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

Number statistics for β\beta-ensembles of random matrices: applications to trapped fermions at zero temperature

Let $\mathcal{P}_{\beta}^{(V)} (N_{\cal I})$ be the probability that a $N\times N$ $\beta$-ensemble of random matrices with confining potential $V(x)$ has $N_{\cal I}$ eigenvalues inside an interval ${\cal I}=[a,b]$ of the real line. We introduce a general formalism, based on the Coulomb gas technique and the resolvent method, to compute analytically $\mathcal{P}_{\beta}^{(V)} (N_{\cal I})$ for large $N$. We show that this probability scales for large $N$ as $\mathcal{P}_{\beta}^{(V)} (N_{\cal I})\approx \exp\left(-\beta N^2 \psi^{(V)}(N_{\cal I} /N)\right)$, where $\beta$ is the Dyson index of the ensemble. The rate function $\psi^{(V)}(k_{\cal I})$, independent of $\beta$, is computed in terms of single integrals that can be easily evaluated numerically. The general formalism is then applied to the classical $\beta$-Gaussian (${\cal I}=[-L,L]$), $\beta$-Wishart (${\cal I}=[1,L]$) and $\beta$-Cauchy (${\cal I}=[-L,L]$) ensembles. Expanding the rate function around its minimum, we find that generically the number variance ${\rm Var}(N_{\cal I})$ exhibits a non-monotonic behavior as a function of the size of the interval, with a maximum that can be precisely characterized. These analytical results, corroborated by numerical simulations, provide the full counting statistics of many systems where random matrix models apply. In particular, we present results for the full counting statistics of zero temperature one-dimensional spinless fermions in a harmonic trap.Comment: 34 pages, 19 figure

PSD-95 protects synapses from β-amyloid

Beta-amyloid (Aβ) depresses excitatory synapses by a poorly understood mechanism requiring NMDA receptor (NMDAR) function. Here, we show that increased PSD-95, a major synaptic scaffolding molecule, blocks the effects of Aβ on synapses. The protective effect persists in tissue lacking the AMPA receptor subunit GluA1, which prevents the confounding synaptic potentiation by increased PSD-95. Aβ modifies the conformation of the NMDAR C-terminal domain (CTD) and its interaction with protein phosphatase 1 (PP1), producing synaptic weakening. Higher endogenous levels or overexpression of PSD-95 block Aβ-induced effects on the NMDAR CTD conformation, its interaction with PP1, and synaptic weakening. Our results indicate that increased PSD-95 protects synapses from Aβ toxicity, suggesting that low levels of synaptic PSD-95 may be a molecular sign indicating synapse vulnerability to Aβ. Importantly, pharmacological inhibition of its depalmitoylation increases PSD-95 at synapses and rescues deficits caused by Aβ, possibly opening a therapeutic avenue against Alzheimer’s disease

Slow thermo-optomechanical pulsations in suspended 1D photonic crystal nanocavities

We investigate the nonlinear optical response of suspended 1D photonic crystal nanocavities fabricated on a silicon nitride chip. Strong thermo-optical nonlinearities are demonstrated for input powers as low as $2\,\mu\text{W}$ and a self-sustained pulsing regime is shown to emerge with periodicity of several seconds. As the input power and laser wavelength are varied the temporal patterns change in period, duty cycle and shape. This dynamics is attributed to the multiple timescale competition between thermo-optical and thermo-optomechanical effects and closely resembles the relaxation oscillations states found in mathematical models of neuronal activity. We introduce a simplified model that reproduces all the experimental observations and allows us to explain them in terms of the properties of a 1D critical manifold which governs the slow evolution of the system.Comment: 9 pages, 6 figure

Urinary iodine in patients with auto-immune thyroid disorders in Santo andré, SP, is comparable to normal controls and has been steady for the last 10 years

OBJECTIVE: Evaluate whether the increase of iodine in the diet would be the triggering factor for auto-immune thyropathies in the city of Santo André, SP. METHODS: Urinary iodine was determined in samples isolated from 58 patients, divided in 4 Groups, and in 13 normal individuals (controls). RESULTS: Urinary Iodine: Group 1 - hyperthyroidism = 203.5±152.71 µg/ L(mean±sd); Group 2 - hypothyroidism = 258.31±148,2 µg/L; Group 3 - chronic auto-immune thyroiditis = 244.29±191.6 µg/L; group 4 (Amiodarone) = 1157.5±261.8 µg/L; Group 5 - Controls = 262.31±146.2 µg/L. On comparing the means of urinary iodine among the groups, the means for groups 1, 2, 3, and 5 did not present significant differences (p>0.05), and all differed from group 4 (p 0,05) e todos diferiram do grupo 4 (p < 0,05). A iodúria dos grupos 1, 2, 3 e 5, obtida em 2002 e 2003, não diferiram dos valores determinados em 1994 em escolares em Santo André. CONCLUSÃO: Este estudo evidencia que o iodo não deve ser considerado o agente responsável pelas tireopatias autoimunes em Santo André, e outros fatores ambientais devem ser investigados.Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)Universidade de São Paulo Departamento de Clínica Médica Disciplina de EndocrinologiaUniversidade de São Paulo (USP) Faculdade de Medicina Departamento de Saúde da Coletividade da Faculdade de Medicina da Fundação ABCUniversidade Federal de São Paulo (UNIFESP) Departamento d Medicina, Escola Paulista de Medicina Disciplina de EndocrinologiaUNIFESP, Depto. d Medicina, Escola Paulista de Medicina Disciplina de EndocrinologiaSciEL

Ten-Color flow cytometry reveals distinct patterns of expression of CD124 and CD126 by developing thymocytes

<p>Abstract</p> <p>Background</p> <p>We have developed a 12-parameter/10-color flow cytometric staining method for the simultaneous detection and characterization of 21 mouse thymocyte subpopulations that represent discreet stages of T cell development. To demonstrate the utility of this method, we assessed cytokine receptor expression on mouse thymocyte subsets. These experiments revealed distinct patterns of surface expression of receptors for the cytokines IL-4 and IL-6.</p> <p>Results</p> <p>The IL-4 receptor α chain (CD124) was highly expressed on the earliest thymocyte subsets, then downregulated prior to T cell receptor β-selection and finally upregulated in the CD4/CD8 double positive cells prior to positive selection. The IL-6 receptor α chain (CD126) showed a different pattern of expression. It was expressed on the most mature subsets within the CD4 and CD8 single positive (SP) compartments and was absent on all other thymocytes with the exception of a very small cKit^-CD4^-CD8^-population. Intracellular staining of SP thymocytes for phosphorylated STAT-1 demonstrated that IL-6 signaling was confined to the most mature SP subsets.</p> <p>Conclusions</p> <p>This 12-parameter staining methodology uses only commercially available fluorochrome-coupled monoclonal antibodies and therefore could be employed by any investigator with access to a 4-laser flow cytometer. This novel staining scheme allowed us to easily phenotype thymocyte subpopulations that span across development, from the early thymic progenitors (ETPs) to the most mature subsets of the CD4 and CD8 single positive populations.</p

Global regularity of weak solutions to quasilinear elliptic and parabolic equations with controlled growth

We establish global regularity for weak solutions to quasilinear divergence form elliptic and parabolic equations over Lipschitz domains with controlled growth conditions on low order terms. The leading coefficients belong to the class of BMO functions with small mean oscillations with respect to $x$.Comment: 24 pages, to be submitte

HMGN1 Modulates Nucleosome Occupancy and DNase I Hypersensitivity at the CpG Island Promoters of Embryonic Stem Cells

Chromatin structure plays a key role in regulating gene expression and embryonic differentiation; however, the factors that determine the organization of chromatin around regulatory sites are not fully known. Here we show that HMGN1, a nucleosome-binding protein ubiquitously expressed in vertebrate cells, preferentially binds to CpG island-containing promoters and affects the organization of nucleosomes, DNase I hypersensitivity, and the transcriptional profile of mouse embryonic stem cells and neural progenitors. Loss of HMGN1 alters the organization of an unstable nucleosome at transcription start sites, reduces the number of DNase I-hypersensitive sites genome wide, and decreases the number of nestin-positive neural progenitors in the subventricular zone (SVZ) region of mouse brain. Thus, architectural chromatin-binding proteins affect the transcription profile and chromatin structure during embryonic stem cell differentiation