Perturbed Copula: Introducing the skew effect in the co-dependence

Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows introducing the skew information of both random variables into the co-dependence structure. The analytical expression of this copula is derived through an asymptotic expansion under the assumption of a common fast mean reverting stochastic volatility factor. This paper applies this new perturbed copula to the valuation of derivative products; in particular FX quanto options to a third currency. A calibration procedure to fit the skew of both underlying securities is presented. The action of the perturbed copula is interpreted compared to the Gaussian copula. A real worked example is carried out comparing both copulas and a local volatility model with constant correlation for varying maturities, correlations and skew configurations.Comment: 34 pages, 6 figures and 3 table

Hydrogeological impact assessment by tunnelling at sites of high sensitivity

A tunnel for the High Speed Train (HST) was constructed in Barcelona with an Earth Pressure Balance (EPB) Tunnel Boring Machine (TBM). The tunnel crosses Barcelona and passes under some famous landmarks such as the Sagrada Familia and the Casa Mill Both monuments are UNESCO world heritage sites and a committee appointed by the UNESCO acted as external observers during the construction. Concerns about soil settlements and the hydrogeological impacts of the construction were raised. These concerns were addressed during the design stage to forestall any unexpected events. The methodology consisted of 1) characterising the geology in detail, 2) predicting the impacts caused in the aquifer, 3) predicting the soil displacements due to water table oscillations produced by the construction, and 4) monitoring the evolution of groundwater and soil settlements. The main estimated impact on groundwater was a moderate barrier effect. The barrier effect, the magnitude of which matched the predictions, was detected during construction. The monitoring of soil settlements revealed short and long term movements. The latter movements matched the analytical predictions of soil displacements caused by the groundwater oscillations. This paper proposes a realistic procedure to estimate impacts on groundwater during tunnel construction with an EPB. Our methodology will considerably improve the construction of tunnels in urban areas. (C) 2015 Elsevier B.V. All rights reserved.Peer ReviewedPostprint (author's final draft

A novel mechanism of colon carcinoma cell adhesion to the endothelium triggered by beta 1 integrin chain.

We have found a monoclonal antibody, called BV7, that rapidly stimulated by 6-10-folds HT-29 colon carcinoma cell adhesion to resting human umbilical vein endothelial cells. This effect was directed to tumor cells and not to endothelial cells and was cell-specific. BV7 was also active on the HCCP-2998 but did not change adhesion to endothelial cells of other tumor cells (MG63 osteosarcoma, A375 melanoma, MHCC-1410 and Lovo colon carcinoma) even if, by flow cytometry, this monoclonal antibody could bind to them. Additionally, BV7 effect was substratum-specific, since it did not increase but rather blocked HT-29 adhesion to matrix proteins. Immunoprecipitation analysis and binding to specific transfectants revealed that BV7 recognizes beta 1-subunit of integrin receptors and antibody blocking experiments showed that alpha 2 beta 1 antibodies were able to counteract BV7 effect on HT-29 adhesion to endothelial cells. In contrast, antibodies directed to other integrins or endothelial adhesive receptors (E- and P-selectin, VCAM-1, ICAM-1, ICAM-2) were ineffective. Induction of HT-29 adhesion to endothelial cells by BV7 was Fc- and protein synthesis-independent but required metabolically active cells. The presence of physiological concentrations of divalent cations and of cytoskeletal integrity was not needed. Comparative studies with eight different prototypic beta 1 antibodies showed that five of them induced HT-29 adhesion to endothelial cells in a way unrelated to their ability to interfere with HT-29 adhesion to matrix proteins. Cross-blocking binding assays demonstrated that all the five antibodies recognized a topographically related epitope. Taken together these results provide evidence that beta 1 antibodies may trigger a novel pathway of HT-29 colon carcinoma adhesion to endothelial cells with different features in respect to other described mechanisms of tumor cell interaction with the endothelium

Survival analysis of time to SARS-CoV-2 PCR negativisation to optimise PCR prescription in health workers: the Henares COVID-19 healthcare workers cohort study.

Objectives Reverse transcriptase PCR (RT-PCR) is considered the gold standard in diagnosing COVID-19. Infected healthcare workers do not go back to work until RT-PCR has demonstrated that the virus is no longer present in the upper respiratory tract. The aim of this study is to determine the most efficient time to perform RT-PCR prior to healthcare workers’ reincorporation. Materials and methods This is a cohort study of healthcare workers with RT-PCR-confirmed COVID-19. Data were collected using the medical charts of healthcare workers and completed with a telephone interview. Kaplan-Meier curves were used to determine the influence of several variables on the time to RT-PCR negativisation. The impact of the variables on survival was assessed using the Breslow test. A Cox regression model was developed including the associated variables. Results 159 subjects with a positive RT-PCR out of 374 workers with suspected COVID-19 were included. The median time to negativisation was 25 days from symptom onset (IQR 20–35 days). Presence of IgG, dyspnoea, cough and throat pain were associated with significant longer time to negativisation. Cox logistic regression was used to adjust for confounding variables. Only dyspnoea and cough remained in the model as significant determinants of prolonged negativisation time. Adjusted HRs were 0.68 (0.48–096) for dyspnoea and 0.61 (0.42–0.88) for dry cough. Conclusions RT-PCR during the first 3 weeks leads to a high percentage of positive results. In the presence of respiratory symptoms, negativisation took nearly 1 week more. Those who developed antibodies needed longer time to negativisate.pre-print396 K

26th Annual Computational Neuroscience Meeting (CNS*2017): Part 3 - Meeting Abstracts - Antwerp, Belgium. 15–20 July 2017

This work was produced as part of the activities of FAPESP Research,\ud Disseminations and Innovation Center for Neuromathematics (grant\ud 2013/07699-0, S. Paulo Research Foundation). NLK is supported by a\ud FAPESP postdoctoral fellowship (grant 2016/03855-5). ACR is partially\ud supported by a CNPq fellowship (grant 306251/2014-0)