Local time and the pricing of time-dependent barrier options

A time-dependent double-barrier option is a derivative security that delivers the terminal value $\phi(S_T)$ at expiry $T$ if neither of the continuous time-dependent barriers b_\pm:[0,T]\to \RR_+ have been hit during the time interval $[0,T]$. Using a probabilistic approach we obtain a decomposition of the barrier option price into the corresponding European option price minus the barrier premium for a wide class of payoff functions $\phi$, barrier functions $b_\pm$ and linear diffusions $(S_t)_{t\in[0,T]}$. We show that the barrier premium can be expressed as a sum of integrals along the barriers $b_\pm$ of the option's deltas \Delta_\pm:[0,T]\to\RR at the barriers and that the pair of functions $(\Delta_+,\Delta_-)$ solves a system of Volterra integral equations of the first kind. We find a semi-analytic solution for this system in the case of constant double barriers and briefly discus a numerical algorithm for the time-dependent case.Comment: 32 pages, to appear in Finance and Stochastic

Structure-function analysis reveals that the Pseudomonas aeruginosa Tps4 two-partner secretion system is involved in CupB5 translocation

Pseudomonas aeruginosa is a Gram-negative opportunistic bacterium, synonymous with cystic fibrosis patients, which can cause chronic infection of the lungs. This pathogen is a model organism to study biofilms: a bacterial population embedded in an extracellular matrix that provide protection from environmental pressures and lead to persistence. A number of Chaperone-Usher Pathways, namely CupA-CupE, play key roles in these processes by assembling adhesive pili on the bacterial surface. One of these, encoded by the cupB operon, is unique as it contains a nonchaperone-usher gene product, CupB5. Two-partner secretion (TPS) systems are comprised of a C-terminal integral membrane β-barrel pore with tandem N-terminal POTRA (POlypeptide TRansport Associated) domains located in the periplasm (TpsB) and a secreted substrate (TpsA). Using NMR we show that TpsB4 (LepB) interacts with CupB5 and its predicted cognate partner TpsA4 (LepA), an extracellular protease. Moreover, using cellular studies we confirm that TpsB4 can translocate CupB5 across the P. aeruginosa outer membrane, which contrasts a previous observation that suggested the CupB3 P-usher secretes CupB5. In support of our findings we also demonstrate that tps4/cupB operons are coregulated by the RocS1 sensor suggesting P. aeruginosa has developed synergy between these systems. Furthermore, we have determined the solution-structure of the TpsB4-POTRA1 domain and together with restraints from NMR chemical shift mapping and in vivo mutational analysis we have calculated models for the entire TpsB4 periplasmic region in complex with both TpsA4 and CupB5 secretion motifs. The data highlight specific residues for TpsA4/CupB5 recognition by TpsB4 in the periplasm and suggest distinct roles for each POTRA domain

Single gluino production in the R-parity lepton number violating MSSM at the LHC

We examine the $R_{p}$-violating signal of single gluino production associated with a charged lepton or neutrino at the large hadron collider (LHC), in the model of R-parity relaxed supersymmetric model. If the parameters in the ${\rlap/R}_p$ supersymmetric interactions are not too small, and the mass of gluino is considered in the range from several GeV (as the Lightest Supersymmetric Particle) to 800 GeV, the cross section of the single gluino production via Drell-Yan processes can be in the order of $10^2 \sim 10^3$ femto barn, and that via gluon fusion in the order of $10^{-1} \sim 10^3$ femto barn. If the gluino decay can be well detected in the CERN LHC, this process provides a prospective way to probe supersymmetry and $R_p$ violation.Comment: LaTex, 22 pages, 5 EPS file

Cosmological parameters from SDSS and WMAP

We measure cosmological parameters using the three-dimensional power spectrum P(k) from over 200,000 galaxies in the Sloan Digital Sky Survey (SDSS) in combination with WMAP and other data. Our results are consistent with a ``vanilla'' flat adiabatic Lambda-CDM model without tilt (n=1), running tilt, tensor modes or massive neutrinos. Adding SDSS information more than halves the WMAP-only error bars on some parameters, tightening 1 sigma constraints on the Hubble parameter from h~0.74+0.18-0.07 to h~0.70+0.04-0.03, on the matter density from Omega_m~0.25+/-0.10 to Omega_m~0.30+/-0.04 (1 sigma) and on neutrino masses from <11 eV to <0.6 eV (95%). SDSS helps even more when dropping prior assumptions about curvature, neutrinos, tensor modes and the equation of state. Our results are in substantial agreement with the joint analysis of WMAP and the 2dF Galaxy Redshift Survey, which is an impressive consistency check with independent redshift survey data and analysis techniques. In this paper, we place particular emphasis on clarifying the physical origin of the constraints, i.e., what we do and do not know when using different data sets and prior assumptions. For instance, dropping the assumption that space is perfectly flat, the WMAP-only constraint on the measured age of the Universe tightens from t0~16.3+2.3-1.8 Gyr to t0~14.1+1.0-0.9 Gyr by adding SDSS and SN Ia data. Including tensors, running tilt, neutrino mass and equation of state in the list of free parameters, many constraints are still quite weak, but future cosmological measurements from SDSS and other sources should allow these to be substantially tightened.Comment: Minor revisions to match accepted PRD version. SDSS data and ppt figures available at http://www.hep.upenn.edu/~max/sdsspars.htm

Prognostic impact of proliferative index determined by quantitative image analysis and the International Prognostic Index in patients with mantle cell lymphoma

Background: The proliferative index (PI) is a powerful prognostic factor in mantle cell lymphoma (MCL); however, its utility is hampered by interobserver variability. The mantle cell international prognostic index (MIPI) has been reported to have prognostic importance. In this study, we determined the prognostic value of the PI as determined by quantitative image analysis in MCL

FGF receptor genes and breast cancer susceptibility: results from the Breast Cancer Association Consortium

Background:Breast cancer is one of the most common malignancies in women. Genome-wide association studies have identified FGFR2 as a breast cancer susceptibility gene. Common variation in other fibroblast growth factor (FGF) receptors might also modify risk. We tested this hypothesis by studying genotyped single-nucleotide polymorphisms (SNPs) and imputed SNPs in FGFR1, FGFR3, FGFR4 and FGFRL1 in the Breast Cancer Association Consortium. Methods:Data were combined from 49 studies, including 53 835 cases and 50 156 controls, of which 89 050 (46 450 cases and 42 600 controls) were of European ancestry, 12 893 (6269 cases and 6624 controls) of Asian and 2048 (1116 cases and 932 controls) of African ancestry. Associations with risk of breast cancer, overall and by disease sub-type, were assessed using unconditional logistic regression. Results:Little evidence of association with breast cancer risk was observed for SNPs in the FGF receptor genes. The strongest evidence in European women was for rs743682 in FGFR3; the estimated per-allele odds ratio was 1.05 (95 confidence interval=1.02-1.09, P=0.0020), which is substantially lower than that observed for SNPs in FGFR2. Conclusion:Our results suggest that common variants in the other FGF receptors are not associated with risk of breast cancer to the degree observed for FGFR2. © 2014 Cancer Research UK

BESII Detector Simulation

A Monte Carlo program based on Geant3 has been developed for BESII detector simulation. The organization of the program is outlined, and the digitization procedure for simulating the response of various sub-detectors is described. Comparisons with data show that the performance of the program is generally satisfactory.Comment: 17 pages, 14 figures, uses elsart.cls, to be submitted to NIM

Capturing and monitoring global differences in untreated and treated end-stage kidney disease, kidney replacement therapy modality, and outcomes

A large gap between the number of people with end-stage kidney disease (ESKD) who received kidney replacement therapy (KRT) and those who needed it has been recently identified, and it is estimated that approximately one-half to three-quarters of all people with ESKD in the world may have died prematurely because they could not receive KRT. This estimate is aligned with a previous report that estimated that >3 million people in the world died each year because they could not access KRT. This review discusses the reasons for the differences in treated and untreated ESKD and KRT modalities and outcomes and presents strategies to close the global KRT gap by establishing robust health information systems to guide resource allocation to areas of need, inform KRT service planning, enable policy development, and monitor KRT health outcomes