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

Analysis of the mass and deformation variation rates over time and their influence on long-term durability for specimens of porous material

In an environment subjected to continuous climatic evolution, the study of the long-term behavior of building materials subject to environmental aggressions becomes an extremely important factor in evaluating the sustainability of these materials over time. The damage due to the aggression of external agents does not only affect the surface of the building but can cause a loss of performance in the mechanical qualities of the material with the worsening of the safety conditions of the entire structure. The velocity of the damage evolution is an interesting item. Here the variation velocity of some parameters characterizing the porous materials subjected to aggressive actions is dealt with. Starting from standard material characterization tests, extending the test times, the rate of variation of the mass and the deformation induced by the absorption of saline solutions in the porous medium and the variation of these speeds over time were evaluated. Hypotheses are formulated on the influence that this speed on the degradation of the material in the short and long time. The results obtained show how long-term aggressive action can cause internal damage with a consequent critical increase in absorption, mass and deformation, phenomena that can induce even severe damage to structural element

Presence and conservation of the immunoglobulin superfamily in insects: current perspective and future challenges

Numerous proteins that contain a bona fide immunoglobulin domain have been identified in the last decade showing that immunoglobulin-like proteins are quite common in metazoans. In particular, recent surveys identified more than 140 immunoglobulin-like proteins in Drosophila melanogaster, Anopheles gambiae and Bombyx mori. A well-studied example of immunoglobulin-like protein is the Drosophila Down syndrome cell adhesion molecule (Dscam) that, accordingly to comparative molecular analyses, showed a high conservation in Diptera, Hymenoptera and Coleoptera, together with a conserved presence of alternative splicing that permitted insects to possess an unsuspected molecular complexity of their innate immune system. At a functional level, immunoglobulin-like proteins seem to be capable of reacting to pathogen challenges and may contribute to the defense against infection so that they are candidates as immune effector molecules in insects. Preliminary findings on insect-borne plant and animal diseases suggest a possible role of the immunoglobulin-like proteins in the vectorial capacity

An allelic variant in the intergenic region between ERAP1 and ERAP2 correlates with an inverse expression of the two genes

The Endoplasmatic Reticulum Aminopeptidases ERAP1 and ERAP2 are implicated in a variety of immune and non-immune functions. Most studies however have focused on their role in shaping the HLA class I peptidome by trimming peptides to the optimal size. Genome Wide Association Studies highlighted non-synonymous polymorphisms in their coding regions as associated with several immune mediated diseases. The two genes lie contiguous and oppositely oriented on the 5q15 chromosomal region. Very little is known about the transcriptional regulation and the quantitative variations of these enzymes. Here, we correlated the level of transcripts and proteins of the two aminopeptidases in B-lymphoblastoid cell lines from 44 donors harbouring allelic variants in the intergenic region between ERAP1 and ERAP2. We found that the presence of a G instead of an A at SNP rs75862629 in the ERAP2 gene promoter strongly influences the expression of the two ERAPs with a down-modulation of ERAP2 coupled with a significant higher expression of ERAP1. We therefore show here for the first time a coordinated quantitative regulation of the two ERAP genes, which can be relevant for the setting of specific therapeutic approaches

Using System Dynamics Modelling Approach to Develop Management Tools for Animal Production with Emphasis on Small Ruminants

Small ruminants are important assets in several regions of the world. They account for more than half of the domesticated ruminants. Despite the growth in goat production in the world (more than 2% per year), research related to goat production is less than desired. One underused but potentially valuable approach for research on small ruminants is simulation modelling. Models of the components of small ruminant systems can enhance the financial returns and reduce negative environmental impacts. These models can be used to assess many dimensions of small ruminant production, from rumen dynamics to economic policies designed to support small ruminant production. Understanding the nutrition, production, and economic policy feedback signals and planning ahead is crucial to build a robust and integrated production activity that can be managed under different production scenarios. System Dynamics (SD) is a computer-aided modelling methodology that can be used to perform policy analysis and decision support system (DSS) applied to dynamic problems arising in complex social, managerial, economic, or ecological dynamic systems characterized by interdependence, mutual interaction, information feedback, and circular causality. SD can be used as a modelling tool to aggregate knowledge to solve different types of problems that have a limited scope to a specific location or have broad trends of applications across locations and areas of science. Important issues of broad application include the bearings of animal production in the climate change and the impacts of climate change in animal production, alternative production scenarios of animal and crop integration, associations between animal production and business (economics, marketing). The trend of increasing small ruminants in tropical and subtropical regions and an increasing pressure on tropical and subtropical livestock systems to produce food, to feed livestock, and to produce energy crops warrants the development of DSS to address issues such as what is the “real” benefits of livestock, the negative impacts livestock can have on greenhouse-gas emissions and the environment, and the effects of climate change on livestock systems

New Threats for Old Manufacturing Problems: Secure IoT-Enabled Monitoring of Legacy Production Machinery

The digitization of manufacturing through the introduction of Industrie 4.0 technologies creates additional business opportunities and technical challenges. The integration of such technologies on legacy production machinery can upgrade them to become part of the digital and smart manufacturing environment. A typical example is that of industrial monitoring and maintenance, which can benefit from internet of things (IoT) solutions. This paper presents the development of an-IoT-enabled monitoring solution for machine tools as part of a remote maintenance approach. While the technical challenges pertaining to the development and integration of such solutions in a manufacturing environment have been the subject of relevant research in the literature, the corresponding new security challenges arising from the introduction of such technologies have not received equal attention. Failure to adequately handle such issues is a key barrier to the adoption of such solutions by industry. This paper aims to assess and classify the security aspects of integrating IoT technology with monitoring systems in manufacturing environments and propose a systematic view of relevant vulnerabilities and threats by taking an IoT architecture point of view. Our analysis has led to proposing a novel modular approach for secure IoT-enabled monitoring for legacy production machinery. The introduced approach is implemented on a case study of machine tool monitoring, highlighting key findings and issues for further research

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

management of blast and inhalation injury

Key points All patients with facial burns may be suspected of having 'difficult-to-control' airways owing to smoke inhalation injury (SII). Many of them either have an incorrect diagnosis, or mild-to-moderate injury with unrecognised aggravating respiratory failure. For a diagnosis of inhalation injury, it is necessary to follow the patient closely for >48 h. Inhalation injury is a condition with different clinical presentations. Clinical follow-up is necessary to improve patient care, to help guide treatment and to provide clues for therapeutic interventions. Notwithstanding intensive care treatment including airway intubation and mechanical ventilation, many patients with severe inhalation injury remain under-treated. Educational aims To discuss the initial approach and assessment of a patient with SII. To help the reader recognise different clinical pictures of inhalation injury. To outline management and discuss treatment. Summary "Inhalation injury" describes a variety of insults caused by the aspiration of superheated gases, steam or noxious products of incomplete combustion. Inhalation injury involves the entire respiratory system. Early diagnosis based on history and physical examination, in addition to careful monitoring for respiratory complications, is mandatory. As there is no specific treatment for inhalation injury, management involves providing the necessary degree of support required to compensate for upper airway swelling and impairment in gas exchange. Airway intubation and mechanical ventilation may be required while the endobronchial and alveolar mucosa are regenerating. Primary blast injury (BI) is caused by immediate pressure variations, which are the product of rapid sequences of compression and decompression. Secondary and tertiary BI include lesions caused when the subject is thrown against rigid structures or is hit by flying objects. Its diagnosis and therapy follows guidelines for emergency care