Simulation of asset prices using Lévy processes

Includes bibliographical references (leaves 93-97).This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- it is the first step towards pricing and therefore must be done accurately and with care. This dissertation looks at different kinds of Lévy processes and the various approaches one can take when simulating them

Dielectric Properties of Materials Showing Constant-Phase-Element (CPE) Impedance Response

Constant-Phase Elements (CPE) are often used to fit impedance data arising from a broad range of experimental systems. Four approaches were used to interpret CPE parameters associated with the impedance response of human skin and two metal oxides in terms of characteristic frequencies and film thickness. The values obtained with each approach were compared against independent measurements. The power-law model developed recently by Hirschorn et al.1,2 provided the most reliable interpretation for systems with a normal distribution of properties. Readers are cautioned that the CPE parameter Q does not provide an accurate value for capacitance, even when the CPE exponent α is greater than 0.9

Protein disulfide-isomerase interacts with a substrate protein at all stages along its folding pathway

In contrast to molecular chaperones that couple protein folding to ATP hydrolysis, protein disulfide-isomerase (PDI) catalyzes protein folding coupled to formation of disulfide bonds (oxidative folding). However, we do not know how PDI distinguishes folded, partly-folded and unfolded protein substrates. As a model intermediate in an oxidative folding pathway, we prepared a two-disulfide mutant of basic pancreatic trypsin inhibitor (BPTI) and showed by NMR that it is partly-folded and highly dynamic. NMR studies show that it binds to PDI at the same site that binds peptide ligands, with rapid binding and dissociation kinetics; surface plasmon resonance shows its interaction with PDI has a Kd of ca. 10−5 M. For comparison, we characterized the interactions of PDI with native BPTI and fully-unfolded BPTI. Interestingly, PDI does bind native BPTI, but binding is quantitatively weaker than with partly-folded and unfolded BPTI. Hence PDI recognizes and binds substrates via permanently or transiently unfolded regions. This is the first study of PDI's interaction with a partly-folded protein, and the first to analyze this folding catalyst's changing interactions with substrates along an oxidative folding pathway. We have identified key features that make PDI an effective catalyst of oxidative protein folding – differential affinity, rapid ligand exchange and conformational flexibility

Covert observation in practice: lessons from the evaluation of the prohibition of smoking in public places in Scotland

Background: A ban on smoking in wholly or substantially enclosed public places has been in place in Scotland since 26th March 2006. The impact of this legislation is currently being evaluated in seven studies, three of which involve direct observation of smoking in bars and other enclosed public places. While the ethical issues around covert observation have been widely discussed there is little practical guidance on the conduct of such research. A workshop was therefore convened to identify practical lessons learned so far from the Scottish evaluation. Methods: We convened a workshop involving researchers from the three studies which used direct observation. In addition, one of the fieldwork managers collected written feedback on the fieldwork, identifying problems that arose in the field and some solutions. Results: There were four main themes identified: (i) the difficulty of achieving and maintaining concealment; (ii) the experience of being an observer; (iii) the risk of bias in the observations and (iv) issues around training and recruitment. These are discussed. Conclusion: Collecting covert observational data poses unique practical challenges, in particular in relation to the health and safety of the researcher. The findings and solutions presented in this paper will be of value to researchers designing similar studies

The Astropy Problem

The Astropy Project (http://astropy.org) is, in its own words, "a community effort to develop a single core package for Astronomy in Python and foster interoperability between Python astronomy packages." For five years this project has been managed, written, and operated as a grassroots, self-organized, almost entirely volunteer effort while the software is used by the majority of the astronomical community. Despite this, the project has always been and remains to this day effectively unfunded. Further, contributors receive little or no formal recognition for creating and supporting what is now critical software. This paper explores the problem in detail, outlines possible solutions to correct this, and presents a few suggestions on how to address the sustainability of general purpose astronomical software

A pervasive role for biomass burning in tropical high ozone/low water structures

Air parcels with mixing ratios of high O₃ and low H₂O (HOLW) are common features in the tropical western Pacific (TWP) mid-troposphere (300–700 hPa). Here, using data collected during aircraft sampling of the TWP in winter 2014, we find strong, positive correlations of O₃ with multiple biomass burning tracers in these HOLW structures. Ozone levels in these structures are about a factor of three larger than background. Models, satellite data and aircraft observations are used to show fires in tropical Africa and Southeast Asia are the dominant source of high O₃ and that low H₂O results from large-scale descent within the tropical troposphere. Previous explanations that attribute HOLW structures to transport from the stratosphere or mid-latitude troposphere are inconsistent with our observations. This study suggest a larger role for biomass burning in the radiative forcing of climate in the remote TWP than is commonly appreciated.We thank L. Pan for coordinating the CONTRAST flights and her constructive criticism of an early version of the manuscript; S. Schauffler, V. Donets and R. Lueb for collecting and analysing AWAS samples; T. Robinson and O. Shieh for providing meteorology forecasts in the field; and the pilots and crews of the CAST BAe-146 and CONTRAST Gulfstream V aircrafts for their dedication and professionalism. CAST was funded by the Natural Environment Research Council; CONTRAST was funded by the National Science Foundation. Research at the Jet Propulsion Laboratory, California Institute of Technology, is performed under contract with the National Aeronautics and Space Administration (NASA). A number of the US-based investigators also benefitted from the support of NASA as well as the National Oceanic and Atmospheric Administration. The views, opinions, and findings contained in this report are those of the author(s) and should not be construed as an official National Oceanic and Atmospheric Administration or US Government position, policy or decision. We would like to acknowledge high-performance computing support from Yellowstone (ark:/85065/d7wd3xhc) provided by NCAR's Computational and Information Systems Laboratory. NCAR is sponsored by the National Science Foundation.This is the final version of the article. It first appeared from Nature Publishing Group via http://dx.doi.org/10.1038/ncomms1026

Corrigendum to 'Editor's Choice - European Society for Vascular Surgery (ESVS) 2020 Clinical Practice Guidelines on the Management of Vascular Graft and Endograft Infections' [European Journal of Vascular & Endovascular Surgery 59/3 (2020) 339-384]

peer reviewe

A pervasive role for biomass burning in tropical high ozone/low water structures.

Air parcels with mixing ratios of high O3 and low H2O (HOLW) are common features in the tropical western Pacific (TWP) mid-troposphere (300-700 hPa). Here, using data collected during aircraft sampling of the TWP in winter 2014, we find strong, positive correlations of O3 with multiple biomass burning tracers in these HOLW structures. Ozone levels in these structures are about a factor of three larger than background. Models, satellite data and aircraft observations are used to show fires in tropical Africa and Southeast Asia are the dominant source of high O3 and that low H2O results from large-scale descent within the tropical troposphere. Previous explanations that attribute HOLW structures to transport from the stratosphere or mid-latitude troposphere are inconsistent with our observations. This study suggest a larger role for biomass burning in the radiative forcing of climate in the remote TWP than is commonly appreciated.We thank L. Pan for coordinating the CONTRAST flights and her constructive criticism of an early version of the manuscript; S. Schauffler, V. Donets and R. Lueb for collecting and analysing AWAS samples; T. Robinson and O. Shieh for providing meteorology forecasts in the field; and the pilots and crews of the CAST BAe-146 and CONTRAST Gulfstream V aircrafts for their dedication and professionalism. CAST was funded by the Natural Environment Research Council; CONTRAST was funded by the National Science Foundation. Research at the Jet Propulsion Laboratory, California Institute of Technology, is performed under contract with the National Aeronautics and Space Administration (NASA). A number of the US-based investigators also benefitted from the support of NASA as well as the National Oceanic and Atmospheric Administration. The views, opinions, and findings contained in this report are those of the author(s) and should not be construed as an official National Oceanic and Atmospheric Administration or US Government position, policy or decision. We would like to acknowledge high-performance computing support from Yellowstone (ark:/85065/d7wd3xhc) provided by NCAR's Computational and Information Systems Laboratory. NCAR is sponsored by the National Science Foundation.This is the final version of the article. It first appeared from Nature Publishing Group via http://dx.doi.org/10.1038/ncomms1026

Editor's Choice - European Society for Vascular Surgery (ESVS) 2020 Clinical Practice Guidelines on the Management of Vascular Graft and Endograft Infections.

peer reviewe