Numerical methods for the pricing of Swing options: a stochastic control approach

International audienceIn the natural gas market, many derivative contracts have a large degree of flexibility. These are known as Swing or Take-Or-Pay options. They allow their owner to purchase gas daily, at a fixed price and according to a volume of their choice. Daily, monthly and/or annual constraints on the purchased volume are usually incorporated. Thus, the valuation of such contracts is related to a stochastic control problem, which we solve in this paper using new numerical methods. Firstly, we extend the Longstaff–Schwarz methodology (originally used for Bermuda options) to our case. Secondly, we propose two efficient parameterizations of the gas consumption, one is based on neural networks and the other on finite elements. It allows us to derive a local optimal consumption law using a stochastic gradient ascent. Numerical experiments illustrate the efficiency of these approaches. Furthermore, we show that the optimal purchase is of bang-bang type

Empreintes de l'Homme: Musée de Lodève

National audienceThe catalogue for the permanent exhibition at Musée de Lodève (Hérault, France) presents six hundred archaeological objects from the Languedoc (South of France). Emblematic of the Palaeolithic and Neolithic periods, these vases, flint tools, bones and copper objects bear witness to an activity (agricultural, domestic, funerary, symbolic) or a skill, but above all they tell stories. With over three hundred illustrations showing not only the objects themselves but also the sites from which they came, animated reconstructions of the life of human societies of the past, and contributions from numerous archaeologists on current research, this book offers an accessible overview of regional prehistory.Le catalogue de l'exposition permanente du musée de Lodève présente six cents objets archéologiques du Languedoc. Emblématiques du Paléolithique et du Néolithique, ces vases, outils en silex, ossements, objets en cuivre témoignent d'une activité (agricole, domestique, funéraire, symbolique) ou d'un savoir-faire, mais surtout, ils racontent des histoires. Avec plus de trois cents illustrations montrant non seulement les objets mais aussi leurs sites de provenance, des reconstitutions animées de la vie des sociétés humaines du passé, et réunissant des contributions de nombreux archéologues sur l'actualité de la recherche, cet ouvrage offre une synthèse accessible de la Préhistoire régionale

Clinical and laboratory characteristics of symptomatic healthcare workers with suspected COVID-19: a prospective cohort study

International audienceA comprehensive clinical and microbiological assessments of COVID-19 in front-line healthcare workers (HCWs) is needed. Between April 10th and May 28th, 2020, 319 HCWs with acute illness were reviewed. In addition to SARS-CoV-2 RT-PCR screening, a multiplex molecular panel was used for testing other respiratory pathogens. For SARS-CoV-2 positive HCWs, the normalized viral load, viral culture, and virus neutralization assays were performed weekly. For SARS-CoV-2 negative HCWs, SARS-CoV-2 serological testing was performed one month after inclusion. Among the 319 HCWs included, 67 (21.0%) were tested positive for SARS-CoV-2; 65/67 (97.0%) developed mild form of COVID-19. Other respiratory pathogens were found in 6/66 (9.1%) SARS-CoV-2 positive and 47/241 (19.5%) SARS-Cov-2 negative HCWs ( p = 0.07). The proportion of HCWs with a viral load > 5.0 log 10 cp/mL (Ct value  37). More than 90% of cultivable virus had a viral load > 4.5 log 10 cp/mL (Ct < 26) and were collected within 10 days after symptom onset. Among negative HCWs, 6/190 (3.2%) seroconverted. Our data suggest that the determination of viral load can be used for appreciating the infectiousness of infected HCWs. These data could be helpful for facilitating their return to work

Assessment of serological techniques for screening patients for COVID-19 (COVID-SER): a prospective, multicentric study

Introduction The COVID-19 pandemic caused by SARS-CoV-2 threatens global public health, and there is an urgent public health need to assess acquired immunity to SARS-CoV-2. Serological tests might provide results that can be complementary to or confirm suspected COVID-19 cases and reveal previous infection. The performance of serological assays (sensitivity and specificity) has to be evaluated before their use in the general population. The neutralisation capacity of the produced antibodies also has to be evaluated.Methods and analysis We set up a prospective, multicentric clinical study to evaluate the performance of serological kits among a population of healthcare workers presenting mild symptoms suggestive of SARS-CoV-2 infection. Four hundred symptomatic healthcare workers will be included in the COVID-SER study. The values obtained from a control cohort included during the prepandemic time will be used as reference. A workflow was set up to study serological response to SARS-CoV-2 infection and to evaluate antibody neutralisation capacity in patients with a confirmed SARS-CoV-2 infection. The sensitivity and specificity of the tests will be assessed using molecular detection of the virus as a reference. The measurement of IgM and IgG antibodies will be performed once per week for 6 consecutive weeks and then at 6, 12, 18, 24 and 36 months after the diagnosis. The kinetics of IgM and IgG will determine the optimal period to perform serological testing. The proportion of false negative PCR tests in symptomatic subjects will be determined on the basis of subsequent seroconversions.Ethics and dissemination Ethical approval has been obtained from the national review board for biomedical research in April 2020 (Comité de Protection des Personnes Sud Méditerranée I, Marseille, France) (ID RCB 2020-A00932-37). Results will be disseminated through presentations at scientific meetings and publications in peer-reviewed journals.Trial registration number NCT04341142