Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes

Option pricing under the Lévy process has been considered an important research direction in the field of financial engineering, where a closed-form expression for the standard European option is available due to the existence of analytically tractable characteristic function according to the Lévy–Khinchin representation. However, this approach cannot be applied to exotic derivatives (such as barrier options) directly, although a large volume of exotic derivatives are actively traded in the current options market. An alternative approach is to solve the corresponding partial integro-differential equation (PIDE) numerically, which is, in fact, time-consuming and is not computationally tractable in general. In this paper, we apply the so-called homotopy analysis method (HAM) to solve the corresponding PIDE in a semi analytic form, being obtained from the following three steps: (1) Apply the Fourier transform to convert the PIDE to an ordinal differential equitation (ODE), and construct a differential system of ODEs. (2) Solve the system of ODEs, where each differential equation is shown to have an analytical solution. (3) Express the option price using the sum of infinite series, where each term may be expressed analytically and derived by applying Steps (1) and (2) recursively. To illustrate our technique more precisely, we take the variance gamma model as an example and provide the semi-analytic form. Numerical examples demonstrate a fast convergence of our proposed method to the prices of European and down-and-out call options with a few number of terms. Note that this method is easy to implement and can be applied to other types of options under general Lévy processes

Application of the improved fast Gauss transform to option pricing under jump-diffusion processes

Efficient kernel summation is an active research topic in machine learning and computational physics. Fast multipole methods (FMMs) in particular are known as efficient computational methods in these fields, but they have not gained much attention in computational finance. In this paper,we apply the improved fast Gauss transform (IFGT), a version of an FMM, to the computation of European-type option prices under Merton\u27s jump-diffusion model. IFGT is applied to computing the nonlocal integral terms in partial integrodifferential equations, and our results indicate that IFGT is useful for the fast computation of option pricing under this model

Strategic Prevention Program of Hamstring Injuries in Sprinters

Enhancing the functionality of the hamstring is an important matter for sprinters in improving their performance. Sprinters show almost the highest incidences of hamstring injuries as compared with other athletes. For sprinters and their coaches, prevention of hamstring injury is a prime concern along with improved their performance. To prevent hamstring injuries in sprinters, injury, incidence, mechanisms, and risk factors need to be taken into consideration, and a strategic program based on evidence needs to be implemented. A combination of three factors: agility, strength, and flexibility, is a good contributor to preventing muscle injuries in sprinters. Simultaneously, the training programs need to take into consideration the conditioning for muscle fatigue depending on a sprinter’s abilities. It may be important for coaches, trainers, and sports doctors to encourage sprinters for stopping training to monitor the degree of fatigue objectively and subjectively and to avoid the risk of injury. Future establishment of a hamstring injury-prevention program will be achieved by building a support system for programs with tactics and strategies. These programs are based on the accumulation of data via cooperation among coaches, researchers, trainers, and sports doctors

Stromal micropapillary component as a novel unfavorable prognostic factor of lung adenocarcinoma

<p>Abstract</p> <p>Background</p> <p>Pulmonary adenocarcinomas with a micropapillary component having small papillary tufts and lacking a central fibrovascular core are thought to result in poor prognosis. However, the component consists of tumor cells often floating within alveolar spaces (aerogenous micropapillary component [AMPC]) rather than invading fibrotic stroma observed in other organs like breast (stromal invasive micropapillary component [SMPC]). We previously observed cases of lung adenocarcinoma with predominant SMPC that was associated with micropapillary growth of tumors in fibrotic stroma observed in other organs. We evaluated the incidence and clinicopathological characteristics of SMPC in lung adenocarcinoma cases.</p> <p>Patients and Methods</p> <p>We investigated the clinicopathological characteristics and prognostic significance of SMPC in lung adenocarcinoma cases by reviewing 559 patients who had undergone surgical resection. We examined the SMPC by performing immunohistochemical analysis with 17 antibodies and by genetic analysis with epidermal growth factor receptor (<it>EGFR</it>) and <it>KRAS </it>mutations.</p> <p>Results</p> <p>SMPC-positive (SMPC(+)) tumors were observed in 19 cases (3.4%). The presence of SMPC was significantly associated with tumor size, advanced-stage disease, lymph node metastasis, pleural invasion, lymphatic invasion, and vascular invasion. Patients with SMPC(+) tumors had significantly poorer outcomes than those with SMPC-negative tumors. Multivariate analysis revealed that SMPC was a significant independent prognostic factor of lung adenocarcinoma, especially for disease-free survival of pathological stage I patients (<it>p </it>= 0.035). SMPC showed significantly higher expression of E-cadherin and lower expression of CD44 than the corresponding expression levels shown by AMPC and showed lower surfactant apoprotein A and phospho-c-Met expression level than corresponding expression levels shown by tumor cell components without a micropapillary component. Fourteen cases with SMPC(+) tumors (74%) showed <it>EGFR </it>mutations, and none of them showed <it>KRAS </it>mutations.</p> <p>Conclusions</p> <p>SMPC(+) tumors are rare, but they may be associated with a poor prognosis and have different phenotypic and genotypic characteristics from those of AMPC(+) tumors.</p> <p>Virtual Slides</p> <p>The virtual slide(s) for this article can be found here: <url>http://www.diagnosticpathology.diagnomx.eu/vs/9433341526290040</url>.</p

Üsküdar mesireleri

Taha Toros Arşivi, Dosya No: 63-Salacak-Üsküdarİstanbul Kalkınma Ajansı (TR10/14/YEN/0033) İstanbul Development Agency (TR10/14/YEN/0033

Study on Record Linkage of Anonymizied Data

Data anonymization is required before a big-data business can run effectively without compromising the privacy of personal information it uses. It is not trivial to choose the best algorithm to anonymize some given data securely for a given purpose. In accurately assessing the risk of data being compromised, there needs to be a balance between utility and security. Therefore, using common pseudo microdata, we propose a competition for the best anonymization and re-identification algorithm. The paper reported the result of the competition and the analysis on the effective of anonymization technique. The competition result reveals that there is a tradeoff between utility and security, and 20.9% records were re-identified in average

Nutritional treatment of a patient with hepatic cirrhosis with the novel low glycemic index liquid food (Inslow)

A sixty-six year-old patient with liver cirrhosis and diabetes was nutritionally treated by administration of the low glycemic index liquid food (Inslow) as a late evening sack (LES) for 6 weeks. The mean energy intake increased from 825±48 kcal/d to 1567±66 kcal/d after the 6-week treatment period. The fasting glucose level did not change, remaining at about 100 mg/dl throughout this period. Interestingly, the amount of insulin administered was reduced from 38 units before treatment to 28 units in the fifth week of treatment without a change in the fasting glucose level. This indicates a marked improvement in insulin sensitivity due to Inslow administration in this patient. In conclusion, the long-term administration of Inslow as an LES may be an effective treatment for cirrhotic patients

ケイブ コユウ カンカク トレーニング ガ ジュウシン ドウヨウ ニ オヨボス エイキョウ ニ ツイテ ノ ケンキュウ

PURPOSE: The purpose of this study was to investigate the effectiveness of cervicocephalic kinesthetic training on postural stability and neck joint position sense in healthy young adults. METHOD: 33 subjects were recruited for this study and randomly divided into training （n＝16） and control groups （n＝17）. The training group performed cervicocephalic kinesthetic training for 5 minutes per day for 10 days and the control group performed the same training but with eyes closed to eliminate visual feedback. All training sessions for both groups were performed under supervision. Pre and post cervical joint position sense and sensory organization testing （SOT） were measured on both groups. RESULT: Significant differences were found in cervical joint position sense and SOT condition 6 in the training group. No significant differences were found in SOT condition1-5 in both groups and cervical joint position in the control group. CONCLUSION: The improvements of postural stability and cervical joint position sense after 10 days of cervicocephalic kinesthetic training suggest that cervical joint position sense may may be beneficial for postural stability in healthy young adults

Stromal micropapillary pattern predominant lung adenocarcinoma - a report of two cases

Generally, adenocarcinomas with micropapillary pattern, featuring small papillary tufts lacking a central fibrovascular core, are thought to have poor prognosis. This pattern has been described in various organs. However, tumor cells with micropapillary pattern of lung adenocarcinoma are more often seen to float within alveolar spaces (aerogenous micropapillary pattern, AMP) than in fibrotic stroma like other organs (stromal micropapillary pattern, SMP) and SMP predominant lung adenocarcinoma (SMPPLA) has not been well described yet. We presented two cases of SMPPLA which were found in the last four years. Both the cases showed more than 50% of SMP in the tumor area. The majority of the stromal micropapillary clusters expressed MUC1 and epithelial membrane antigen along the outer surface of cell membrane. On the other hand, connective tissues surrounding stromal micropapillary clusters showed no reactivity for epithelial markers (thyroid transcription factor-1 and cytokeratin) or endothelial marker (D2-40 and CD34). It means clusters of SMP do not exist within air space or lymphatic or vessel lumens. The tumors with SMP often presented lymphatic permeation and vessel invasion, and intriguingly, one of the two cases showed metastasis to the mediastinal lymph node. Additionally, both the cases showed EGFR point mutations of exon 21. These results suggest that SMPPLA might be associated with poor prognosis and effective for EGFR tyrosine kinase inhibitors