Model risk in the pricing of exotic options

The growth experimented in recent years in both the variety and volume of structured products implies that banks and other financial institutions have become increasingly exposed to model risk. In this article we focus on the model risk associated with the local volatility (LV) model and with the Variance Gamma (VG) model. The results show that the LV model performs better than the VG model in terms of its ability to match the market prices of European options. Nevertheless, both models are subject to significant pricing errors when compared with the stochastic volatility framework.

From efficiency to optimality in proportional reinsurance under group correlation

Based on our recent discovery of closed form formulae of efficient Mean Variance retentions in variable quota-share proportional reinsurance under group correlation, we analyzed the influence of different combination of correlation and safety loading levels on the efficient frontier, both in a single period stylized problem and in a multiperiod one.

Mutation accumulation in Tetrahymena

Background - The rate and fitness effects of mutations are key in understanding the evolution of every species. Traditionally, these parameters are estimated in mutation accumulation experiments where replicate lines are propagated in conditions that allow mutations to randomly accumulate without the purging effect of natural selection. These experiments have been performed with many model organisms but we still lack empirical estimates of the rate and effects of mutation in the protists. Results - We performed a mutation accumulation (MA) experiment in Tetrahymena thermophila, a species that can reproduce sexually and asexually in nature, and measured both the mean decline and variance increase in fitness of 20 lines. The results obtained with T. thermophila were compared with T. pyriformis that is an obligate asexual species. We show that MA lines of T. thermophila go to extinction at a rate of 1.25 clonal extinctions per bottleneck. In contrast, populations of T. pyriformis show a much higher resistance to extinction. Variation in gene copy number is likely to be a key factor in explaining these results, and indeed we show that T. pyriformis has a higher mean copy number per cell than T. thermophila. From fitness measurements during the MA experiment, we infer a rate of mutation to copy number variation of 0.0333 per haploid MAC genome of T. thermophila and a mean effect against copy number variation of 0.16. A strong effect of population size in the rate of fitness decline was also found, consistent with the increased power of natural selection. Conclusions - The rate of clonal extinction measured for T. thermophila is characteristic of a mutational degradation and suggests that this species must undergo sexual reproduction to avoid the deleterious effects detected in the laboratory experiments. We also suggest that an increase in chromosomal copy number associated with the phenotypic assortment of amitotic divisions can provide an alternative mechanism to escape the deleterious effect of random chromosomal copy number variation in species like T. pyriformis that lack the resetting mechanism of sexual reproduction. Our results are relevant to the understanding of cell line longevity and senescence in ciliates.

A comprehensive approach to evaluate nutritional status in Crohn's patients in the era of biologic therapy: a case-control study

Objectives - Evaluate the nutritional status of patients with inactive or mildly active Crohn's disease (CD), and identify possible causes for potential deficiencies. Methods - A total of 78 CD patients and 80 healthy controls were evaluated in respect of nutritional status, dietary intake, and life styles factors. Results - These 73/78 CD patients were on immunomodulating therapies. Mean body mass index (BMI) was lower in patients as compared to controls (P= 0.006) but 32% of CD patients and 33.8% of controls had a BMI > 25, whereas 8% and 23.8% in each group, respectively, were obese (BMI > 30Kg/m(2)). Fat free mass was significantly decreased in both genders (P < 0.05) whereas fat mass was decreased only in males (P= 0.01). Energy intake was significantly lower in CD patients (P < 0.0001) and we observed significantly lower adjusted mean daily intakes of carbohydrates, monounsaturated fat, fiber, calcium, and vitamins C, D, E, and K (P < 0.05). 29% of patients had excluded grains from their usual diet, 28% milk, 18% vegetables, and 11% fruits. Milk exclusion resulted in a significantly lower consumption of calcium and vitamin K (P < 0.001) and the exclusion of vegetables was associated to a lower consumption of vitamins C and E (P < 0.05). Physical activity was significantly lower in CD patients (P= 0.01) and this lack of physical activity was inversely correlated with increased fat mass percentage (r=-0.315, P= 0.001). Conclusions - Results showed that the most prevalent form of malnutrition in CD patients was an excess of body weight, which was concomitant with an inadequate dietary intake, namely micronutrients, clearly related to dietary exclusion of certain foods.

Q192R polymorphism of the paraoxonase-1 gene as a risk factor for obesity in Portuguese women

Introduction - Obesity became a major public health problem as a result of its increasing prevalence worldwide. Paraoxonase-1 (PON1) is an esterase able to protect membranes and lipoproteins from oxidative modifications. At the PON1 gene, several polymorphisms in the promoter and coding regions have been identified. The aims of this study were i) to assess PON1 L55M and Q192R polymorphisms as a risk factor for obesity in women; ii) to compare PON1 activity according to the expression of each allele in L55M and Q192R polymorphisms; iii) to compare PON1 activity between obese and normal-weight women. Materials and methods - We studied 75 healthy (35.9±8.2 years) and 81 obese women (34.3±8.2 years). Inclusion criteria for obese subjects were body mass index ≥30 kg/m2 and absence of inflammatory/neoplasic conditions or kidney/hepatic dysfunction. The two PON1 polymorphisms were assessed by real-time PCR with TaqMan probes. PON1 enzymatic activity was assessed by spectrophotometric methods, using paraoxon as a substrate. Results - No significant differences were found for PON1 activity between normal and obese women. Nevertheless, PON1 activity was greater (P<0.01) for the RR genotype (in Q192R polymorphism) and for the LL genotype (in L55M polymorphism). The frequency of allele R of Q192R polymorphism was significantly higher in obese women (P<0.05) and was associated with an increased risk of obesity (odds ratio=2.0 – 95% confidence interval (1.04; 3.87)). Conclusion - 55M and Q192R polymorphisms influence PON1 activity. The allele R of the Q192R polymorphism is associated with an increased risk for development of obesity among Portuguese Caucasian premenopausal women.

2D PCA-Based localization for mobile robots in unstructured environments

In this paper a new PCA-based positioning sensor and localization system for mobile robots to operate in unstructured environments (e. g. industry, services, domestic ...) is proposed and experimentally validated. The inexpensive positioning system resorts to principal component analysis (PCA) of images acquired by a video camera installed onboard, looking upwards to the ceiling. This solution has the advantage of avoiding the need of selecting and extracting features. The principal components of the acquired images are compared with previously registered images, stored in a reduced onboard image database, and the position measured is fused with odometry data. The optimal estimates of position and slippage are provided by Kalman filters, with global stable error dynamics. The experimental validation reported in this work focuses on the results of a set of experiments carried out in a real environment, where the robot travels along a lawn-mower trajectory. A small position error estimate with bounded co-variance was always observed, for arbitrarily long experiments, and slippage was estimated accurately in real time.

Study of the interactions in a three-way crossed classification model

Crossed classification models are applied in many investigations taking in consideration the existence of interaction between all factors or, in alternative, excluding all interactions, and in this case only the effects and the error term are considered. In this work we use commutative Jordan algebras in the study of the algebraic structure of these designs and we use them to obtain similar designs where only some of the interactions are considered. We finish presenting the expressions of the variance componentes estimators.

A novel colorimetric assay of beta-D-glucans in basidiomycete strains by alcian blue dye in a 96-well microtiter plate

Basidiomycete strains synthesize several types of beta-D-glucans, which play a major role in the medicinal properties of mushrooms. Therefore, the specific quantification of these beta-D-glucans in mushroom strains is of great biochemical importance. Because published assay methods for these beta-D-glucans present some disadvantages, a novel colorimetric assay method for beta-D-glucan with alcian blue dye was developed. The complex formation was detected by following the decrease in absorbance in the range of 620 nm and by hypsochromic shift from 620 to 606 nm (similar to 14 nm) in UV-Vis spectrophotometer. Analysis of variance was used for optimization of the slope of the calibration curve by using the assay mixture containing 0.017% (w/v) alcian blue in 2% (v/v) acetic acid at pH 3.0. The high-throughput colorimetric assay method on microtiter plates was used for quantification of beta-D-glucans in the range of 0-0.8 mu g, with a slope of 44.15 x 10(-2) and a limit of detection of 0.017 mu g/well. Recovery experiments were carried out by using a sample of Hericium erinaceus, which exhibited a recovery of 95.8% for beta-1,3-D-glucan. The present assay method exhibited a 10-fold higher sensitivity and a 59-fold lower limit of detection compared with the published method with congo red beta-D-glucans of several mushrooms strains were isolated from fruiting bodies and mycelia, and they were quantified by this assay method. This assay method is fast, specific, simple, and it can be used to quantify beta-D-glucans from other biological sources. (C) 2015 American Institute of Chemical Engineers