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.)

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.

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.

Speciation and Bioavailability Measurements of Environmental Plutonium Using Diffusion in Thin Films.

The biological uptake of plutonium (Pu) in aquatic ecosystems is of particular concern since it is an alpha-particle emitter with long half-life which can potentially contribute to the exposure of biota and humans. The diffusive gradients in thin films technique is introduced here for in-situ measurements of Pu bioavailability and speciation. A diffusion cell constructed for laboratory experiments with Pu and the newly developed protocol make it possible to simulate the environmental behavior of Pu in model solutions of various chemical compositions. Adjustment of the oxidation states to Pu(IV) and Pu(V) described in this protocol is essential in order to investigate the complex redox chemistry of plutonium in the environment. The calibration of this technique and the results obtained in the laboratory experiments enable to develop a specific DGT device for in-situ Pu measurements in freshwaters. Accelerator-based mass-spectrometry measurements of Pu accumulated by DGTs in a karst spring allowed determining the bioavailability of Pu in a mineral freshwater environment. Application of this protocol for Pu measurements using DGT devices has a large potential to improve our understanding of the speciation and the biological transfer of Pu in aquatic ecosystems.

Structured sparsity through reweighting and application to diffusion MRI

We consider the problem of multiple correlated sparse signals reconstruction and propose a new implementation of structured sparsity through a reweighting scheme. We present a particular application for diffusion Magnetic Resonance Imaging data and show how this procedure can be used for fibre orientation reconstruction in the white matter of the brain. In that framework, our structured sparsity prior can be used to exploit the fundamental coherence between fibre directions in neighbour voxels. Our method approaches the ℓ0 minimisation through a reweighted ℓ1-minimisation scheme. The weights are here defined in such a way to promote correlated sparsity between neighbour signals.

On evaluating the accuracy and biological plausibility of diffusion MRI tractograms

In diffusion MRI, traditional tractography algorithms do not recover truly quantitative tractograms and the structural connectivity has to be estimated indirectly by counting the number of fiber tracts or averaging scalar maps along them. Recently, global and efficient methods have emerged to estimate more quantitative tractograms by combining tractography with local models for the diffusion signal, like the Convex Optimization Modeling for Microstructure Informed Tractography (COMMIT) framework. In this abstract, we show the importance of using both (i) proper multi-compartment diffusion models and (ii) adequate multi-shell acquisitions, in order to evaluate the accuracy and the biological plausibility of the tractograms.

Simulation-based evaluation of susceptibility distortion correction methods in diffusion MRI for connectivity analysis

Connectivity analysis on diffusion MRI data of the whole- brain suffers from distortions caused by the standard echo- planar imaging acquisition strategies. These images show characteristic geometrical deformations and signal destruction that are an important drawback limiting the success of tractography algorithms. Several retrospective correction techniques are readily available. In this work, we use a digital phantom designed for the evaluation of connectivity pipelines. We subject the phantom to a âeurooetheoretically correctâeuro and plausible deformation that resembles the artifact under investigation. We correct data back, with three standard methodologies (namely fieldmap-based, reversed encoding-based, and registration- based). Finally, we rank the methods based on their geometrical accuracy, the dropout compensation, and their impact on the resulting connectivity matrices.

Connectivity and tissue microstructural alterations in right and left temporal lobe epilepsy revealed by diffusion spectrum imaging.

Focal epilepsy is increasingly recognized as the result of an altered brain network, both on the structural and functional levels and the characterization of these widespread brain alterations is crucial for our understanding of the clinical manifestation of seizure and cognitive deficits as well as for the management of candidates to epilepsy surgery. Tractography based on Diffusion Tensor Imaging allows non-invasive mapping of white matter tracts in vivo. Recently, diffusion spectrum imaging (DSI), based on an increased number of diffusion directions and intensities, has improved the sensitivity of tractography, notably with respect to the problem of fiber crossing and recent developments allow acquisition times compatible with clinical application. We used DSI and parcellation of the gray matter in regions of interest to build whole-brain connectivity matrices describing the mutual connections between cortical and subcortical regions in patients with focal epilepsy and healthy controls. In addition, the high angular and radial resolution of DSI allowed us to evaluate also some of the biophysical compartment models, to better understand the cause of the changes in diffusion anisotropy. Global connectivity, hub architecture and regional connectivity patterns were altered in TLE patients and showed different characteristics in RTLE vs LTLE with stronger abnormalities in RTLE. The microstructural analysis suggested that disturbed axonal density contributed more than fiber orientation to the connectivity changes affecting the temporal lobes whereas fiber orientation changes were more involved in extratemporal lobe changes. Our study provides further structural evidence that RTLE and LTLE are not symmetrical entities and DSI-based imaging could help investigate the microstructural correlate of these imaging abnormalities.