American option valuation: implied calibration of GARCH pricing models

This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

Application of a hybrid tracking algorithm to motion analysis

An algorithm for tracking multiple feature positions in a dynamic image sequence is presented. This is achieved using a combination of two trajectory-based methods, with the resulting hybrid algorithm exhibiting the advantages of both. An optimizing exchange algorithm is described which enables short feature paths to be tracked without prior knowledge of the motion being studied. The resulting partial trajectories are then used to initialize a fast predictor algorithm which is capable of rapidly tracking multiple feature paths. As this predictor algorithm becomes tuned to the feature positions being tracked, it is shown how the location of occluded or poorly detected features can be predicted. The results of applying this tracking algorithm to data obtained from real-world scenes are then presented.

The nature of Arctic polar vortices in chemistry-climate models

The structure of the Arctic stratospheric polar vortex in three chemistry–climate models (CCMs) taken from the CCMVal-2 intercomparison is examined using zonal mean and geometric-based methods. The geometric methods are employed by taking 2D moments of potential vorticity fields that are representative of the polar vortices in each of the models. This allows the vortex area, centroid location and ellipticity to be determined, as well as a measure of vortex filamentation. The first part of the study uses these diagnostics to examine how well the mean state, variability and extreme variability of the polar vortices are represented in CCMs compared to ERA-40 reanalysis data, and in particular for the UMUKCA-METO, NIWA-SOCOL and CCSR/NIES models. The second part of the study assesses how the vortices are predicted to change in terms of the frequency of sudden stratospheric warmings and their general structure over the period 1960–2100. In general, it is found that the vortices are climatologically too far poleward in the CCMs and produce too few large-scale filamentation events. Only a small increase is observed in the frequency of sudden stratospheric warming events from the mean of the CCMVal-2 models, but the distribution of extreme variability throughout the winter period is shown to change towards the end of the twentyfirst century.

Human red blood cells at work: identification and visualization of erythrocytic eNOS activity in health and disease

A nitric oxide synthase (NOS)-like activity has been demonstrated in human red blood cells (RBCs), but doubts about its functional significance, isoform identity and disease relevance remain. Using flow cytometry in combination with the NO-imaging probe DAF-FM we find that all blood cells form NO intracellularly, with a rank order of monocytes > neutrophils > lymphocytes > RBCs > platelets. The observation of a NO-related fluorescence within RBCs was unexpected given the abundance of the NO-scavenger oxyhemoglobin. Constitutive normoxic NO formation was abolished by NOS inhibition and intracellular NO scavenging, confirmed by laser-scanning microscopy and unequivocally validated by detection of the DAF-FM reaction product with NO using HPLC and LC-MS/MS. Employing immunoprecipitation, ESI-MS/MS-based peptide sequencing and enzymatic assay we further demonstrate that human RBCs contain an endothelial NOS (eNOS) that converts L-3H-Arginine to L-3H-Citrulline in a Ca2+/Calmodulin-dependent fashion. Moreover, in patients with coronary artery disease, red cell eNOS expression and activity are both lower than in age-matched healthy individuals and correlate with the degree of endothelial dysfunction. Thus, human RBCs constitutively produce NO under normoxic conditions via an active eNOS isoform the activity of which is compromised in patients with coronary artery disease.

Building a tropical-extratropical cloud band metbot

An automated cloud band identification procedure is developed that captures the meteorology of such events over southern Africa. This “metbot” is built upon a connected component labelling method that enables blob detection in various atmospheric fields. Outgoing longwave radiation is used to flag candidate cloud band days by thresholding the data and requiring detected blobs to have sufficient latitudinal extent and exhibit positive tilt. The Laplacian operator is used on gridded reanalysis variables to highlight other features of meteorological interest. The ability of this methodology to capture the significant meteorology and rainfall of these synoptic systems is tested in a case study. Usefulness of the metbot in understanding event to event similarities of meteorological features is demonstrated, highlighting features previous studies have noted as key ingredients to cloud band development in the region. Moreover, this allows the presentation of a composite cloud band life cycle for southern Africa events. The potential of metbot to study multiscale interactions is discussed, emphasising its key strength: the ability to retain details of extreme and infrequent events. It automatically builds a database that is ideal for research questions focused on the influence of intraseasonal to interannual variability processes on synoptic events. Application of the method to convergence zone studies and atmospheric river descriptions is suggested. In conclusion, a relation-building metbot can retain details that are often lost with object-based methods but are crucial in case studies. Capturing and summarising these details may be necessary to develop deeper process-level understanding of multiscale interactions.

Label-free enrichment of avian Leucocytozoon using flow cytometric sorting

The group of haemosporidian parasites is of general interest to basic and applied science, since several species infect mammals, leading to malaria and associated disease symptoms. Although the great majority of haemosporidian parasites appear in bird hosts, as in the case of Leucocytozoon buteonis, there is little genomic information about genetic aspects of their co-evolution with hosts. Consequently, there is a high need for parasite-enrichment strategies enabling further analyses of the genomes, namely without exposure to DNA-intercalating dyes. Here, we used flow cytometry without an additional labelling step to enrich L. buteonis from infected buzzard blood. A specific, defined area of two-dimensional scattergramms was sorted and the fraction was further analysed. The successful enrichment of L. buteonis in the sorted fraction was demonstrated by Giemsa-staining and qPCR revealing a clear increase of parasite-specific genes, while host-specific genes were significantly decreased. This is the first report describing a labelling-free enrichment approach of L. buteonis from infected buzzard blood. The enrichment of parasites presented here is free of nucleic acid-intercalating dyes which may interfere with fluorescence-based methods or subsequent sequencing approaches.

Effects of forage type and extruded linseed supplementation on methane production and milk fatty acid composition of lactating dairy cows

Replacing dietary grass silage (GS) with maize silage (MS) and dietary fat supplements may reduce milk concentration of specific saturated fatty acids (SFA) and can reduce methane production by dairy cows. The present study investigated the effect of feeding an extruded linseed supplement on milk fatty acid (FA) composition and methane production of lactating dairy cows, and whether basal forage type, in diets formulated for similar neutral detergent fiber and starch, altered the response to the extruded linseed supplement. Four mid-lactation Holstein-Friesian cows were fed diets as total mixed rations, containing either high proportions of MS or GS, both with or without extruded linseed supplement, in a 4 × 4 Latin square design experiment with 28-d periods. Diets contained 500 g of forage/kg of dry matter (DM) containing MS and GS in proportions (DM basis) of either 75:25 or 25:75 for high MS or high GS diets, respectively. Extruded linseed supplement (275 g/kg ether extract, DM basis) was included in treatment diets at 50 g/kg of DM. Milk yields, DM intake, milk composition, and methane production were measured at the end of each experimental period when cows were housed in respiration chambers. Whereas DM intake was higher for the MS-based diet, forage type and extruded linseed had no significant effect on milk yield, milk fat, protein, or lactose concentration, methane production, or methane per kilogram of DM intake or milk yield. Total milk fat SFA concentrations were lower with MS compared with GS-based diets (65.4 vs. 68.4 g/100 g of FA, respectively) and with extruded linseed compared with no extruded linseed (65.2 vs. 68.6 g/100 g of FA, respectively), and these effects were additive. Concentrations of total trans FA were higher with MS compared with GS-based diets (7.0 vs. 5.4 g/100 g of FA, respectively) and when extruded linseed was fed (6.8 vs. 5.6 g/100 g of FA, respectively). Total n-3 FA were higher when extruded linseed was fed compared with no extruded linseed (1.2 vs. 0.8 g/100 g of FA, respectively), whereas total n-6 polyunsaturated FA were higher when feeding MS compared with GS (2.5 vs. 2.1 g/100 g of FA, respectively). Feeding extruded linseed and MS both provided potentially beneficial decreases in SFA concentration of milk, and no significant interactions were found between extruded linseed supplementation and forage type. However, both MS and extruded linseed increased trans FA concentration in milk fat. Neither MS nor extruded linseed had significant effects on methane production or yield, but the amounts of supplemental lipid provided by extruded linseed were relatively small.

Proteomic analysis of Artemisia annua – towards elucidating the biosynthetic pathways of the antimalarial pro-drug artemisinin

Background: MS-based proteomics was applied to the analysis of the medicinal plant Artemisia annua, exploiting a recently published contig sequence database (Graham et al. (2010) Science 327, 328–331) and other genomic and proteomic sequence databases for comparison. A. annua is the predominant natural source of artemisinin, the precursor for artemisinin-based combination therapies (ACTs), which are the WHO-recommended treatment for P. falciparum malaria. Results: The comparison of various databases containing A. annua sequences (NCBInr/viridiplantae, UniProt/ viridiplantae, UniProt/A. annua, an A. annua trichome Trinity contig database, the above contig database and another A. annua EST database) revealed significant differences in respect of their suitability for proteomic analysis, showing that an organism-specific database that has undergone extensive curation, leading to longer contig sequences, can greatly increase the number of true positive protein identifications, while reducing the number of false positives. Compared to previously published data an order-of-magnitude more proteins have been identified from trichome-enriched A. annua samples, including proteins which are known to be involved in the biosynthesis of artemisinin, as well as other highly abundant proteins, which suggest additional enzymatic processes occurring within the trichomes that are important for the biosynthesis of artemisinin. Conclusions: The newly gained information allows for the possibility of an enzymatic pathway, utilizing peroxidases, for the less well understood final stages of artemisinin’s biosynthesis, as an alternative to the known non-enzymatic in vitro conversion of dihydroartemisinic acid to artemisinin. Data are available via ProteomeXchange with identifier PXD000703.

Designing in caves: using immersive visualisations in design practice

This paper describes a study of the use of immersive Virtual reality technologies in the design of a new hospital. It uses Schön’s concept of reflective practice and video-based methods to analyse the ways design teams approach and employ a full scale 3D immersive environment – a CAVE – in collaborative design work. The analysis describes four themes relating to reflective practice occurring in the setting: orienting to the CAVE technology itself, orienting to the representation of the specific design within the CAVE, activities accounting for, or exploring alternatives within the design for the use and users of the space, and more strategic interactions around how to best represent the design and model to the client within the CAVE setting. The analysis also reveals some unique aspects of design work in this environment. Perhaps most significantly, rather than enhancing or adding to an existing understanding of design through paper based or non-immersive digital representations, it is often acting to challenge or surprise the participants as they experience the immersive, full scale version of their own design.

Proteomic analysis of the medicinal plant Artemisia annua: data from leaf and trichome extracts

This article contains raw and processed data related to research published by Bryant et al. [1]. Data was obtained by MS-based proteomics, analysing trichome-enriched, trichome-depleted and whole leaf samples taken from the medicinal plant Artemisia annua and searching the acquired MS/MS data against a recently published contig database [2] and other genomic and proteomic sequence databases for comparison. The processed data shows that an order-of-magnitude more proteins have been identified from trichome-enriched Artemisia annua samples in comparison to previously published data. Proteins known to have a role in the biosynthesis of artemisinin and other highly abundant proteins were found which imply additional enzymatically driven processes occurring within the trichomes that are significant for the biosynthesis of artemisinin.

Doing well by talking good? A topic modelling-assisted discourse study of corporate social responsibility

Using the novel technique of topic modelling, this paper examines thematic patterns and their changes over time in a large corpus of corporate social responsibility (CSR) reports produced in the oil sector. Whereas previous research on corporate communications has been small-scale or interested in selected lexical aspects and thematic categories identified ex ante, our approach allows for thematic patterns to emerge from the data. The analysis reveals a number of major trends and topic shifts pointing to changing practices of CSR. Nowadays ‘people’, ‘communities’ and ‘rights’ seem to be given more prominence, whereas ‘environmental protection’ appears to be less relevant. Using more established corpus-based methods, we subsequently explore two top phrases - ‘human rights’ and ‘climate change’ that were identified as representative of the shifting thematic patterns. Our approach strikes a balance between the purely quantitative and qualitative methodologies and offers applied linguists new ways of exploring discourse in large collections of texts.

Sensitivity of feature-based analysis methods of storm tracks to the form of background field removal

For the tracking of extrema associated with weather systems to be applied to a broad range of fields it is necessary to remove a background field that represents the slowly varying, large spatial scales. The sensitivity of the tracking analysis to the form of background field removed is explored for the Northern Hemisphere winter storm tracks for three contrasting fields from an integration of the U. K. Met Office's (UKMO) Hadley Centre Climate Model (HadAM3). Several methods are explored for the removal of a background field from the simple subtraction of the climatology, to the more sophisticated removal of the planetary scales. Two temporal filters are also considered in the form of a 2-6-day Lanczos filter and a 20-day high-pass Fourier filter. The analysis indicates that the simple subtraction of the climatology tends to change the nature of the systems to the extent that there is a redistribution of the systems relative to the climatological background resulting in very similar statistical distributions for both positive and negative anomalies. The optimal planetary wave filter removes total wavenumbers less than or equal to a number in the range 5-7, resulting in distributions more easily related to particular types of weather system. For the temporal filters the 2-6-day bandpass filter is found to have a detrimental impact on the individual weather systems, resulting in the storm tracks having a weak waveguide type of behavior. The 20-day high-pass temporal filter is less aggressive than the 2-6-day filter and produces results falling between those of the climatological and 2-6-day filters.

A geometric algorithm for an artificial life form based on anachronistic methods

Modern methods of spawning new technological motifs are not appropriate when it is desired to realize artificial life as an actual real world entity unto itself (Pattee 1995; Brooks 2006; Chalmers 1995). Many fundamental aspects of such a machine are absent in common methods, which generally lack methodologies of construction. In this paper we mix classical and modern studies in order to attempt to realize an artificial life form from first principles. A model of an algorithm is introduced, its methodology of construction is presented, and the fundamental source from which it sprang is discussed.

Statistical methods for ordered categorical data based on a constrained odds model

The proportional odds model provides a powerful tool for analysing ordered categorical data and setting sample size, although for many clinical trials its validity is questionable. The purpose of this paper is to present a new class of constrained odds models which includes the proportional odds model. The efficient score and Fisher's information are derived from the profile likelihood for the constrained odds model. These results are new even for the special case of proportional odds where the resulting statistics define the Mann-Whitney test. A strategy is described involving selecting one of these models in advance, requiring assumptions as strong as those underlying proportional odds, but allowing a choice of such models. The accuracy of the new procedure and its power are evaluated.

Velocity-based moving mesh methods for nonlinear partial differential equations

This article describes a number of velocity-based moving mesh numerical methods formultidimensional nonlinear time-dependent partial differential equations (PDEs). It consists of a short historical review followed by a detailed description of a recently developed multidimensional moving mesh finite element method based on conservation. Finite element algorithms are derived for both mass-conserving and non mass-conserving problems, and results shown for a number of multidimensional nonlinear test problems, including the second order porous medium equation and the fourth order thin film equation as well as a two-phase problem. Further applications and extensions are referenced.