Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.Comment: 9 pages, 2 figures, 1 tabl

Open data from the third observing run of LIGO, Virgo, KAGRA, and GEO

The global network of gravitational-wave observatories now includes five detectors, namely LIGO Hanford, LIGO Livingston, Virgo, KAGRA, and GEO 600. These detectors collected data during their third observing run, O3, composed of three phases: O3a starting in 2019 April and lasting six months, O3b starting in 2019 November and lasting five months, and O3GK starting in 2020 April and lasting two weeks. In this paper we describe these data and various other science products that can be freely accessed through the Gravitational Wave Open Science Center at https://gwosc.org. The main data set, consisting of the gravitational-wave strain time series that contains the astrophysical signals, is released together with supporting data useful for their analysis and documentation, tutorials, as well as analysis software packages

Does temperature-confounding control influence the modifying effect of air temperature in ozone–mortality associations?

Background: Recent epidemiological studies investigating the modifying effect of air temperature in ozone–mortality associations lack consensus as how to adjust for nonlinear and lagged temperature effect in addition to including an interaction term. Methods: We evaluated the influence of temperature confounding control on temperature-stratified ozone–mortality risks in a time series setting in eight European cities and 86 US cities, respectively. To investigate potential residual confounding, we additionally incorporated next day’s ozone in models with differing temperature control. Results: Using only a categorical variable for temperature or only controlling nonlinear effect of low temperatures yielded highly significant ozone effects at high temperatures but also significant residual confounding in both regions. Adjustment for nonlinear effect of temperature, especially high temperatures, substantially reduced ozone effects at high temperatures and residual confounding. Conclusions: Inadequate control for confounding by air temperature leads to residual confounding and an overestimation of the temperature-modifying effect in studies of ozone-related mortality. &nbsp

Exposure to ultrafine particles and respiratory hospitalisations in five European cities

Epidemiological evidence on the associations between exposure to ultrafine particles (UFP), with aerodynamic electrical mobility diameters <100 nm, and health is limited. We gathered data on UFP from five European cities within 2001-2011 to investigate associations between short-term changes in concentrations and respiratory hospitalisations. We applied city-specific Poisson regression models and combined city-specific estimates to obtain pooled estimates. We evaluated the sensitivity of our findings to co-pollutant adjustment and investigated effect modification patterns by period of the year, age at admission and specific diagnoses. Our results for the whole time period do not support an association between UFP and respiratory hospitalisations, although we found suggestive associations among those 0-14 years old. We nevertheless report consistent adverse effect estimates during the warm period of the year, statistically significant after lag 2 when an increase by 10000 particles per cm3 was associated with a 4.27% (95% CI 1.68-6.92%) increase in hospitalisations. These effect estimates were robust to particles' mass or gaseous pollutants adjustment. Considering that our findings during the warm period may reflect better exposure assessment and that the main source of non-soluble UFP in urban areas is traffic, our results call for improved regulation of traffic emissions

Two-way effect modifications of air pollution and air temperature on total natural and cardiovascular mortality in eight European urban areas

Background: Although epidemiological studies have reported associations between mortality and both ambient air pollution and air temperature, it remains uncertain whether the mortality effects of air pollution are modified by temperature and vice versa. Moreover, little is known on the interactions between ultrafine particles (diameter ≤ 100 nm, UFP) and temperature. Objective: We investigated whether the short-term associations of particle number concentration (PNC in the ultrafine range (≤100 nm) or total PNC ≤ 3000 nm, as a proxy for UFP), particulate matter ≤ 2.5 μm (PM2.5) and ≤ 10 μm (PM10), and ozone with daily total natural and cardiovascular mortality were modified by air temperature and whether air pollution levels affected the temperature-mortality associations in eight European urban areas during 1999–2013. Methods: We first analyzed air temperature-stratified associations between air pollution and total natural (nonaccidental) and cardiovascular mortality as well as air pollution-stratified temperature-mortality associations using city-specific over-dispersed Poisson additive models with a distributed lag nonlinear temperature term in each city. All models were adjusted for long-term and seasonal trend, day of the week, influenza epidemics, and population dynamics due to summer vacation and holidays. City-specific effect estimates were then pooled using random-effects meta-analysis. Results: Pooled associations between air pollutants and total and cardiovascular mortality were overall positive and generally stronger at high relatively compared to low air temperatures. For example, on days with high air temperatures (>75th percentile), an increase of 10,000 particles/cm3 in PNC corresponded to a 2.51% (95% CI: 0.39%, 4.67%) increase in cardiovascular mortality, which was significantly higher than that on days with low air temperatures (<25th percentile) [−0.18% (95% CI: −0.97%, 0.62%)]. On days with high air pollution (>50th percentile), both heat- and cold-related mortality risks increased. Conclusion: Our findings showed that high temperature could modify the effects of air pollution on daily mortality and high air pollution might enhance the air temperature effects. © 2018 Elsevier Lt

Exposure to ultrafine particles and respiratory hospitalisations in five European cities

Epidemiological evidence on the associations between exposure to ultrafine particles (UFP), with aerodynamic electrical mobility diameters <100 nm, and health is limited. We gathered data on UFP from five European cities within 2001-2011 to investigate associations between short-term changes in concentrations and respiratory hospitalisations.We applied city-specific Poisson regression models and combined city-specific estimates to obtain pooled estimates. We evaluated the sensitivity of our findings to co-pollutant adjustment and investigated effect modification patterns by period of the year, age at admission and specific diagnoses.Our results for the whole time period do not support an association between UFP and respiratory hospitalisations, although we found suggestive associations among those 0-14 years old. We nevertheless report consistent adverse effect estimates during the warm period of the year, statistically significant after lag 2 when an increase by 10 000 particles per cm(3) was associated with a 4.27% (95% CI 1.68-6.92%) increase in hospitalisations. These effect estimates were robust to particles' mass or gaseous pollutants adjustment.Considering that our findings during the warm period may reflect better exposure assessment and that the main source of non-soluble UFP in urban areas is traffic, our results call for improved regulation of traffic emissions