Conditional sampling for barrier option pricing under the LT method

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance reduction is achieved. We extend the method to allow pricing knock-in barrier options and introduce a root-finding method to obtain a further variance reduction. The effectiveness of the new method is supported by numerical results

Bacterial microbiota composition of a common ectoparasite of cavity‐breeding birds, the Hen Flea Ceratophyllus gallinae

Experimental field studies have demonstrated negative fitness consequences of Hen Flea Ceratophyllus gallinae infestations for bird hosts, yet it is currently unclear whether these negative effects are a direct consequence of flea-induced blood loss or a result of flea-borne pathogen transmission. Here we used a 16S rRNA gene sequencing approach to characterize the bacterial microbiota community of Hen Fleas collected from Great Tit Parus major nests and found that Brevibacterium (Actinobacteria), Staphylococcus (Firmicutes), Stenotrophomonas (Proteobacteria), Massilia (Proteobacteria), as well as the arthropod endosymbionts 'Candidatus Lariskella' and 'Candidatus Midichloria' were most abundant. We found evidence for the occurrence of Staphylococcus spp. in Hen Fleas, which may cause opportunistic infections in bird hosts, but not of other known pathogens commonly transmitted by other flea species, such as Bartonella spp. or Rickettsia spp. However, Hen Fleas might transmit other pathogens (e.g. viruses or bacteria that are not currently recognized as bird pathogens), which may contribute to the negative fitness consequences of Hen Flea infestations in addition to direct blood loss or secondary infections of wounds caused by biting fleas.Peer reviewe

Dynamically-Coupled Oscillators -- Cooperative Behavior via Dynamical Interaction --

We propose a theoretical framework to study the cooperative behavior of dynamically coupled oscillators (DCOs) that possess dynamical interactions. Then, to understand synchronization phenomena in networks of interneurons which possess inhibitory interactions, we propose a DCO model with dynamics of interactions that tend to cause 180-degree phase lags. Employing an approach developed here, we demonstrate that although our model displays synchronization at high frequencies, it does not exhibit synchronization at low frequencies because this dynamical interaction does not cause a phase lag sufficiently large to cancel the effect of the inhibition. We interpret the disappearance of synchronization in our model with decreasing frequency as describing the breakdown of synchronization in the interneuron network of the CA1 area below the critical frequency of 20 Hz.Comment: 10 pages, 3 figure

Imaging the asymmetric dust shell around CI Cam with long baseline optical interferometry

We present the first high angular resolution observation of the B[e] star/X-ray transient object CI Cam, performed with the two-telescope Infrared Optical Telescope Array (IOTA), its upgraded three-telescope version (IOTA3T) and the Palomar Testbed Interferometer (PTI). Visibilities and closure phases were obtained using the IONIC-3 integrated optics beam combiner. CI Cam was observed in the near-infrared H and K spectral bands, wavelengths well suited to measure the size and study the geometry of the hot dust surrounding CI Cam. The analysis of the visibility data over an 8 year period from soon after the 1998 outburst to 2006 shows that the dust visibility has not changed over the years. The visibility data shows that CI Cam is elongated which confirms the disc-shape of the circumstellar environment and totally rules out the hypothesis of a spherical dust shell. Closure phase measurements show direct evidence of asymmetries in the circumstellar environment of CI Cam and we conclude that the dust surrounding CI Cam lies in an inhomogeneous disc seen at an angle. The near-infrared dust emission appears as an elliptical skewed Gaussian ring with a major axis a = 7.58 +/- 0.24 mas, an axis ratio r = 0.39 +/- 0.03 and a position angle theta = 35 +/- 2 deg.Comment: 9 pages, 5 figures, accepted MNRA

New dynamics in cerebellar Purkinje cells: torus canards

We describe a transition from bursting to rapid spiking in a reduced mathematical model of a cerebellar Purkinje cell. We perform a slow-fast analysis of the system and find that -- after a saddle node bifurcation of limit cycles -- the full model dynamics follow temporarily a repelling branch of limit cycles. We propose that the system exhibits a dynamical phenomenon new to realistic, biophysical applications: torus canards.Comment: 4 pages; 4 figures (low resolution); updated following peer-review: language and definitions updated, Figures 1 and 4 updated, typos corrected, references added and remove

Stability Analysis of Asynchronous States in Neuronal Networks with Conductance-Based Inhibition

Oscillations in networks of inhibitory interneurons have been reported at various sites of the brain and are thought to play a fundamental role in neuronal processing. This Letter provides a self-contained analytical framework that allows numerically efficient calculations of the population activity of a network of conductance-based integrate-and-fire neurons that are coupled through inhibitory synapses. Based on a normalization equation this Letter introduces a novel stability criterion for a network state of asynchronous activity and discusses its perturbations. The analysis shows that, although often neglected, the reversal potential of synaptic inhibition has a strong influence on the stability as well as the frequency of network oscillations