Stochastic Volatility with Levy Processes: Calibration and Pricing

In this thesis, stochastic volatility models with Levy processes are treated in parameter calibration by the Carr-Madan fast Fourier transform (FFT) method and pricing through the partial integro-differential equation (PIDE) approach. First, different models where the underlying log stock price or volatility driven by either a Brownian motion or a Levy process are examined on Standard & Poor's (S&P) 500 data. The absolute percentage errors show that the calibration errors are different between the models. Furthermore, a new method to estimate the standard errors, which can be seen as a generalization of the traditional error estimation method, is proposed and the results show that in all the parameters of a stochastic volatility model, some parameters are well-identified while the others are not. Next, the previous approach to parameter calibration is modified by making the volatility constrained under the volatilty process of the model and by making the other model parameters fixed. Parameters are calibrated over five consecutive days on S&P 500 or foreign exchange (FX) options data. The results show that the absolute percentage errors do not get much larger and are still in an acceptable threshold. Moreover, the parameter calibrating procedure is stabilized due to the constraint made on the volatility process. In other words, it is more likely that the same calibrated parameters are obtained from different initial guesses. Last, for the PIDEs with two or three space dimensions, which arise in stochastic volatility models or in stochastic skew models, it is in general inefficient or infeasible to apply the same numerical technique to different parts of the system. An operator splitting method is proposed to break down the complicated problem into a diffusion part and a jump part. The two parts are treated with a finite difference and a finite element method, respectively. For the PIDEs in 1-D, 2-D and 3-D cases, the numerical approach by the operator splitting is carried out in a reasonable time. The results show that the operator splitting method is numerically stable and has the monotonicity perserving property with fairly good accuracy, when the boundary conditions at volatility are estimated by Neumann conditions

Apolipoprotein e mediates attachment of clinical hepatitis C virus to hepatocytes by binding to cell surface heparan sulfate proteoglycan receptors

Our previous studies demonstrated that the cell culture-grown hepatitis C virus of genotype 2a (HCVcc) uses apolipoprotein E (apoE) to mediate its attachment to the surface of human hepatoma Huh-7.5 cells. ApoE mediates HCV attachment by binding to the cell surface heparan sulfate (HS) which is covalently attached to the core proteins of proteoglycans (HSPGs). In the present study, we further determined the physiological importance of apoE and HSPGs in the HCV attachment using a clinical HCV of genotype 1b (HCV1b) obtained from hepatitis C patients and human embryonic stem cell-differentiated hepatocyte-like cells (DHHs). DHHs were found to resemble primary human hepatocytes. Similar to HCVcc, HCV1b was found to attach to the surface of DHHs by the apoE-mediated binding to the cell surface HSPGs. The apoE-specific monoclonal antibody, purified HSPGs, and heparin were all able to efficiently block HCV1b attachment to DHHs. Similarly, the removal of heparan sulfate from cell surface by treatment with heparinase suppressed HCV1b attachment to DHHs. More significantly, HCV1b attachment was potently inhibited by a synthetic peptide derived from the apoE receptor-binding region as well as by an HSPG-binding peptide. Likewise, the HSPG-binding peptide prevented apoE from binding to heparin in a dose-dependent manner, as determined by an in vitro heparin pull-down assay. Collectively, these findings demonstrate that HSPGs serve as major HCV attachment receptors on the surface of human hepatocytes to which the apoE protein ligand on the HCV envelope binds

Improving shape from shading with interactive Tabu search

Optimisation based shape from shading (SFS) is sensitive to initialization: errors in initialization are a significant cause of poor overall shape reconstruction. In this paper, we present a method to help overcome this problem by means of user interaction. There are two key elements in our method. Firstly, we extend SFS to consider a set of initializations, rather than to use a single one. Secondly, we efficiently explore this initialization space using a heuristic search method, tabu search, guided by user evaluation of the reconstruction quality. Reconstruction results on both synthetic and real images demonstrate the effectiveness of our method in providing more desirable shape reconstructions

Synthesis, properties, and optical applications of noble metal nanoparticle-biomolecule conjugates

Noble metal nanoparticles, such as gold or silver nanoparticles and nanorods, exhibit unique photonic, electronic and catalytic properties. Functionalization of noble metal nanoparticles with biomolecules (e. g., protein and DNA) produces systems that possess numerous applications in catalysis, delivery, therapy, imaging, sensing, constructing nanostructures and controlling the structure of biomolecules. In this paper, the recent development of noble metal nanoparticle-biomolecule conjugates is reviewed from the following three aspects: (1) synthesis of noble metal nanoparticle-biomolecule systems by electrostatic adsorption, direct chemisorption of thiol derivatives, covalent binding through bifunctional linkers and specific affinity interactions; (2) the photonic properties and bioactivation of noble metal nanoparticle-biomolecule conjugates; and (3) the optical applications of such systems in biosensors, and medical imaging, diagnosis, and therapy. The conjugation of Au and Ag nanoparticles with biomolecules and the most recent optical applications of the resulting systems have been focused on

Investigation of radial force and hydraulic performance in a centrifugal pump with different guide vane outlet angle

In order to investigate the effect of the guide vane outlet angle on the performance of centrifugal pumps, a centrifugal pump with guide vanes was used as the research model and its specific speed is 165. Keep all the other geometry parameters of the pump as constants, the guide vane outlet angle was designed to be 28°, 20°, 15°,10°, 5° and 3° respectively. The whole flow field in the pump under different guide vane outlet angles was simulated by commercial code CFX and the simulation was unsteady. The simulation results were validated by experiment results. According to the simulations, the hydraulic performance, internal flow and radial force of the pump under different guide vane outlet angles were compared and analyzed in detail. The research results indicate that the head and efficiency of the pump are the best when the guide vane outlet angle is 10°. With the decrease of the blade outlet angle of guide vane, the length of flow channels in the guide vane become bigger and its width gets smaller, the uniformity of inner flow in the centrifugal pump gets better, and therefore the radial force on the impeller reduces. With the decrease of the guide vane blade outlet angle, the pulsation frequency of radial force does not change, but the pulsation amplitude of the radial force reduces obviously. The vector distribution of the unsteady radial force is symmetric around the origin and mainly lies in 5 regions, which is same as the blade number of impeller

Effect of the blade outlet angle on unsteady characteristics of a single channel pump

To study the effect of β2 on energy performance and unsteady characteristics of the single-channel pump, the experimental tests about the energy characteristics, head pulsation, pressure fluctuation and radial force have been conducted by the synchronous test. 3 different impellers with the blade outlet angle β2 of 8°, 16° and 25° respectively are studied. The results show that with the increase of β2 from 8° to 25°, the head increases gradually and the maximum increase amplitude reaches 22.6 %. As β2 changes from 8° to 25°, there is a maximum efficiency. The mixing loss at the impeller outlet can be decreased by reducing β2. With the increasing of β2, the minimum head in time domain gradually lag and the maximum head gradually advances. The pressure fluctuation in each measuring point shows the trend of increasing first and then decreasing with the increasing of the flow rate. With β2 increasing, the radial force also increases and the maximum increase amplitude of minimum radial force is larger than 8 %. The research can provide some reference for the optimization of single channel pumps

Effect of inlet splitter on pressure fluctuations in a double-suction centrifugal pump

In order to investigate the effect of inlet splitter on pressure fluctuations in a double-suction centrifugal pump, three research schemes, including no splitter (scheme I), a splitter along the flow passage centerline (scheme II) and a splitter above the flow passage centerline in the suction (scheme III), were designed. The flow in the pump was simulated by commercial code FLUENT. The viscous Navier-Stokes equations were handled with an unsteady calculation and the sliding mesh technique was applied to take into account the impeller-volute interaction. Based on the simulation results, the hydraulic performance and pressure fluctuations were obtained and analyzed in detail. The hydraulic performance agrees well with the experimental results. The pressure fluctuations under three schemes are different. The maximum amplitude of the pressure fluctuations in scheme II is the minimum. For monitoring points near volute tongue, rotating frequency and its harmonies are dominant under three research schemes. The maximum amplitude of pressure fluctuations of three schemes are all at the blade passing frequency. In particular, the maximum pressure fluctuation amplitude of scheme II was less than that of scheme I and scheme III, which illustrated that it is effective to reduce the peak value of pressure fluctuations in double suction centrifugal pump by installing a splitter in the suction properly

Synthesis, properties, and optical applications of noble metal nanoparticle-biomolecule conjugates

China-MOST [2008DFA51230]; National Basic Research Program of China [2007CB936603]; National Natural Science Foundation of China [11074207, 60776007]Noble metal nanoparticles, such as gold or silver nanoparticles and nanorods, exhibit unique photonic, electronic and catalytic properties. Functionalization of noble metal nanoparticles with biomolecules (e. g., protein and DNA) produces systems that possess numerous applications in catalysis, delivery, therapy, imaging, sensing, constructing nanostructures and controlling the structure of biomolecules. In this paper, the recent development of noble metal nanoparticle-biomolecule conjugates is reviewed from the following three aspects: (1) synthesis of noble metal nanoparticle-biomolecule systems by electrostatic adsorption, direct chemisorption of thiol derivatives, covalent binding through bifunctional linkers and specific affinity interactions; (2) the photonic properties and bioactivation of noble metal nanoparticle-biomolecule conjugates; and (3) the optical applications of such systems in biosensors, and medical imaging, diagnosis, and therapy. The conjugation of Au and Ag nanoparticles with biomolecules and the most recent optical applications of the resulting systems have been focused on

Massimo Pallotrino, Etruščani, Zagreb: Svitava, 2008., 541 str.

This work was financially supported by National Natural Science Foundation (NSF) of China and the Government of Guangdong Province for NSF (U1301242, 21271190 and S2012020011113), the Specialized Research Fund for the Doctoral Program of Higher Education (20130171130001) and industry (2012B09000026), and the State Key Laboratory of Inorganic Synthesis and Preparative Chemistry, Jilin University (2012-01). Qili Wu and Xianfeng Yang contributed equally to this work.A new type of anatase TiO2 microcages assembled by oriented nanocrystals have been successfully fabricated through a topotactical conversion from CaTiO3 microcage precursor. The anatase microcages have all their six side faces dominated by anatase {001} facets, as revealed by detailed electron microscopy characterization. When used as the anode material for Li-ion storage, the unique microcages have the advantage of remarkable structural stability, high surface areas, and facile electronic conduction path. As a result, the TiO2 microcages-based anode achieves a high lithium storage performance especially at high current rates and long cycling stability, giving 175 mAh g-1 at 5C (850 mA g-1) after 800 cycles and 95 mAh g-1 at 50 C after 5000 cycles. Our comparison to the literature shows that this is a competitive and promising material for Li-ion battery and potentially also photocatalyst applications.PostprintPeer reviewe

Defining the proteolytic landscape during enterovirus infection.

Viruses cleave cellular proteins to remodel the host proteome. The study of these cleavages has revealed mechanisms of immune evasion, resource exploitation, and pathogenesis. However, the full extent of virus-induced proteolysis in infected cells is unknown, mainly because until recently the technology for a global view of proteolysis within cells was lacking. Here, we report the first comprehensive catalog of proteins cleaved upon enterovirus infection and identify the sites within proteins where the cleavages occur. We employed multiple strategies to confirm protein cleavages and assigned them to one of the two enteroviral proteases. Detailed characterization of one substrate, LSM14A, a p body protein with a role in antiviral immunity, showed that cleavage of this protein disrupts its antiviral function. This study yields a new depth of information about the host interface with a group of viruses that are both important biological tools and significant agents of disease