Local Volatility Calibration by Optimal Transport

The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion process that matches the known densities of an asset price at two different dates, while minimizing a chosen cost function. Inspired by the seminal work of Benamou and Brenier [1], we formulate the problem as a convex optimization problem, derive its dual formulation, and solve it numerically via an augmented Lagrangian method and the alternative direction method of multipliers (ADMM) algorithm. The solution effectively reconstructs the dynamic of the asset price between the two dates by recovering the optimal local volatility function, without requiring any time interpolation of the option prices

Why wait? The social determinants underlying tuberculosis diagnostic delay.

BACKGROUND: Early detection and diagnosis of tuberculosis remain major global priorities for tuberculosis control. Few studies have used a qualitative approach to investigate the social determinants contributing to diagnostic delay and none have compared data collected from individual, community, and health-system levels. We aimed to characterize the social determinants that contribute to diagnostic delay among persons diagnosed with tuberculosis living in resource-constrained settings. METHODS/PRINCIPLE FINDINGS: Data were collected in public health facilities with high tuberculosis incidence in 19 districts of Lima, Peru. Semi-structured interviews with persons diagnosed with tuberculosis (n = 105) and their family members (n = 63) explored health-seeking behaviours, community perceptions of tuberculosis and socio-demographic circumstances. Focus groups (n = 6) were conducted with health personnel (n = 35) working in the National Tuberculosis Program. All interview data were transcribed and analysed using a grounded theory approach. The median delay between symptom onset and the public health facility visit that led to the first positive diagnostic sample was 57 days (interquartile range 28-126). The great majority of persons diagnosed with tuberculosis distrusted the public health system and sought care at public health facilities only after exhausting other options. It was universally agreed that persons diagnosed with tuberculosis faced discrimination by public and health personnel. Self-medication with medicines bought at local pharmacies was reported as the most common initial health-seeking behaviour due to the speed and low-cost of treatment in pharmacies. Most persons diagnosed with tuberculosis initially perceived their illness as a simple virus. CONCLUSIONS: Diagnostic delay was common and prolonged. When individuals reached a threshold of symptom severity, they addressed their health with the least time-consuming, most economically feasible, and well-known healthcare option available to them. In high-burden settings, more human and material resources are required to promote tuberculosis case-finding initiatives, reduce tuberculosis associated stigma and address the social determinants underlying diagnostic delay

Foot Bone in Vivo: Its Center of Mass and Centroid of Shape

This paper studies foot bone geometrical shape and its mass distribution and establishes an assessment method of bone strength. Using spiral CT scanning, with an accuracy of sub-millimeter, we analyze the data of 384 pieces of foot bones in vivo and investigate the relationship between the bone's external shape and internal structure. This analysis is explored on the bases of the bone's center of mass and its centroid of shape. We observe the phenomenon of superposition of center of mass and centroid of shape fairly precisely, indicating a possible appearance of biomechanical organism. We investigate two aspects of the geometrical shape, (i) distance between compact bone's centroid of shape and that of the bone and (ii) the mean radius of the same density bone issue relative to the bone's centroid of shape. These quantities are used to interpret the influence of different physical exercises imposed on bone strength, thereby contributing to an alternate assessment technique to bone strength.Comment: 9 pages, 4 figure

Phylogenetic relationship among Kenyan sorghum germplasms based on aluminium tolerance

Eighty nine (89) sorghum lines sourced from various parts of Kenya were used to determine phylogenetic relationships based on 10 DNA fragments at AltSB loci with SbMATE, ORF9 and MITE primers. Nine lines of varying aluminium tolerance levels were selected to compare their SbMATE gene expression via the real-time PCR quantification of SbMATE gene expression. The sorghum line MSCR O2 expressed a thousandfold more SbMATEgene activity than the sensitive lines (MSCRM49, MSCRN84 and MSCRN61) under Al treatment. Analysis was done by agarose gel electrophoresis stained with ethidium bromide. The objective of this study was to assess the level of phylogenetic relationships among the Kenyan sorghum germplasms at a known Al tolerance locus. Hierarchical cluster analysis joined at 70% simple matching coefficient using average linkage similarity level produced nine groups in which 67 lines fell in three major clusters of 39, 15 and 13 lines each. The three Al tolerant lines MSCRO2, MSCRC1 and MSCRN60 were clustered together. Lines MSCRO2, MSCRC1 and MSCRN60, screened to be Al tolerant were genetically related at 70% average linkage similarity level and therefore recommend their further development as a food security measure in Kenya.Keywords: Aluminium (Al) toxicity, Sorghum bicolor, Sorghum bicolor multi-drug, toxic extrusion compound (SbMATE) gene expressionAfrican Journal of Biotechnology Vol. 12(22), pp. 3528-353

Yttrium complexes of Arsine, Arsenide, and Arsinidene Ligands

Deprotonation of the yttrium–arsine complex [Cp′3Y{As(H)2Mes}] (1) (Cp′=η5-C5H4Me, Mes=mesityl) by nBuLi produces the μ-arsenide complex [{Cp′2Y[μ-As(H)Mes]}3] (2). Deprotonation of the As[BOND]H bonds in 2 by nBuLi produces [Li(thf)4]2[{Cp′2Y(μ3-AsMes)}3Li], [Li(thf)4]2[3], in which the dianion 3 contains the first example of an arsinidene ligand in rare-earth metal chemistry. The molecular structures of the arsine, arsenide, and arsinidene complexes are described, and the yttrium–arsenic bonding is analyzed by density functional theory

Associations of vitamin D pathway genes with circulating 25-hydroxyvitamin-D, 1,25-dihydroxyvitamin-D, and prostate cancer:a nested case-control study

Vitamin D pathway single nucleotide polymorphisms (SNPs) are potentially useful proxies for investigating whether circulating vitamin D metabolites [total 25-hydroxyvitamin-D, 25(OH)D; 1,25-dihydroxyvitamin, 1,25(OH)2D] are causally related to prostate cancer. We investigated associations of sixteen SNPs across seven genes with prostate-specific antigen-detected prostate cancer

Targeting tumour re-wiring by triple blockade of mTORC1, epidermal growth factor, and oestrogen receptor signalling pathways in endocrine-resistant breast cancer

Background Endocrine therapies are the mainstay of treatment for oestrogen receptor (ER)-positive (ER+) breast cancer (BC). However, resistance remains problematic largely due to enhanced cross-talk between ER and growth factor pathways, circumventing the need for steroid hormones. Previously, we reported the anti-proliferative effect of everolimus (RAD001-mTORC1 inhibitor) with endocrine therapy in resistance models; however, potential routes of escape from treatment via ERBB2/3 signalling were observed. We hypothesised that combined targeting of three cellular nodes (ER, ERBB, and mTORC1) may provide enhanced long-term clinical utility. Methods A panel of ER+ BC cell lines adapted to long-term oestrogen deprivation (LTED) and expressing ESR1wt or ESR1Y537S, modelling acquired resistance to an aromatase-inhibitor (AI), were treated in vitro with a combination of RAD001 and neratinib (pan-ERBB inhibitor) in the presence or absence of oestradiol (E2), tamoxifen (4-OHT), or fulvestrant (ICI182780). End points included proliferation, cell signalling, cell cycle, and effect on ER-mediated transactivation. An in-vivo model of AI resistance was treated with monotherapies and combinations to assess the efficacy in delaying tumour progression. RNA-seq analysis was performed to identify changes in global gene expression as a result of the indicated therapies. Results Here, we show RAD001 and neratinib (pan-ERBB inhibitor) caused a concentration-dependent decrease in proliferation, irrespective of the ESR1 mutation status. The combination of either agent with endocrine therapy further reduced proliferation but the maximum effect was observed with a triple combination of RAD001, neratinib, and endocrine therapy. In the absence of oestrogen, RAD001 caused a reduction in ER-mediated transcription in the majority of the cell lines, which associated with a decrease in recruitment of ER to an oestrogen-response element on the TFF1 promoter. Contrastingly, neratinib increased both ER-mediated transactivation and ER recruitment, an effect reduced by the addition of RAD001. In-vivo analysis of an LTED model showed the triple combination of RAD001, neratinib, and fulvestrant was most effective at reducing tumour volume. Gene set enrichment analysis revealed that the addition of neratinib negated the epidermal growth factor (EGF)/EGF receptor feedback loops associated with RAD001. Conclusions Our data support the combination of therapies targeting ERBB2/3 and mTORC1 signalling, together with fulvestrant, in patients who relapse on endocrine therapy and retain a functional ER

Sensory System for Implementing a Human—Computer Interface Based on Electrooculography

This paper describes a sensory system for implementing a human–computer interface based on electrooculography. An acquisition system captures electrooculograms and transmits them via the ZigBee protocol. The data acquired are analysed in real time using a microcontroller-based platform running the Linux operating system. The continuous wavelet transform and neural network are used to process and analyse the signals to obtain highly reliable results in real time. To enhance system usability, the graphical interface is projected onto special eyewear, which is also used to position the signal-capturing electrodes

Identification of chemokine receptors as potential modulators of endocrine resistance in oestrogen receptor–positive breast cancers

Introduction Endocrine therapies target oestrogenic stimulation of breast cancer (BC) growth, but resistance remains problematic. Our aims in this study were (1) to identify genes most strongly associated with resistance to endocrine therapy by intersecting global gene transcription data from patients treated presurgically with the aromatase inhibitor anastrazole with those from MCF7 cells adapted to long-term oestrogen deprivation (LTED) (2) to assess the clinical value of selected genes in public clinical data sets and (3) to determine the impact of targeting these genes with novel agents. Methods Gene expression and Ki67 data were available from 69 postmenopausal women with oestrogen receptor–positive (ER+) early BC, at baseline and 2 weeks after anastrazole treatment, and from cell lines adapted to LTED. The functional consequences of target genes on proliferation, ER-mediated transcription and downstream cell signalling were assessed. Results By intersecting genes predictive of a poor change in Ki67 with those upregulated in LTED cells, we identified 32 genes strongly correlated with poor antiproliferative response that were associated with inflammation and/or immunity. In a panel of LTED cell lines, C-X-C chemokine receptor type 7 (CXCR7) and CXCR4 were upregulated compared to their wild types (wt), and CXCR7, but not CXCR4, was associated with reduced relapse-free survival in patients with ER+ BC. The CXCR4 small interfering RNA variant (siCXCR4) had no specific effect on the proliferation of wt-SUM44, wt-MCF7 and their LTED derivatives. In contrast, siCXCR7, as well as CCX733, a CXCR7 antagonist, specifically suppressed the proliferation of MCF7-LTED cells. siCXCR7 suppressed proteins associated with G1/S transition and inhibited ER transactivation in MCF7-LTED, but not wt-MCF7, by impeding association between ER and proline-, glutamic acid– and leucine-rich protein 1, an ER coactivator. Conclusions These data highlight CXCR7 as a potential therapeutic target warranting clinical investigation in endocrine-resistant BC