Implied volatility of basket options at extreme strikes

In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dynamics of asset prices are described by the multidimensional Black-Scholes model. Next, we find the leading term of asymptotics of the implied volatility in the case where the asset prices follow the multidimensional Black-Scholes model with time change by an independent increasing stochastic process. Finally, we deal with a general situation in which the dependence between the assets is described by a given copula function. In this setting, we obtain a model-free tail-wing formula that links the implied volatility to a special characteristic of the copula called the weak lower tail dependence function

The Mean Drift: Tailoring the Mean Field Theory of Markov Processes for Real-World Applications

The statement of the mean field approximation theorem in the mean field theory of Markov processes particularly targets the behaviour of population processes with an unbounded number of agents. However, in most real-world engineering applications one faces the problem of analysing middle-sized systems in which the number of agents is bounded. In this paper we build on previous work in this area and introduce the mean drift. We present the concept of population processes and the conditions under which the approximation theorems apply, and then show how the mean drift is derived through a systematic application of the propagation of chaos. We then use the mean drift to construct a new set of ordinary differential equations which address the analysis of population processes with an arbitrary size

Recruitment of low-income pregnant women into a dietary and dental care intervention: lessons from a feasibility trial

Background: There are difficulties in carrying out research in low-income urban communities, but the methodological challenges and suggestions on how to deal with them are often undocumented. The aims of this study are to describe the challenges of recruiting and enrolling low-income pregnant women with periodontitis to a clinical trial on vitamin D/calcium milk fortification and periodontal therapy and also to describe the patient-, study protocol- and setting-related factors related to women’s ineligibility and refusal to participate in the study. Methods: A mixed-method sequential exploratory design was applied. Qualitative and quantitative data on recruitment to a 2 × 2 factorial feasibility clinical trial were used. Eighteen women attending the health centre in a low-income area in Duque de Caxias (Rio de Janeiro, Brazil) took part in focus group discussions, and the data were thematically analysed. Quantitative data were analysed using appropriate descriptive statistics, including absolute and relative frequencies. Results: Of all referrals (767), 548 (78.5%) did not meet the initial eligibility criteria. The main reason for exclusion (58%) was advanced gestational age (> 20 weeks) at first prenatal appointment. In the periodontal examination (dental screen), the main reason for exclusion was the presence of extensive caries (64 out of 127 exclusions). Non-participation of those eligible after the periodontal examination was approximately 24% (22 out 92 eligible women) and predominantly associated with patient-related barriers (e.g. transportation barriers, family obligations, patients being unresponsive to phone calls and disconnected telephones). The study recruited 70 women with periodontitis in 53 weeks and did not reach the benchmark of 120 women in 36 weeks (58.3% of the original target). Recruitment was severely hindered by health centre closures due to general strikes. The recruitment yields were 9.1% (70/767) of all women contacted at first prenatal visit and 76.1% (70/92) of those screened eligible and enrolled in the trial. Women did not report concerns regarding random allocation and considered fortified milk as a healthful and safe food for pregnant women. Some women reported that financial constraints (e.g. transportation costs) could hinder participation in the study. Conclusion: Engagement between the research team and health centre staff (e.g. nurses) facilitated referral and recruitment, yet some pregnant women failed to participate in the study largely due to significant patient-related sociodemographic barriers and setting-related factors. Our data illustrate the complexity of overcoming recruitment and enrolment challenges for clinical trials in resource-limited settings. Trial registration: ClinicalTrials.gov, NCT03148483. Registered on 11 May 2017

Mean-Field Limits Beyond Ordinary Differential Equations

16th International School on Formal Methods for the Design of Computer, Communication, and Software Systems, SFM 2016, Bertinoro, Italy, June 20-24, 2016, Advanced LecturesInternational audienceWe study the limiting behaviour of stochastic models of populations of interacting agents, as the number of agents goes to infinity. Classical mean-field results have established that this limiting behaviour is described by an ordinary differential equation (ODE) under two conditions: (1) that the dynamics is smooth; and (2) that the population is composed of a finite number of homogeneous sub-populations, each containing a large number of agents. This paper reviews recent work showing what happens if these conditions do not hold. In these cases, it is still possible to exhibit a limiting regime at the price of replacing the ODE by a more complex dynamical system. In the case of non-smooth or uncertain dynamics, the limiting regime is given by a differential inclusion. In the case of multiple population scales, the ODE is replaced by a stochastic hybrid automaton

Diagnostic yield and cost analysis of electrocardiographic screening in Swiss paediatric athletes

OBJECTIVES Athletes performing sports on high level are at increased risk for sudden cardiac death. This includes paediatric athletes, even though data on screening strategies in this age group remain scarce. This study aimed to assess electrocardiogram interpretation criteria in paediatric athletes and to evaluate the cost of screening. METHODS National, multicentre, retrospective, observational study on 891 athletes of paediatric age (<18 years) evaluated by history, physical examination and 12-lead electrocardiogram. The primary outcome measure was abnormal electrocardiogram findings according to the International Recommendations for Electrographic Interpretation in Athletes. The secondary outcome measure was cost of screening. RESULTS 19 athletes (2.1%) presented abnormal electrocardiogram findings requiring further investigations, mainly abnormal T-wave inversion. These 19 athletes were predominantly males, performing endurance sports with a mean volume of 10 weekly hours for a mean duration of 6 years of training. Further investigations did not identify any relevant pathology. All athletes were cleared for competition with regular follow-up. Total costs of the screening were 108,860 USD (122 USD per athlete). CONCLUSIONS Our study using the International Recommendations for Electrographic Interpretation in Athletes identified a low count of abnormal findings in paediatric athletes, yet raising substantially the cost of screening. Hence, the utility of electrocardiogram-inclusive screening of paediatric athletes remains to be elucidated by longitudinal data

Crafting the Composite Garment: The role of hand weaving in digital creation

There is a growing body of practice-led textile research, focused on how digital technologies can inform new design and production strategies that challenge and extend the field. To date, this research has emphasized a traditional linear transition between hand and digital production; with hand production preceding digital as a means of acquiring the material and process knowledge required to negotiate technologies and conceptualize designs. This paper focuses on current Doctoral research into the design and prototyping of 3D woven or 'composite' garments and how the re-learning, or reinterpreting, of hand weaving techniques in a digital Jacquard format relies heavily on experiential knowledge of craft weaving skills. Drawing parallels between hand weaving and computer programming, that extend beyond their shared binary (pixel-based) language, the paper discusses how the machine-mediated experience of hand weaving can prime the weaver to ‘think digitally’ and make the transition to digital production. In a process where the weaver acts simultaneously as designer, constructor and programmer, the research explores the inspiring, but often indefinable space between craft and digital technology by challenging the notion that 'the relationship between hand, eye and material’ naturally precedes the use of computing (Harris 2012: 93). This is achieved through the development of an iterative working methodology that encompasses a cycle of transitional development, where hand weaving and digital processes take place in tandem, and techniques and skills are reinterpreted to exploit the advantages and constraints of each construction method. It is argued that the approach challenges the codes and conventions of computer programming, weaving and fashion design to offer a more sustainable clothing solution

Activity of the antiarrhythmic drug amiodarone against Leishmania (L.) infantum: an in vitro and in vivo approach

<div><p>Abstract Background: Considering the high toxicity and limited therapies available for treating visceral leishmaniasis (VL), the drug repositioning approach represents a faster way to deliver new therapies to the market. Methods: In this study, we described for the first time the activity of a potent antiarrhythmic, amiodarone (AMD), against L. (L.)infantum and its in vitro and in vivo activity. Results: The evaluation against promastigotes has shown that amiodarone presents leishmanicidal effect against the extracellular form, with an IC50 value of 10 μM. The activity was even greater against amastigotes in comparison with promastigotes with an IC50 value of 0.5 μM. The selectivity index in relation to the intracellular form demonstrated that the antiparasitic activity was approximately 56 times higher than its toxicity to mammalian cells. Investigation of the in vivo AMD activity in the L. infantum-infected hamster model showed that 51 days after the initial infection, amiodarone was unable to reduce the parasite burden in the spleen and liver when treated for 10 consecutive days, intraperitoneally, at 50 mg/kg/day, as determined by qPCR. Although not statistically significant, AMD was able to reduce the parasite burden by 20% in the liver when treated for 10 consecutive days, orally, at 100 mg/kg/day; no reduction in the spleen was found by qPCR. Conclusions: Our findings may help further drug design studies seeking new AMD derivatives that may provide new candidates with an in vitro selectivity close to or even greater than that observed in the prototype delivering effectiveness in the experimental model of VL.</p></div

Stochastic Approximation to Understand Simple Simulation Models

This paper illustrates how a deterministic approximation of a stochastic process can be usefully applied to analyse the dynamics of many simple simulation models. To demonstrate the type of results that can be obtained using this approximation, we present two illustrative examples which are meant to serve as methodological references for researchers exploring this area. Finally, we prove some convergence results for simulations of a family of evolutionary games, namely, intra-population imitation models in n-player games with arbitrary payoffs.Ministerio de Educación (JC2009- 00263), Ministerio de Ciencia e Innovación (CONSOLIDER-INGENIO 2010: CSD2010-00034, DPI2010-16920

Neuropsychiatric outcomes of stroke

The most common neuropsychiatric outcomes of stroke are depression, anxiety, fatigue, and apathy, which each occur in at least 30% of patients and have substantial overlap of prevalence and symptoms. Emotional lability, personality changes, psychosis, and mania are less common but equally distressing symptoms that are also challenging to manage. The cause of these syndromes is not known, and there is no clear relation to location of brain lesion. There are important gaps in knowledge about how to manage these disorders, even for depression, which is the most studied syndrome. Further research is needed to identify causes and interventions to prevent and treat these disorders

Requirement for Ergosterol in V-ATPase Function Underlies Antifungal Activity of Azole Drugs

Ergosterol is an important constituent of fungal membranes. Azoles inhibit ergosterol biosynthesis, although the cellular basis for their antifungal activity is not understood. We used multiple approaches to demonstrate a critical requirement for ergosterol in vacuolar H+-ATPase function, which is known to be essential for fungal virulence. Ergosterol biosynthesis mutants of S. cerevisiae failed to acidify the vacuole and exhibited multiple vma− phenotypes. Extraction of ergosterol from vacuolar membranes also inactivated V-ATPase without disrupting membrane association of its subdomains. In both S. cerevisiae and the fungal pathogen C. albicans, fluconazole impaired vacuolar acidification, whereas concomitant ergosterol feeding restored V-ATPase function and cell growth. Furthermore, fluconazole exacerbated cytosolic Ca2+ and H+ surges triggered by the antimicrobial agent amiodarone, and impaired Ca2+ sequestration in purified vacuolar vesicles. These findings provide a mechanistic basis for the synergy between azoles and amiodarone observed in vitro. Moreover, we show the clinical potential of this synergy in treatment of systemic fungal infections using a murine model of Candidiasis. In summary, we demonstrate a new regulatory component in fungal V-ATPase function, a novel role for ergosterol in vacuolar ion homeostasis, a plausible cellular mechanism for azole toxicity in fungi, and preliminary in vivo evidence for synergism between two antifungal agents. New insights into the cellular basis of azole toxicity in fungi may broaden therapeutic regimens for patient populations afflicted with systemic fungal infections