Multi-asset Spread Option Pricing and Hedging

We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are extremely fast and accurate. Approximations for important Greeks are also derived in closed form. Our approximation methods enable the accurate pricing of a bulk volume of spread options on a large number of assets in real time, which offers traders a potential edge in a dynamic market environment.multi-asset spread option, closed-form approximation

Multi-asset Spread Option Pricing and Hedging

We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that while the latter method is more accurate than the former, both methods are extremely fast and accurate. Approximations for important Greeks are also derived in closed form. Our approximation methods enable the accurate pricing of a bulk volume of spread options on a large number of assets in real time, which offers traders a potential edge in a dynamic market environment

Genome-wide profiling of gene expression in the epididymis of alpha-chlorohydrin-induced infertile rats using an oligonucleotide microarray

<p>Abstract</p> <p>Background</p> <p>As one of the chlorinated antifertility compounds, alpha-chlorohydrin (ACH) can inhibit glyceraldehyde-3-phosphate dehydrogenase (G3PDH) activity in epididymal sperm and affect sperm energy metabolism, maturation and fertilization, eventually leading to male infertility. Further studies demonstrated that the inhibitory effect of ACH on G3PDH is not only confined to epididymal sperm but also to the epididymis. Moreover, little investigation on gene expression changes in the epididymis after ACH treatment has been conducted. Therefore, gene expression studies may indicate new epididymal targets related to sperm maturation and fertility through the analysis of ACH-treated infertile animals.</p> <p>Methods</p> <p>Rats were treated with ACH for ten consecutive days, and then each male rat copulated with two female rats in proestrus. Then sperm maturation and other fertility parameters were analyzed. Furthermore, we identified epididymal-specific genes that are associated with fertility between control and ACH groups using an Affymetrix Rat 230 2.0 oligo-microarray. Finally, we performed RT-PCR analysis for several differentially expressed genes to validate the alteration in gene expression observed by oligonucleotide microarray.</p> <p>Results</p> <p>Among all the differentially expressed genes, we analyzed and screened the down-regulated genes associated with metabolism processes, which are considered the major targets of ACH action. Simultaneously, the genes that were up-regulated by chlorohydrin were detected. The genes that negatively regulate sperm maturation and fertility include apoptosis and immune-related genes and have not been reported previously. The overall results of PCR analysis for selected genes were consistent with the array data.</p> <p>Conclusions</p> <p>In this study, we have described the genome-wide profiles of gene expression in the epididymides of infertile rats induced by ACH, which could become potential epididymal specific targets for male contraception and infertility treatment.</p

Cardioprotective Effect of Betulinic Acid on Myocardial Ischemia Reperfusion Injury in Rats

Objectives. This study aims to investigate the effect of betulinic acid (BA) on myocardial ischemia reperfusion/injury in an open-chest anesthetized rat model. Methods. The model was induced by 30 minutes left anterior descending occlusion followed by 2 hours reperfusion. There are six groups in our present study: sham operation group, ischemia/reperfusion group, low-dosage BA group, medium-dosage BA group, high-dosage BA group, and fosinopril sodium group. Rats in the latter four groups were administrated with BA (50, 100, and 200 mg/kg, i.g.) or fosinopril sodium (10 mg/kg, i.g.) once a day for 7 days before operation, respectively. Rats in the former two groups were given the same volume of vehicle (0.5% CMC-Na, i.g.). During the operation, cardiac function was continuously monitored. Serum LDH and CK were measured with colorimetric assays. The expression of Bcl-2 and Bax and the apoptosis of cardiomyocytes were investigated with western blot and TUNEL assay, respectively. Results. Pretreatment with BA improved cardiac function and attenuated LDH and CK activities compared with IR group. Further investigation demonstrated that the expression of Bcl-2 and Bax and TUNEL assay was in line with the above results. Conclusion. BA may reduce the release of LDH and CK, prevent cardiomyocytes apoptosis, and eventually alleviate the extent of the myocardial ischemia/reperfusion injury

Podophyllotoxin Extracted from Juniperus sabina

This study aimed to investigate the antifertility effect of Juniperus sabina fruit on male rats and its possible mechanism, and hence it might be developed as a potential nonhormonal male contraceptive. Male rats were intragastrically fed for consecutive 8-week and 4-week recovery with the fruit of J. Sabina, and sperm maturation, serum testosterone level, and histopathology were analyzed. Epididymal epithelial cell culture was prepared for detection of podophyllotoxin activities. Furthermore, cell proliferation, transmission electron microscopy, Annexin V/Propidium iodide, TUNEL, RT-PCR, ELISA, and western blotting were examined. The results showed that rat sperm motility and fertility were remarkably declined after feeding the fruit. Moreover, the fruit targeted the epididymis rather than the testis. After 4-week recovery, more than half of the male rats resumed normal fertility. It was found that podophyllotoxin significantly inhibited epididymal epithelial cell proliferation, promoted cell apoptosis, and increased the mRNA and protein levels of TNF-α and the expression levels of cytochrome c, caspase-8, caspase-9, and caspase-3. Our findings suggest that the fruit of J. sabina could inhibit male rat sperm maturation and fertility. The potential mechanism might be related to podophyllotoxin, inducing epididymal epithelial cell apoptosis through TNF-α and caspase signaling pathway

Effects and mechanisms of auricular electroacupuncture on gastric hypersensitivity in a rodent model of functional dyspepsia

Background Functional dyspepsia (FD) is a common functional gastrointestinal disease, and abdominal pain is one of the main symptoms. The aim of this study was to explore the effects and mechanisms of auricular electro-acupuncture (AEA) on gastric hypersensitivity in a rodent model of FD. Methods Ten-day-old pups were gavaged with 0.2 ml of 0.1% iodoacetamide daily for 6 days. AEA at the “stomach” point with different parameters or sham-EA was performed on 8-week-old animals. Gastric sensitivity to gastric distention was measured under different conditions. Autonomic functions were assessed from the spectral analysis of heart rate variability (HRV) derived from the electrocardiogram. Naloxone was injected intraperitoneally before AEA to explore the opioid mechanism. Gastric emptying was measured at the end of the study. Results 1) Gastric sensitivity to gastric distention was higher in the FD rats. AEA with parameters of 0.1s on, 0.4s off, 100Hz, 0.3ms and 0.4–0.5mA, but not other parameters or sham-EA, decreased gastric hypersensitivity in the FD rats. Naloxone did not block the effect of AEA. 2) Lower vagal activity and higher sympathovagal ratio were noted in the FD rats, compared with the controls. AEA increased vagal activity and improved sympathovagal imbalance. Conclusions AEA ameliorates gastric hypersensitivity in FD rats and this effect may be attributed to the improvement of sympathovagal balance.Yeshttp://www.plosone.org/static/editorial#pee

Real options valuation in energy markets

Real options have been widely applied to analyze investment planning and asset valuation under uncertainty in many industries, especially energy markets. Because of their close analogy to financial options, real options can be valued using the classical financial option pricing theories and their extensions. However, as real options valuation often involves complex payoff structures and operational constraints of the underlying real assets or projects, accurate and flexible methods for solving the valuation problem are essential. This thesis investigates three different approaches to real options valuation and contributes to aspects of modeling realism and computational efficiency. The contributions are illustrated through two important applications of real options in energy markets: natural gas storage and power plant valuation. Because spread options are commonly used in basic real options valuation techniques, the first part of the thesis addresses the problems of spread option pricing and hedging. We develop a new closed-form approximation method for pricing two-asset spread options. Numerical analysis shows that our method is more accurate than existing analytical approximations. Our method is also extremely fast, with computing time more than two orders of magnitude shorter than one-dimensional numerical integration. Closed-form approximations for the Greeks of spread options are also developed. In addition, we analyze the price sensitivities of spread options and provide lower and upper bounds for digital spread options. We then further generalize the above results to multi-asset spread options on an arbitrary number of assets. We provide two new closed-form approximation methods for pricing spread options on a basket of risky assets: the extended Kirk approximation and the second-order boundary approximation. Numerical analysis shows that both methods are extremely fast and accurate, with the latter method more accurate than the former. Closed-form approximations for important Greeks are also derived. Because our approximation methods enable the accurate pricing of a bulk volume of spread options on two or more assets in real time, it offers traders a potential edge in a dynamic market environment. In the third part of this thesis, we propose a market-based valuation framework for valuing natural gas storage facility with realistic operational characteristics. The operational process is modeled as a multi-stage stochastic optimization problem. We develop a Gaussian quadrature scheme to solve for the dynamically optimal spot trading strategy and show that the computational efficiency of this method exceeds existing approaches in about two orders of magnitude. Furthermore, with this flexible quadrature scheme, we propose to value a gas storage based on a novel hybrid trading strategy that successfully incorporates both spot and forward trading, thus improving the storage valuation significantly by accounting for both the inter-month and intra-month operational flexibilities and price volatility. In the fourth part of this work, we develop a continuous-time formulation for power plant valuation in infinite time horizon. We propose a real-option-based model for a power plant to account for the embedded operational flexibility. This model incorporates start-up and shut-down costs as two major operational constraints. Under this continuous valuation model, spark spread is modeled directly as a continuous stochastic process to take account of the long term co-integration relationship between electricity and fuel prices. Instead of discretizing the stochastic process, we preserve continuity of the stochastic spark spread process and work directly with the value function. Closed-form of value function under threshold policy is obtained. The corresponding optimal operational strategy can then be solved. The advantage of this approach is that it reduces computational complexity while incorporates major operation characteristics. It enables fast computation of a power plant value that approximates the real market value and sensitivity analysis of the asset value with respect to the cost parameters of a power plant and the distribution parameters of spark spread.Ph.D.Committee Chair: Deng, Shi-Jie; Committee Member: Dai, Jiangang; Committee Member: Goldsman, David M.; Committee Member: Hackman, Steve; Committee Member: Li, Minqian

Deformable R-CNN for Detection of Electron Dense Deposits in Glomerular Transmission Electron Microscopy Images

Membranous nephropathy (MN) is a common pathological type of nephrotic syndrome. The characteristic of MN is the presence of immune complex deposits containing immunoglobulin G (IgG), called electron-dense deposits (EDD), which can be observed by transmission electron microscopy (TEM). Quantitative analysis of the morphology and location of EDD can provide an essential reference for diagnosing and staging MN. However, accurately identifying and quantifying EDD is challenging due to their different morphologies, sizes, and locations with varying amounts. This paper proposes a two-stage Deformable R-CNN detector that overcomes these challenges, which has two characteristics: 1) The detector employs InternImage as the feature extractor, which extracts different morphological features of EDD using the core operator deformable convolution v3 (DCNv3). 2) The detector utilizes the multi-scale deformable attention model (MSDAM) as the attention mechanism to detect EDD of different sizes and locations effectively. The proposed Deformable R-CNN was tested on the Electron-Dense Deposit Detection for Membranous Nephropathy (EDDD-MN) dataset and outperformed other popular detectors, including two-stage, one-stage, and transformer-based detectors in detection and quantification. It also exhibited excellent performance in TIDE error analysis. Thus, this method would enable precise detection and rapid quantification of EDD, thereby reducing the workload of pathologists and helping them gain a comprehensive understanding of MN

Optimum Design of Square Blank Dimension with Low Energy Consumption and Low Cost for Milling Based on Business Compass Concept

Blank is the foundation for manufacturing enterprise production. The change of blank dimension is the fundamental purpose of product processing, and blank dimension change process dramatically affects the cost and energy consumption of blank production and use process. Therefore, the blank dimension design is of great significance for the sustainable development of enterprises. Based on the management concept of the business compass, combined with the enterprise development plan and production situation, this article established a blank dimension optimization design model, which can design the blank dimension according to enterprise demand. The model took the energy consumption and cost of the blank production and used process as the optimization objectives, and was solved by the gray wolf algorithm. The model was verified by analyzing the machining process of a fixture cavity. By comparison with standard square blank dimensions, the research results showed that the optimized square blank dimension can meet the objective of saving energy and reducing costs, it can also fully coordinate economy and resource consumption