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

Исследование влияния температуры на процесс восстановления ацетилдифенила изопропилатом алюминия

We present a compact module, emitting nearly diffraction limited green laser light at 531 nm at an average output power of more than 500 mW. As pump source for the second harmonic generation a DBR tapered laser with a total length of 6 mm was used. The RW section had a length of 2 mm including a 1 mm long passive DBR section. The devices were mounted p-side up on a copper block. For this mounting scheme, the device reaches up to 7 W maximal output power. At the power level of about 3.8 W used in the presented experiment, a wavelength of 1062.6 nm with a line-width below 0.02 nm (FWHM) was determined. More than 80% of the emitted power is originated within the central lobe of the beam waist profile illustrating the nearly diffraction limited beam quality. Using a 30mm long MgO-doped periodically poled LiNbO3 bulk crystal, the second harmonic wave is generated in a single-pass setup. Due to precise alignment and beam shaping based on the results of numerical simulations and a properly temperature control of the PPLN crystal, a maximum optical conversion efficiency of more than 14% (3.7%/W) was achieved. The fluctuation of the output power is far below 1%

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

Baseline data of a population-based cohort of patients with diabetes in Switzerland (CoDiab-VD)

QUESTIONS UNDER STUDY: To describe a population-based sample of patients with diabetes and the quality of their care in the canton of Vaud, Switzerland, as a baseline measure for the evaluation of the "Programme cantonal Diabète". METHODS: We conducted a self-administered paper-based questionnaire survey. Non-institutionalised adult (aged ≥18 years) patients with diabetes diagnosed for at least 1 year and residing in the canton of Vaud were recruited by community pharmacies. Women with gestational diabetes, people with obvious cognitive impairment or people not sufficiently fluent in French were excluded. Primary outcomes were recommended processes-of-care and outcomes of care (glycosylated haemoglobin [HbA1c], generic and disease-specific health-related quality of life (HRQoL), overall care score in relation to the Chronic Care Model). Other measures included diabetes education, self-management support and self-efficacy, health status, health behaviour and demographics. RESULTS: A total of 519 patients with diabetes were included. Whereas the mean HbA1c level was 7.3% (n = 177, 95% confidence interval 7.1-7.5), diabetes-specific processes-of-care and influenza vaccination were reported by less than two-thirds of the patients. Physical activity and diet recommendations results mirrored patients' difficulties with their management in daily life and diabetes-specific HRQoL was worst in the dimensions relative to diet (eating and drinking) and sex life. A minority of patients reported ever having participated in diabetes education courses (32.8%). Overall, patients were satisfied with their care and the support they received. CONCLUSIONS: This study provides a broad picture of the experiences of people living with diabetes in the canton of Vaud. It shall guide the development of targeted interventions within the "Programme cantonal Diabète"

Identifying the rotation rate and the presence of dynamic weather on extrasolar Earth-like planets from photometric observations

With the recent discoveries of hundreds of extrasolar planets, the search for planets like Earth and life in the universe, is quickly gaining momentum. In the future, large space observatories could directly detect the light scattered from rocky planets, but they would not be able to spatially resolve a planet's surface. Using reflectance models and real cloud data from satellite observations, here we show that, despite Earth's dynamic weather patterns, the light scattered by the Earth to a hypothetical distant observer as a function of time contains sufficient information to accurately measure Earth's rotation period. This is because ocean currents and continents result in relatively stable averaged global cloud patterns. The accuracy of these measurements will vary with the viewing geometry and other observational constraints. If the rotation period can be measured with accuracy, data spanning several months could be coherently combined to obtain spectroscopic information about individual regions of the planetary surface. Moreover, deviations from a periodic signal can be used to infer the presence of relatively short-live structures in its atmosphere (i.e., clouds). This could provide a useful technique for recognizing exoplanets that have active weather systems, changing on a timescale comparable to their rotation. Such variability is likely to be related to the atmospheric temperature and pressure being near a phase transition and could support the possibility of liquid water on the planet's surface

Detection of autonomous replicating sequences (ars) in the genome of Epstein-Barr virus.

Epstein-Barr virus (EBV) DNA was analyzed for the presence of autonomous replicating sequences (designated ars) in a eukaryotic system consisting of a uracil auxotroph of Saccharomyces cerevisiae, YNN27, and a pBR322 hybrid plasmid, YIp5, containing the yeast uracil gene but apparently lacking a eukaryotic origin of replication. Cloned EBV DNA EcoRI restriction fragments, A, B, and DIJhet, were judged to function in this capacity by their ability to convert YNN27 cells to the uracil phenotype after transformation with each EBV-specific fragment ligated into YIp5. Additional analyses to confirm and to specify further the location of the ars were performed by cleavage of EcoRI fragments A and B into smaller BamHI fragments, which were subsequently cloned in YIp5 and tested for their ability to function as ars. BamHI fragment X, obtained from EcoRI fragment A, and BamHI fragment R, obtained from EcoRI fragment B, showed ars behavior. The successful recovery of the appropriate virus DNA segments in plasmid form from transformed yeast cells and the ability of these yeast cells to be propagated further substantiated the ars capability of the three EBV fragments

Neural Network Model for Apparent Deterministic Chaos in Spontaneously Bursting Hippocampal Slices

A neural network model that exhibits stochastic population bursting is studied by simulation. First return maps of inter-burst intervals exhibit recurrent unstable periodic orbit (UPO)-like trajectories similar to those found in experiments on hippocampal slices. Applications of various control methods and surrogate analysis for UPO-detection also yield results similar to those of experiments. Our results question the interpretation of the experimental data as evidence for deterministic chaos and suggest caution in the use of UPO-based methods for detecting determinism in time-series data.Comment: 4 pages, 5 .eps figures (included), requires psfrag.sty (included

New insights on the AU-scale circumstellar structure of FU Orionis

We report new near-infrared, long-baseline interferometric observations at the AU scale of the pre-main-sequence star FU Orionis with the PTI, IOTA and VLTI interferometers. This young stellar object has been observed on 42 nights over a period of 6 years from 1998 to 2003. We have obtained 287 independent measurements of the fringe visibility with 6 different baselines ranging from 20 to 110 meters in length, in the H and K bands. Our extensive (u,v)-plane coverage, coupled with the published spectral energy distribution data, allows us to test the accretion disk scenario. We find that the most probable explanation for these observations is that FU Ori hosts an active accretion disk whose temperature law is consistent with standard models. We are able to constrain the geometry of the disk, including an inclination of 55 deg and a position angle of 47 deg. In addition, a 10 percent peak-to-peak oscillation is detected in the data (at the two-sigma level) from the longest baselines, which we interpret as a possible disk hot-spot or companion. However, the oscillation in our best data set is best explained with an unresolved spot located at a projected distance of 10 AU at the 130 deg position angle and with a magnitude difference of DeltaK = 3.9 and DeltaH = 3.6 mag moving away from the center at a rate of 1.2 AU/yr. we propose to interpret this spot as the signature of a companion of the central FU Ori system on an extremely eccentric orbit. We speculate that the close encounter of this putative companion and the central star could be the explanation of the initial photometric rise of the luminosity of this object

Self-organized criticality and synchronization in a lattice model of integrate-and-fire oscillators

We introduce two coupled map lattice models with nonconservative interactions and a continuous nonlinear driving. Depending on both the degree of conservation and the convexity of the driving we find different behaviors, ranging from self-organized criticality, in the sense that the distribution of events (avalanches) obeys a power law, to a macroscopic synchronization of the population of oscillators, with avalanches of the size of the system.Comment: 4 pages, Revtex 3.0, 3 PostScript figures available upon request to [email protected]