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.

Prevalence and clinical significance of small joint synovitis detected by ultrasonography in axial SpA

Objectives:¦The aim of this study was to estimate the prevalence of subclinical small joint synovitis detected by ultrasonography in patients with axial SpA, and to evaluate their relevance in terms of function or and disease activity.¦Methods:¦Forty axial SpA patients, 40 RA and 20 healthy subjects were evaluated by ultrasonography, using a reproducible semi-quantitative score by B-mode and Doppler, for synovitis, while disease activity and function were assessed using validated instruments (DAS28, BASDAI, BASFI, m-SACRAH and HAQ).¦Results:¦Median B-mode score were respectively 8.2 for axial SpA, 11.5 for RA and 6.0 for healthy subjects, corresponding to a prevalence of clinical significant synovitis of respectively 37.5%, 60% and 11% for a level of significance at > 8 chosen to¦classify as active > 75% of RA patient with DAS28 >2.6 and < 10% of controls. Addtionally, Doppler was positive in 8% of SpA, 30 % of RA and none of the healthy subjects. Echographic synovitis correlated with disease activity (DAS28) and function¦(HAQ, mSACRAH) in RA patients, but no correlation were found for SpA patients with disease activity (BASDAI) or function (BASFI, HAQ, mSACRAH). Cases of synovitis using classification by Doppler positivity were insufficient to allow any¦statistical analysis.¦Conclusions:¦B-mode ultrasonographic evaluation can demonstrate subclinical synovitis in almost 40% of SpA patients, but they do not appear to correlate with disease activity or function on the contrary to what is observed in RA patients, representing potentially different processes

Three essays in incomplete contracts

General Introduction These three chapters, while fairly independent from each other, study economic situations in incomplete contract settings. They are the product of both the academic freedom my advisors granted me, and in this sense reflect my personal interests, and of their interested feedback. The content of each chapter can be summarized as follows: Chapter 1: Inefficient durable-goods monopolies In this chapter we study the efficiency of an infinite-horizon durable-goods monopoly model with a fmite number of buyers. We find that, while all pure-strategy Markov Perfect Equilibria (MPE) are efficient, there also exist previously unstudied inefficient MPE where high valuation buyers randomize their purchase decision while trying to benefit from low prices which are offered once a critical mass has purchased. Real time delay, an unusual monopoly distortion, is the result of this attrition behavior. We conclude that neither technological constraints nor concern for reputation are necessary to explain inefficiency in monopolized durable-goods markets. Chapter 2: Downstream mergers and producer's capacity choice: why bake a larger pie when getting a smaller slice? In this chapter we study the effect of downstream horizontal mergers on the upstream producer's capacity choice. Contrary to conventional wisdom, we find anon-monotonic relationship: horizontal mergers induce a higher upstream capacity if the cost of capacity is low, and a lower upstream capacity if this cost is high. We explain this result by decomposing the total effect into two competing effects: a change in hold-up and a change in bargaining erosion. Chapter 3: Contract bargaining with multiple agents In this chapter we study a bargaining game between a principal and N agents when the utility of each agent depends on all agents' trades with the principal. We show, using the Potential, that equilibria payoffs coincide with the Shapley value of the underlying coalitional game with an appropriately defined characteristic function, which under common assumptions coincides with the principal's equilibrium profit in the offer game. Since the problem accounts for differences in information and agents' conjectures, the outcome can be either efficient (e.g. public contracting) or inefficient (e.g. passive beliefs).

Extracellular matrix and platelet function in patients with musculocontractural Ehlers-Danlos syndrome caused by mutations in the CHST14 gene.

We report on a consanguineous, Afghani family with two sisters affected with characteristic facial features, multiple contractures, progressive joint and skin laxity, hemorrhagic diathesis following minor trauma and multisystem fragility-related manifestations suggestive of a diagnosis of musculocontractural Ehlers-Danlos syndrome (EDS). This novel form of connective tissue disorder was recently reported in patients of Japanese, Turkish, and Indian descent who were formerly classified as having EDS type VIB and has now been recognized to be a part of spectrum including patients previously classified as having adducted thumb-clubfoot syndrome. We identified a previously unreported mutation in the CHST14 gene, which codes for the enzyme dermatan 4-O-sulfotransferase. We discuss the prenatal presentation, detailed clinical manifestations, and neurological findings in two sisters with this newly described musculocontractural EDS-CHST14 type. We demonstrate that fibroblasts from one of our patients produce more chondroitin sulfate than normal and show lower than normal deposition of collagens I and II and fibrillin 1-containing microfibrills. These findings suggest that the imbalance in the glycosaminoglycan content in developing tissues might interfere with normal deposition of other extracellular matrix components and ultimately contribute to the development of the phenotype observed in these patients. Furthermore, we ruled out the contribution of intrinsic platelet factors to the bleeding diathesis observed in some affected individuals. © 2012 Wiley Periodicals, Inc.

Time-Course In Vivo Trafficking Pattern and Effector Function of Donor-Specific Regulatory T Cells in Response to an Allograft.

Background: Experimental data have suggested that adoptive transfer of CD4+CD25+Foxp3+ regulatory T cells (Tregs), capable of controlling immune responses to specifi c auto- or alloantigens, could be used as a therapeutic strategy to promote specifi c tolerance in T-cell mediated diseases and in organ transplantation (Tx). However, before advocating the application of immunotherapy with Tregs in Tx, we need to improve our understanding of their in vivo homeostasis, traffi cking pattern and effector function in response to alloantigens. Methods : Donor-antigen specifi c murine Tregs were generated and characterized in vitro following our described protocols. Using an adoptive transfer and skin allotransplantation model, we have analyzed the in vivo expansion and homing of fl uorescent-labeled effector T cells (Teff) and Tregs, at different time-points after Tx, using fl ow-cytometry as well as fl uorescence microscopy techniques. Results: Tregs expressed CD62L, CCR7 and CD103 allowing their homing into lymphoid and non-lymphoid tissues (gut, skin) after intravenous injection. While hyporesponsive to TCR stimulation in vitro, transferred Tregs survived, migrated to secondary lymphoid organs and preferentially expanded within the allograft draining lymph nodes. Furthermore, Foxp3+ cells could be detected inside the allograft as early as day 3-5 after Tx. At a much later time-point (day 60 after Tx), graft-infi ltrating Foxp3+ cells were also detectable in tolerant recipients. When transferred alone, CD4+CD25- Teff cells expanded within secondary lymphoid organs and infi ltrated the allograft by day 3-5 after Tx. The co-transfer of Tregs limited the expansion of alloreactive Teff cells as well as their recruitment into the allograft. The promotion of graft survival observed in the presence of Tregs was in part mediated by the inhibition of the production of effector cytokines by CD4+CD25- T cells. Conclusion: Taken together, our results suggest that the suppression of allograft rejection and the induction of Tx tolerance are in part dependant on the alloantigendriven homing and expansion of Tregs. Thus, the appropriate localization of Tregs may be critical for their suppressive function in vivo.

Concentrations plasmatiques et articulaires pendant l'administration de céfacétrile pour arthrite septique (6 cas) [Serum and joint levels of cefacetrile during its administration for septic arthritis]

Six patients, five of whom had normal and one impaired renal function, and all suffering from purulent arthritis caused by cephalosporin-sensitive germs, were given a seven-day course of 8 g cephacetrile daily. On the first day, 6 g were administered by continuous intravenous infusion at the rate of 500 mg/h, followed by 2 g over a further 45 min. On days 2 to 7, the patients received 2 short infusions of 4 g each at an interval of 12 h. In four patients with normal renal function, serum half-life ranged from 0.8 to 1.4 h, serum levels during continuous infusion from 19 to 31 microgram/ml, and total clearances from 265 to 434 ml/min. In one patients, these values were 1.6 h, 70 microgram/ml and 131 ml/min respectively (small volume of distribution). The concentrations in the synovial fluid varied from 2 to 29 mcirogram/ml; they were generally lower than the serum levels, but clearly exceeded the minimum inhibitory concentrations for germs commonly present in purulent arthritis. In five patients, the synovial fluid became germ-free and the arthritis was clinically cured. In the case presenting with renal insufficiency, the serum half-life was 5.8 h. During continuous administration, a steady state was not attained; peak serum levels amo9nted to 75 microgram/ml and the total clearance to 61 ml/min. The cephacetrile concentrations in the synovial fluid were very high (26 and 67 microgram/ml). In this case, in which the renal insufficiency associated with mycosis fungoides was present before the treatment, renal function deteriorated futher during treatment while the arthritis improved.

Functional significance of first metatarso-phalangeal joint arthrodesis : FM101

Introduction: Indications for arthrodesis of the first metatarsophalangeal joint (MTP1) are commonly arthrosis (hallux rigidus), rheumatoid arthritis, failed hallux valgus surgery, severe hallux valgus, infectious arthritis, fractures and neuroarthropathies. Many reports focus on technical and radiological issues but few studies emphasize the functional outcome considering daily activities, sports and expectation of the patient. Method: We retrospectively reviewed the patients who underwent MTP1-arthrodesis from 2002 to 2005 in our institution. Clinical and radiological results were assessed but we specially focussed on the functional outcome. Scoring systems used were the SF-12, EQ-5D, PASI, FFI and AOFAS (10 points given to MTP1 mobility) scales. Results: 61 of 64 consecutive patients were evaluated. Female to male ratio was 49:15, mean age at surgery was 67 years, the average follow up was 29 month. Even if radiological consolidation was incomplete in 18 patients, all patients had a clinically stable and rigid arthrodesis. Mean AOFAS score was 87 (24-100) points at follow up. The FFI was 5.91% (0-66%). Patient satisfaction was excellent in 37 patients (60%), good in 18 (30%), fair in 5(8%) and poor in1 (2%). EQ- 5D was 0.7 (0.4-1).40 patients (66%) estimated their cosmetic result as excellent, 15 (25%) as good, 4(6%) as fair and 2 (3%)as poor. 10 patients (16%) had no shoe wear limitation , 48 (79%) had to wear comfortable shoes and 3 (5%) needed orthopaedic wearing. Professionally 34 patients (56%) had better performances, 18 (26%) had no change and 9 (18%) had aggravation of their capacities but this was due to other health reasons. In sports, 16 patients (26%) had better performances, 35 patients (57%) no change and 10 (17%) were worse as consequence of other health problems for 7. Finally, 56 patients (92%) would recommend the operation and 5 (8%) would not. Conclusion: Experience of clinical practice suggests that the idea of fusing the first MTP joint is initially frequently disregarded by the patients because they fear to be limited by a rigid forefoot. Our results show, in fact, that this procedure can be proposed for numerous pathological situations with the perspective of good to excellent outcome in terms of function and quality of life in the majority of cases.

How to Preserve Renal Function in Transcatheter Aortic Valve Therapies

Background: Transcatheter aortic valve implantations (TAVI) are indicated in high risk patients requiring aortic valve replacement (AVR). However, CT-scans, coronary angiograms and intraoperative aortographies can induce contrast-related nephro-toxicity with a concrete risk of acute postoperative renal failure, especially in severely diseased patients. To prevent this complication, we routinely perform transapical (TA) TAVI guided by transesophageal echocardiogram and fluoroscopy without angiography. Material and Methods: From November 2008 to December 2009, 31 high-risk patients suffering from severe symptomatic aortic stenosis underwent TA-TAVI in our institution. The preoperative imaging assessment (cardiac CT-scan and coronary angiogram) was performed no less than 10 days before the TA-TAVI in all patients (to recover the renal function) with a low-dose protocol for injected contrast medium (equivalent to the patient's weight for the CT-scan). During the TA-TAVI, the stent-valve positioning was performed without any contrast injection. Results: 32 consecutive stent-valve were successfully positioned in 31 patients (mean age 80.76 8 8.3 years; mean EuroSCORE: 32.2 8 12.9%) through a transapical access (1 patient required 2 valves for valve embolisation). The mean preoperative creatinine and urea blood levels were 102.6 8 67.7 _ g/dl (range 53-339 _ g/dl) and 8.45 8 4.9 mmol/l, respectively. A chronic renal insufficiency affected 12 patients (38.7%) with 1 patient in pre-dialysis. Postoperatively, no patient developed acute myocardial infarction, atrio-ventricular block or acute renal insufficiency (mean creatinine level: 89.7 8 64.55 _ g/dl; urea level: 7.11 8 3.47 mmol/l) and the 30-days mortality was 9.67% (3 patients). Conclusion: Specific preoperative and intraoperative protocols that require lowdoses or absence of contrast medium are useful to preserve the renal function in high risk patients operated for TAVI.

The extended GLUT-family of sugar/polyol transport facilitators: nomenclature, sequence characteristics, and potential function of its novel members (review).

During the last 2 years, several novel genes that encode glucose transporter-like proteins have been identified and characterized. Because of their sequence similarity with GLUT1, these genes appear to belong to the family of solute carriers 2A (SLC2A, protein symbol GLUT). Sequence comparisons of all 13 family members allow the definition of characteristic sugar/polyol transporter signatures: (1) the presence of 12 membrane-spanning helices, (2) seven conserved glycine residues in the helices, (3) several basic and acidic residues at the intracellular surface of the proteins, (4) two conserved tryptophan residues, and (5) two conserved tyrosine residues. On the basis of sequence similarities and characteristic elements, the extended GLUT family can be divided into three subfamilies, namely class I (the previously known glucose transporters GLUT1-4), class II (the previously known fructose transporter GLUT5, the GLUT7, GLUT9 and GLUT11), and class III (GLUT6, 8, 10, 12, and the myo-inositol transporter HMIT1). Functional characteristics have been reported for some of the novel GLUTs. Like GLUT1-4, they exhibit a tissue/cell-specific expression (GLUT6, leukocytes, brain; GLUT8, testis, blastocysts, brain, muscle, adipocytes; GLUT9, liver, kidney; GLUT10, liver, pancreas; GLUT11, heart, skeletal muscle). GLUT6 and GLUT8 appear to be regulated by sub-cellular redistribution, because they are targeted to intra-cellular compartments by dileucine motifs in a dynamin dependent manner. Sugar transport has been reported for GLUT6, 8, and 11; HMIT1 has been shown to be a H+/myo-inositol co-transporter. Thus, the members of the extended GLUT family exhibit a surprisingly diverse substrate specificity, and the definition of sequence elements determining this substrate specificity will require a full functional characterization of all members.

Expression and function of the NALP3 inflammasome in rheumatoid synovium.

Summary The NACHT, LRR and PYD domains containing protein (NALP3) inflammasome is a key regulator of interleukin-1beta (IL-1beta) secretion. As there is strong evidence for a pro-inflammatory role of IL-1beta in rheumatoid arthritis (RA) and in murine models of arthritis, we explored the expression of the different components of the NALP3 inflammasome as well as other nucleotide oligomerization domain (NOD)-like receptors (NLRs) in synovium obtained from patients with RA. The expression of NLRs was also studied in fibroblast lines derived from joint tissue. By immunohistology, NALP3 and apoptosis-associated speck-like protein containing a CARD domain (ASC) were expressed in myeloid and endothelial cells and B cells. T cells expressed ASC but lacked NALP3. In synovial fibroblast lines, NALP3 expression was not detected at the RNA and protein levels and stimulation with known NALP3 agonists failed to induce IL-1beta secretion. Interestingly, we were unable to distinguish RA from osteoarthritis synovial samples on the basis of their basal level of RNA expression of known NLR proteins, though RA samples contained higher levels of caspase-1 assayed by enzyme-linked immunsorbent assay. These results indicate that myeloid and endothelial cells are the principal sources of inflammasome-mediated IL-1beta production in the synovium, and that synovial fibroblasts are unable to activate caspase-1 because they lack NALP3. The NALP3 inflammasome activity does not account for the difference in level of inflammation between RA and osteoarthritis.

Proteomic analysis of membrane rafts of melanoma cells identifies protein patterns characteristic of the tumor progression stage.

The molecular mechanisms controlling the progression of melanoma from a localized tumor to an invasive and metastatic disease are poorly understood. In the attempt to start defining a functional protein profile of melanoma progression, we have analyzed by LC-MS/MS the proteins associated with detergent resistant membranes (DRMs), which are enriched in cholesterol/sphingolipids-containing membrane rafts, of melanoma cell lines derived from tumors at different stages of progression. Since membrane rafts are involved in several biological processes, including signal transduction and protein trafficking, we hypothesized that the association of proteins with rafts can be regulated during melanoma development and affect protein function and disease progression. We have identified a total of 177 proteins in the DRMs of the cell lines examined. Among these, we have found groups of proteins preferentially associated with DRMs of either less malignant radial growth phase/vertical growth phase (VGP) cells, or aggressive VGP and metastatic cells suggesting that melanoma cells with different degrees of malignancy have different DRM profiles. Moreover, some proteins were found in DRMs of only some cell lines despite being expressed at similar levels in all the cell lines examined, suggesting the existence of mechanisms controlling their association with DRMs. We expect that understanding the mechanisms regulating DRM targeting and the activity of the proteins differentially associated with DRMs in relation to cell malignancy will help identify new molecular determinants of melanoma progression.

Is the function of the serratus anterior muscle disturbed following division during a standard thoracotomy?

In a prospective study the functional results after dissection or preservation of the serratus anterior muscle in the postero-lateral standard thoracotomy were evaluated. In 14 patients of our clinic with dissection and suture and in 14 patients with preservation of the serratus muscle the muscle function was assessed and compared preoperatively, within the first two post-operative weeks, and three months after the operation by the same physiotherapists. The two groups were blinded in regard to age, original disease, and mode of intervention. We compared the wing position of the scapula in the sitting position and the positioning of the scapula at fixation of the shoulder joint in the sitting and in the supine position. Using a four-grade function assessment scheme, both groups obtained the same functional results. There was no seroma in either group. After 2.8 (2.5 to 3.0) years all the surviving patients described symmetric functional conditions. We therefore conclude that in order to achieve a better view of the operative field the serratus muscle may be dissected close to the origin if it is then readapted.