mortars

Cellulose derivatives have found significant applications in composite materials, mainly because of the increased mechanical performance they ensure. When added to cement-based materials, either in the form of nanocrystals, nanofibrils or micro/nanofibers, cellulose acts on the mixture with fresh and hardened properties, affecting rheology, shrinkage, hydration, and the resulting mechanical properties, microstructure, and durability. Commercial cotton wool was selected as starting material to produce multifunctional nanocelluloses to test as additives for mortars. Cotton wool was oxidized to oxidized nanocellulose (ONC), a charged nanocellulose capable of electrostatic interaction, merging cellulose and nanoparticles properties. Oxidized nanocellulose (ONC) was further functionalized by a radical-based mechanism with glycidyl methacrylate (GMA) and with a mixture of GMA and the crosslinking agent ethylene glycol dimethacrylate (EGDMA) affording ONC-GMA and ONC-GMA-EGDMA, both multifunctional-charged nanocellulose merging cellulose and bound acrylates properties. In this work, only ONC was found to be properly suitable for suspension and addition to a commercial mortar to assess the variation in mechanical properties and water-mortar interactions as a consequence of the modified microstructure obtained. The addition of oxidized nanocellulose caused an alteration of mortar porosity, with a decreased percentage of porosity and pore size distribution shifted towards smaller pores, with a consequent increase in compressive resistance, decrease in water absorption coefficient, and increased percentage of micropores present in the material, indicating a potential improvement in mortar durability

A revised CNCPS feed carbohydrate fractionation scheme for formulating rations for ruminants

Balancing ruminant diets for appropriate levels and types of dietary carbohydrates (CHO) is necessary to maximize production while assuring the health of the animals. Several feed fractions (i.e., volatile fatty acids (VFA), lactate, sugars, starch) are now being measured in some commercial feed laboratories and this information may assist in better formulating diets. A CHO fractionation scheme based on ruminal degradation characteristics needed for nutritional models is described and its impact on predictions with the Cornell Net Carbohydrate and Protein System (CNCPS) is assessed. Dietary CHO are divided into eight fractions: the CA1 is volatile fatty acids (VFA), CA2 is lactic acid, CA3 is other organic acids, CA4 is sugars, CB1 is starch, CB2 is soluble fiber, CB3 is available neutral detergent fiber (NDF), and CC is unavailable NDF. A Monte Carlo analysis was conducted with an example lactating dairy cow ration to compare the original CNCPS CHO scheme (CA=sugars and organic acids, CB1=starch and soluble fiber, CB2=available NDF, CC=unavailable NDF) with the developed CHO scheme. A database was used to obtain distributions and correlations of the feed inputs used in the schemes for the ingredients of the ration (corn and grass silages, high moisture corn, soybean meal, and distillers\u27 grains). The CHO fractions varied in a decreasing order as VFAs, soluble fiber, lactic acid, sugar, NDF, starch, and total non-fiber carbohydrates (NFC). Use of the expanded scheme in the CNCPS decreased the microbial CP production, which was sensitive (standard regression coefficient in parenthesis) to corn silage starch (0.55), grass silage NDF rate (0.46), high moisture corn grain starch rate (0.44), and corn silage NDF rate (0.33). Predicted ruminal NFC digestibility remained similar. The expanded CHO scheme provides a more appropriate feed description to account for variation in changes in silage quality and diet NFC composition. However, to fully account for differences in feed CHO utilization, further improvements in the methodology used to estimate the fractions and their corresponding degradation rates, inclusion of dietary factors in dry matter intake predictions, and prediction of ruminal VFA production and pH are necessary

Diffuse functional brain disconnection syndrome in critically ill patients with COVID-19

The novel severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) is most closely related to severe respiratory syndrome; however, recent reports showed that it is capable of causing neurological disease. Here we report a case-series of 4 critically ill COVID-19 patients who recovered from pneumonia but showed serious neurological symptoms and eventually died

Proteomic Analysis Reveals a Mitochondrial Remodeling of βTC3 Cells in Response to Nanotopography

Recently, using cluster-assembled zirconia substrates with tailored roughness produced by supersonic cluster beam deposition, we demonstrated that \u3b2 cells can sense nanoscale features of the substrate and can translate these stimuli into a mechanotransductive pathway capable of preserveing \u3b2-cell differentiation and function in vitro in long-term cultures of human islets. Using the same proteomic approach, we now focused on the mitochondrial fraction of \u3b2TC3 cells grown on the same zirconia substrates and characterized the morphological and proteomic modifications induced by the nanostructure. The results suggest that, in \u3b2TC3 cells, mitochondria are perturbed by the nanotopography and activate a program involving metabolism modification and modulation of their interplay with other organelles. Data were confirmed in INS1E, a different \u3b2-cell model. The change induced by the nanostructure can be pro-survival and prime mitochondria for a metabolic switch to match the new cell needs

DNA waves and water

Some bacterial and viral DNA sequences have been found to induce low frequency electromagnetic waves in high aqueous dilutions. This phenomenon appears to be triggered by the ambient electromagnetic background of very low frequency. We discuss this phenomenon in the framework of quantum field theory. A scheme able to account for the observations is proposed. The reported phenomenon could allow to develop highly sensitive detection systems for chronic bacterial and viral infections.Comment: Invited talk at the DICE2010 Conference, Castiglioncello, Italy September 201

Initiation of speciation across multiple dimensions in a rock-restricted, tropical lizard

Population isolation and concomitant genetic divergence, resulting in strong phylogeographical structure, is a core aspect of speciation initiation. If and how speciation then proceeds and ultimately completes depends on multiple factors that mediate reproductive isolation, including divergence in genomes, ecology and mating traits. Here we explored these multiple dimensions in two young (Plio-Pleistocene) species complexes of gekkonid lizards (Heteronotia) from the Kimberley–Victoria River regions of tropical Australia. Using mitochondrial DNA screening and exon capture phylogenomics, we show that the rock-restricted Heteronotia planiceps exhibits exceptional fine-scale phylogeographical structure compared to the codistributed habitat generalist Heteronotia binoei. This indicates pervasive population isolation and persistence in the rock-specialist, and thus a high rate of speciation initiation across this geographically complex region, with levels of genomic divergence spanning the “grey zone” of speciation. Proximal lineages of H. planiceps were often separated by different rock substrates, suggesting a potential role for ecological isolation; however, phylogenetic incongruence and historical introgression were inferred between one such pair. Ecomorphological divergence among lineages within both H. planiceps and H. binoei was limited, except that limestone-restricted lineages of H. planiceps tended to be larger than rock-generalists. By contrast, among-lineage divergence in the chemical composition of epidermal pore secretions (putative mating trait) exceeded ecomorphology in both complexes, but with less trait overlap among lineages in H. planiceps. This system—particularly the rock-specialist H. planiceps—highlights the role of multidimensional divergence during incipient speciation, with divergence in genomes, ecomorphology and chemical signals all at play at very fine spatial scales