Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Treatment of newly diagnosed acute promyelocytic leukemia (APL): a comparison of French-Belgian-Swiss and PETHEMA results

All-trans retinoic acid (ATRA) plus anthracycline chemotherapy is the reference treatment of newly diagnosed acute promyelocytic leukemia (APL), whereas the role of cytosine arabinoside (AraC) remains disputed. We performed a joint analysis of patients younger than 65 years included in Programa para el Estudio de la Terapéutica en Hemopatía Maligna (PETHEMA) LPA 99 trial, where patients received no AraC in addition to ATRA, high cumulative dose idarubicin, and mitoxantrone, and APL 2000 trial, where patients received AraC in addition to ATRA and lower cumulative dose daunorubicin. In patients with white blood cell (WBC) count less than 10 x 10(9)/L, complete remission (CR) rates were similar, but 3-year cumulative incidence of relapse (CIR) was significantly lower in LPA 99 trial: 4.2% versus 14.3% (P = .03), although 3-year survival was similar in both trials. This suggested that AraC is not required in APL with WBC count less than 10 x 10(9)/L, at least in trials with high-dose anthracycline and maintenance treatment. In patients with WBC of 10 x 10(9)/L or more, however, the CR rate (95.1% vs 83.6% P = .018) and 3-year survival (91.5% vs 80.8%, P = .026) were significantly higher in APL 2000 trial, and there was a trend for lower 3-year CIR (9.9% vs 18.5%, P = .12), suggesting a beneficial role for AraC in those patients.

Long-term comparison of everolimus-eluting stents with sirolimus- and paclitaxel-eluting stents for percutaneous coronary intervention of saphenous vein grafts

Aims: Newer-generation everolimus-eluting stents (EES) have been shown to improve clinical outcomes compared with early-generation sirolimus-eluting (SES) and paclitaxel-eluting stents (PES) in patients undergoing percutaneous coronary intervention (PCI). Whether this benefit is maintained among patients with saphenous vein graft (SVG) disease remains controversial. Methods and results: We assessed cumulative incidence rates (CIR) per 100 patient years after inverse probability of treatment weighting to compare clinical outcomes. The pre-specified primary endpoint was the composite of cardiac death, myocardial infarction (MI), and target vessel revascularisation (TVR). Out of 12,339 consecutively treated patients, 288 patients (5.7%) underwent PCI of at least one SVG lesion with EES (n=127), SES (n=103) or PES (n=58). Up to four years, CIR of the primary endpoint were 58.7 for EES, 45.2 for SES and 45.6 for PES with similar adjusted risks between groups (EES vs. SES; HR 0.94, 95% CI: 0.55-1.60, EES vs. PES; HR 1.07, 95% CI: 0.60-1.91). Adjusted risks showed no significant differences between stent types for cardiac death, MI and TVR. Conclusions: Among patients undergoing PCI for SVG lesions, newer-generation EES have similar safety and efficacy to early-generation SES and PES during long-term follow-up to four years.

Interaction of small molecules with specific immune receptors: the p-i concept and its consequences

Drugs may stimulate the immune system by forming stable new antigenic complexes consisting of the drug or drug metabolite which is covalently bound to a protein or peptide (hapten-carrier complex). Both, B- and T-cell immunity may arise, the latter directed to hapten modified peptides presented by HLA molecules. Beside this immunological stimulation, drugs can also stimulate the immune system through binding by non-covalent bonds to proteins like immune receptors. This so-called “pharmacological interaction with immune receptors” concept (“p-i concept”) may occur with HLA or TCR molecules themselves (p-i HLA or p-i TCR), and not the immunogenic peptide. It is a type of “off-target” activity of the drug on immune receptors, but more complex as various cell types, cell interactions and functionally different T cells are involved. In this review the conditions which lead to activation of T cells by p-i are discussed: important factors for a functional consequence of drug binding is the location of binding (p-i HLA or p-i TCR); the exact site within these immune receptors; the affinity of binding and the finding that p-i HLA can stimulate the immune system like an allo-allele. The p-i concept is able to solve some puzzles of drug hypersensitivity reactions and are a basis to better treat and potentially avoid drug hypersensitivity reactions. Moreover, the p-i concept shows that in contrast to previous beliefs small molecules do interact with immune receptors with functional consequence. But these interactions are not based on “immune recognition”, are at odds with some immunological concepts, but may nevertheless open new possibilities to understand and even treat immune reactions

A Passive WiFi Source Localization System based on Fine-grained Power-based Trilateration

Indoor localization systems become more interesting for researchers because of the attractiveness of business cases in various application fields. A WiFi-based passive localization system can provide user location information to third-party providers of positioning services. However, indoor localization techniques are prone to multipath and Non-Line Of Sight (NLOS) propagation, which lead to significant performance degradation. To overcome these problems, we provide a passive localization system for WiFi targets with several improved algorithms for localization. Through Software Defined Radio (SDR) techniques, we extract Channel Impulse Response (CIR) information at the physical layer. CIR is later adopted to mitigate the multipath fading problem. We propose to use a Nonlinear Regression (NLR) method to relate the filtered power information to propagation distances, which significantly improves the ranging accuracy compared to the commonly used log-distance path loss model. To mitigate the influence of ranging errors, a new trilateration algorithm is designed as well by combining Weighted Centroid and Constrained Weighted Least Square (WC-CWLS) algorithms. Experiment results show that our algorithm is robust against ranging errors and outperforms the linear least square algorithm and weighted centroid algorithm.

Adherence to adjuvant chemotherapy and post-treatment surveillance in a large community-based cohort of patients with colon cancer

The objective of this dissertation was to determine the initiation and completion rates of adjuvant chemotherapy, its toxicity and the compliance rates of post-treatment surveillance for elderly patients with colon cancer using the linked Surveillance, Epidemiology, and End Results – Medicare database.^ The first study assessed the initiation and completion rate of 5-fluorouracil-based adjuvant chemotherapy and its relationship with patient characteristics. Of the 12,265 patients diagnosed with stage III colon adenocarcinoma in 1991-2005, 64.4% received adjuvant chemotherapy within 3-months after tumor resection and 40% of them completed the treatment. Age, marital status, and comorbidity score were significant predictors for chemotherapy initiation and completion.^ The second study estimated the incidence rate of toxicity-related endpoints among stage III colon adenocarcinoma patients treated with chemotherapy in 1991-2005. Of the 12,099 patients, 63.9% underwent chemotherapy and had volume depletion disorder (3-month cumulative incidence rate [CIR]=9.1%), agranulocytosis (CIR=3.4%), diarrhea (CIR=2.4%), nausea and vomiting (CIR=2.3%). Cox regression analysis confirmed such association (HR=2.76; 95% CI=2.42-3.15). The risk of ischemic heart diseases was slightly associated with chemotherapy (HR=1.08), but significantly among patients aged <75 with no comorbidity (HR=1.70). ^ The third study determined the adherence rate of follow-up cares among patients diagnosed with stage I-III colon adenocarcinoma in 2000 - June 2002. We identified 7,348 patients with a median follow-up of 59 months. The adherence rate was 83.9% for office visits, 29.4% for CEA tests, and 74.3% for colonoscopy. Overall, 25.2% met the recommended post-treatment care. Younger age at diagnosis, white race, married, advanced stage, fewer comorbidities, and chemotherapy use were significantly associated with guideline adherence.^ In conclusions, not all colon cancer patients received chemotherapy. Receiving chemotherapy was associated with increased risk of developing gastrointestinal, hematological and cardiac toxicities. Patients were more likely to comply with the schedule for office visits and colonoscopy but failed in CEA tests. ^

Geochemistry of Fe-Mn crusts in sediments of the Central Indian Ridge

Layered Fe-Mn crusts from the off-axis region of the first segment of the Central Indian Ridge north of the Rodrigues Triple Junction were studied geochemically and mineralogically. Vernadite (delta-MnO2) is the main mineral oxide phase. 230Thxs and Co concentrations suggest high growth rates of up to 29 mm/Myr and a maximum age of the basal crust layer of 1 Ma. Whereas most of the major and minor elements show concentrations which are typical of hydrogenetic formation, Co, Pb, Ni and Ti concentrations are strikingly lower. Concentrations and distribution of the strictly trivalent rare-earths and yttrium (REY) are typical of hydrogenetic ferromanganese oxide precipitates, but in marked contrast, the crusts are characterized by negative CeSN (shale normalized) anomalies and (Ce/Pr)SN ratios less than unity. Profiles through the crusts reveal only minor variations of the REY distribution and (Ce/Pr)SN ratios range from 0.45 to 0.68 (compared to ratios of up to 2 for typical hydrogenetic crusts from the Central Indian Basin). The apparent bulk partition coefficients between the crusts and seawater suggest that for the strictly trivalent REY the adsorption-desorption equilibrium has been reached. Positive Ce anomalies in the partition coefficient patterns reveal preferential uptake of Ce, but to a lesser extent than in normal hydrogenetic crusts. A new parameter (excess Ce, Cexs) to quantify the degree of decoupling of Ce from REY(III) is established on the basis of partition coefficients. Cexs/Cebulk ratios suggest that the CIR crusts formed by precipitation of Fe-Mn oxides from a hydrothermal plume and that in hydrothermal plumes and normal seawater the enrichment of Ce results from the same oxidative sorption process. The growth rates, calculated with 230Thxs data as well as with the Co formula, are inversely related to Cexs.

Pollen record from Golkow, Poland

Janczyk-Kopikowa (1966): The series of the organic deposits, developed in the vicinity of Golkow near Warsaw as oil shales and peats, was laid down in a grough valley and now rests on the deposits of the Middle Polish Glaciation (Riss). The organic deposits are overlain by the fluviale deposits of the North Polish Glaciation (Würm). The locality Golkow occurs beyond the extent of the continental glacier of this glaciation. Polen analysis completed by microfloristic examinations allows to determine the age of the organic series that is thought to be Eemian. The pollen diagram from Golkow does not call in question the stratigraphical position of the deposits investigated mainly due to its characteristic features such as minimum content of coniferous trees in the climatic optimum - about 5%, high percentage of Corylus - 77.5% and well developed phase of hornbeam. It may be well compared with other Eemian diagrams from the area of Poland and reveals much similar features. The development of vegetation at Golkow has depended upon the prevailing climate. At first, the cool climate brings about the development of plants having small thermal requirements. Here belong thin, park-like forests with pine and birch (Pinus, Betula) accompanied by the heliophilic plants such as Hippohäe and Ephedra. Improvement of climate that becomes warm and humid provides for development of deciduous forests prevailing in the climatic optimum, of the interglacial. Decrease of temperature causes a repeated change in the type of forest. This latter changes into coniferous forest with prevailing spruce (Picea) and fir (Abies) at the beginning, and then with pine (Pinus) and birch (Betula). During the Eemian Interglacial, the development of plants at Golkow terminates with a new and long-lasting predominance of pine-birch forests. However, such a longevity may be apparent only. Apparent character of this phenomenon is proved by a fact that the pollen spectra of the warm climatic periods have found their reflex in the oil shale that increased considerably slower than the layers off feebly decomposed peat evidencing the existence of cool pine-birch forests from the decline of the Interglacial. The water basin, in which the polen grains were laid down from surrounding plants is characterized by a calm sedimentation as proved by the occurrence of the oil shale. An insignificant water flow left behind some thin sand laminae. The not too deep basin becomes shallower owing to the growing water vegetation, and marshy vegetation. The growing of the plants causes a complete shallowing of the basin and formation of peat bog in situ, as proved by the peat beds occurring in the section. ---- Gadomska (1966): In the vicinity of Golków a series of organic deposits occurs amounting to 6.5-9.3 m in thickness, and consisting of oil shales, lacustrine silts and sands, as well as peats and peaty silts. The organic deposits fill up an old, small, but fairly deep lake basin, probably of finger-lake origin. It may be seen to-day as a slight lowering of the relief, filled up with soaked ground, stretching from north to south. On the basis of palaeobotanical examinations the organic deposits considered are of Eemian Interglacial age (Z. Janczyk-Kopikowa, 1063). The lower part of the organic series consists of a compact oil shale horizon, the maximum thickness of which may attain up to 8 m. The oil shales contain particularly in their upper part, numerous intercalations of arenaceous silts, dark grey or black in colour, or of sands mainly of lacustrine provenance. At the top of the oil shales are found peats, up to 2.5 m in thickness, covered by black, humus silts with numerous plant remains. The Eemian Interglacial deposits are covered by a series of fluviatile sands belonging partly to the Baltic Glaciation (bottom part of the series), partly to the Holocene (top part of the series). The thickness of the sands is 0.5-3.7 m. Higher up, there are found the Holocene and present-day deposits developed as clayey alluvion, or arenaceous slide rocks, or arenaceous-silty soil.

Pollen profiles from 8 sediment cores from the Degersee, Southern Germany

The discovery of a neolithic pile field in the shallow water near the eastern shore of the Degersee confirmed earlier palynological and sedimentological studies stating that early man was active in the region since more than 6000 years. The already available off-site data were freshly assessed, completed by additional data from old and new cores and the interpretations revised. A common time scale for the off-site data and the on-site data was obtained by AMS dating of terrestrial macro remains of the neolithic section of off-site core De_I+De_H. The ages can thus be parallelled with AMS ages of construction timber on-site. Pollen analyses from all cores provide a further time scale. The continuously and densely sampled pollen profile of the profundal zone embracing the entire Late glacial and Holocene serves as a reference. From the Boreal onwards the relative ages are transformed by AMS ages and varve counts into calibrated and absolute. A transect cored close to the neolithic pile field across the lake marl-platform demonstrates its geological architecture in the shallow water since the Lateglacial. Studies of the microfabric of thin sections of drilled cores and of box cores from the excavations demonstrate that neolithic settlements now at 2-3,5 m water depth had been erected on lake marl freshly fallen dry, thus indicating earlier lake levels dropped by 1.5-2 m. The neolithic section of the highly resolved off-site profile in the lake=s profundal zone has laminated and calcareous zones alternating with massive ones. Assemblages of diatoms and concentrations of trace elements changing simultaneously characterise the calcareous sections as deposits of low lake levels that lasted between some 40 and more than 300 years. The ages of discovered lake shore dwellings fall into calcareous segments with low lake levels. From the end of the Upper Atlantic period (F VII) appear Secondary Forest Cycles in the beech forest, a man-made sequence of repeated vegetational development with an identical pattern: With a decrease of beech pollen appear pollen of grasses, herbs and cultural indicators. These are suppressed by the light demanding hazel and birch, those again by ash, and finally by the shade demanding beech forming a new pollen peak. Seven main Forest Cycles are identified In the upper Neolithic period each comprising some 250, 450 or 800 years. They are subdivided into subcycles that can be broken down by very dense sampling in even shorter cycles of decadal length. Farming settlers have caused minor patchy clearances of the beech-mixed-forest with the use of fire. The phases of clearance coincide with peaks of charcoal and low stands of the lake levels. The Secondary Forest Cycles and the continuous occurrence of charcoal prove a continued occupation of the region. Together with the repeated restoration of the beech climax forest they point to pulsating occupation probably associated with dynamic demography. The synchronism of the many palynological, sedimentological and archaeological data point to an external forcing as the climate that affects comprehensively all these proxies. The fluctuations of the activity of the sun as manifested in the residual d14C go largely along with the proxies. The initial clearances at the begin of the forest cycles are linked to low lake levels and negative values of d14C that point to dry and warm phases of a more continental climate type. The subcycles exist independent from climatic changes, indicating that early man acted largely independent from external forces.

Palynology on a profile from the Krusné Hory Mountains

Site details: The raised bog Fláje-Kiefern (50°429N, 13°329 E; 760 m a.s.l.; size ca. 500x500 m) lies in the Krusné Hory Mountains (Erzgebirge), Czech Republic, about 10 km from Georgenfelder Moor in Germany. Hejny and Slavík (1988) described the phytogeographic region of the Krusne Hory Mountains as 'a region of mountain flora and vegetation, with thermophilous species largely missing. In the natural forests, conifers, especially spruce (Picea excelsa) prevail. The deforested areas have been converted into meadows and pastures'. The climate is cool with annual average temperatures of about 5°C and annual precipitation of about 900 mm. The bedrock is Precambrian crystallinicum.

Pollen record and dating of a sediment profile from Ahlequellmoor in Germany

A pollen diagram from the Ahlequellmoor in the Solling area shows the history of vegetation and settlement over the last 7,800 years. In the early Atlantic period mixed deciduous forest with mainly Tilia together with Ulmus and Quercus grew in the area. In the late Atlantic period Quercus became most abundant. Fagus spread in the Sub-boreal period at about 2700 B.C. Since ca. 900 B.C. the Solling was covered by beech forests with some oak. In prehistoric times woodland grazing is indicated. Only in Medieval times are two settlements in the vicinity of the Ahlequellmoor reflected in the pollen diagram. The earlier one is dated to about A.D. 750-1020, and may be connected with the former Monastery of Hethis, which is thought to have existed close to the fen from A.D. 815 to 822. The second Medieval settlement dates to the 11th-12th century. The large-scale woodland destruction of late Medieval and modern times is not clearly visible. The silvicultural measures of the last 200 years are reflected by increasing values of spruce and grassland taxa.

Pollen analysis of a sediment profile from Gabelsee in Germany

The article shows that pollen analysis plays an important role in the prediction of potential settlement areas and, furthermore, can offer a crude determination of settlement duration. Especially when the archaeological data fails to offer a possibility of dating, pollen analysis in connection with 14C can importantly broaden the knowledge base. As in the present case, the results of the Archaeo-Prognosis mapping and the pollen analysis of the Gabelsee are compared and, within this vicinity, confirmend. = Der Beitrag zeigt, dass die Pollenanalyse eine wichtige Rolle für die Vorhersage von potenziellen Siedlungsflächen spielen und darüber hinaus eine grobe Berechnung der Siedlungsdauer bieten kann. Insbesondere wenn die archäologische Datenbasis keine genaue Datierung zulässt, ermöglicht die Pollenanalyse in Verbindung mit der 14C-Datierung eine wichtige Erweiterung der Kenntnisse. Im vorliegenden Fall konnten die Ergebnisse der Archäoprognosekarte mit denjenigen der Pollenanalyse des Gabelsees verglichen und für diesen lokalen Raum bestätigt werden.

Palynological investigations of profile Cergowa in Poland

The decomposition rate of organic, Compounds, following the death of a plant, is dependent on several external factors. Assimilatory pigments generally undergo a rapid degradation. In certain condition, however, their decomposition may be considerably retarded; e.g. compounds similar to chlorophyll and some carotenoids, as a and ß-carotene, lutein and others, may persist several thousand years in marine and lake Sediments (Vallentyne 1960). Derivatives of chlorophyll were also found in the surface layer of wood soil (Gorham 1959). In this connection the question arises, in what a way a still different environment, namely peat, influences the decomposition rate of pigments. The starting point in these investigations was the fact observed by one of the co-authors, that many subfossil fir needles from various depths of the peat bog in Cergowa Gora were bright yellow green pigmented. Macroscopic otoservations have already suggested that, at least, a part of the pigments did not undergo decomposition. A study was undertaken with the aim to determine the quantitative and qualitative changes in assimilatory pigments, occurring in fir needles in dependence on the pexiod of time they were lying in the peat bog.

Post-glacial pollen record from Yorkshire

The stratigraphy and pollen analysis of the deposits show that this is a lake basin which during the Late-glacial period was partially filled by lake clays and muds. One of the main interests of the pollen diagrams lies in the division of zone i into three suh-zones showing a minor climatic oscillation which seems to be comparable with the Boiling oscillation of northern Europe. During Post-glacial time the greater part of the deposits has been muds but on one side a fen developed which in early zone VI was sufficiently dry to support birch and pine wood. Later in zone VI the water table must have risen slightly because the fen peats were gradually covered by a rather oxidized mud suggesting that the fen became replaced by a shallow swamp with a widely fluctuating water table. In the Atlantic period the basin was reflooded and the more central deposits were covered by a layer of mud. Later in the central region, swamp and eventually Sphagnum bog communities developed. The whole area is now covered by a sihy soil and forms a flat meadowland.