A general framework for pricing Asian options under stochastic volatility on parallel architectures

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper

Bi-level optimisation of subsidy and capacity investment under competition and uncertainty

In this paper, we develop a bi-level real options framework for deriving the equilibrium Government subsidisation and firm-level capacity investment policy in a duopoly market structure. We find that strategic interactions with the Government may impact a firm’s capacity investment decision significantly and that the equilibrium subsidisation policy depends on both the market structure and the type of duopolistic competition. Interestingly, the provision of greater subsidy to the leader raises the follower’s incentive to invest earlier and in a bigger project. The loss in value of the leader, due to the follower’s entry, relative to the monopolist increases with economic uncertainty and, although a subsidy can mitigate this loss, its effect becomes less pronounced as economic uncertainty increases. We also find that a profit (welfare)-maximising Government does not offer (offers) a subsidy in a highly uncertain environment or upon low tax rate, while higher tax rate does not always decelerate investment. Finally, we find that while competition is always desirable for a social planner, a profit-maximising Government may benefit more under pre-emptive competition

Risk assessment and optimal scheduling of serial projects

The valuation and planning of complex projects are becoming increasingly challenging with rising market uncertainty and the deregulation of many industries, which have also raised the need for efficient risk management. We take the perspective of a private firm interested in sequential capacity expansion of a project and develop a framework for measuring the downside risk of the serial project and optimising the sequence of the stages. Under general distributional assumptions for the duration of each stage, we present an accurate representation of the project’s net present value (NPV) distribution based on a Pearson curve fit, leading to closed-form expressions for the associated risk measures. We then assess the impact of duration variability on the value at risk and demonstrate its role in stochastic project scheduling. We also account for the trade-off between maximising the expected NPV and minimising the risk exposure, and obtain the optimal schedule for risk-averse decision-makers. It becomes obvious that both the duration variability of each stage and the decision-makers’ risk preferences can significantly affect the optimal sequence of the stages and that high duration variability is not always undesirable, even for risk-averse decision-makers

Muon Spin Relaxation and Susceptibility Studies of Pure and Doped Spin 1/2 Kagom\'{e}-like system (Cux_xZn1−x_{1-x})3_{3}V2_{2}O7_7(OH)2_{2} 2H2_2O

Muon spin relaxation ($\mu$SR) and magnetic susceptibility measurements have been performed on the pure and diluted spin 1/2 kagom\'{e} system (Cu$_x$Zn$_{1-x}$)$_{3}$V$_{2}$O$_7$(OH)$_{2}$ 2H$_2$O. In the pure $x=1$ system we found a slowing down of Cu spin fluctuations with decreasing temperature towards $T \sim 1$ K, followed by slow and nearly temperature-independent spin fluctuations persisting down to $T$ = 50 mK, indicative of quantum fluctuations. No indication of static spin freezing was detected in either of the pure ($x$=1.0) or diluted samples. The observed magnitude of fluctuating fields indicates that the slow spin fluctuations represent an intrinsic property of kagom\'e network rather than impurity spins.Comment: 4 pges, 4 color figures, Phys. Rev. Lett. in pres

Ir-Catalysed Nitrous Oxide (N2O) Decomposition:Effect of Ir Particle Size and Metal–Support Interactions

The effect of the morphology of Ir particles supported on γ-Al2O3, 8 mol%Y2O3-stabilized ZrO2 (YSZ), 10 mol%Gd2O3-doped CeO2 (GDC) and 80 wt%Al2O3–10 wt%CeO2–10 wt%ZrO2 (ACZ) on their stability on oxidative conditions, the associated metal–support interactions and activity for catalytic decomposition of N2O has been studied. Supports with intermediate or high oxygen ion lability (GDC and ACZ) effectively stabilized Ir nanoparticles against sintering, in striking contrast to supports offering negligible or low oxygen ion lability (γ-Al2O3 and YSZ). Turnover frequency studies using size-controlled Ir particles showed strong structure sensitivity, de-N2O catalysis being favoured on large catalyst particles. Although metallic Ir showed some de-N2O activity, IrO2 was more active, possibly present as a superficial overlayer on the iridium particles under reaction conditions. Support-induced turnover rate modifications, resulted from an effective double layer [Oδ−–δ+](Ir) on the surface of iridium nanoparticles, via O2− backspillover from the support, were significant in the case of GDC and ACZ

Vascular Endothelial Dysfunction in β-Thalassemia Occurs Despite Increased eNOS Expression and Preserved Vascular Smooth Muscle Cell Reactivity to NO

The hereditary β-thalassemia major condition requires regular lifelong blood transfusions. Transfusion-related iron overloading has been associated with the onset of cardiovascular complications, including cardiac dysfunction and vascular anomalies. By using an untransfused murine model of β-thalassemia major, we tested the hypothesis that vascular endothelial dysfunction, alterations of arterial structure and of its mechanical properties would occur despite the absence of treatments.Vascular function and structure were evaluated ex vivo. Compared to the controls, endothelium-dependent vasodilation with acetylcholine was blunted in mesenteric resistance arteries of β-thalassemic mice while the endothelium-independent vasodilator (sodium nitroprusside) produced comparable vessel dilation, indicating endothelial cell impairment with preserved smooth muscle cell reactivity to nitric oxide (NO). While these findings suggest a decrease in NO bioavailability, Western blotting showed heightened expression of aortic endothelial NO synthase (eNOS) in β-thalassemia. Vascular remodeling of the common carotid arteries revealed increased medial elastin content. Under isobaric conditions, the carotid arteries of β-thalassemic mice exhibited decreased wall stress and softening due to structural changes of the vessel wall.A complex vasculopathy was identified in untransfused β-thalassemic mice characterized by altered carotid artery structure and endothelial dysfunction of resistance arterioles, likely attributable to reduced NO bioavailability despite enhanced vascular eNOS expression

Thermally stable single atom Pt/m-Al2O3 for selective hydrogenation and CO oxidation

Single-atom metal catalysts offer a promising way to utilize precious noble metal elements more effectively, provided that they are catalytically active and sufficiently stable. Herein, we report a synthetic strategy for Pt single-atom catalysts with outstanding stability in several reactions under demanding conditions. The Pt atoms are firmly anchored in the internal surface of mesoporous Al2O3, likely stabilized by coordinatively unsaturated pentahedral Al3+ centres. The catalyst keeps its structural integrity and excellent performance for the selective hydrogenation of 1,3-butadiene after exposure to a reductive atmosphere at 200 °C for 24 h. Compared to commercial Pt nanoparticle catalyst on Al2O3 and control samples, this system exhibits significantly enhanced stability and performance for n-hexane hydro-reforming at 550 °C for 48 h, although agglomeration of Pt single-atoms into clusters is observed after reaction. In CO oxidation, the Pt single-atom identity was fully maintained after 60 cycles between 100 and 400 °C over a one-month period

International Myeloma Working Group risk stratification model for smoldering multiple myeloma (SMM)

Smoldering multiple myeloma (SMM) is an asymptomatic precursor state of multiple myeloma (MM). Recently, MM was redefined to include biomarkers predicting a high risk of progression from SMM, thus necessitating a redefinition of SMM and its risk stratification. We assembled a large cohort of SMM patients meeting the revised IMWG criteria to develop a new risk stratification system. We included 1996 patients, and using stepwise selection and multivariable analysis, we identified three independent factors predicting progression risk at 2 years: serum M-protein >2 g/dL (HR: 2.1), involved to uninvolved free light-chain ratio >20 (HR: 2.7), and marrow plasma cell infiltration >20% (HR: 2.4). This translates into 3 categories with increasing 2-year progression risk: 6% for low risk (38%; no risk factors, HR: 1); 18% for intermediate risk (33%; 1 factor; HR: 3.0), and 44% for high risk (29%; 2–3 factors). Addition of cytogenetic abnormalities (t(4;14), t(14;16), +1q, and/or del13q) allowed separation into 4 groups (low risk with 0, low intermediate risk with 1, intermediate risk with 2, and high risk with ≥3 risk factors) with 6, 23, 46, and 63% risk of progression in 2 years, respectively. The 2/20/20 risk stratification model can be easily implemented to identify high-risk SMM for clinical research and routine practice and will be widely applicable

Wnt/β-Catenin Signaling Induces the Aging of Mesenchymal Stem Cells through the DNA Damage Response and the p53/p21 Pathway

Recent studies have demonstrated the importance of cellular extrinsic factors in the aging of adult stem cells. However, the effects of an aged cell–extrinsic environment on mesenchymal stem cell (MSC) aging and the factors involved remain unclear. In the current study, we examine the effects of old rat serum (ORS) on the aging of MSCs, and explore the effects and mechanisms of Wnt/β-catenin signaling on MSC aging induced by ORS treatment. Senescence-associated changes in the cells are examined with SA-β-galactosidase staining and ROS staining. The proliferation ability is detected by MTT assay. The surviving and apoptotic cells are determined using AO/EB staining. The results suggest that ORS promotes MSC senescence and reduces the proliferation and survival of cells. The immunofluorescence staining shows that the expression of β-catenin increases in MSCs of old rats. To identify the effects of Wnt/β-catenin signaling on MSC aging induced with ORS, the expression of β-catenin, GSK-3β, and c-myc are detected. The results show that the Wnt/β-catenin signaling in the cells is activated after ORS treatment. Then we examine the aging, proliferation, and survival of MSCs after modulating Wnt/β-catenin signaling. The results indicate that the senescence and dysfunction of MSCs in the medium containing ORS is reversed by the Wnt/β-catenin signaling inhibitor DKK1 or by β-catenin siRNA. Moreover, the expression of γ-H2A.X, a molecular marker of DNA damage response, p16INK4a, p53, and p21 is increased in senescent MSCs induced with ORS, and is also reversed by DKK1 or by β-catenin siRNA. In summary, our study indicates the Wnt/β-catenin signaling may play a critical role in MSC aging induced by the serum of aged animals and suggests that the DNA damage response and p53/p21 pathway may be the main mediators of MSC aging induced by excessive activation of Wnt/β-catenin signaling

Circulating CD133+VEGFR2+ and CD34+VEGFR2+ cells and arterial function in patients with beta-thalassaemia major

Arterial dysfunction has been documented in patients with beta-thalassaemia major. This study aimed to determine the quantity and proliferative capacity of circulating CD133+VEGFR2+ and CD34+VEGFR2+ cells in patients with beta-thalassaemia major and those after haematopoietic stem cell transplantation (HSCT), and their relationships with arterial function. Brachial arterial flow-mediated dilation (FMD), carotid arterial stiffness, the quantity of these circulating cells and their number of colony-forming units (CFUs) were determined in 17 transfusion-dependent thalassaemia patients, 14 patients after HSCT and 11 controls. Compared with controls, both patient groups had significantly lower FMD and greater arterial stiffness. Despite having increased CD133+VEGFR2+ and CD34+VEGFR2+ cells, transfusion-dependent patients had significantly reduced CFUs compared with controls (p = 0.002). There was a trend of increasing CFUs across the three groups with decreasing iron load (p = 0.011). The CFUs correlated with brachial FMD (p = 0.029) and arterial stiffness (p = 0.02), but not with serum ferritin level. Multiple linear regression showed that CFU was a significant determinant of FMD (p = 0.043) and arterial stiffness (p = 0.02) after adjustment of age, sex, body mass index, blood pressure and serum ferritin level. In conclusion, arterial dysfunction found in patients with beta-thalassaemia major before and after HSCT may be related to impaired proliferation of CD133+VEGFR2+ and CD34+VEGFR2+ cells