Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Inhibition of direct and indirect TLR-mediated activation of human NK cells by low molecular weight dextran sulfate

NK cells express toll-like receptors (TLR) that recognize conserved pathogen or damage associated molecular patterns and play a fundamental role in innate immunity. Low molecular weight dextran sulfate (DXS), known to inhibit the complement system, has recently been reported by us to inhibit TLR4-induced maturation of human monocyte-derived dendritic cells (MoDC). In this study, we investigated the capability of DXS to interfere with human NK cell activation triggered directly by TLR2 agonists or indirectly by supernatants of TLR4-activated MoDC. Both TLR2 agonists and supernatants of TLR4-activated MoDC activated NK cells phenotypically, as demonstrated by the analysis of NK cell activation markers (CD56, CD25, CD69, NKp30, NKp44, NKp46, DNAM-1 and NKG2D), and functionally as shown by increased NK cell degranulation (CD107a surface expression) and IFN-gamma secretion. DXS prevented the up-regulation of NK cell activation markers triggered by TLR2 ligands or supernatants of TLR4-activated MoDC and dose-dependently abrogated NK cell degranulation and IFN-gamma secretion. In summary our results suggest that DXS may be a useful reagent to inhibit the direct and indirect TLR-mediated activation of NK cells.

Sonographic Assessment of Fetal Cardiac Function: Indirect Measurements of Fetal Cardiac Function, Newer Techniques and Clinical Applications

Noninvasive blood flow measurements based on Doppler ultrasound studies are the main clinical tool for studying the cardiovascular status of fetuses at risk for circulatory compromise. Usually, qualitative analysis of peripheral arteries and in particular clinical situations such as severe growth restriction or volume overload also of venous vessels close to the heart or of flow patterns in the heart is being used to gauge the level of compensation in a fetus. However, quantitative assessment of the driving force of the fetal circulation, the cardiac output remains an elusive goal in fetal medicine. This article reviews the methods for direct and indirect assessment of cardiac function and explains new clinical applications. Part 1 of this review describes the concept of cardiac function and cardiac output and the techniques that have been used to quantify output. Part 2 summarizes the use of arterial and venous Doppler studies in the fetus and gives a detailed description of indirect measurements of cardiac function (like indices derived from the duration of segments of the cardiac cycle) with current examples of their application.

Use of an indirect enzyme-linked immunosorbent assay for detection of antibodies in sheep naturally infected with Salmonella Abortusovis

An indirect enzyme-linked immunosorbent assay (ELISA) was modified and validated to detect antibodies against Salmonella Abortusovis in naturally infected sheep. The ELISA was validated with 44 positive and 45 negative control serum samples. Compared with the immunoblot, the sensitivity and specificity of the assay were 98% and 100%, respectively. To follow antibody levels over time, samples from 12 infected ewes were collected at 1, 3, and 10 months after abortion. All animals showed antibody levels above the cutoff value throughout the observation period. One and 3 months after abortion, high antibody levels could be detected in all but one animal, whereas after 10 months, 9 animals had markedly lower but still positive antibody levels. The test characteristics and evidence for the persistence of detectable antibody levels in all infected animals for up to 10 months indicates that the ELISA can be used for herd surveillance testing.

Tributary and Mainstem Benthic Macroinvertebrate Communities Linked By Direct Dispersal and Indirect Habitat Alteration

Benthic communities in tributary-mainstem networks might interact via downstream drift of invertebrates or material from tributaries and adult dispersal from the mainstem. Depending on the strength of these interactions, mainstem downstream communities are expected to be more similar to tributary communities due to drift or habitat alteration. Communities not connected by flow are expected to be similar due to adult dispersal but decreasing in similarity with distance from the mainstem. We investigated interactions between invertebrate communities of a 7th order river and 5th order tributary by comparing benthic community structure in the river upstream and downstream of the tributary confluence and upstream in the tributary. Non-metric multidimensional scaling showed invertebrate communities and habitat traits from river locations directly downstream of the tributary clustered tightly, intermediate between tributary and mid-channel river locations. In addition, Bray-Curtis dissimilarity increased between the mainstem and tributary with distance upstream in the tributary. Our results indicate that similarities between mainstem and tributary communities are potentially caused by direct mass effects from tributary to downstream mainstem communities by invertebrate drift and indirect mass effects by habitat restructuring via material delivery from the tributary, as well as potential effects of adult dispersal from the river on proximal tributary communities.

Efficacy of drug eluting stents in patients with and without diabetes mellitus: indirect comparison of controlled trials

To examine whether polymer based coronary stents eluting sirolimus or paclitaxel are equally effective in patients with and without diabetes.

Semiparametric Estimation of Models for Natural Direct and Indirect Effects

In recent years, researchers in the health and social sciences have become increasingly interested in mediation analysis. Specifically, upon establishing a non-null total effect of an exposure, investigators routinely wish to make inferences about the direct (indirect) pathway of the effect of the exposure not through (through) a mediator variable that occurs subsequently to the exposure and prior to the outcome. Natural direct and indirect effects are of particular interest as they generally combine to produce the total effect of the exposure and therefore provide insight on the mechanism by which it operates to produce the outcome. A semiparametric theory has recently been proposed to make inferences about marginal mean natural direct and indirect effects in observational studies (Tchetgen Tchetgen and Shpitser, 2011), which delivers multiply robust locally efficient estimators of the marginal direct and indirect effects, and thus generalizes previous results for total effects to the mediation setting. In this paper we extend the new theory to handle a setting in which a parametric model for the natural direct (indirect) effect within levels of pre-exposure variables is specified and the model for the observed data likelihood is otherwise unrestricted. We show that estimation is generally not feasible in this model because of the curse of dimensionality associated with the required estimation of auxiliary conditional densities or expectations, given high-dimensional covariates. We thus consider multiply robust estimation and propose a more general model which assumes a subset but not all of several working models holds.

Effects of a 6-Week Jump Training Program Combined with Two Lifting Programs

We evaluated the effects of a 6-week jump training program on 12 college basketball players using strength training programs. The Leg Press (LP) group participated in a strength program using the leg press, and the Power Clean group (PC) used the power clean exercise instead of the leg press. Both groups participated in a 6-week jump training program. Pre-program measurements recorded jump scores for one-foot take off and two-foot take offs. The LP group had an average pre-program vertical of 72.60 and 88.05 cm for the 2-foot and 1-foot take-off for an increase of about 1.7 cm. The PC group had an average post-program vertical of 76.2 cm for the 2-foot take-off for an increase of 3.6 cm, and 90.81 cm for the 1-foot take-off for an increase of about 2.75 cm. The comparison of average increases between the LP and PC groups was not significant for either the 2-foot or 1-foot take off.