Why do financial markets asymmetrically smile? A simple formula in the multi-factor Heston model

A simple approach to determining the Gaussian kernel that constitutes the backbone of the multi-factor Heston model is proposed based on a suitable expansion in powers of volatilities of volatilities. This analysis provides Black-Scholes-like formulas for pricing European vanilla options, allowing for accurate approximations of the option prices under the multi-factor Heston model up to volatilities of volatilities on the order of 50%. The analysis also leads to a simple formula for the implied volatility showing that changes in the convexity of the volatility smile are due only to price skewness, and an easy formula to reproduce volatility indices via the realized volatility. Interestingly, the variance of the Gaussian kernel is equal to the variance of the continuously compounded return in the case of the Heston model. The empirical analyses presented assess the potential of our approach to capture market distortions while adequately forecasting the dynamics of the VIX index

Human-technology integration with industrial conversational agents: A conceptual architecture and a taxonomy for manufacturing

Conversational agents are systems with great potential to enhance human-computer interaction in industrial settings. Although the number of applications of conversational agents in many fields is growing, there is no shared view of the elements to design and implement for chatbots in the industrial field. The paper presents the combination of many research contributions into an integrated conceptual architecture, for developing industrial conversational agents using Nickerson's methodology. The conceptual architecture consists of five core modules; every module consists of specific elements and approaches. Furthermore, the paper defines a taxonomy from the study of empirical applications of manufacturing conversational agents. Indeed, some applications of chatbots in manufacturing are available but those have never been collected in single research. The paper fills this gap by analyzing the empirical cases and presenting a qualitative analysis, with verification of the proposed taxonomy. The contribution of the article is mainly to illustrate the elements needed for the development of a conversational agent in manufacturing: researchers and practitioners can use the proposed conceptual architecture and taxonomy to more easily investigate, define, and develop all the elements for chatbot implementation

Undocumented Migrants and their Everyday Lives

This open access monograph provides an overview of the everyday lives of undocumented migrants, thereby focusing on housing, employment, social networks, healthcare, migration trajectories as well as their use of the internet and social media. Although the book’s empirical focus is Finland, the themes connect the latter to broader geographical scales, reaching from global migration issues to the EU asylum policies, including in the post-2015 situations and during the COVID-19 pandemic, as well as from national, political, and societal issues regarding undocumented migrants to the local challenges, opportunities, and practices in municipalities and communities. The book investigates how one becomes an undocumented migrant, sometimes by failing the asylum process. The book also discusses research ethics and provides practical guidelines and reflects on how to conduct quantitative, qualitative, and mixed methods research about undocumented migrants. Finally, the book addresses emerging research topics regarding undocumented migrants. Written in an accessible and engaging style the book is an interesting read for students, scholars, policymakers, and practitioners

Thermally-induced lactosylation of whey proteins: Identification and synthesis of lactosylated β-lactoglobulin epitope

The high temperatures used in the production of milk may induce modifications in proteins structure. Due to occurrence of the Maillard reaction, lactose binds lysine residues in proteins, affecting the nutritional value. Milk is also an important source of allergenic proteins (i.e., caseins, β-lactoglobulin and α-lactalbumin). Thus, this modification may also affect the allergenicity of these proteins. Focusing on milk whey proteins, a screening on different Ultra High Temperatures (UHT) and pasteurized milk samples was performed to identify lactosylation sites, in particular in protein known epitopes, and to verify the correlation between lactosylation and the harshness of the treatment. Whey proteins were extracted from milk samples after caseins precipitations at pH 4.6 and, after chymotryptic and tryptic in solution digestion, peptides were analysed by UPLC-MS and LTQ-Orbitrap. Results show the presence of lactosylated lysine residues in several known epitopes. Then, a β-lactoglobulin epitope was selected and synthesized by solid phase synthesis followed by in solution lactosylation, obtaining high reaction yields and purities. The synthesis of lactosylated allergenic epitopes, described here for the first time, is a useful tool for further studies on the technological impacts on food allergenicity

Assays of the Metabolic Viability of Single Giant Mitochondria. Experiments with Intact and Impaled Mitochondria

Single giant mitochondria isolated from mice fed cuprizone were assayed for their metabolic viability. Two tests were devised. One test optically detected the accumulation of calcium phosphate within the mitochondria under massive loading conditions (including the presence of succinate and ATP). The accumulation corresponds to a test of energy coupling from either electron transport or the hydrolysis of ATP since it is blocked by either antimycin A or oligomycin. The other assay tested for the production of ATP from ADP and Pi, using myofibrils. Myofibrils prepared from glycerinated rabbit psoas muscle contract only in the presence of ATP and not in the presence of ADP. Myofibrillar contraction is unaffected by the presence of antimycin A or oligomycin. However, myofibrils in the presence of mitochondria that are phosphorylating ADP to ATP do contract. This contraction is blocked by antimycin A and/or oligomycin. Hence, the ATP which causes myofibrillar contraction is produced by oxidative phosphorylation. At low mitochondrial concentration, only the myofibrils in close proximity with mitochondria contract in the presence of ADP. Therefore the assay can be used to test the viability of individual mitochondria. Individual giant mitochondria were found to be viable, using both of these assays. Comparable results were obtained in mitochondria impaled with microelectrodes. The potentials and resistances were unaffected by concomitant calcium phosphate accumulation or oxidative phosphorylation

Human Attention Assessment Using A Machine Learning Approach with GAN-based Data Augmentation Technique Trained Using a Custom Dataset

Human–robot interactions require the ability of the system to determine if the user is paying attention. However, to train such systems, massive amounts of data are required. In this study, we addressed the issue of data scarcity by constructing a large dataset (containing ~120,000 photographs) for the attention detection task. Then, by using this dataset, we established a powerful baseline system. In addition, we extended the proposed system by adding an auxiliary face detection module and introducing a unique GAN-based data augmentation technique. Experimental results revealed that the proposed system yields superior performance compared to baseline models and achieves an accuracy of 88% on the test set. Finally, we created a web application for testing the proposed model in real time

Relative impact of diagnosis and clinical stage on response to electroconvulsive therapy: a retrospective cohort

OBJECTIVES: Electroconvulsive therapy (ECT) is commonly indicated for refractory psychiatric disorders. However, little research has compared response across diagnoses. Here, we aimed to evaluate the relative impact of diagnosis and clinical staging as response predictors in a cross-diagnostic sample. METHODS: In a retrospective cohort of adult inpatients (n=287) who underwent at least six sessions of ECT, we investigated predictors of complete response (a clinical global impression of 1) to ECT. We use adjusted regression models to estimate the impact of clinical diagnosis and staging on complete response and dominance analysis to assess the relative importance of these predictors. RESULTS: Those for whom a depressive episode was a primary indication for treatment were the most likely to have complete improvement, while those with psychosis were the least likely; clinical stage had a significant influence on outcome in all diagnoses. A diagnosis of psychosis was the strongest predictor of non-response. CONCLUSIONS: A diagnosis of psychosis (mainly schizophrenia) was the strongest predictor of non-response. We also found that clinical staging can aggregate information on ECT response that is independent of clinical diagnosis

New Threats for Old Manufacturing Problems: Secure IoT-Enabled Monitoring of Legacy Production Machinery

The digitization of manufacturing through the introduction of Industrie 4.0 technologies creates additional business opportunities and technical challenges. The integration of such technologies on legacy production machinery can upgrade them to become part of the digital and smart manufacturing environment. A typical example is that of industrial monitoring and maintenance, which can benefit from internet of things (IoT) solutions. This paper presents the development of an-IoT-enabled monitoring solution for machine tools as part of a remote maintenance approach. While the technical challenges pertaining to the development and integration of such solutions in a manufacturing environment have been the subject of relevant research in the literature, the corresponding new security challenges arising from the introduction of such technologies have not received equal attention. Failure to adequately handle such issues is a key barrier to the adoption of such solutions by industry. This paper aims to assess and classify the security aspects of integrating IoT technology with monitoring systems in manufacturing environments and propose a systematic view of relevant vulnerabilities and threats by taking an IoT architecture point of view. Our analysis has led to proposing a novel modular approach for secure IoT-enabled monitoring for legacy production machinery. The introduced approach is implemented on a case study of machine tool monitoring, highlighting key findings and issues for further research