Application of Tensor Neural Networks to Pricing Bermudan Swaptions

The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo simulation has become the industry standard. In low dimensions, these approaches provide accurate and robust prices for European Swaptions but, even in this computationally simple setting, they are known to underestimate the value of Bermudan Swaptions when using the state variables as regressors. This is mainly due to the use of a finite number of predetermined basis functions in the regression. Moreover, in high-dimensional settings, these approaches succumb to the Curse of Dimensionality. To address these issues, Deep-learning techniques have been used to solve the backward Stochastic Differential Equation associated with the value process for European and Bermudan Swaptions; however, these methods are constrained by training time and memory. To overcome these limitations, we propose leveraging Tensor Neural Networks as they can provide significant parameter savings while attaining the same accuracy as classical Dense Neural Networks. In this paper we rigorously benchmark the performance of Tensor Neural Networks and Dense Neural Networks for pricing European and Bermudan Swaptions, and we show that Tensor Neural Networks can be trained faster than Dense Neural Networks and provide more accurate and robust prices than their Dense counterparts.Comment: 15 pages, 9 figures, 2 table

Clinical spectrum and features of activated phosphoinositide 3-kinase δ syndrome: A large patient cohort study.

BACKGROUND: Activated phosphoinositide 3-kinase δ syndrome (APDS) is a recently described combined immunodeficiency resulting from gain-of-function mutations in PIK3CD, the gene encoding the catalytic subunit of phosphoinositide 3-kinase δ (PI3Kδ). OBJECTIVE: We sought to review the clinical, immunologic, histopathologic, and radiologic features of APDS in a large genetically defined international cohort. METHODS: We applied a clinical questionnaire and performed review of medical notes, radiology, histopathology, and laboratory investigations of 53 patients with APDS. RESULTS: Recurrent sinopulmonary infections (98%) and nonneoplastic lymphoproliferation (75%) were common, often from childhood. Other significant complications included herpesvirus infections (49%), autoinflammatory disease (34%), and lymphoma (13%). Unexpectedly, neurodevelopmental delay occurred in 19% of the cohort, suggesting a role for PI3Kδ in the central nervous system; consistent with this, PI3Kδ is broadly expressed in the developing murine central nervous system. Thoracic imaging revealed high rates of mosaic attenuation (90%) and bronchiectasis (60%). Increased IgM levels (78%), IgG deficiency (43%), and CD4 lymphopenia (84%) were significant immunologic features. No immunologic marker reliably predicted clinical severity, which ranged from asymptomatic to death in early childhood. The majority of patients received immunoglobulin replacement and antibiotic prophylaxis, and 5 patients underwent hematopoietic stem cell transplantation. Five patients died from complications of APDS. CONCLUSION: APDS is a combined immunodeficiency with multiple clinical manifestations, many with incomplete penetrance and others with variable expressivity. The severity of complications in some patients supports consideration of hematopoietic stem cell transplantation for severe childhood disease. Clinical trials of selective PI3Kδ inhibitors offer new prospects for APDS treatment.T.C. is supported by National Children’s Research Centre, Our Lady’s Children’s Hospital Crumlin, Dublin, Ireland. A.C. has a Wellcome Trust Postdoctoral Training Fellowship for Clinicians (103413/Z/13/Z). K.O. is supported by funding from BBSRC, MRC, Wellcome Trust and GSK. R.D. and D.S.K are funded by National Institute for Health Research (NIHR) Cambridge Biomedical Research Centre, Cambridge, UK. C.S. and S.E. are supported by the German Federal Ministry of Education and Research (BMBF 01 EO 0803 grant to the Center of Chronic immunodeficiency and BMBF 01GM1111B grant to the PID-NET initiative). S.N.F is supported in part by the Southampton UK National Institute for Health Research (NIHR) Wellcome Trust Clinical Research Facility and NIHR Respiratory Biomedical Research Unit. M.A.A.I. is funded by NHS Innovation London and King’s College Hospital Charitable Trust. A.F., S.L., A.D., F.R-L and S.K. are supported by the European Union’s 7th RTD Framework Programme (ERC advanced grant PID-IMMUNE contract 249816) and a government grant managed by the French Agence Nationale de la Recherche as part of the "Investments for the Future" program (ANR-10-IAHU-01). S.L. is supported by the Agence Nationale de la Recherche (ANR) (ANR-14-CE14-0028-01), the Foundation ARC pour la Recherche sur le Cancer (France), the Rare Diseases Foundation (France) and François Aupetit Association (France). S.L. is a senior scientist and S.K is a researcher at the Centre National de la Recherche Scientifique-CNRS (France). A.D. and S.K. are supported by the “Institut National de la Santé et de la Recherche Médicale". S.K. also supported by the Fondation pour la Recherche Médicale (grant number: ING20130526624), la Ligue Contre le Cancer (Comité de Paris) and the Centre de Référence Déficits Immunitaires Héréditaires (CEREDIH). S.O.B is supported by the Higher Education Funding Council for England. B.V. is supported by the UK Biotechnology and Biological Sciences Research Council [BB/I007806/1], Cancer Research UK [C23338/A15965) and the National Institute for Health Research (NIHR) University College London Hospitals Biomedical Research Centre. B.V. is consultant to Karus Therapeutics (Oxford, UK). S.N. is a Wellcome Trust Senior Research Fellow in Basic Biomedical Science (095198/Z/10/Z). S.N. is also supported by the European Research Council Starting grant 260477, the EU FP7 collaborative grant 261441 (PEVNET project) and the National Institute for Health Research (NIHR) Cambridge Biomedical Research Centre, UK. A.M.C. is funded by the Medical Research Council, British Lung Foundation, University of Sheffield and Cambridge NIHR-BRC. Research in A.M.C. laboratory has received non-commercial grant support from GSK, Novartis, and MedImmune.This is the author accepted manuscript. The final version is available from Elsevier via http://dx.doi.org/10.1016/j.jaci.2016.06.02

The Changing Landscape for Stroke\ua0Prevention in AF: Findings From the GLORIA-AF Registry Phase 2

Background GLORIA-AF (Global Registry on Long-Term Oral Antithrombotic Treatment in Patients with Atrial Fibrillation) is a prospective, global registry program describing antithrombotic treatment patterns in patients with newly diagnosed nonvalvular atrial fibrillation at risk of stroke. Phase 2 began when dabigatran, the first non\u2013vitamin K antagonist oral anticoagulant (NOAC), became available. Objectives This study sought to describe phase 2 baseline data and compare these with the pre-NOAC era collected during phase 1. Methods During phase 2, 15,641 consenting patients were enrolled (November 2011 to December 2014); 15,092 were eligible. This pre-specified cross-sectional analysis describes eligible patients\u2019 baseline characteristics. Atrial fibrillation disease characteristics, medical outcomes, and concomitant diseases and medications were collected. Data were analyzed using descriptive statistics. Results Of the total patients, 45.5% were female; median age was 71 (interquartile range: 64, 78) years. Patients were from Europe (47.1%), North America (22.5%), Asia (20.3%), Latin America (6.0%), and the Middle East/Africa (4.0%). Most had high stroke risk (CHA2DS2-VASc [Congestive heart failure, Hypertension, Age  6575 years, Diabetes mellitus, previous Stroke, Vascular disease, Age 65 to 74 years, Sex category] score  652; 86.1%); 13.9% had moderate risk (CHA2DS2-VASc = 1). Overall, 79.9% received oral anticoagulants, of whom 47.6% received NOAC and 32.3% vitamin K antagonists (VKA); 12.1% received antiplatelet agents; 7.8% received no antithrombotic treatment. For comparison, the proportion of phase 1 patients (of N = 1,063 all eligible) prescribed VKA was 32.8%, acetylsalicylic acid 41.7%, and no therapy 20.2%. In Europe in phase 2, treatment with NOAC was more common than VKA (52.3% and 37.8%, respectively); 6.0% of patients received antiplatelet treatment; and 3.8% received no antithrombotic treatment. In North America, 52.1%, 26.2%, and 14.0% of patients received NOAC, VKA, and antiplatelet drugs, respectively; 7.5% received no antithrombotic treatment. NOAC use was less common in Asia (27.7%), where 27.5% of patients received VKA, 25.0% antiplatelet drugs, and 19.8% no antithrombotic treatment. Conclusions The baseline data from GLORIA-AF phase 2 demonstrate that in newly diagnosed nonvalvular atrial fibrillation patients, NOAC have been highly adopted into practice, becoming more frequently prescribed than VKA in Europe and North America. Worldwide, however, a large proportion of patients remain undertreated, particularly in Asia and North America. (Global Registry on Long-Term Oral Antithrombotic Treatment in Patients With Atrial Fibrillation [GLORIA-AF]; NCT01468701

Guidelines for the use and interpretation of assays for monitoring autophagy (4th edition)1.

In 2008, we published the first set of guidelines for standardizing research in autophagy. Since then, this topic has received increasing attention, and many scientists have entered the field. Our knowledge base and relevant new technologies have also been expanding. Thus, it is important to formulate on a regular basis updated guidelines for monitoring autophagy in different organisms. Despite numerous reviews, there continues to be confusion regarding acceptable methods to evaluate autophagy, especially in multicellular eukaryotes. Here, we present a set of guidelines for investigators to select and interpret methods to examine autophagy and related processes, and for reviewers to provide realistic and reasonable critiques of reports that are focused on these processes. These guidelines are not meant to be a dogmatic set of rules, because the appropriateness of any assay largely depends on the question being asked and the system being used. Moreover, no individual assay is perfect for every situation, calling for the use of multiple techniques to properly monitor autophagy in each experimental setting. Finally, several core components of the autophagy machinery have been implicated in distinct autophagic processes (canonical and noncanonical autophagy), implying that genetic approaches to block autophagy should rely on targeting two or more autophagy-related genes that ideally participate in distinct steps of the pathway. Along similar lines, because multiple proteins involved in autophagy also regulate other cellular pathways including apoptosis, not all of them can be used as a specific marker for bona fide autophagic responses. Here, we critically discuss current methods of assessing autophagy and the information they can, or cannot, provide. Our ultimate goal is to encourage intellectual and technical innovation in the field

Observation of the B0 → ρ0ρ0 decay from an amplitude analysis of B0 → (π+π−)(π+π−) decays

Proton–proton collision data recorded in 2011 and 2012 by the LHCb experiment, corresponding to an integrated luminosity of 3.0 fb−1 , are analysed to search for the charmless B0→ρ0ρ0 decay. More than 600 B0→(π+π−)(π+π−) signal decays are selected and used to perform an amplitude analysis, under the assumption of no CP violation in the decay, from which the B0→ρ0ρ0 decay is observed for the first time with 7.1 standard deviations significance. The fraction of B0→ρ0ρ0 decays yielding a longitudinally polarised final state is measured to be fL=0.745−0.058+0.048(stat)±0.034(syst) . The B0→ρ0ρ0 branching fraction, using the B0→ϕK⁎(892)0 decay as reference, is also reported as B(B0→ρ0ρ0)=(0.94±0.17(stat)±0.09(syst)±0.06(BF))×10−6

Angular analysis of the B-0 -> K*(0) e(+) e(-) decay in the low-q(2) region

An angular analysis of the $B^0 \rightarrow K^{*0} e^+ e^-$ decay is performed using a data sample, corresponding to an integrated luminosity of 3.0 {\mbox{fb}^{-1}}, collected by the LHCb experiment in $pp$ collisions at centre-of-mass energies of 7 and 8 TeV during 2011 and 2012. For the first time several observables are measured in the dielectron mass squared ($q^2$) interval between 0.002 and 1.120${\mathrm{\,Ge\kern -0.1em V^2\!/}c^4}$. The angular observables $F_{\mathrm{L}}$ and $A_{\mathrm{T}}^{\mathrm{Re}}$ which are related to the $K^{*0}$ polarisation and to the lepton forward-backward asymmetry, are measured to be $F_{\mathrm{L}}= 0.16 \pm 0.06 \pm0.03$ and $A_{\mathrm{T}}^{\mathrm{Re}} = 0.10 \pm 0.18 \pm 0.05$, where the first uncertainty is statistical and the second systematic. The angular observables $A_{\mathrm{T}}^{(2)}$ and $A_{\mathrm{T}}^{\mathrm{Im}}$ which are sensitive to the photon polarisation in this $q^2$ range, are found to be $A_{\mathrm{T}}^{(2)} = -0.23 \pm 0.23 \pm 0.05$ and $A_{\mathrm{T}}^{\mathrm{Im}} =0.14 \pm 0.22 \pm 0.05$. The results are consistent with Standard Model predictions.An angular analysis of the B$^{0}$ → K^{*}^{0} e$^{+}$ e$^{−}$ decay is performed using a data sample, corresponding to an integrated luminosity of 3.0 fb$^{−1}$, collected by the LHCb experiment in pp collisions at centre-of-mass energies of 7 and 8 TeV during 2011 and 2012. For the first time several observables are measured in the dielectron mass squared (q$^{2}$) interval between 0.002 and 1.120 GeV$^{2}$ /c$^{4}$. The angular observables F$_{L}$ and A$_{T}^{Re}$ which are related to the K^{*}^{0} polarisation and to the lepton forward-backward asymmetry, are measured to be F$_{L}$ = 0.16 ± 0.06 ± 0.03 and A$_{T}^{Re}$  = 0.10 ± 0.18 ± 0.05, where the first uncertainty is statistical and the second systematic. The angular observables A$_{T}^{(2)}$ and A$_{T}^{Im}$ which are sensitive to the photon polarisation in this q$^{2}$ range, are found to be A$_{T}^{(2)}$  = − 0.23 ± 0.23 ± 0.05 and A$_{T}^{Im}$  = 0.14 ± 0.22 ± 0.05. The results are consistent with Standard Model predictions.An angular analysis of the $B^0 \rightarrow K^{*0} e^+ e^-$ decay is performed using a data sample, corresponding to an integrated luminosity of 3.0 {\mbox{fb}^{-1}}, collected by the LHCb experiment in $pp$ collisions at centre-of-mass energies of 7 and 8 TeV during 2011 and 2012. For the first time several observables are measured in the dielectron mass squared ($q^2$) interval between 0.002 and 1.120${\mathrm{\,Ge\kern -0.1em V^2\!/}c^4}$. The angular observables $F_{\mathrm{L}}$ and $A_{\mathrm{T}}^{\mathrm{Re}}$ which are related to the $K^{*0}$ polarisation and to the lepton forward-backward asymmetry, are measured to be $F_{\mathrm{L}}= 0.16 \pm 0.06 \pm0.03$ and $A_{\mathrm{T}}^{\mathrm{Re}} = 0.10 \pm 0.18 \pm 0.05$, where the first uncertainty is statistical and the second systematic. The angular observables $A_{\mathrm{T}}^{(2)}$ and $A_{\mathrm{T}}^{\mathrm{Im}}$ which are sensitive to the photon polarisation in this $q^2$ range, are found to be $A_{\mathrm{T}}^{(2)} = -0.23 \pm 0.23 \pm 0.05$ and $A_{\mathrm{T}}^{\mathrm{Im}} =0.14 \pm 0.22 \pm 0.05$. The results are consistent with Standard Model predictions