Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.

Intravoxel incoherent motion diffusion-weighted imaging in the liver: comparison of mono-, bi- and tri-exponential modelling at 3.0-T.

PURPOSE: To determine whether a mono-, bi- or tri-exponential model best fits the intravoxel incoherent motion (IVIM) diffusion-weighted imaging (DWI) signal of normal livers. MATERIALS AND METHODS: The pilot and validation studies were conducted in 38 and 36 patients with normal livers, respectively. The DWI sequence was performed using single-shot echoplanar imaging with 11 (pilot study) and 16 (validation study) b values. In each study, data from all patients were used to model the IVIM signal of normal liver. Diffusion coefficients (Di ± standard deviations) and their fractions (fi ± standard deviations) were determined from each model. The models were compared using the extra sum-of-squares test and information criteria. RESULTS: The tri-exponential model provided a better fit than both the bi- and mono-exponential models. The tri-exponential IVIM model determined three diffusion compartments: a slow (D1 = 1.35 ± 0.03 × 10(-3) mm(2)/s; f1 = 72.7 ± 0.9 %), a fast (D2 = 26.50 ± 2.49 × 10(-3) mm(2)/s; f2 = 13.7 ± 0.6 %) and a very fast (D3 = 404.00 ± 43.7 × 10(-3) mm(2)/s; f3 = 13.5 ± 0.8 %) diffusion compartment [results from the validation study]. The very fast compartment contributed to the IVIM signal only for b values ≤15 s/mm(2) CONCLUSION: The tri-exponential model provided the best fit for IVIM signal decay in the liver over the 0-800 s/mm(2) range. In IVIM analysis of normal liver, a third very fast (pseudo)diffusion component might be relevant. KEY POINTS: ? For normal liver, tri-exponential IVIM model might be superior to bi-exponential ? A very fast compartment (D = 404.00 ± 43.7 × 10 (-3)  mm (2) /s; f = 13.5 ± 0.8 %) is determined from the tri-exponential model ? The compartment contributes to the IVIM signal only for b ≤ 15 s/mm (2.)

When gas analysis assists with postmortem imaging to diagnose causes of death.

Postmortem imaging consists in the non-invasive examination of bodies using medical imaging techniques. However, gas volume quantification and the interpretation of the gas collection results from cadavers remain difficult. We used whole-body postmortem multi-detector computed tomography (MDCT) followed by a full autopsy or external examination to detect the gaseous volumes in bodies. Gases were sampled from cardiac cavities, and the sample compositions were analyzed by headspace gas chromatography-mass spectrometry/thermal conductivity detection (HS-GC-MS/TCD). Three categories were defined according to the presumed origin of the gas: alteration/putrefaction, high-magnitude vital gas embolism (e.g., from scuba diving accident) and gas embolism of lower magnitude (e.g., following a traumatic injury). Cadaveric alteration gas was diagnosed even if only one gas from among hydrogen, hydrogen sulfide or methane was detected. In alteration cases, the carbon dioxide/nitrogen ratio was often >0.2, except in the case of advanced alteration, when methane presence was the best indicator. In the gas embolism cases (vital or not), hydrogen, hydrogen sulfide and methane were absent. Moreover, with high-magnitude vital gas embolisms, carbon dioxide content was >20%, and the carbon dioxide/nitrogen ratio was >0.2. With gas embolisms of lower magnitude (gas presence consecutive to a traumatic injury), carbon dioxide content was <20% and the carbon dioxide/nitrogen ratio was often <0.2. We found that gas analysis provided useful assistance to the postmortem imaging diagnosis of causes of death. Based on the quantifications of gaseous cardiac samples, reliable indicators were determined to document causes of death. MDCT examination of the body must be performed as quickly as possible, as does gas sampling, to avoid generating any artifactual alteration gases. Because of cardiac gas composition analysis, it is possible to distinguish alteration gases and gas embolisms of different magnitudes.

Diffusion-weighted MR imaging in musculoskeletal diseases: Current concepts.

MR imaging is currently regarded as a pivotal technique for the assessment of a variety of musculoskeletal conditions. Diffusion-weighted MR imaging (DWI) is a relatively recent sequence that provides information on the degree of cellularity of lesions. Apparent diffusion coefficient (ADC) value provides information on the movement of water molecules outside the cells. The literature contains many studies that have evaluated the role of DWI in musculoskeletal diseases. However, to date they yielded conflicting results on the use and the diagnostic capabilities of DWI in the area of musculoskeletal diseases. However, many of them have showed that DWI is a useful technique for the evaluation of the extent of the disease in a subset of musculoskeletal cancers. In terms of tissue characterization, DWI may be an adjunct to the more conventional MR imaging techniques but should be interpreted along with the signal of the lesion as observed on conventional sequences, especially in musculoskeletal cancers. Regarding the monitoring of response to therapy in cancer or inflammatory disease, the use of ADC value may represent a more reliable additional tool but must be compared to the initial ADC value of the lesions along with the knowledge of the actual therapy.

AltitudeOmics : impaired pulmonary gas exchange efficiency and blunted ventilatory acclimatization in humans with patent foramen ovale after 16 days at 5,260 m.

A patent foramen ovale (PFO), present in ∼40% of the general population, is a potential source of right-to-left shunt that can impair pulmonary gas exchange efficiency [i.e., increase the alveolar-to-arterial Po2 difference (A-aDO2)]. Prior studies investigating human acclimatization to high-altitude with A-aDO2 as a key parameter have not investigated differences between subjects with (PFO+) or without a PFO (PFO-). We hypothesized that in PFO+ subjects A-aDO2 would not improve (i.e., decrease) after acclimatization to high altitude compared with PFO- subjects. Twenty-one (11 PFO+) healthy sea-level residents were studied at rest and during cycle ergometer exercise at the highest iso-workload achieved at sea level (SL), after acute transport to 5,260 m (ALT1), and again at 5,260 m after 16 days of high-altitude acclimatization (ALT16). In contrast to PFO- subjects, PFO+ subjects had 1) no improvement in A-aDO2 at rest and during exercise at ALT16 compared with ALT1, 2) no significant increase in resting alveolar ventilation, or alveolar Po2, at ALT16 compared with ALT1, and consequently had 3) an increased arterial Pco2 and decreased arterial Po2 and arterial O2 saturation at rest at ALT16. Furthermore, PFO+ subjects had an increased incidence of acute mountain sickness (AMS) at ALT1 concomitant with significantly lower peripheral O2 saturation (SpO2). These data suggest that PFO+ subjects have increased susceptibility to AMS when not taking prophylactic treatments, that right-to-left shunt through a PFO impairs pulmonary gas exchange efficiency even after acclimatization to high altitude, and that PFO+ subjects have blunted ventilatory acclimatization after 16 days at altitude compared with PFO- subjects.

Use of the dried blood spot sampling process coupled with fast gas chromatography and negative-ion chemical ionization tandem mass spectrometry: application to fluoxetine, norfluoxetine, reboxetine, and paroxetine analysis.

The objective of this work was to combine the advantages of the dried blood spot (DBS) sampling process with the highly sensitive and selective negative-ion chemical ionization tandem mass spectrometry (NICI-MS-MS) to analyze for recent antidepressants including fluoxetine, norfluoxetine, reboxetine, and paroxetine from micro whole blood samples (i.e., 10 microL). Before analysis, DBS samples were punched out, and antidepressants were simultaneously extracted and derivatized in a single step by use of pentafluoropropionic acid anhydride and 0.02% triethylamine in butyl chloride for 30 min at 60 degrees C under ultrasonication. Derivatives were then separated on a gas chromatograph coupled with a triple-quadrupole mass spectrometer operating in negative selected reaction monitoring mode for a total run time of 5 min. To establish the validity of the method, trueness, precision, and selectivity were determined on the basis of the guidelines of the "Société Française des Sciences et des Techniques Pharmaceutiques" (SFSTP). The assay was found to be linear in the concentration ranges 1 to 500 ng mL(-1) for fluoxetine and norfluoxetine and 20 to 500 ng mL(-1) for reboxetine and paroxetine. Despite the small sampling volume, the limit of detection was estimated at 20 pg mL(-1) for all the analytes. The stability of DBS was also evaluated at -20 degrees C, 4 degrees C, 25 degrees C, and 40 degrees C for up to 30 days. Furthermore, the method was successfully applied to a pharmacokinetic investigation performed on a healthy volunteer after oral administration of a single 40-mg dose of fluoxetine. Thus, this validated DBS method combines an extractive-derivative single step with a fast and sensitive GC-NICI-MS-MS technique. Using microliter blood samples, this procedure offers a patient-friendly tool in many biomedical fields such as checking treatment adherence, therapeutic drug monitoring, toxicological analyses, or pharmacokinetic studies.

Structured sparsity for spatially coherent fibre orientation estimation in diffusion MRI.

We propose a novel formulation to solve the problem of intra-voxel reconstruction of the fibre orientation distribution function (FOD) in each voxel of the white matter of the brain from diffusion MRI data. The majority of the state-of-the-art methods in the field perform the reconstruction on a voxel-by-voxel level, promoting sparsity of the orientation distribution. Recent methods have proposed a global denoising of the diffusion data using spatial information prior to reconstruction, while others promote spatial regularisation through an additional empirical prior on the diffusion image at each q-space point. Our approach reconciles voxelwise sparsity and spatial regularisation and defines a spatially structured FOD sparsity prior, where the structure originates from the spatial coherence of the fibre orientation between neighbour voxels. The method is shown, through both simulated and real data, to enable accurate FOD reconstruction from a much lower number of q-space samples than the state of the art, typically 15 samples, even for quite adverse noise conditions.

Intraosseous migration of tendinous calcifications: cortical erosions, subcortical migration and extensive intramedullary diffusion, a SIMS series.

Calcium hydroxyapatite crystal deposition is a common disorder, which sometimes causes acute pain as calcifications dissolve and migrate into adjacent soft tissue. Intraosseous calcium penetration has also been described. We illustrate the appearance of these lesions using a series of 35 cases compiled by members of the French Society of Musculoskeletal Imaging (Société d'Imagerie Musculo-Squelettique, SIMS). The first group in our series (7 cases) involved calcification-related cortical erosions of the humeral and femoral diaphyses, in particular at the pectoralis major and gluteus maximus insertions. A second group (28 cases) involved the presence of calcium material in subcortical areas. The most common site was the greater tubercle of the humerus, accompanying a calcifying tendinopathy of the supraspinatus. In addition, an extensive intramedullary diffusion of calcium deposits was observed in four of these cases, associated with cortical erosion in one case and subcortical lesions in three cases. Cortical erosions and intraosseous migration of calcifications associated with calcific tendinitis may be confused with neoplasm or infection. It is important to recognize atypical presentations of hydroxyapatite deposition to avoid unnecessary investigation or surgery.

Blood monitoring of perfluorocarbon compounds (F-tert-butylcyclohexane, perfluoromethyldecalin and perfluorodecalin) by headspace-gas chromatography-tandem mass spectrometry.

A headspace-gas chromatography-tandem mass spectrometry (HS-GC-MS/MS) method for the trace measurement of perfluorocarbon compounds (PFCs) in blood was developed. Due to oxygen carrying capabilities of PFCs, application to doping and sports misuse is speculated. This study was therefore extended to perform validation methods for F-tert-butylcyclohexane (Oxycyte(®)), perfluoro(methyldecalin) (PFMD) and perfluorodecalin (PFD). The limit of detection of these compounds was established and found to be 1.2µg/mL blood for F-tert-butylcyclohexane, 4.9µg/mL blood for PFMD and 9.6µg/mL blood for PFD. The limit of quantification was assumed to be 12µg/mL blood (F-tert-butylcyclohexane), 48µg/mL blood (PFMD) and 96µg/mL blood (PFD). HS-GC-MS/MS technique allows detection from 1000 to 10,000 times lower than the estimated required dose to ensure a biological effect for the investigated PFCs. Thus, this technique could be used to identify a PFC misuse several hours, maybe days, after the injection or the sporting event. Clinical trials with those compounds are still required to evaluate the validation parameters with the calculated estimations.