An anticipative Markov modulated market

A Markovian modulation captures the trend in the market and influences the market coefficients accordingly. The different scenarios presented by the market are modeled as the distinct states of a discrete-time Markov chain. In our paper, we assume the existence of such modulation in a market and, as a novelty, we assume that it can be anticipative with respect to the future of the Brownian motion that drives the dynamics of the risky asset. By employing these own techniques of enlargement of filtrations, we solve an optimal portfolio utility problem in both a complete and an incomplete market. Many examples of anticipative Markov chains are presented for which we compute the additional gain of the investor who has a more accurate informatio

A short note on "Anticipative Portfolio Optimization"

In 1996, Pikovsky and Karatzas did one of the earliest studies on portfolio optimization problems in presence of insider information. They were able to successfully show that the knowledge of the stock price at future time is an insider information with associated unbounded value. However, when the insider information only gives an interval containing the future value of the stock price, they couldn't prove that the value of the information is finite. They made a conjecture of this result, still open according to our knowledge, and tried to convince about its validity by showing some numerical approximations. We close this conjecture by giving a proof that indeed the insider information in this case has a finite value.The authors acknowledge financial support from the Spanish Ministry of Education and Science, research project MTM2017-85618-P and MTM2015-72907-EXP

Practical Aspects of Solving Hybrid Bayesian Networks Containing Deterministic Conditionals

This is the author's final draft. Copyright 2015 WileyIn this paper we discuss some practical issues that arise in solv- ing hybrid Bayesian networks that include deterministic conditionals for continuous variables. We show how exact inference can become intractable even for small networks, due to the di culty in handling deterministic conditionals (for continuous variables). We propose some strategies for carrying out the inference task using mixtures of polyno- mials and mixtures of truncated exponentials. Mixtures of polynomials can be de ned on hypercubes or hyper-rhombuses. We compare these two methods. A key strategy is to re-approximate large potentials with potentials consisting of fewer pieces and lower degrees/number of terms. We discuss several methods for re-approximating potentials. We illustrate our methods in a practical application consisting of solv- ing a stochastic PERT network

Calibration of a wide angle stereoscopic system

This paper was published in OPTICS LETTERS and is made available as an electronic reprint with the permission of OSA. The paper can be found at the following URL on the OSA website: http://dx.doi.org/10.1364/OL.36.003064. Systematic or multiple reproduction or distribution to multiple locations via electronic or other means is prohibited and is subject to penalties under law.Inaccuracies in the calibration of a stereoscopic system appear with errors in point correspondences between both images and inexact points localization in each image. Errors increase if the stereoscopic system is composed of wide angle lens cameras. We propose a technique where detected points in both images are corrected before estimating the fundamental matrix and the lens distortion models. Since points are corrected first, errors in point correspondences and point localization are avoided. To correct point location in both images, geometrical and epipolar constraints are imposed in a nonlinear minimization problem. Geometrical constraints define the point localization in relation to its neighbors in the same image, and eipolar constraints represent the location of one point referred to its corresponding point in the other image. © 2011 Optical Society of America.Ricolfe Viala, C.; Sánchez Salmerón, AJ.; Martínez Berti, E. (2011). Calibration of a wide angle stereoscopic system. Optics Letters. 36(16):3064-3067. doi:10.1364/OL.36.003064S306430673616Zhang, Z., Ma, H., Guo, T., Zhang, S., & Chen, J. (2011). Simple, flexible calibration of phase calculation-based three-dimensional imaging system. Optics Letters, 36(7), 1257. doi:10.1364/ol.36.001257Longuet-Higgins, H. C. (1981). A computer algorithm for reconstructing a scene from two projections. Nature, 293(5828), 133-135. doi:10.1038/293133a0Ricolfe-Viala, C., & Sanchez-Salmeron, A.-J. (2010). Lens distortion models evaluation. Applied Optics, 49(30), 5914. doi:10.1364/ao.49.005914Armangué, X., & Salvi, J. (2003). Overall view regarding fundamental matrix estimation. Image and Vision Computing, 21(2), 205-220. doi:10.1016/s0262-8856(02)00154-3Devernay, F., & Faugeras, O. (2001). Straight lines have to be straight. Machine Vision and Applications, 13(1), 14-24. doi:10.1007/pl0001326

Optimal portfolio with insider information on the stochastic interest rate

We consider the optimal portfolio problem where the interest rate is stochastic and the agent has insider information on its value at a finite terminal time. The agent's objective is to optimize the terminal value of herportfolio under a logarithmic utility function. Using techniques of initial enlargement of filtration, we identify the optimal strategy and compute the value of the information. The interest rate is first assumed to be an affine diffusion, then more explicit formulas are computed for the Vasicek interest rate model where the interest rate moves according to an Ornstein-Uhlenbeck process. We show that when the interest rate process is correlated with the price process of the risky asset, the value of the information is infinite, as is usually the case for initial-enlargement-type problems. However, since the agent does not know exactly the correlation factor, this may induce an infinite loss instead of an infinite gain. Finally weakening the information own by the agent, and assuming that she only knows a lower-bound for the terminal value of the interest rate process, we show that the value of the information is finite.The first author acknowledge financial support from the Spanish Ministry of Education and Science, research projects MTM2015– 72907–EXP and MTM2013–42104–P (via FEDER funds)

Phenotypic and Genotypic Antimicrobial Susceptibility Testing of Chlamydia trachomatis Isolates from Patients with Persistent or Clinical Treatment Failure in Spain

Chlamydia trachomatis; Sexually transmitted infection; Treatment failureChlamydia trachomatis; Infecció de transmissió sexual; Fracàs del tractamentChlamydia trachomatis; Infección transmitida sexualmente; Fracaso del tratamientoThe aim of this multicentre project (seven hospitals across the Spanish National Health Service) was to study the phenotypic and genotypic susceptibility of C. trachomatis to the main antimicrobials used (macrolides, doxycycline, and quinolones) in isolates from patients with clinical treatment failure in whom reinfection had been ruled out. During 2018–2019, 73 clinical isolates were selected. Sixty-nine clinical specimens were inoculated onto confluent McCoy cell monolayers for phenotypic susceptibility testing. The minimum inhibitory concentration for azithromycin and doxycycline was defined as the lowest concentration associated with an at least 95% reduction in inclusion-forming units after one passage in the presence of the antibiotic compared to the initial inoculum for each strain (control). Sequencing analysis was performed for the genotypic detection of resistance to macrolides, analysing mutations in the 23S rRNA gene (at positions 2057, 2058, 2059, and 2611), and quinolones, analysing a fragment of the gyrA gene, and searching for the G248T mutation (Ser83->Ile). For tetracyclines, in-house RT-PCR was used to test for the tet(C) gene. The phenotypic susceptibility testing was successful for 10 isolates. All the isolates had minimum inhibitory concentrations for azithromycin ≤ 0.125 mg/L and for doxycycline ≤ 0.064 mg/L and were considered sensitive. Of the 73 strains studied, no mutations were found at positions T2611C or G248T of the gyrA gene. We successfully sequenced 66 isolates. No macrolide resistance-associated mutations were found at positions 2057, 2058, 2059, or T2611C. None of the isolates carried the tet(C) gene. We found no evidence for genomic resistance in this large, clinically relevant dataset.This study was funded by Instituto de Salud Carlos III (ISCIII) via the project “PI17/01886” and co-funded by the European Union

Calibration of a trinocular system formed with wide angle lens cameras

This paper was published in OPTICS EXPRESS and is made available as an electronic reprint with the permission of OSA. The paper can be found at the following URL on the OSA website: http://dx.doi.org/10.1364/OE.20.027691 . Systematic or multiple reproduction or distribution to multiple locations via electronic or other means is prohibited and is subject to penalties under lawTo obtain 3D information of large areas, wide angle lens cameras are used to reduce the number of cameras as much as possible. However, since images are high distorted, errors in point correspondences increase and 3D information could be erroneous. To increase the number of data from images and to improve the 3D information, trinocular sensors are used. In this paper a calibration method for a trinocular sensor formed with wide angle lens cameras is proposed. First pixels locations in the images are corrected using a set of constraints which define the image formation in a trinocular system. When pixels location are corrected, lens distortion and trifocal tensor is computed.This work was partially funded by the Universidad Politecnica de Valencia research funds (PAID 2010-2431 and PAID 10017), Generalitat Valenciana (GV/2011/057) and by Spanish government and the European Community under the project DPI2010-20814-C02-02 (FEDER-CICYT) and DPI2010-20286 (CICYT).Ricolfe Viala, C.; Sánchez Salmerón, AJ.; Valera Fernández, Á. (2012). Calibration of a trinocular system formed with wide angle lens cameras. Optics Express. 20(25):27691-27696. doi:10.1364/OE.20.027691S27691276962025Hartley, R. I. (1997). International Journal of Computer Vision, 22(2), 125-140. doi:10.1023/a:1007936012022Torr, P. H. ., & Zisserman, A. (1997). Robust parameterization and computation of the trifocal tensor. Image and Vision Computing, 15(8), 591-605. doi:10.1016/s0262-8856(97)00010-3Ricolfe-Viala, C., Sanchez-Salmeron, A.-J., & Martinez-Berti, E. (2011). Accurate calibration with highly distorted images. Applied Optics, 51(1), 89. doi:10.1364/ao.51.000089Ricolfe-Viala, C., & Sanchez-Salmeron, A.-J. (2010). Lens distortion models evaluation. Applied Optics, 49(30), 5914. doi:10.1364/ao.49.005914Ahmed, M., & Farag, A. (2005). Nonmetric calibration of camera lens distortion: differential methods and robust estimation. IEEE Transactions on Image Processing, 14(8), 1215-1230. doi:10.1109/tip.2005.846025Devernay, F., & Faugeras, O. (2001). Straight lines have to be straight. Machine Vision and Applications, 13(1), 14-24. doi:10.1007/pl0001326

Experimental investigation on camera calibration for 3D photogrammetric scanning of micro-features for micrometric resolution

[EN] Recently, it has been demonstrated that photogrammetry can be used for the measurement of small objects with micro-features, with good results and lower cost, compared to other established techniques such as interferometry, conoscopic holography, and 3D microscopy. Calibration is a critical step in photogrammetry and the classical pinhole camera model has been tested for magnifications lower than 2×. At higher magnification levels, because of the reduction of the depth of field (DOF), images can lead to calibration data with low reprojection errors. However, this could lead to bad results in the 3D reconstruction. With the aim of verifying the possibility of applying the camera model to magnifications higher than 2×, experiments have been conducted using reflex cameras with 60 mm macro lens, equipped with the combination of three extension tubes, corresponding to 2.06, 2.23, and 2.4 magnification levels, respectively. Experiments consisted of repeating calibration five times for each configuration and testing each calibration model, measuring two artifacts with different geometrical complexity. The calibration results have shown good repeatability of a subset of the internal calibration parameters. Despite the differences in the calibration reprojection error (RE), the quality of the photogrammetric 3D models retrieved was stable and satisfying. The experiment demonstrated the possibilities of the photogrammetric system presented, equipped to very high magnification levels, to retrieve accurate 3D reconstruction of micro-features with uncertainties of few micrometers, comparable with industry s expensive state-of-the-art technologies.Percoco, G.; Guerra, MG.; Sánchez Salmerón, AJ.; Galantucci, LM. (2017). Experimental investigation on camera calibration for 3D photogrammetric scanning of micro-features for micrometric resolution. The International Journal of Advanced Manufacturing Technology. 91(9-12):2935-2947. https://doi.org/10.1007/s00170-016-9949-6S29352947919-12Uhlmann E, Mullany B, Biermann D, Rajurkar KP, Hausotte T, Brinksmeier E (2016) Process chains for high-precision components with micro-scale features. CIRP Ann - Manuf Technol 65:549–572. doi: 10.1016/j.cirp.2016.05.001Savio E, De Chiffre L, Schmitt R (2007) Metrology of freeform shaped parts. CIRP Ann - Manuf Technol 56:810–835. doi: 10.1016/j.cirp.2007.10.008Rodríguez-martín M, Lagüela S, González-aguilera D, Rodríguez-gonzálvez P (2015) Optics & Laser Technology Procedure for quality inspection of welds based on macro-photogrammetric three-dimensional reconstruction;73:54–62Xu Z, Toncich D, Stefani S (1999) Vision-based measurement of three-dimensional geometric workpiece properties. Int J Adv Manuf Technol 15:322–331. doi: 10.1007/s001700050074Galantucci LM, Lavecchia F, Percoco G (2013) Multistack close range photogrammetry for low cost submillimeter metrology. J Comput Inf Sci Eng 13:44501. doi: 10.1115/1.4024973Maté González, M.T., Yravedra, J., González-Aguilera, D., Palomeque-González, J.F., Domínguez-Rodrigo, M. Micro-photogrammetric characterization of cut marks on bones (2015) Journal of Archaeological Science, 62, pp. 128-142. doi: 10.1016/j.jas.2015.08.006Brown DC (1971) Close-range camera calibration. Photogramm Eng 37:855–866 doi:10.1.1.14.6358Tang R, Fritsch D (2013) Correlation analysis of camera self-calibration in close range photogrammetry. Photogramm Rec 28:86–95. doi: 10.1111/phor.12009Agisoft LLC (2011) Agisoft PhotoScan User Manual :37.Jcgm JCFGIM (2008) Evaluation of measurement data—guide to the expression of uncertainty in measurement- annex B "general metrological terms"- B.2.14. Int Organ Stand Geneva ISBN 50:134. doi: 10.1373/clinchem.2003.030528Yanagi, H., Chikatsu, H. Performance evaluation of macro lens in digital close range photogrammetry (2009) Proceedings of SPIE - The International Society for Optical Engineering, 7447, art. no. 74470J, doi: 10.1117/12.825817Galantucci LM, Pesce M, Lavecchia F (2015) A stereo photogrammetry scanning methodology, for precise and accurate 3D digitization of small parts with sub-millimeter sized features. CIRP Ann - Manuf Technol 64:507–510. doi: 10.1016/j.cirp.2015.04.016Galantucci LM, Pesce M, Lavecchia F (2015) A powerful scanning methodology for 3D measurements of small parts with complex surfaces and sub millimeter-sized features, based on close range photogrammetry. Precis Eng. doi: 10.1016/j.precisioneng.2015.07.010Percoco G, Sánchez Salmerón AJ (2015) Photogrammetric measurement of 3D freeform millimetre-sized objects with micro features: an experimental validation of the close-range camera calibration model for narrow angles of view. Meas Sci Technol 26:95203. doi: 10.1088/0957-0233/26/9/095203Gallo A, Muzzupappa M, Bruno F (2014) 3D reconstruction of small sized objects from a sequence of multi-focused images. J Cult Herit 15:173–182. doi: 10.1016/j.culher.2013.04.009Stamatopoulos C, Fraser CS, Cronk S (2010) On the self-calibration of long focal length lenses. Int Arch Photogramm Remote Sens Spat Inf Sci Newcastle upon Tyne, UK 2010 XXXVIII:560–564Atkinson KB (1996) Close range photogrammetry and machine vision. Whittles PublishingLuhmann T, Fraser C, Maas HG (2016) Sensor modelling and camera calibration for close-range photogrammetry. ISPRS J Photogramm Remote Sens 115:37–46. doi: 10.1016/j.isprsjprs.2015.10.006Tsai RY (1986) An efficient and accurate camera calibration technique for 3D machine vision. Proc IEEE Conf Comput Vis Pattern Recognition 1986Ricolfe-Viala C, Sanchez-Salmeron A-J (2011) Camera calibration under optimal conditions. Opt Express 19:10769–10775. doi: 10.1364/OE.19.010769Wang L, Wang W, Shen C, Duan F (2016) A convex relaxation optimization algorithm for multi-camera calibration with 1D objects. NeurocomputingRicolfe-Viala C, Sanchez-Salmeron A. Lens distortion models evaluation. Appl Opt 2010;49:5914–5928.Percoco G, Lavecchia F, Salmerón AJS (2015) Preliminary study on the 3D digitization of millimeter scale products by means of photogrammetry. Procedia CIRP 33:257–262. doi: 10.1016/j.procir.2015.06.046Bradski G (2000) The OpenCV Library. Dr Dobb’s J Softw ToolsRicolfe-Viala C, Sanchez-Salmeron A-J (2011) Optimal conditions for camera calibration using a planar template. 2011 18th IEEE. Int Conf Image Process, IEEE 2011:853–856. doi: 10.1109/ICIP.2011.6116691Lowe DG (1999) Object recognition from local scale-invariant features. Proc Seventh IEEE Int Conf Comput Vis 2:1150–1157. doi: 10.1109/ICCV.1999.790410Triggs B, Mclauchlan P, Hartley R, Fitzgibbon A, Triggs B, Mclauchlan P, et al. (2010) Bundle adjustment—a modern synthesis to cite this version: bundle adjustment—a modern synthesisCignoni P, Callieri M, Corsini M, Dellepiane M, Ganovelli F, Ranzuglia G (2008) Meshlab: an open-source mesh processing tool. Eurographics Ital Chapter Conf 2008:129–136Besl P, McKay N (1992) A method for registration of 3-D shapes. IEEE Trans Pattern Anal Mach Intell 14:239–256. doi: 10.1109/34.12179

Tissue engineered scaffolds for mimetic autografts

Introduction: Despite its regenerative capacity, bone healing can be compromised, leading to delayed fracture regeneration and nonunion. Due to the scarcity of bone tissue that can be used as autograft, novel tissue engineering strategies arise as a promising solution by using biocompatible materials. Methods: Our objective is the development of engineered autografts capable of efficiently treat fracture nonunion. For this purpose, we designed polycaprolactone (PCL) autografts surrounded by a porous membrane mimicking periosteum. To assess their regenerative capacity, these scaffolds were tested in critical size femur defect for ten weeks carrying out μCT and histological analysis. Additionally, we are focusing on the generation of PCL biocomposites, such as poly ethyl-acrylate (PEA) covered PCL membranes which can enhance morphogen functionalization, reducing the effective BMP dose. Results: At the mCT level, structural mimetic PCL scaffolds, showed no significant difference in bone healing (Empty group, 11.47±4.93 mm3; MA, 14.95±3.09 mm3, p=0.1711). Histological analysis demonstrates that MEW PCL mimicking periosteum enhances bone growth, but insufficient for successful healing. However, once functionalized with PEA and BMP-2, these implants showed highly improved regeneration (CTL group, 11,47±4,93 mm3; BMP-2 group, 49,24±13,20 mm3, p = 0.0001). Figure 1. These implants were loaded with BMP-2 solutions previously studied in vitro to estimate morphogen dose, which resulted in 55.64±14.83 ng (n=6). Conclusions and discussion: In conclusion, PEA functionalized mimetic autografts show an important increase in bone healing, enhancing BMP-2 effects, which provide representative regeneration with a 100 folds lower dose than typically described in literature