Non-Parametric Extraction of Implied Asset Price Distributions

Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically, RNDs are deduced from option prices by making a distributional assumption, or relying on implied volatility [2]. We present a fully non-parametric method for extracting RNDs from observed option prices. The aim is to obtain a continuous, smooth, monotonic, and convex pricing function that is twice differentiable. Thus, irregularities such as negative probabilities that afflict many existing RND estimation techniques are reduced. Our method employs neural networks to obtain a smoothed pricing function, and a central finite difference approximation to the second derivative to extract the required gradients. This novel technique was successfully applied to a large set of FTSE 100 daily European exercise (ESX) put options data and as an Ansatz to the corresponding set of American exercise (SEI) put options. The results of paired t-tests showed significant differences between RNDs extracted from ESX and SEI option data, reflecting the distorting impact of early exercise possibility for the latter. In particular, the results for skewness and kurtosis suggested different shapes for the RNDs implied by the two types of put options. However, both ESX and SEI data gave an unbiased estimate of the realised FTSE 100 closing prices on the options' expiration date. We confirmed that estimates of volatility from the RNDs of both types of option were biased estimates of the realised volatility at expiration, but less so than the LIFFE tabulated at-the-money implied volatility.Comment: Paper based on Application of Physics in Financial Analysis,APFA5, Conference Presentation, Torino, Italy. 11.5 Page

Variations of tropical upper tropospheric clouds with sea surface temperature and implications for radiative effects

The variations of tropical upper tropospheric (UT) clouds with sea surface temperature (SST) are analyzed using effective cloud fraction from the Atmospheric Infrared Sounder (AIRS) on Aqua and ice water content (IWC) from the Microwave Limb Sounder (MLS) on Aura. The analyses are limited to UT clouds above 300 hPa. Our analyses do not suggest a negative correlation of tropical-mean UT cloud fraction with the cloud-weighted SST (CWT). Instead, both tropical-mean UT cloud fraction and IWC are found to increase with CWT, although their correlations with CWT are rather weak. The rate of increase of UT cloud fraction with CWT is comparable to that of precipitation, while the UT IWC and ice water path (IWP) increase more strongly with CWT. The radiative effect of UT clouds is investigated, and they are shown to provide a net warming at the top of the atmosphere. An increase of IWP with SST yields an increase of net warming that corresponds to a positive feedback, until the UT IWP exceeds a value about 50% greater than presently observed by MLS. Further increases of the UT IWP would favor the shortwave cooling effect, causing a negative feedback. Sensitivities of UT cloud forcing to the uncertainties in UT CFR and IWC measurements are discussed

C-reactive protein is essential for innate resistance to pneumococcal infection

Summary: No deficiency of human C-reactive protein (CRP), or even structural polymorphism of the protein, has yet been reported so its physiological role is not known. Here we show for the first time that CRP-deficient mice are remarkably susceptible to Streptococcus pneumoniae infection and are protected by reconstitution with isolated pure human CRP, or by anti-pneumococcal antibodies. Autologous mouse CRP is evidently essential for innate resistance to pneumococcal infection before antibodies are produced. Our findings are consistent with the significant association between clinical pneumococcal infection and non-coding human CRP gene polymorphisms which affect CRP expression. Deficiency or loss of function variation in CRP may therefore be lethal at the first early-life encounter with this ubiquitous virulent pathogen, explaining the invariant presence and structure of CRP in human adults

Predicting Phenotype and Emerging Strains among Chlamydia trachomatis Infections

Single nucleotide polymorphisms can be used for epidemiologic and evolutionary studies worldwide

The XMM-LSS survey. Survey design and first results

We have designed a medium deep large area X-ray survey with XMM - the XMM Large Scale Structure survey, XMM-LSS - with the scope of extending the cosmological tests attempted using ROSAT cluster samples to two redshift bins between 0<z<1 while maintaining the precision of earlier studies. Two main goals have constrained the survey design: the evolutionary study of the cluster-cluster correlation function and of the cluster number density. The results are promising and, so far, in accordance with our predictions as to the survey sensitivity and cluster number density. The feasibility of the programme is demonstrated and further X-ray coverage is awaited in order to proceed with a truly significant statistical analysis. (Abridged)Comment: Published in Journal of Cosmology and Astroparticle Physic

Adherence to once-daily and twice-daily direct acting antiviral therapy for hepatitis C infection among people with recent injection drug use or current opioid agonist therapy

BACKGROUND This study investigated adherence and associated factors among people with recent injection drug use (IDU) or current opioid agonist therapy (OAT) and compared once-daily to twice-daily hepatitis C virus (HCV) direct-acting antiviral (DAA) therapy. METHODS SIMPLIFY and D3FEAT are international, multicenter studies that recruited participants with recent IDU (previous 6 months; SIMPLIFY, D3FEAT) or current OAT (D3FEAT) between March 2016 and February 2017 in 8 countries. Participants received sofosbuvir/velpatasvir (once daily; SIMPLIFY) or paritaprevir/ritonavir/ombitasvir, dasabuvir (twice daily) ± ribavirin (D3FEAT) for 12 weeks administered in electronic blister packs. We evaluated overall adherence (proportion of prescribed doses taken) and nonadherence (<90% adherent) between dosing patterns. RESULTS Of 190 participants, 184 (97%) completed treatment. Median adherence was 92%, with higher adherence among those receiving once-daily vs twice-daily therapy (94% vs 87%, P = .005). Overall, 40% of participants (n = 76) were nonadherent (<90% adherent). Recent stimulant injecting (odds ratio [OR], 2.48 [95% confidence interval {CI}, 1.28-4.82]), unstable housing (OR, 2.18 [95% CI, 1.01-4.70]), and twice-daily dosing (OR, 2.81 [95% CI, 1.47-5.36]) were associated with nonadherence. Adherence decreased during therapy. Sustained virologic response was high in nonadherent (89%) and adherent populations (95%, P = .174), with no difference in SVR between those who did and did not miss 7 consecutive doses (92% vs 93%, P = .897). CONCLUSIONS This study demonstrated high adherence to once- and twice-daily DAA therapy among people with recent IDU or currently receiving OAT. Nonadherence described did not impact treatment outcomes, suggesting forgiveness to nonadherence

Immune Dysregulation and Glucocorticoid Resistance in Minority and Low Income Pregnant Women

Chronic prenatal stress contributes to poor birth outcomes for women and infants. Importantly, poor birth outcomes are most common among minority and low income women. To investigate underlying mechanisms, we tested the hypothesis that chronic stress related to minority or low income status is associated with glucocorticoid resistance as indicated by disruption in the cytokine-glucocorticoid feedback circuit. Home visits were conducted during which 3rd trimester pregnant women completed stress and depression surveys and provided blood for pro- and anti-inflammatory cytokines. Saliva was collected 5 times the preceding day for diurnal cortisol levels. For statistical analyses, women were grouped 3 ways, by race, income, and the presence or absence of either of those risk factors; this last group was labeled high or low general risk. Immune regulation was evaluated by evidence of a functioning negative feedback relationship between cytokines and cortisol. Of 96 participants, 18 were minority, 22 of low income, and 29 either minority or low income (high general risk). Pearson partial correlation identified a significant negative relationship between cortisol area under the curve (AUC) and pro- to anti-inflammatory cytokine ratios in the low general risk women (i.e., Caucasian, higher income) including IFNγ/IL10 (r = −0.73, p \u3c 0.0001), IL6/IL10 (r = −0.38, p = 0.01), IL1β/IL10 (r = −0.44, p = 0.004) and TNFα/IL10 (r = −0.41; p = 0.005); no such correlations existed in the high general risk women (i.e., minority, low income) for (IFNγ/IL10: r = −0.25, p = 0.43; IL6/IL10: r = 0.12, p = 0.70; IL1 β/IL10: r = 0.05, p = 0.87; TNFα/IL10: r = 0.10; p = 0.75), suggestive of glucocorticoid resistance. Cortisol levels throughout the day also were higher in minority and high general risk groups (p \u3c 0.05). Without cytokine glucocorticoid feedback, a pregnant woman\u27s ability to regulate inflammation is limited, potentially contributing to adverse maternal and infant outcomes

Invited Article: First Flight in Space of a Wide-Field-of-View Soft X-Ray Imager Using Lobster-Eye Optics: Instrument Description and Initial Flight Results

We describe the development, launch into space, and initial results from a prototype wide eld-of-view (FOV) soft X-ray imager that employs Lobster-eye optics and targets heliophysics, planetary, and astrophysics science. The Sheath Transport Observer for the Redistribution of Mass (STORM) is the rst instrument using this type of optics launched into space and provides proof-of-concept for future ight instruments capable of imaging structures such as the terrestrial cusp, the entire dayside magnetosheath from outside the magnetosphere, comets, the moon, and the solar wind interaction with planetary bodies like Venus and Mars