Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Diffusion Spectrum Imaging after stroke shows structural changes in the contra-lateral motor network correlating with functional recovery

There is growing interest in understanding the role of the non-injured contra-lateral hemisphere in stroke recovery. In the experimental field, histological evidence has been reported that structural changes occur in the contra-lateral connectivity and circuits during stroke recovery. In humans, some recent imaging studies indicated that contra-lateral sub-cortical pathways and functional and structural cortical networks are remodeling, after stroke. Structural changes in the contra-lateral networks, however, have never been correlated to clinical recovery in patients. To determine the importance of the contra-lateral structural changes in post-stroke recovery, we selected a population of patients with motor deficits after stroke affecting the motor cortex and/or sub-cortical motor white matter. We explored i) the presence of Generalized Fractional Anisotropy (GFA) changes indicating structural alterations in the motor network of patientsâeuro? contra-lateral hemisphere as well as their longitudinal evolution ii) the correlation of GFA changes with patientsâeuro? clinical scores, stroke size and demographics data iii) and a predictive model.

Hepatic hemangiomas: Factors associated with T2 shine-through effect on diffusion-weighted MR sequences.

PURPOSE: To determine the frequency and factors associated with the presence of T2 shine-through effect in hepatic hemangiomas on diffusion-weighted (DW) magnetic resonance (MR) sequences. MATERIALS AND METHODS: This retrospective study was approved by institutional review board with waiver of informed consent. One hundred forty-nine consecutive patients with 388 hepatic hemangiomas who underwent a liver MR between January 2010 and November 2011 were included. MR analysis evaluated the lesion characteristics (signal intensities and enhancement patterns (classical, rapidly filling, delayed filling)), the presence of T2 shine-through effect on DW sequences (b values of 0, 150, and 600s/mm(2)), and apparent diffusion coefficient (ADC) values. Multivariate analysis was performed to study the factors associated with the T2 shine-through effect. RESULTS: T2 shine-through effect was observed in 204/388 (52.6%) of hepatic hemangiomas and in 100 (67.1%) patients. Mean ADC value of hemangiomas with T2 shine-through effect was significantly lower than hemangiomas without (2.0±0.48 vs 2.38±0.45, P<.0001). On multivariate analysis, high signal intensity on fat-suppressed T2-weighted fast spin-echo images, hemangiomas with classical or delayed enhancement, and the ADC of the liver were the only significant factors associated with T2 shine-through effect. CONCLUSION: T2 shine-through effect is commonly observed in hepatic hemangiomas and is related to hemangiomas characteristics. Radiologists should be aware of this phenomenon which could lead to misdiagnosis. Its presence should not question the diagnosis of hemangiomas when typical MR findings are found.

Individual prediction of cognitive decline in mild cognitive impairment using support vector machine-based analysis of diffusion tensor imaging data.

Although cross-sectional diffusion tensor imaging (DTI) studies revealed significant white matter changes in mild cognitive impairment (MCI), the utility of this technique in predicting further cognitive decline is debated. Thirty-five healthy controls (HC) and 67 MCI subjects with DTI baseline data were neuropsychologically assessed at one year. Among them, there were 40 stable (sMCI; 9 single domain amnestic, 7 single domain frontal, 24 multiple domain) and 27 were progressive (pMCI; 7 single domain amnestic, 4 single domain frontal, 16 multiple domain). Fractional anisotropy (FA) and longitudinal, radial, and mean diffusivity were measured using Tract-Based Spatial Statistics. Statistics included group comparisons and individual classification of MCI cases using support vector machines (SVM). FA was significantly higher in HC compared to MCI in a distributed network including the ventral part of the corpus callosum, right temporal and frontal pathways. There were no significant group-level differences between sMCI versus pMCI or between MCI subtypes after correction for multiple comparisons. However, SVM analysis allowed for an individual classification with accuracies up to 91.4% (HC versus MCI) and 98.4% (sMCI versus pMCI). When considering the MCI subgroups separately, the minimum SVM classification accuracy for stable versus progressive cognitive decline was 97.5% in the multiple domain MCI group. SVM analysis of DTI data provided highly accurate individual classification of stable versus progressive MCI regardless of MCI subtype, indicating that this method may become an easily applicable tool for early individual detection of MCI subjects evolving to dementia.

High b-value Diffusion-weighted Imaging: A Sensitive Method to Reveal White Matter Changes in Schizophrenia

Background: b-value is the parameter characterizing the intensity of the diffusion weighting during image acquisition. Data acquisition is usually performed with low b value (b~1000 s/mm2). Evidence shows that high b-values (b>2000 s/mm2) are more sensitive to the slow diffusion compartment (SDC) and maybe more sensitive in detecting white matter (WM) anomalies in schizophrenia.Methods: 12 male patients with schizophrenia (mean age 35 +/-3 years) and 16 healthy male controls matched for age were scanned with a low b-value (1000 s/mm2) and a high b-value (4000 s/mm2) protocol. Apparent diffusion coefficient (ADC) is a measure of the average diffusion distance of water molecules per time unit (mm2/s). ADC maps were generated for all individuals. 8 region of interests (frontal and parietal region bilaterally, centrum semi-ovale bilaterally and anterior and posterior corpus callosum) were manually traced blind to diagnosis.Results: ADC measures acquired with high b-value imaging were more sensitive in detecting differences between schizophrenia patients and healthy controls than low b-value imaging with a gain in significance by a factor of 20- 100 times despite the lower image Signal-to-noise ratio (SNR). Increased ADC was identified in patient's WM (p=0.00015) with major contributions from left and right centrum semi-ovale and to a lesser extent right parietal region.Conclusions: Our results may be related to the sensitivity of high b-value imaging to the SDC believed to reflect mainly the intra-axonal and myelin bound water pool. High b-value imaging might be more sensitive and specific to WM anomalies in schizophrenia than low b-value imaging

Casparian strip diffusion barrier in Arabidopsis is made of a lignin polymer without suberin.

Casparian strips are ring-like cell-wall modifications in the root endodermis of vascular plants. Their presence generates a paracellular barrier, analogous to animal tight junctions, that is thought to be crucial for selective nutrient uptake, exclusion of pathogens, and many other processes. Despite their importance, the chemical nature of Casparian strips has remained a matter of debate, confounding further molecular analysis. Suberin, lignin, lignin-like polymers, or both, have been claimed to make up Casparian strips. Here we show that, in Arabidopsis, suberin is produced much too late to take part in Casparian strip formation. In addition, we have generated plants devoid of any detectable suberin, which still establish functional Casparian strips. In contrast, manipulating lignin biosynthesis abrogates Casparian strip formation. Finally, monolignol feeding and lignin-specific chemical analysis indicates the presence of archetypal lignin in Casparian strips. Our findings establish the chemical nature of the primary root-diffusion barrier in Arabidopsis and enable a mechanistic dissection of the formation of Casparian strips, which are an independent way of generating tight junctions in eukaryotes.

Contrasting diffusion of Quaternary gene pools across Europe: the case of the arctic-alpine Gentiana nivalis L. (Gentianaceae).

The fate of European arctic-alpine species during Pleistocene climatic oscillations still remains debated. Did these cold-adapted species invade much of the continental steppe or did they remain restricted to warmer slopes of inner mountain massifs? To examine this question, we investigated the phylogeography of Gentiana nivalis, a typical European arctic-alpine plant species. Genome fingerprinting analyses revealed that four genetic pools are actually unevenly distributed across the continent. One cluster covers almost all mountain massifs as well as northern areas, and thus coincides with a scenario of past distribution covering a large part of the European glacial steppe. In contrast, the three other lineages are strongly restricted spatially to western, central, and eastern Alps, respectively, thus arguing towards a scenario of in situ glacial survival. The coexistence of lineages with such contrasting demographic histories in Europe challenges our classical view of refugia and corroborates several hypotheses of biogeographers from the twentieth century.

Hepatic hemangiomas : factors associated with T2 shine-through effect on diffusion-weighted MR sequences

Objectifs: Déterminer la fréquence et les facteurs prédictifs de l'effet T2 shine-through dans l'hémangiome hépatique. Matériels et méthodes: Entre janvier 2010 et novembre 2011, l'imagerie par résonance magnétique du foie de 149 patients avec 388 hémangiomes hépatiques a été revue rétrospectivement. Les caractéristiques lésionnelles: la taille, la localisation, le signal et l'aspect en T1, T2 et en diffusion, l'effet T2 shine-through, le coefficient apparent de diffusion des hémangiomes hépatiques et du foie et type de rehaussement ont été évalués. Résultats: L'effet T2 shine-through était observé dans 204/388 (52.6%) des hémangiomes hépatiques et 100 (67.1%) patients. L'ADC moyen des hémangiomas avec T2 shine-through effect était significativement plus bas que les hémangiomas sans T2 shine-through effect (2.0 +/- 0.48 vs 2.38 +/- 0.45 10"3 mm2/s, P < .0001). L'analyse multivariée retrouvait comme facteurs indépendants de la présence d'un effet T2 shine-through un hypersignal sur les images fat- suppressed T2-weighted fast spin-echo, les hémangiomes avec un rehaussement classique et retardé, et l'ADC du foie. Conclusion: Le T2 shine-through effect est fréquemment observé dans les hémangiomes hépatiques et dépend des caractéristiques lésionnelles. Sa présence ne remet pas en question le diagnostic lorsque les signes IRM typiques sont présents.

Diffusion tensor echo planar imaging using surface coil transceiver with a semiadiabatic RF pulse sequence at 14.1T.

Diffusion magnetic resonance studies of the brain are typically performed using volume coils. Although in human brain this leads to a near optimal filling factor, studies of rodent brain must contend with the fact that only a fraction of the head volume can be ascribed to the brain. The use of surface coil as transceiver increases Signal-to-Noise Ratio (SNR), reduces radiofrequency power requirements and opens the possibility of parallel transmit schemes, likely to allow efficient acquisition schemes, of critical importance for reducing the long scan times implicated in diffusion tensor imaging. This study demonstrates the implementation of a semiadiabatic echo planar imaging sequence (echo time=40 ms, four interleaves) at 14.1T using a quadrature surface coil as transceiver. It resulted in artifact free images with excellent SNR throughout the brain. Diffusion tensor derived parameters obtained within the rat brain were in excellent agreement with reported values.