Quantile estimation with adaptive importance sampling

We introduce new quantile estimators with adaptive importance sampling. The adaptive estimators are based on weighted samples that are neither independent nor identically distributed. Using a new law of iterated logarithm for martingales, we prove the convergence of the adaptive quantile estimators for general distributions with nonunique quantiles thereby extending the work of Feldman and Tucker [Ann. Math. Statist. 37 (1996) 451--457]. We illustrate the algorithm with an example from credit portfolio risk analysis.Comment: Published in at http://dx.doi.org/10.1214/09-AOS745 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options

Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in discrete time. Our approach is to recursively compute the so-called continuation values. They are defined as regression functions of the cash flow, which would occur over a series of subsequent time periods, if the approximated optimal exercise strategy is applied. We use nonparametric least squares regression estimates to approximate the continuation values from a set of sample paths which we simulate from the underlying stochastic process. The parameters of the regression estimates and the regression problems are chosen in a data-dependent manner. We present results concerning the consistency and rate of convergence of the new algorithm. Finally, we illustrate its performance by pricing high-dimensional Bermudan basket options with strangle-spread payoff based on the average of the underlying assets.Comment: Published in at http://dx.doi.org/10.1214/105051607000000249 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Stability and Change of Personality across the Life Course: The Impact of Age and Major Life Events on Mean-Level and Rank-Order Stability of the Big Five

Does personality change across the entire life course, and are those changes due to intrinsic maturation or major life experiences? This longitudinal study investigated changes in the mean levels and rank order of the Big Five personality traits in a heterogeneous sample of 14,718 Germans across all of adulthood. Latent change and latent moderated regression models provided four main findings: First, age had a complex curvilinear influence on mean levels of personality. Second, the rank-order stability of Emotional Stability, Extraversion, Openness, and Agreeableness all followed an inverted U-shaped function, reaching a peak between the ages of 40 and 60, and decreasing afterwards, whereas Conscientiousness showed a continuously increasing rank-order stability across adulthood. Third, personality predicted the occurrence of several objective major life events (selection effects) and changed in reaction to experiencing these events (socialization effects), suggesting that personality can change due to factors other than intrinsic maturation.. - Fourth, when events were clustered according to their valence, as is commonly done,. - effects of the environment on changes in personality were either overlooked or. - overgeneralized. In sum, our analyses show that personality changes throughout the life. - span, but with more pronounced changes in young and old ages, and that this change is. - partly attributable to social demands and experiences.personality development, Big Five, life events, stability, adulthood

Coherent control of quantum systems as a resource theory

Control at the interface between the classical and the quantum world is fundamental in quantum physics. In particular, how classical control is enhanced by coherence effects is an important question both from a theoretical as well as from a technological point of view. In this work, we establish a resource theory describing this setting and explore relations to the theory of coherence, entanglement and information processing. Specifically, for the coherent control of quantum systems the relevant resources of entanglement and coherence are found to be equivalent and closely related to a measure of discord. The results are then applied to the DQC1 protocol and the precision of the final measurement is expressed in terms of the available resources.Comment: 9 pages, 4 figures, final version. Discussions were improved and some points were clarified. The title was slightly changed to agree with the published versio

The Benefits of Believing in Chance or Fate: External Locus of Control as a Protective Factor for Coping with the Death of a Spouse

The death of a spouse is an extremely stressful life event that consequently causes a large drop in life satisfaction. Reactivity to the loss, however, varies markedly, a phenomenon that is currently not well understood. Because lack of controllability essentially contributes to the stressful nature of this incident, we analyzed whether individual differences in the belief in external control influence the coping process. To examine this issue, widowed individuals (N = 414) from a large-scaled panel study were followed for the 4 years before and after the loss by using a latent growth model. Results showed that belief in external control led to a considerably smaller decline in life satisfaction and higher scores in the year of the loss. Thus, although usually regarded as a risk factor, belief in external control acts as a protective factor for coping with the death of a spouse.Locus of control, life satisfaction, latent growth model, subjective well-being, subjective indicators, family and networks

A “Snip” in Time: Circumcision Revisited

The publication of an Italian study on etiology and interactions of frenulum breve, frenulectomy, and premature ejaculation, and the results of a popular Austrian sex study initiated a survey on this topic, accompanied by collecting a small sample of data in an urban practice environment in Germany. Since frenulectomy, for practical reasons, often leads to a complete removal of the prepuce, circumcision has come to the fore anew. Moreover, under the heading, “Ending a myth: male circumcision is not associated with higher prevalence of erectile dysfunction,” a recent study relating circumcision to sexual dysfunction has been published. In this chapter, an overview of research results as well as of psychological and clinical aspects of circumcision and associated subjects is given. There seem to be advantages of circumcision as to sexual dysfunction and premature ejaculation. Depending on etiopathology, some treatment options may require psychosomatic reasoning

Neuropsychological and brain structural alterations in emerging psychosis

Despite the growing interest in personally tailored interventions in medicine and health care, it is not possible to reach sufficient accuracy in the prediction of psychosis to date. Many factors are associated with transition to psychosis, such as neuropsychological impairments and structural alterations of the brain that have been shown to predate the onset of frank psychosis. However, the different disease trajectories male and female patients' experience may contribute to the mixed picture representing emerging psychosis. The prospective FePsy (Früherkennung von Psychosen) study was a project aiming to improve the early detection and intervention of psychosis through multilevel assessment. The in the following described articles are based on data assessed within the FePsy study. In the first article, structural equation modelling and latent growth curve modelling were used to evaluate verbal learning and memory (VLM) performance between at-risk mental state (ARMS) and first episode psychosis (FEP) patients and healthy controls (HC). In line with our hypothesis, results indicated a worse performance of FEP compared to ARMS and HC and a performance of ARMS intermediate to those two groups. Since these differences were more pronounced in the slope than in the intercept of the learning curve, our results indicated that the verbal learning rate tends to be more impaired than attentional processes in both ARMS and FEP patients. In the second article we investigated whether VLM performance is associated with subcortical brain volumes. A significant negative association between amygdala and pallidum volume and attention span was found in ARMS and FEP patients combined, which however did not withstand correction for multiple testing. Although VLM is among the most impaired cognitive domains in emerging psychosis, the deficits in this domain seem not to necessarily stem from alterations in subcortical structures. In the third article, we investigated whether subcortical brain volumes are dependent on sex. Men presented with larger total brain volume and smaller caudate and hippocampus volumes than women independent of diagnostic group. These analyses confirmed previously described patterns of sexual dimorphism in total brain and caudate volume that are equally present in ARMS and FEP patients as well as HC. The only structure affected by reversed sexual dimorphism was the hippocampus (i.e. women showing higher volumes than men). In conclusion, neuropsychological impairments in terms of VLM and subcortical brain structural alterations are present in emerging psychosis. However, subcortical volumes do not seem to be affected by altered sexual dimorphism and may thus not contribute to an effective prediction modelling of transition to psychosis