Conditional sampling for barrier option pricing under the LT method

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance reduction is achieved. We extend the method to allow pricing knock-in barrier options and introduce a root-finding method to obtain a further variance reduction. The effectiveness of the new method is supported by numerical results

Program for computing partial pressures from residual gas analyzer data

A computer program for determining the partial pressures of various gases from residual-gas-analyzer data is given. The analysis of the ion currents of 18 m/e spectrometer peaks allows the determination of 12 gases simultaneously. Comparison is made to ion-gage readings along with certain other control information. The output data are presented in both tabular and graphical form

Modelling the spread of American foulbrood in honeybees

We investigate the spread of American foulbrood (AFB), a disease caused by the bacterium Paenibacillus larvae, that affects bees and can be extremely damaging to beehives. Our dataset comes from an inspection period carried out during an AFB epidemic of honeybee colonies on the island of Jersey during the summer of 2010. The data include the number of hives of honeybees, location and owner of honeybee apiaries across the island. We use a spatial SIR model with an underlying owner network to simulate the epidemic and characterize the epidemic using a Markov chain Monte Carlo (MCMC) scheme to determine model parameters and infection times (including undetected ‘occult’ infections). Likely methods of infection spread can be inferred from the analysis, with both distance- and owner-based transmissions being found to contribute to the spread of AFB. The results of the MCMC are corroborated by simulating the epidemic using a stochastic SIR model, resulting in aggregate levels of infection that are comparable to the data. We use this stochastic SIR model to simulate the impact of different control strategies on controlling the epidemic. It is found that earlier inspections result in smaller epidemics and a higher likelihood of AFB extinction

Extreme alpha-clustering in the 18O nucleus

The structure of the 18O nucleus at excitation energies above the alpha decay threshold was studied using 14C+alpha resonance elastic scattering. A number of states with large alpha reduced widths have been observed, indicating that the alpha-cluster degree of freedom plays an important role in this N not equal Z nucleus. However, the alpha-cluster structure of this nucleus is very different from the relatively simple pattern of strong alpha-cluster quasi-rotational bands in the neighboring 16O and 20Ne nuclei. A 0+ state with an alpha reduced width exceeding the single particle limit was identified at an excitation energy of 9.9+/-0.3 MeV. We discuss evidence that states of this kind are common in light nuclei and give possible explanations of this feature.Comment: 4 pages, 2 figures, 1 table. Resubmission with minor changes for clarity, including removal of one figur

Effect of interleukin-6 receptor blockade on surrogates of vascular risk in rheumatoid arthritis: MEASURE, a randomised, placebo-controlled study

Objectives The interleukin-6 receptor (IL-6R) blocker tocilizumab (TCZ) reduces inflammatory disease activity in rheumatoid arthritis (RA) but elevates lipid concentrations in some patients. We aimed to characterise the impact of IL-6R inhibition on established and novel risk factors in active RA. Methods Randomised, multicentre, two-part, phase III trial (24-week double-blind, 80-week open-label), MEASURE, evaluated lipid and lipoprotein levels, high-density lipoprotein (HDL) particle composition, markers of coagulation, thrombosis and vascular function by pulse wave velocity (PWV) in 132 patients with RA who received TCZ or placebo. Results Median total-cholesterol, low-density lipoprotein-cholesterol (LDL-C) and triglyceride levels increased in TCZ versus placebo recipients by week 12 (12.6% vs 1.7%, 28.1% vs 2.2%, 10.6% vs −1.9%, respectively; all p&#60;0.01). There were no significant differences in mean small LDL, mean oxidised LDL or total HDL-C concentrations. However, HDL-associated serum amyloid A content decreased in TCZ recipients. TCZ also induced reductions (&#60;30%) in secretory phospholipase A2-IIA, lipoprotein(a), fibrinogen and D-dimers and elevation of paraoxonase (all p&#60;0.0001 vs placebo). The ApoB/ApoA1 ratio remained stable over time in both groups. PWV decreases were greater with placebo than TCZ at 12 weeks (adjusted mean difference 0.79 m/s (95% CI 0.22 to 1.35; p=0.0067)). Conclusions These data provide the first detailed evidence for the modulation of lipoprotein particles and other surrogates of vascular risk with IL-6R inhibition. When compared with placebo, TCZ induced elevations in LDL-C but altered HDL particles towards an anti-inflammatory composition and favourably modified most, but not all, measured vascular risk surrogates. The net effect of such changes for cardiovascular risk requires determination.</p