Fractional constant elasticity of variance model

This paper develops a European option pricing formula for fractional market models. Although there exist option pricing results for a fractional Black-Scholes model, they are established without accounting for stochastic volatility. In this paper, a fractional version of the Constant Elasticity of Variance (CEV) model is developed. European option pricing formula similar to that of the classical CEV model is obtained and a volatility skew pattern is revealed.Comment: Published at http://dx.doi.org/10.1214/074921706000001012 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org

Generating random AR(p) and MA(q) Toeplitz correlation matrices

AbstractMethods are proposed for generating random (p+1)×(p+1) Toeplitz correlation matrices that are consistent with a causal AR(p) Gaussian time series model. The main idea is to first specify distributions for the partial autocorrelations that are algebraically independent and take values in (−1,1), and then map to the Toeplitz matrix. Similarly, starting with pseudo-partial autocorrelations, methods are proposed for generating (q+1)×(q+1) Toeplitz correlation matrices that are consistent with an invertible MA(q) Gaussian time series model. The density can be uniform or non-uniform over the space of autocorrelations up to lag p or q, or over the space of autoregressive or moving average coefficients, by making appropriate choices for the densities of the (pseudo)-partial autocorrelations. Important intermediate steps are the derivations of the Jacobians of the mappings between the (pseudo)-partial autocorrelations, autocorrelations and autoregressive/moving average coefficients. The random generating methods are useful for models with a structured Toeplitz matrix as a parameter

Monitoring paddy productivity in North Korea employing geostationary satellite images integrated with GRAMI-rice model

To meet the growing demands of staple crops with a strategy to develop amicable strategic measures that support efficient North Korean relief policies, it is a desirable task to accurately simulate the yield of paddy (Oryza sativa), an important Asian food commodity. We aim to address this with a gridbased crop simulation model integrated with satellite imagery that enables us to monitor the crop productivity of North Korea. Vegetation Indices (VIs), solar insolation, and air temperature data are thus obtained from the Communication Ocean and Meteorological Satellite (COMS), including the reanalysis data of the Korea Local Analysis and Prediction System (KLAPS). Paddy productivities for North Korea are projected based on the bidirectional reflectance distribution function-adjusted VIs and the solar insolation using the grid GRAMI-rice model. The model is calibrated on a 500-m grid paddy field in Cheorwon, and the model simulation performance accuracy is verified for Cheorwon and Paju, located at the borders of North Korea using four years of data from 2011 to 2014. Our results show that the paddy yields are reproduced reasonably accurately within a statistically significant range of accuracy, in comparison with observation data in Cheorwon (p = 0.183), Paju (p = 0.075), and NK (p = 0.101) according to a statistical t-test procedure. We advocate that incorporating a crop model with satellite images for crop yield simulations can be utilised as a reliable estimation technique for the monitoring of crop productivity, particularly in unapproachable, data-sparse regions not only in North Korea, but globally, where estimations of paddy productivity can assist in planning of agricultural activities that support regionally amicable food security strategies

Dietary Exposure to the Environmental Chemical, PFOS on the Diversity of Gut Microbiota, Associated With the Development of Metabolic Syndrome

The gut microbiome is a dynamic ecosystem formed by thousands of diverse bacterial species. This bacterial diversity is acquired early in life and shaped over time by a combination of multiple factors, including dietary exposure to distinct nutrients and xenobiotics. Alterations of the gut microbiota composition and associated metabolic activities in the gut are linked to various immune and metabolic diseases. The microbiota could potentially interact with xenobiotics in the gut environment as a result of their board enzymatic capacities and thereby affect the bioavailability and toxicity of the xenobiotics in enterohepatic circulation. Consequently, microbiome-xenobiotic interactions might affect host health. Here, we aimed to investigate the effects of dietary perfluorooctane sulfonic acid (PFOS) exposure on gut microbiota in adult mice and examine the induced changes in animal metabolic functions. In mice exposed to dietary PFOS for 7 weeks, body PFOS and lipid contents were measured, and to elucidate the effects of PFOS exposure, the metabolic functions of the animals were assessed using oral glucose-tolerance test and intraperitoneal insulin-tolerance and pyruvate-tolerance tests; moreover, on Day 50, cecal bacterial DNA was isolated and subject to 16S rDNA sequencing. Our results demonstrated that PFOS exposure caused metabolic disturbances in the animals, particularly in lipid and glucose metabolism, but did not substantially affect the diversity of gut bacterial species. However, marked modulations were detected in the abundance of metabolism-associated bacteria belonging to the phyla Firmicutes, Bacteroidetes, Proteobacteria, and Cyanobacteria, including, at different taxonomic levels, Turicibacteraceae, Turicibacterales, Turicibacter, Dehalobacteriaceae, Dehalobacterium, Allobaculum, Bacteroides acidifaciens, Alphaproteobacteria, and 4Cod-2/YS2. The results of PICRUSt analysis further indicated that PFOS exposure perturbed gut metabolism, inducing notable changes in the metabolism of amino acids (arginine, proline, lysine), methane, and a short-chain fatty acid (butanoate), all of which are metabolites widely recognized to be associated with inflammation and metabolic functions. Collectively, our study findings provide key information regarding the biological relevance of microbiome–xenobiotic interactions associated with the ecology of gut microbiota and animal energy metabolism

CD38 Exacerbates Focal Cytokine Production, Postischemic Inflammation and Brain Injury after Focal Cerebral Ischemia

BACKGROUND: Converging evidence suggests that inflammatory processes significantly influence brain injury and clinical impairment in ischemic stroke. Although early studies suggested a key role of lymphocytes, recent data has emphasized the orchestrating function of innate immunity, i.e., macrophages and microglia. The bifunctional receptor and ectoenzyme CD38 synthesizes calcium-mobilizing second messengers (e.g., cyclic ADP-ribose), which have been shown to be necessary for activation and migration of myeloid immune cells. Therefore, we investigated the dynamics of CD38 in stroke and the impact of CD38-deficiency on cytokine production, inflammation and cerebral damage in a mouse model of cerebral ischemia-reperfusion. METHODOLOGY/PRINCIPAL FINDINGS: We show that the local expression of the chemokine MCP-1 was attenuated in CD38-deficient mice compared with wildtype mice after focal cerebral ischemia and reperfusion. In contrast, no significant induction of MCP-1 expression was observed in peripheral blood after 6 hours. Flow cytometry analysis revealed less infiltrating macrophages and lymphocytes in the ischemic hemisphere of CD38-deficient mice, whereas the amount of resident microglia was unaltered. An up-regulation of CD38 expression was observed in macrophages and CD8(+) cells after focal cerebral ischemia in wildtype mice, whereas CD38 expression was unchanged in microglia. Finally, we demonstrate that CD38-deficiency decreases the cerebral ischemic injury and the persistent neurological deficit after three days of reperfusion in this murine temporary middle cerebral artery occlusion (tMCAO) model. CONCLUSION/SIGNIFICANCE: CD38 is differentially regulated following stroke and its deficiency attenuates the postischemic chemokine production, the immune cell infiltration and the cerebral injury after temporary ischemia and reperfusion. Therefore CD38 might prove a therapeutic target in ischemic stroke

Robust estimation of bacterial cell count from optical density

Optical density (OD) is widely used to estimate the density of cells in liquid culture, but cannot be compared between instruments without a standardized calibration protocol and is challenging to relate to actual cell count. We address this with an interlaboratory study comparing three simple, low-cost, and highly accessible OD calibration protocols across 244 laboratories, applied to eight strains of constitutive GFP-expressing E. coli. Based on our results, we recommend calibrating OD to estimated cell count using serial dilution of silica microspheres, which produces highly precise calibration (95.5% of residuals <1.2-fold), is easily assessed for quality control, also assesses instrument effective linear range, and can be combined with fluorescence calibration to obtain units of Molecules of Equivalent Fluorescein (MEFL) per cell, allowing direct comparison and data fusion with flow cytometry measurements: in our study, fluorescence per cell measurements showed only a 1.07-fold mean difference between plate reader and flow cytometry data