Implicit Bayesian Inference Using Option Prices

A Bayesian approach to option pricing is presented, in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time-varying volatility in returns are considered, with posterior parameter distributions and model probabilities backed out from the option prices. Models are ranked according to several criteria, including out-of-sample fit, predictive and hedging performance. The methodology accommodates heteroscedasticity and autocorrelation in the option pricing errors, as well as regime shifts across contract groups. The method is applied to intraday option price data on the S&P500 stock index for 1995. Whilst the results provide support for models which accommodate leptokurtosis, no one model dominates according to all criteria considered.Bayesian Option Pricing; Leptokurtosis; Skewness; GARCH Option Pricing; Option Price Prediction; Hedging Errors.

Fusing Quantitative Requirements Analysis with Model-based Systems Engineering

A vision is presented for fusing quantitative requirements analysis with model-based systems engineering. This vision draws upon and combines emergent themes in the engineering milieu. “Requirements engineering” provides means to explicitly represent requirements (both functional and non-functional) as constraints and preferences on acceptable solutions, and emphasizes early-lifecycle review, analysis and verification of design and development plans. “Design by shopping” emphasizes revealing the space of options available from which to choose (without presuming that all selection criteria have previously been elicited), and provides means to make understandable the range of choices and their ramifications. “Model-based engineering” emphasizes the goal of utilizing a formal representation of all aspects of system design, from development through operations, and provides powerful tool suites that support the practical application of these principles. A first step prototype towards this vision is described, embodying the key capabilities. Illustrations, implications, further challenges and opportunities are outlined

Pretransplant HLA typing revealed loss of heterozygosity in the major histocompatibility complex in a patient with acute myeloid leukemia

Introduction Chromosomal abnormalities are frequent events in hematological malignancies. The degree of HLA compatibility between donor and recipient in hematopoietic stem cell transplantation is critical. Purpose of the study In this report, we describe an acute myeloid leukemia case with loss of heterozygosity (LOH) encompassing the entire HLA. Materials and methods HLA molecular typing was performed on peripheral blood (PB) and buccal swabs (BS). Chromosomal microarray analysis (CMA) was performed using a whole genome platform. Results Typing results on PB sample collected during blast crisis demonstrated homozygosity at the -A, -B, -C, -DR, and -DQ loci. A BS sample demonstrated heterozygosity at all loci. A subsequent PB sample drawn after count recovery confirmed heterozygosity. The CMA performed on PB samples collected during and after blast crisis revealed a large terminal region of copy-neutral LOH involving chromosome region 6p25.3p21.31, spanning approximately 35.9 Mb. The results of the CMA assay on sample collected after count recovery did not demonstrate LOH. Conclusions LOH at the HLA gene locus may significantly influence the donor search resulting in mistakenly choosing homozygous donors. We recommend confirming the HLA typing of recipients with hematological malignancies when homozygosity is detected at any locus by using BS samples, or alternatively from PB when remission is achieved

Region-Specific Myelin Pathology in Mice Lacking the Golli Products of the Myelin Basic Protein Gene

The myelin basic protein (MBP) gene encodes two families of proteins, the classic MBP constituents of myelin and the golli-MBPs, the function of which is less well understood. In this study, targeted ablation of the golli-MBPs, but not the classic MBPs, resulted in a distinct phenotype unlike that of knock-outs (KOs) of the classic MBPs or other myelin proteins. Although the golli KO animals did not display an overt dysmyelinating phenotype, they did exhibit delayed and/or hypomyelination in selected areas of the brain, such as the visual cortex and the optic nerve, as determined by Northern and Western blots and immunohistochemical analysis with myelin protein markers. Hypomyelination in some areas, such as the visual cortex, persisted into adulthood. Ultrastructural analysis of the KOs confirmed both the delay and hypomyelination and revealed abnormalities in myelin structure and in some oligodendrocytes. Abnormal visual-evoked potentials indicated that the hypomyelination in the visual cortex had functional consequences in the golli KO brain. Evidence that the abnormal myelination in these animals was a consequence of intrinsic problems with the oligodendrocyte was indicated by an impaired ability of oligodendrocytes to form myelin sheets in culture and by the presence of abnormal Ca^(2+) transients in purified cortical oligodendrocytes studied in vitro. The Ca^(2+) results reported in this study complement previous results implicating golli proteins in modulating intracellular signaling in T-cells. Together, all these findings suggest a role for golli proteins in oligodendrocyte differentiation, migration, and/or myelin elaboration in the brain

ABCA7 frameshift deletion associated with Alzheimer disease in African Americans

Objective: To identify a causative variant(s) that may contribute to Alzheimer disease (AD) in African Americans (AA) in the ATP-binding cassette, subfamily A (ABC1), member 7 (ABCA7) gene, a known risk factor for late-onset AD. Methods: Custom capture sequencing was performed on ∼150 kb encompassing ABCA7 in 40 AA cases and 37 AA controls carrying the AA risk allele (rs115550680). Association testing was performed for an ABCA7 deletion identified in large AA data sets (discovery n = 1,068; replication n = 1,749) and whole exome sequencing of Caribbean Hispanic (CH) AD families. Results: A 44-base pair deletion (rs142076058) was identified in all 77 risk genotype carriers, which shows that the deletion is in high linkage disequilibrium with the risk allele. The deletion was assessed in a large data set (531 cases and 527 controls) and, after adjustments for age, sex, and APOE status, was significantly associated with disease (p = 0.0002, odds ratio [OR] = 2.13 [95% confidence interval (CI): 1.42–3.20]). An independent data set replicated the association (447 cases and 880 controls, p = 0.0117, OR = 1.65 [95% CI: 1.12–2.44]), and joint analysis increased the significance (p = 1.414 × 10−5, OR = 1.81 [95% CI: 1.38–2.37]). The deletion is common in AA cases (15.2%) and AA controls (9.74%), but in only 0.12% of our non-Hispanic white cohort. Whole exome sequencing of multiplex, CH families identified the deletion cosegregating with disease in a large sibship. The deleted allele produces a stable, detectable RNA strand and is predicted to result in a frameshift mutation (p.Arg578Alafs) that could interfere with protein function. Conclusions: This common ABCA7 deletion could represent an ethnic-specific pathogenic alteration in AD

Transformation of Cs-IONSIV® into a ceramic wasteform by hot isostatic pressing

A simple method to directly convert Cs-exchanged IONSIV® IE-911 into a ceramic wasteform by hot isostatic pressing (1100 °C/190 MPa/2 hr) is presented. Two major Cs-containing phases, Cs2TiNb6O18 and Cs2ZrSi6O15, and a series of mixed oxides form. The microstructure and phase assemblage of the samples as a function of Cs content were examined using XRD, XRF, SEM and TEM/EDX. The chemical aqueous durability of the materials was investigated using the MCC-1 and PCT-B standard test methods. For HIPed Cs-IONSIV® samples, the MCC-1 normalised release rates of Cs were <1.57 × 10−1 g m−2 d−1 at 0–28 days, and <3.78 × 10−2 g m−2 d−1 for PCT-B at 7 days. The low rates are indicative of a safe long-term immobilisation matrix for Cs formed directly from spent IONSIV®. It was also demonstrated that the phase formation can be altered by adding Ti metal due to a controlled redox environment

A modeling assessment of the role of reversible scavenging in controlling oceanic dissolved Cu and Zn distributions

The balance of processes that control elemental distributions in the modern oceans is important in understanding both their internal recycling and the rate and nature of their eventual output to sediment. Here we seek to evaluate the likely controls on the vertical profiles of Cu and Zn. Though the concentrations of both Cu and Zn increase with depth, Cu increases in a more linear fashion than Zn, which exhibits a typical "nutrient-type" profile. Both elements are bioessential, and biological uptake and regeneration has often been cited as an important process in controlling their vertical distribution. In this study, we investigate the likely importance of another key vertical process, that of passive scavenging on sinking particles, via a simple one-dimensional model of reversible scavenging. We find that, despite the absence of lateral or vertical water advection, mixing, diffusion, or biological uptake, our reversible scavenging model is very successful in replicating dissolved Cu concentration profiles on a range of geographic scales. We provide preliminary constraints on the scavenging coefficients for Cu for a spectrum of particle types (calcium carbonate, opal, particulate organic carbon, and dust) while emphasizing the fit of the shape of the modeled profile to that of the tracer data. In contrast to Cu, and reaffirming the belief that Zn behaves as a true micronutrient, the scavenging model is a poor match to the shape of oceanic Zn profiles. Modeling a single vertical process simultaneously highlights the importance of lateral advection in generating high Zn concentrations in the deep Pacific. Key Points A 1-D reversible scavenging model is applied to oceanic [Cu] and [Zn]Dissolved Cu is well described by the process of reversible scavengingDissolved Zn is not, reflecting its behaviour as a true nutrient-type element ©2013. American Geophysical Union. All Rights Reserved

Investigation of autism and GABA receptor subunit genes in multiple ethnic groups

Autism is a neurodevelopmental disorder of complex genetics, characterized by impairment in social interaction and communication, as well as repetitive behavior. Multiple lines of evidence, including alterations in levels of GABA and GABA receptors in autistic patients, indicate that the GABAergic system, which is responsible for synaptic inhibition in the adult brain, may be involved in autism. Previous studies in our lab indicated association of noncoding single nucleotide polymorphisms (SNPs) within a GABA receptor subunit gene on chromosome 4, GABRA4, and interaction between SNPs in GABRA4 and GABRB1 (also on chromosome 4), within Caucasian autism patients. Studies of genetic variation in African-American autism families are rare. Analysis of 557 Caucasian and an independent population of 54 African-American families with 35 SNPs within GABRB1 and GABRA4 strengthened the evidence for involvement of GABRA4 in autism risk in Caucasians (rs17599165, p=0.0015; rs1912960, p=0.0073; and rs17599416, p=0.0040) and gave evidence of significant association in African-Americans (rs2280073, p=0.0287 and rs16859788, p=0.0253). The GABRA4 and GABRB1 interaction was also confirmed in the Caucasian dataset (most significant pair, rs1912960 and rs2351299; p=0.004). Analysis of the subset of families with a positive history of seizure activity in at least one autism patient revealed no association to GABRA4; however, three SNPs within GABRB1 showed significant allelic association; rs2351299 (p=0.0163), rs4482737 (p=0.0339), and rs3832300 (p=0.0253). These results confirmed our earlier findings, indicating GABRA4 and GABRB1 as genes contributing to autism susceptibility, extending the effect to multiple ethnic groups and suggesting seizures as a stratifying phenotype

Association of Genetic Markers with CSF Oligoclonal Bands in Multiple Sclerosis Patients

Objective:to explore the association between genetic markers and Oligoclonal Bands (OCB) in the Cerebro Spinal Fluid (CSF) of Italian Multiple Sclerosis patients.Methods:We genotyped 1115 Italian patients for HLA-DRB1*15 and HLA-A*02. In a subset of 925 patients we tested association with 52 non-HLA SNPs associated with MS susceptibility and we calculated a weighted Genetic Risk Score. Finally, we performed a Genome Wide Association Study (GWAS) with OCB status on a subset of 562 patients. The best associated SNPs of the Italian GWAS were replicated in silico in Scandinavian and Belgian populations, and meta-analyzed.Results:HLA-DRB1*15 is associated with OCB+: p = 0.03, Odds Ratio (OR) = 1.6, 95% Confidence Limits (CL) = 1.1-2.4. None of the 52 non-HLA MS susceptibility loci was associated with OCB, except one SNP (rs2546890) near IL12B gene (OR: 1.45; 1.09-1.92). The weighted Genetic Risk Score mean was significantly (p = 0.0008) higher in OCB+ (7.668) than in OCB- (7.412) patients. After meta-analysis on the three datasets (Italian, Scandinavian and Belgian) for the best associated signals resulted from the Italian GWAS, the strongest signal was a SNP (rs9320598) on chromosome 6q (p = 9.4×10-7) outside the HLA region (65 Mb).Discussion:genetic factors predispose to the development of OCB