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.

Cation distribution and magnetization of BaFe12-2xCoxSnxO19 (x=0.9,1.28) single crystals

The distribution of Sn4+ cations within the five crystallographic sites of the magnetoplumbite (M) ‐like compound BaFe12−2xCoxSnxO19 has been analyzed using single‐crystal x‐ray‐diffraction data. The species Fe3+ and Co2+ cannot be distinguished using x rays because of their very similar atomic numbers; however, the calculation of the apparent valencies for the different sites allows an insight into the Co2+ cation segregation. The use of previous data from neutron powder diffraction allows a precise picture of the cation distribution, which indicates a pronounced site selectivity for both Sn4+ and Co2+ cations. The Sn4+ cations prefer the 4f2 sites and to a much lower extent the 12k sites, while they do not enter the octahedral 2a sites at all. Co2+ cations are distributed among tetrahedral and octahedral sites displaying a clear preference for the tetrahedral 4f1 sites. Magnetic measurements indicate that the compound still exhibits uniaxial anisotropy with the easy direction parallel to the c axis. Nevertheless, the magnetic structure shows a considerable degree of noncolinearity. A strong reduction of the magnetic anisotropy regarding that of the undoped compound is also detected.

Particle orientation distribution in Y-Fe2O3magnetic tapes by Mössbauer and hysteresis loop measurements

The particle orientation in several Y-Fe2O3magnetic tapes has been quantitatively evaluated by using the data of both Mössbauer and hysteresis loop measurements performed in the three orthogonal directions. A texture function has been obtained as a development of real harmonics. The profile of the texture function gives the quality of the different magnetic tapes. A different degree of particle orientation at the surface of the tape is evidenced by means of conversion electron Mössbauer spectra.

Spectrum of gluten sensitive enteropathy in first degree relatives of patients with coeliac disease: clinical relevance of lymphocytic enteritis.

Background: Limited data on a short series of patients suggest that lymphocytic enteritis (classically considered as latent coeliac disease) may produce symptoms of malabsorption, although the true prevalence of this situation is unknown. Serological markers of coeliac disease are of little diagnostic value in identifying these patients. Aims: To evaluate the usefulness of human leucocyte antigen-DQ2 genotyping followed by duodenal biopsy for the detection of gluten-sensitive enteropathy in first-degree relatives of patients with coeliac disease and to assess the clinical relevance of lymphocytic enteritis diagnosed with this screening strategy. Patients and methods: 221 first-degree relatives of 82 DQ2+ patients with coeliac disease were consecutively included. Duodenal biopsy (for histological examination and tissue transglutaminase antibody assay in culture supernatant) was carried out on all DQ2+ relatives. Clinical features, biochemical parameters and bone mineral density were recorded. Results: 130 relatives (58.8%) were DQ2+, showing the following histological stages: 64 (49.2%) Marsh 0; 32 (24.6%) Marsh I; 1 (0.8%) Marsh II; 13 (10.0%) Marsh III; 15.4% refused the biopsy. 49 relatives showed gluten sensitive enteropathy, 46 with histological abnormalities and 3 with Marsh 0 but positive tissue transglutaminase antibody in culture supernatant. Only 17 of 221 relatives had positive serological markers. Differences in the diagnostic yield between the proposed strategy and serology were significant (22.2% v 7.2%, p<0.001). Relatives with Marsh I and Marsh II¿III were more often symptomatic (56.3% and 53.8%, respectively) than relatives with normal mucosa (21.1%; p=0.002). Marsh I relatives had more severe abdominal pain (p=0.006), severe distension (p=0.047) and anaemia (p=0.038) than those with Marsh 0. The prevalence of abnormal bone mineral density was similar in relatives with Marsh I (37%) and Marsh III (44.4%). Conclusions: The high number of symptomatic patients with lymphocytic enteritis (Marsh I) supports the need for a strategy based on human leucocyte antigen-DQ2 genotyping followed by duodenal biopsy in relatives of patients with coeliac disease and modifies the current concept that villous atrophy is required to prescribe a gluten-free diet.

Distribution of free and liposomal doxorubicin after isolated lung perfusion in a sarcoma model.

BACKGROUND: Isolated lung perfusion (ILP) with free and a novel liposomal-encapsulated doxorubicin (Liporubicin, CT Sciences SA, Lausanne, Switzerland) was compared with respect to drug uptake and distribution in rat lungs bearing a sarcomatous tumor. METHODS: A single sarcomatous tumor was generated in the left lung of 39 Fischer rats, followed 10 days later by left-sided ILP (n = 36) with free and equimolar-dosed liposomal doxorubicin at doses of 100 microg (n = 9) and 400 microg (n = 9) for each doxorubicin formulation. In each perfused lung, the drug concentration and distribution were assessed in the tumor and in three areas of normal lung parenchyma by high-performance liquid chromatography (n = 6) and fluorescence microscopy (n = 3). Histologic assessment and immunostaining with von Willebrand factor was performed in 3 animals with untreated tumors. RESULTS: The sarcomatous tumors in controls were well vascularized with fine branching capillaries present throughout the tumors. Isolated lung perfusion resulted in a heterogeneous drug distribution within the perfused lung and a consistently lower drug uptake in tumors than in lung parenchyma for both doxorubicin formulations and both drug doses applied. Isolated lung perfusion with free doxorubicin resulted in a significantly higher drug uptake than Liporubicin in both the tumor and lung tissue for both drug doses applied (p < 0.01). However, the tumor/normal tissue drug ratio was lower for free than for liposomal doxorubicin at a drug dose of 100 microg (0.27 +/- 0.1 vs 0.53 +/- 0.5; p = 0.225) and similar for both doxorubicin formulations at a drug dose of 400 microg (0.67 +/- 0.2 vs 0.54 +/- 0.2; p = 0.335). Both doxorubicin formulations resulted in fluorescence signaling emerging from all tissue compartments of normal lung parenchyma but only in weak and sporadic signaling from the tumors confined to the tumor periphery and vessels situated within the tumor for both drug doses assessed. CONCLUSIONS: Isolated lung perfusion with free and liposomal doxorubicin resulted in a heterogeneous drug distribution within the perfused lung and in a lower drug uptake in tumors than in lung tissue for both doxorubicin formulations and drug doses applied.

Anatomical distribution of areas of preserved cartilage in advanced femorotibial osteoarthritis using CT arthrography (Part 1).

OBJECTIVE: To determine subregions of normal and abnormal cartilage in advanced stages of femorotibial osteoarthritis (OA) by mapping the entire femorotibial joint in a cohort of pre-total knee replacement (TKR) OA knees. DESIGN: We defined an areal subdivision of the femorotibial articular cartilage surface on CT arthrography (CTA), allowing the division of the femorotibial articular surface into multiple (up to n = 204 per knee) subregions and the comparison of the same areas between different knees. Two readers independently classified each cartilage area as normal, abnormal or non-assessable in 41 consecutive pre-TKR OA knees. RESULTS: A total of 6447 cartilage areas (from 41 knees) were considered assessable by both readers. The average proportion of preserved cartilage was lower in the medial femorotibial joint than in the lateral femorotibial joint for both readers (32.0/69.8% and 33.9/68.5% (medial/lateral) for reader 1 and 2 respectively, all P < 0.001). High frequencies of normal cartilage were observed at the posterior aspect of the medial condyle (up to 89%), and the anterior aspect of the lateral femorotibial compartment (up to 100%). The posterior aspect of the medial condyle was the area that most frequently exhibited preserved cartilage in the medial femorotibial joint, contrasting with the high frequency of cartilage lesions in the rest of that compartment. CONCLUSIONS: Cartilage at the posterior aspect of the medial condyle, and at the anterior aspect of the lateral femorotibial compartment, may be frequently preserved in advanced grades of OA.

Photodynamic therapy enhances lipodoxorubcin distribution in sarcoma lung metastasis by lowering tumor interstitial fluid pressure in a rodent model

Objective: The management of sarcoma metastasis by systemic chemotherapy is often unsatisfactory. This has paradoxally been attributed to the leakiness of tumor neovessels which induce high intratumor interstitial fluid pressure (IFP) and limit convection forces that are important for drug distribution. In a rodent model, we have recently shown that photodynamic (PDT) pre treatment of lung metastasis could enhance their uptake of chemotherapy. We hypothesized that PDT transiently decreases tumor IFP which enhances convection and promotes drug distribution.Methods: Sarcoma tumors were generated sub-pleurally in the lungs of 12 rats. Animals were randomized at 10 days into i. no pre-treatment (control) and ii. low dose PDT pre-treatment (0・0625 mg/kg Visudyne, 10J/cm2 and 35 mW/cm2) followed by intravenous Liposomal doxorubicin (LiporubicinTM) administration. Using the wick-in-needle technique, we determined tumor and normal tissue IFP before, during and after PDT. In parallel, the uptake of LiporubicinTM was determined by high performance liquid chromatography in tumor and lung tissues.Results: Tumor IFP was significantly higher than normal tissue IFP in all animals. PDT pre-treatment did not affect normal tissue IFP but caused a significant decrease in tumor IFP (mean decrease by 2+/− 1mmHg) which lasted an average of 30 minutes before reaching baseline values. Tumor but not normal lung tissue LiporubicinTM uptake was significantly increased by 67% with PDT pre-treatment when liporubicin was allowed to circulate for one hour.Conclusion: Photodynamic therapy pre-treatment enhances LiporubicinTM uptake in sarcoma lung metastasis by transiently decreasing tumor IFP. These PDT conditions seem to specifically modulate tumor neovessels but not normal lung vessels.

Body fat distribution in white and black women: different patterns of intraabdominal and subcutaneous abdominal adipose tissue utilization with weight loss.

BACKGROUND: Intraabdominal adipose tissue (IAAT) is the body fat depot most strongly related to disease risk. Weight reduction is advocated for overweight people to reduce total body fat and IAAT, although little is known about the effect of weight loss on abdominal fat distribution in different races. OBJECTIVE: We compared the effects of diet-induced weight loss on changes in abdominal fat distribution in white and black women. DESIGN: We studied 23 white and 23 black women, similar in age and body composition, in the overweight state [mean body mass index (BMI; in kg/m(2)): 28.8] and the normal-weight state (mean BMI: 24.0) and 38 never-overweight control women (mean BMI: 23.4). We measured total body fat by using a 4-compartment model, trunk fat by using dual-energy X-ray absorptiometry, and cross-sectional areas of IAAT (at the fourth and fifth lumbar vertebrae) and subcutaneous abdominal adipose tissue (SAAT) by using computed tomography. RESULTS: Weight loss was similar in white and black women (13.1 and 12.6 kg, respectively), as were losses of total fat, trunk fat, and waist circumference. However, white women lost more IAAT (P < 0.001) and less SAAT (P < 0.03) than did black women. Fat patterns regressed toward those of their respective control groups. Changes in waist circumference correlated with changes in IAAT in white women (r = 0.54, P < 0.05) but not in black women (r = 0.19, NS). CONCLUSIONS: Despite comparable decreases in total and trunk fat, white women lost more IAAT and less SAAT than did black women. Waist circumference was not a suitable surrogate marker for tracking changes in the visceral fat compartment in black women.

Monoclonal antibodies identify a CEA crossreacting antigen of 95 kD (NCA-95) distinct in antigenicity and tissue distribution from the previously described NCA of 55 kD.

During the selection of monoclonal antibodies (MAb) raised against purified carcinoembryonic antigen (CEA), two MAbs were identified which immunoprecipitated a glycoprotein of 95 kD present both in perchloric acid extracts of normal lung and on the surface of normal granulocytes. This antigen was distinct from the previously reported normal glycoprotein crossreacting with CEA (NCA) which had a molecular weight of 55 kD. The difference between the smaller and the larger crossreacting antigens termed NCA-55 and NCA-95, respectively, was demonstrated by SDS-polyacrylamide gel electrophoresis, by elution from Sephadex-G200 and by selective binding to a series of anti-CEA MAb. Out of six MAb which all bound CEA purified from colon carcinoma, three did not react with these two crossreacting antigens, one bound only NCA-95, one reacted only with NCA-55 and one reacted with both NCA-55 and NCA-95. Immunoadsorbent purified preparations of 125I labelled NCA-95 and NCA-55 were found useful for the screening of new anti-CEA MAb. In addition, when tested on frozen sections of colon carcinoma, normal spleen, normal lung and pancreas, each type of MAb gave a clearly different pattern of reactivity. The three anti-CEA MAb which did not bind any of the crossreacting antigens stained only the colon carcinoma cells; the MAb binding to either one of the two types of NCA gave a similar pattern of reactivity both on colon carcinoma cells and on granulocytes. However, on normal lung and pancreas, the MAb binding NCA-55 stained granulocytes as well as bronchiolar and alveolar epithelial cells in lung and inter- and intra-lobular duct epithelial cells in pancreas, whereas the MAb binding only NCA-95 stained only the granulocytes. Thus, the newly identified NCA-95 appears to differ from NCA-55 not only in terms of molecular size and antigenicity but also by the fact that in normal lung and pancreas it is found in granulocytes but not in epithelial cells.

Multifractal portrayal of the distribution of the Swiss population

The present research studies the spatial patterns of the distribution of the Swiss population (DSP). This description is carried out using a wide variety of global spatial structural analysis tools such as topological, statistical and fractal measures, which enable the estimation of the spatial degree of clustering of a point pattern. A particular attention is given to the analysis of the multifractality to characterize the spatial structure of the DSP at different scales. This will be achieved by measuring the generalized q-dimensions and the singularity spectrum. This research is based on high quality data of the Swiss Population Census of the Year 2000 at a hectometric resolution (grid 100 x 100 m) issued by the Swiss Federal Statistical Office (FSO).

Gender inequalities in occupational health related to the unequal distribution of working and employment conditions: a systematic review

Gender inequalities exist in work life, but little is known about their presence in relation to factors examined in occupation health settings. The aim of this study was to identify and summarize the working and employment conditions described as determinants of gender inequalities in occupational health in studies related to occupational health published between 1999 and 2010. A systematic literature review was undertaken of studies available in MEDLINE, EMBASE, Sociological Abstracts, LILACS, EconLit and CINAHL between 1999 and 2010. Epidemiologic studies were selected by applying a set of inclusion criteria to the title, abstract, and complete text. The quality of the studies was also assessed. Selected studies were qualitatively analysed, resulting in a compilation of all differences between women and men in the prevalence of exposure to working and employment conditions and work-related health problems as outcomes. Most of the 30 studies included were conducted in Europe (n=19) and had a cross-sectional design (n=24). The most common topic analysed was related to the exposure to work-related psychosocial hazards (n=8). Employed women had more job insecurity, lower control, worse contractual working conditions and poorer self-perceived physical and mental health than men did. Conversely, employed men had a higher degree of physically demanding work, lower support, higher levels of effort-reward imbalance, higher job status, were more exposed to noise and worked longer hours than women did. This systematic review has identified a set of working and employment conditions as determinants of gender inequalities in occupational health from the occupational health literature. These results may be useful to policy makers seeking to reduce gender inequalities in occupational health, and to researchers wishing to analyse these determinants in greater depth.

Transgenic reexpression of GLUT1 or GLUT2 in pancreatic beta cells rescues GLUT2-null mice from early death and restores normal glucose-stimulated insulin secretion.

GLUT2-null mice are hyperglycemic, hypoinsulinemic, hyperglucagonemic, and glycosuric and die within the first 3 weeks of life. Their endocrine pancreas shows a loss of first phase glucose-stimulated insulin secretion (GSIS) and inverse alpha to beta cell ratio. Here we show that reexpression by transgenesis of either GLUT1 or GLUT2 in the pancreatic beta cells of these mice allowed mouse survival and breeding. The rescued mice had normal-fed glycemia but fasted hypoglycemia, glycosuria, and an elevated glucagon to insulin ratio. Glucose tolerance was, however, normal. In vivo, insulin secretion assessed following hyperglycemic clamps was normal. In vitro, islet perifusion studies revealed that first phase of insulin secretion was restored as well by GLUT1 or GLUT2, and this was accompanied by normalization of the glucose utilization rate. The ratio of pancreatic insulin to glucagon and volume densities of alpha to beta cells were, however, not corrected. These data demonstrate that 1) reexpression of GLUT1 or GLUT2 in beta cells is sufficient to rescue GLUT2-null mice from lethality, 2) GLUT1 as well as GLUT2 can restore normal GSIS, 3) restoration of GSIS does not correct the abnormal composition of the endocrine pancreas. Thus, normal GSIS does not depend on transporter affinity but on the rate of uptake at stimulatory glucose concentrations.

Degree of previous cutting in explaining the differences in diameter distributions between mature managed and natural Norway spruce forests

Abstract

Revisiting spatial distribution and biochemical composition of calcium-containing crystals in human osteoarthritic articular cartilage.

INTRODUCTION: Calcium-containing (CaC) crystals, including basic calcium phosphate (BCP) and calcium pyrophosphate dihydrate (CPP), are associated with destructive forms of osteoarthritis (OA). We assessed their distribution and biochemical and morphologic features in human knee OA cartilage. METHODS: We prospectively included 20 patients who underwent total knee replacement (TKR) for primary OA. CaC crystal characterization and identification involved Fourier-transform infra-red spectrometry and scanning electron microscopy of 8 to 10 cartilage zones of each knee, including medial and lateral femoral condyles and tibial plateaux and the intercondyle zone. Differential expression of genes involved in the mineralization process between cartilage with and without calcification was assessed in samples from 8 different patients by RT-PCR. Immunohistochemistry and histology studies were performed in 6 different patients. RESULTS: Mean (SEM) age and body mass index of patients at the time of TKR was 74.6 (1.7) years and 28.1 (1.6) kg/m², respectively. Preoperative X-rays showed joint calcifications (chondrocalcinosis) in 4 cases only. The medial femoro-tibial compartment was the most severely affected in all cases, and mean (SEM) Kellgren-Lawrence score was 3.8 (0.1). All 20 OA cartilages showed CaC crystals. The mineral content represented 7.7% (8.1%) of the cartilage weight. All patients showed BCP crystals, which were associated with CPP crystals for 8 joints. CaC crystals were present in all knee joint compartments and in a mean of 4.6 (1.7) of the 8 studied areas. Crystal content was similar between superficial and deep layers and between medial and femoral compartments. BCP samples showed spherical structures, typical of biological apatite, and CPP samples showed rod-shaped or cubic structures. The expression of several genes involved in mineralization, including human homolog of progressive ankylosis, plasma-cell-membrane glycoprotein 1 and tissue-nonspecific alkaline phosphatase, was upregulated in OA chondrocytes isolated from CaC crystal-containing cartilages. CONCLUSIONS: CaC crystal deposition is a widespread phenomenon in human OA articular cartilage involving the entire knee cartilage including macroscopically normal and less weight-bearing zones. Cartilage calcification is associated with altered expression of genes involved in the mineralisation process.

Large differences in the prevalence of normal weight obesity using various cut-offs for excess body fat

BACKGROUND AND AIMS: Normal weight obesity (NWO) has been defined as an excessive body fat (BF) associated with a normal body mass index (BMI). Still, little is known regarding the effect of differing cut-offs for %BF on the prevalence of NWO. We thus conducted a study to assess the effect of modifying the cut-offs for excessive %BF on the prevalence of NWO. METHODS: We examined a convenience sample of 1523 Portuguese adults. BF was measured by validated hand-held bioimpedance. NWO was defined as a BMI < 25 kg/m2 and a %BF >30% or according to sex- and age-specific %BF cut-offs. RESULTS: Prevalence of NWO was 10.1% in women and 3.2% in men. In women, prevalence of NWO increased considerably with age, and virtually all women aged over 55 with a BMI < 25 kg/m2 were actually considered as NWO. Using sex-specific cut-offs for BF (men: 29.1%; women: 37.2%) led to moderately lower prevalence of NWO in women. Using sex and age-specific cut-offs for %BF considerably decreased the prevalence of NWO in women, i.e. 0.5e2.5% (depending on the criterion) but not in men, i.e. 1.9e3.4%. CONCLUSIONS: In women, the prevalence of NWO varies considerably according to the cut-off used to define excess BF, whereas a much smaller variation is found in men. While further studies are needed to describe the risk associated with NWO using various %BF cut-offs, this study suggests that sex- and age-specific cut-offs may be preferred.