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.

Sensitivity analysis, dominant factors, and robustness of the ECETOC TRA v3, Stoffenmanager 4.5, and ART 1.5 occupational exposure models

Occupational exposure modeling is widely used in the context of the E.U. regulation on the registration, evaluation, authorization, and restriction of chemicals (REACH). First tier tools, such as European Centre for Ecotoxicology and TOxicology of Chemicals (ECETOC) targeted risk assessment (TRA) or Stoffenmanager, are used to screen a wide range of substances. Those of concern are investigated further using second tier tools, e.g., Advanced REACH Tool (ART). Local sensitivity analysis (SA) methods are used here to determine dominant factors for three models commonly used within the REACH framework: ECETOC TRA v3, Stoffenmanager 4.5, and ART 1.5. Based on the results of the SA, the robustness of the models is assessed. For ECETOC, the process category (PROC) is the most important factor. A failure to identify the correct PROC has severe consequences for the exposure estimate. Stoffenmanager is the most balanced model and decision making uncertainties in one modifying factor are less severe in Stoffenmanager. ART requires a careful evaluation of the decisions in the source compartment since it constitutes ∼75% of the total exposure range, which corresponds to an exposure estimate of 20-22 orders of magnitude. Our results indicate that there is a trade off between accuracy and precision of the models. Previous studies suggested that ART may lead to more accurate results in well-documented exposure situations. However, the choice of the adequate model should ultimately be determined by the quality of the available exposure data: if the practitioner is uncertain concerning two or more decisions in the entry parameters, Stoffenmanager may be more robust than ART.

Establishment and characterization of models of chemotherapy resistance in colorectal cancer: Towards a predictive signature of chemoresistance.

Current standard treatments for metastatic colorectal cancer (CRC) are based on combination regimens with one of the two chemotherapeutic drugs, irinotecan or oxaliplatin. However, drug resistance frequently limits the clinical efficacy of these therapies. In order to gain new insights into mechanisms associated with chemoresistance, and departing from three distinct CRC cell models, we generated a panel of human colorectal cancer cell lines with acquired resistance to either oxaliplatin or irinotecan. We characterized the resistant cell line variants with regards to their drug resistance profile and transcriptome, and matched our results with datasets generated from relevant clinical material to derive putative resistance biomarkers. We found that the chemoresistant cell line variants had distinctive irinotecan- or oxaliplatin-specific resistance profiles, with non-reciprocal cross-resistance. Furthermore, we could identify several new, as well as some previously described, drug resistance-associated genes for each resistant cell line variant. Each chemoresistant cell line variant acquired a unique set of changes that may represent distinct functional subtypes of chemotherapy resistance. In addition, and given the potential implications for selection of subsequent treatment, we also performed an exploratory analysis, in relevant patient cohorts, of the predictive value of each of the specific genes identified in our cellular models.

Examining the virulence of Candida albicans transcription factor mutants using Galleria mellonella and mouse infection models.

The aim of the present study was to identify Candida albicans transcription factors (TFs) involved in virulence. Although mice are considered the gold-standard model to study fungal virulence, mini-host infection models have been increasingly used. Here, barcoded TF mutants were first screened in mice by pools of strains and fungal burdens (FBs) quantified in kidneys. Mutants of unannotated genes which generated a kidney FB significantly different from that of wild-type were selected and individually examined in Galleria mellonella. In addition, mutants that could not be detected in mice were also tested in G. mellonella. Only 25% of these mutants displayed matching phenotypes in both hosts, highlighting a significant discrepancy between the two models. To address the basis of this difference (pool or host effects), a set of 19 mutants tested in G. mellonella were also injected individually into mice. Matching FB phenotypes were observed in 50% of the cases, highlighting the bias due to host effects. In contrast, 33.4% concordance was observed between pool and single strain infections in mice, thereby highlighting the bias introduced by the "pool effect." After filtering the results obtained from the two infection models, mutants for MBF1 and ZCF6 were selected. Independent marker-free mutants were subsequently tested in both hosts to validate previous results. The MBF1 mutant showed impaired infection in both models, while the ZCF6 mutant was only significant in mice infections. The two mutants showed no obvious in vitro phenotypes compared with the wild-type, indicating that these genes might be specifically involved in in vivo adapt.

Commentary on "The Cognitive-Emotional Brain: From Interactions to Integration" by Luiz Pessoa - "On theory integration: Toward developing affective components within cognitive architectures"

In The Cognitive-Emotional Brain, Pessoa (2013) suggests that cognition and emotion should not be considered separately. We agree with this and argue that cognitive architectures can provide steady ground for this kind of theory integration and for investigating interactions among underlying cognitive processes. We briefly explore how affective components can be implemented and how neuroimaging measures can help validate models and influence theory development.

Evolutionary Games in Networked Populations: Models and Experiments

Cooperation and coordination are desirable behaviors that are fundamental for the harmonious development of society. People need to rely on cooperation with other individuals in many aspects of everyday life, such as teamwork and economic exchange in anonymous markets. However, cooperation may easily fall prey to exploitation by selfish individuals who only care about short- term gain. For cooperation to evolve, specific conditions and mechanisms are required, such as kinship, direct and indirect reciprocity through repeated interactions, or external interventions such as punishment. In this dissertation we investigate the effect of the network structure of the population on the evolution of cooperation and coordination. We consider several kinds of static and dynamical network topologies, such as Baraba´si-Albert, social network models and spatial networks. We perform numerical simulations and laboratory experiments using the Prisoner's Dilemma and co- ordination games in order to contrast human behavior with theoretical results. We show by numerical simulations that even a moderate amount of random noise on the Baraba´si-Albert scale-free network links causes a significant loss of cooperation, to the point that cooperation almost vanishes altogether in the Prisoner's Dilemma when the noise rate is high enough. Moreover, when we consider fixed social-like networks we find that current models of social networks may allow cooperation to emerge and to be robust at least as much as in scale-free networks. In the framework of spatial networks, we investigate whether cooperation can evolve and be stable when agents move randomly or performing Le´vy flights in a continuous space. We also consider discrete space adopting purposeful mobility and binary birth-death process to dis- cover emergent cooperative patterns. The fundamental result is that cooperation may be enhanced when this migration is opportunistic or even when agents follow very simple heuristics. In the experimental laboratory, we investigate the issue of social coordination between indi- viduals located on networks of contacts. In contrast to simulations, we find that human players dynamics do not converge to the efficient outcome more often in a social-like network than in a random network. In another experiment, we study the behavior of people who play a pure co- ordination game in a spatial environment in which they can move around and when changing convention is costly. We find that each convention forms homogeneous clusters and is adopted by approximately half of the individuals. When we provide them with global information, i.e., the number of subjects currently adopting one of the conventions, global consensus is reached in most, but not all, cases. Our results allow us to extract the heuristics used by the participants and to build a numerical simulation model that agrees very well with the experiments. Our findings have important implications for policymakers intending to promote specific, desired behaviors in a mobile population. Furthermore, we carry out an experiment with human subjects playing the Prisoner's Dilemma game in a diluted grid where people are able to move around. In contrast to previous results on purposeful rewiring in relational networks, we find no noticeable effect of mobility in space on the level of cooperation. Clusters of cooperators form momentarily but in a few rounds they dissolve as cooperators at the boundaries stop tolerating being cheated upon. Our results highlight the difficulties that mobile agents have to establish a cooperative environment in a spatial setting without a device such as reputation or the possibility of retaliation. i.e. punishment. Finally, we test experimentally the evolution of cooperation in social networks taking into ac- count a setting where we allow people to make or break links at their will. In this work we give particular attention to whether information on an individual's actions is freely available to poten- tial partners or not. Studying the role of information is relevant as information on other people's actions is often not available for free: a recruiting firm may need to call a job candidate's refer- ences, a bank may need to find out about the credit history of a new client, etc. We find that people cooperate almost fully when information on their actions is freely available to their potential part- ners. Cooperation is less likely, however, if people have to pay about half of what they gain from cooperating with a cooperator. Cooperation declines even further if people have to pay a cost that is almost equivalent to the gain from cooperating with a cooperator. Thus, costly information on potential neighbors' actions can undermine the incentive to cooperate in dynamical networks.

Privacy-friendly Business Models for Location-Based Mobile Services

This paper presents a theoretical model to analyze the privacy issues around location based mobile business models. We report the results of an exploratory field experiment in Switzerland that assessed the factors driving user payoff in mobile business. We found that (1) the personal data disclosed has a negative effect on user payoff; (2) the amount of personalization available has a direct and positive effect, as well as a moderating effect on user payoff; (3) the amount of control over user's personal data has a direct and positive effect, as well as a moderating effect on user payoff. The results suggest that privacy protection could be the main value proposition in the B2C mobile market. From our theoretical model we derive a set of guidelines to design a privacy-friendly business model pattern for third-party services. We discuss four examples to show the mobile platform can play a key role in the implementation of these new business models.

Using species richness and functional traits predictions to constrain assemblage predictions from stacked species distribution models

Aim: Modelling species at the assemblage level is required to make effective forecast of global change impacts on diversity and ecosystem functioning. Community predictions may be achieved using macroecological properties of communities (MEM), or by stacking of individual species distribution models (S-SDMs). To obtain more realistic predictions of species assemblages, the SESAM framework suggests applying successive filters to the initial species source pool, by combining different modelling approaches and rules. Here we provide a first test of this framework in mountain grassland communities. Location: The western Swiss Alps. Methods: Two implementations of the SESAM framework were tested: a "Probability ranking" rule based on species richness predictions and rough probabilities from SDMs, and a "Trait range" rule that uses the predicted upper and lower bound of community-level distribution of three different functional traits (vegetative height, specific leaf area and seed mass) to constraint a pool of environmentally filtered species from binary SDMs predictions. Results: We showed that all independent constraints expectedly contributed to reduce species richness overprediction. Only the "Probability ranking" rule allowed slightly but significantly improving predictions of community composition. Main conclusion: We tested various ways to implement the SESAM framework by integrating macroecological constraints into S-SDM predictions, and report one that is able to improve compositional predictions. We discuss possible improvements, such as further improving the causality and precision of environmental predictors, using other assembly rules and testing other types of ecological or functional constraints.

Falsification and corroboration of conceptual hydrological models using geophysical data

Geophysical data may provide crucial information about hydrological properties, states, and processes that are difficult to obtain by other means. Large data sets can be acquired over widely different scales in a minimally invasive manner and at comparatively low costs, but their effective use in hydrology makes it necessary to understand the fidelity of geophysical models, the assumptions made in their construction, and the links between geophysical and hydrological properties. Geophysics has been applied for groundwater prospecting for almost a century, but it is only in the last 20 years that it is regularly used together with classical hydrological data to build predictive hydrological models. A largely unexplored venue for future work is to use geophysical data to falsify or rank competing conceptual hydrological models. A promising cornerstone for such a model selection strategy is the Bayes factor, but it can only be calculated reliably when considering the main sources of uncertainty throughout the hydrogeophysical parameter estimation process. Most classical geophysical imaging tools tend to favor models with smoothly varying property fields that are at odds with most conceptual hydrological models of interest. It is thus necessary to account for this bias or use alternative approaches in which proposed conceptual models are honored at all steps in the model building process.

Impact of model complexity on cross-temporal transferability in Maxent species distribution models: An assessment using paleobotanical data

Maximum entropy modeling (Maxent) is a widely used algorithm for predicting species distributions across space and time. Properly assessing the uncertainty in such predictions is non-trivial and requires validation with independent datasets. Notably, model complexity (number of model parameters) remains a major concern in relation to overfitting and, hence, transferability of Maxent models. An emerging approach is to validate the cross-temporal transferability of model predictions using paleoecological data. In this study, we assess the effect of model complexity on the performance of Maxent projections across time using two European plant species (Alnus giutinosa (L.) Gaertn. and Corylus avellana L) with an extensive late Quaternary fossil record in Spain as a study case. We fit 110 models with different levels of complexity under present time and tested model performance using AUC (area under the receiver operating characteristic curve) and AlCc (corrected Akaike Information Criterion) through the standard procedure of randomly partitioning current occurrence data. We then compared these results to an independent validation by projecting the models to mid-Holocene (6000 years before present) climatic conditions in Spain to assess their ability to predict fossil pollen presence-absence and abundance. We find that calibrating Maxent models with default settings result in the generation of overly complex models. While model performance increased with model complexity when predicting current distributions, it was higher with intermediate complexity when predicting mid-Holocene distributions. Hence, models of intermediate complexity resulted in the best trade-off to predict species distributions across time. Reliable temporal model transferability is especially relevant for forecasting species distributions under future climate change. Consequently, species-specific model tuning should be used to find the best modeling settings to control for complexity, notably with paleoecological data to independently validate model projections. For cross-temporal projections of species distributions for which paleoecological data is not available, models of intermediate complexity should be selected.