A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Diffusion with delayed informational spillovers

I study the relation between the delay in the transmission of spilloversof information and diffusion. When a firm enters or innovates it benefitsfrom the information it gets by observing past entry. Delays in the processof receiving the information reduce the benefits of the spillover and affectthe entry process.I derive the effects this delay has on diffusion, on the dynamics of priceand cost of entry, and on efficiency. I explain why, when spillovers ofinformation are delayed, a zero profit condition requires an initial set ofentrants bigger than zero. I also illustrate how an S-shaped diffusion curvecan be generated. I show that competitive equilibrium entails a slowergeneration of information relative to the social optimum and how a socialplanner can improve efficiency.

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

The growth and diffusion of knowlegde and the theory of the firm

We analyze the implications of a market imperfection related to the inability to establish intellectual property rights, that we label {\it unverifiable communication}. Employees are able to collude with external parties selling ``knowledge capital'' of the firm. The firm organizer engages in strategic interaction simultaneously with employees and competitors, as she introduces endogenous transaction costs in the market for information between those agents. Incentive schemes and communication costs are the key strategic variables used by the firm to induce frictions in collusive markets. Unverifiable communication introduces severe allocative distortions, both at internal product development and at intended sale of information (technology transfer). We derive implications of the model for observable decisions like characteristics of the employment relationship (full employment, incompatibility with other jobs), firms' preferences over cluster characteristics for location decisions, optimal size at entry, in--house development vs sale strategies for innovations and industry evolution.

Fick's law adapted to cationic diffusion in a semi-infinite solid: application to spinel megacrystals

In alkaline lavas, the chemical zoning of megacrystals of spinel is due to the cationic exchange between the latter and the host lava. The application of Fick's law to cationic diffusion profiles allows to calculate the time these crystals have stayed in the lava. Those which are in a chemical equilibrium were in contact with the lava during 20 to 30 days, whereas megacrystals lacking this equilibrium were in contact only for 3 or 4 days. The duration of the rise of an ultrabasic nodule in the volcanic chimney was calculated by applying Stokes' law.

Quantitative Assessment of T1 Relaxation and Diffusion as a Prognostic Tool for Brain Development: A Longitudinal Preliminary Study on Preterm Babies

BACKGROUND: Despite major advances in care of premature infants, survivors exhibit mild cognitive deficits in around 40%. Beside severe intraventricular haemorrhages (IVH) and cystic periventricular leucomalacia (PVL), more subtle patterns such as grade I and II IVH, punctuate WM lesions and diffuse PVL might be linked to the cognitive deficits. Grey matter disease is also recognized to contribute to long-term cognitive impairment.¦OBJECTIVE: We intend to use novel MR techniques to study more precisely the different injury patterns. In particular MP2RAGE (magnetization prepared dual rapid echo gradient) produces high-resolution quantitative T1 relaxation maps. This contrast is known to reflect tissue anomalies such as white matter injury in general and dysmyelination in particular. We also used diffusion tensor imaging, a quantitative technique known to reflect white matter maturation and disease.¦DESIGN/METHODS: All preterm infants born under 30 weeks of GA were included. Serial 3T MR-imaging using a neonatal head-coil at DOL 3, 10 and at term equivalent age (TEA), using DTI and MP2RAGE sequences was performed. MP2RAGE generates a T1 map and allows calculating the relaxation time T1. Multiple measurements were performed for each exam in 12 defined white and grey matter ROIs.¦RESULTS: 16 patients were recruited: mean GA 27 2/7 w (191,2d SD±10,8), mean BW 999g (SD±265). 39 MRIs were realized (12 early: mean 4,83d±1,75, 13 late: mean 18,77d±8,05 and 14 at TEA: 88,91d±8,96). Measures of relaxation time T1 show a gradual and significant decrease over time (for ROI PLIC mean±SD in ms: 2100.53±102,75, 2116,5±41,55 and 1726,42±51,31 and for ROI central WM: 2302,25±79,02, 2315,02±115,02 and 1992,7±96,37 for early, late and TEA MR respectively). These trends are also observed in grey matter area, especially in thalamus. Measurements of ADC values show similar monotonous decrease over time.¦CONCLUSIONS: From these preliminary results, we conclude that quantitative MR imaging in very preterm infants is feasible. On the successive MP2RAGE and DTI sequences, we observe a gradual decrease over time in the described ROIs, representing the progressive maturation of the WM micro-structure and interestingly the same evolution is observed in the grey matter. We speculate that our study will provide normative values for T1map and ADC and might be a predictive factor for favourable or less favourable outcome.

Comparative testing of a miniature diffusion size classifier to assess airborne ultrafine particles under field conditions

Miniature diffusion size classifiers (miniDiSC) are novel handheld devices to measure ultrafine particles (UFP). UFP have been linked to the development of cardiovascular and pulmonary diseases; thus, detection and quantification of these particles are important for evaluating their potential health hazards. As part of the UFP exposure assessments of highwaymaintenance workers in western Switzerland, we compared a miniDiSC with a portable condensation particle counter (P-TRAK). In addition, we performed stationary measurements with a miniDiSC and a scanning mobility particle sizer (SMPS) at a site immediately adjacent to a highway. Measurements with miniDiSC and P-TRAK correlated well (correlation of r = 0.84) but average particle numbers of the miniDiSC were 30%âeuro"60% higher. This difference was significantly increased for mean particle diameters below 40 nm. The correlation between theminiDiSC and the SMPSduring stationary measurements was very high (r = 0.98) although particle numbers from the miniDiSC were 30% lower. Differences between the three devices were attributed to the different cutoff diameters for detection. Correction for this size dependent effect led to very similar results across all counters.We did not observe any significant influence of other particle characteristics. Our results suggest that the miniDiSC provides accurate particle number concentrations and geometric mean diameters at traffic-influenced sites, making it a useful tool for personal exposure assessment in such settings.

Imagerie de diffusion hépatique : facteurs prédictifs du « T2 shine-through effect » dans l'hémangiome hépatique.

Objectifs: Déterminer la fréquence et les facteurs prédictifs de l'effet T2 shine-through (T2st) dans l'hémangiome hépatique (HH). Matériels et méthodes: Entre janvier 2010 et novembre 2011, l'imagerie par résonance magnétique (IRM) du foie de 149 patients avec 400 HH a été revue rétrospectivement. Les caractéristiques lésionnelles : taille, localisation, signal et aspect en T1, T2 et diffusion, T2st, coefficient apparent de diffusion de l'HH et du foie (ADChh et ADCf) et type de rehaussement ont été évalués. Résultats: Le T2st était observé dans 53 % des HH. Sa présence était corrélée positivement avec la taille (p=0,046) et négativement avec ADChh et ADCf (p<0,0001, p=0,021). Le T2st était plus fréquent dans le lobe gauche vs droit (p=0,038), et dans les HH typiques (hypersignal T2 et rehaussement en mottes, p=0,0043). L'analyse multivariée retrouvait comme facteurs indépendants de la présence d'un T2st : ADChh et le type de rehaussement. Conclusion: Le T2st est fréquemment observé dans les HH et notamment les formes typiques. Sa présence ne remet pas en question le diagnostic dans les formes typiques.

Taking "Galton's problem" Seriously : Towards a Theory of Policy Diffusion

This article builds on the recent policy diffusion literature and attempts to overcome one of its major problems, namely the lack of a coherent theoretical framework. The literature defines policy diffusion as a process where policy choices are interdependent, and identifies several diffusion mechanisms that specify the link between the policy choices of the various actors. As these mechanisms are grounded in different theories, theoretical accounts of diffusion currently have little internal coherence. In this article we put forward an expected-utility model of policy change that is able to subsume all the diffusion mechanisms. We argue that the expected utility of a policy depends on both its effectiveness and the payoffs it yields, and we show that the various diffusion mechanisms operate by altering these two parameters. Each mechanism affects one of the two parameters, and does so in distinct ways. To account for aggregate patterns of diffusion, we embed our model in a simple threshold model of diffusion. Given the high complexity of the process that results, strong analytical conclusions on aggregate patterns cannot be drawn without more extensive analysis which is beyond the scope of this article. However, preliminary considerations indicate that a wide range of diffusion processes may exist and that convergence is only one possible outcome.

Brownian dynamics simulation of DNA condensation.

DNA condensation observed in vitro with the addition of polyvalent counterions is due to intermolecular attractive forces. We introduce a quantitative model of these forces in a Brownian dynamics simulation in addition to a standard mean-field Poisson-Boltzmann repulsion. The comparison of a theoretical value of the effective diameter calculated from the second virial coefficient in cylindrical geometry with some experimental results allows a quantitative evaluation of the one-parameter attractive potential. We show afterward that with a sufficient concentration of divalent salt (typically approximately 20 mM MgCl(2)), supercoiled DNA adopts a collapsed form where opposing segments of interwound regions present zones of lateral contact. However, under the same conditions the same plasmid without torsional stress does not collapse. The condensed molecules present coexisting open and collapsed plectonemic regions. Furthermore, simulations show that circular DNA in 50% methanol solutions with 20 mM MgCl(2) aggregates without the requirement of torsional energy. This confirms known experimental results. Finally, a simulated DNA molecule confined in a box of variable size also presents some local collapsed zones in 20 mM MgCl(2) above a critical concentration of the DNA. Conformational entropy reduction obtained either by supercoiling or by confinement seems thus to play a crucial role in all forms of condensation of DNA.

A receptor-like kinase mutant with absent endodermal diffusion barrier displays selective nutrient homeostasis defects.

The endodermis represents the main barrier to extracellular diffusion in plant roots, and it is central to current models of plant nutrient uptake. Despite this, little is known about the genes setting up this endodermal barrier. In this study, we report the identification and characterization of a strong barrier mutant, schengen3 (sgn3). We observe a surprising ability of the mutant to maintain nutrient homeostasis, but demonstrate a major defect in maintaining sufficient levels of the macronutrient potassium. We show that SGN3/GASSHO1 is a receptor-like kinase that is necessary for localizing CASPARIAN STRIP DOMAIN PROTEINS (CASPs)--major players of endodermal differentiation--into an uninterrupted, ring-like domain. SGN3 appears to localize into a broader band, embedding growing CASP microdomains. The discovery of SGN3 strongly advances our ability to interrogate mechanisms of plant nutrient homeostasis and provides a novel actor for localized microdomain formation at the endodermal plasma membrane.

Lateral condyle fracture of the humerus in children treated with bioabsorbable materials

Les fractures du condyle externe de l'enfant sont un traumatisme relativement fréquent qui survient le plus souvent chez l'enfant entre 5 et 15 ans. Elles sont classées en 3 grades : le grade 1 sans déplacement qui peuvent être traitées conservativement et les grades 2 (déplacées) et 3 (disloquées) qui nécessitent une prise en charge chirurgicale par réduction ouverte et embrochage. Le traitement traditionnel de ces fractures consistent en la mise en place de broches/vis métalliques qui doivent être retirées quelques semaines plus tard lors d'une seconde intervention. Depuis les années 90, des matériaux bio-résorbables à base d'acide polyglycoliques sont apparus en chirurgie orthopédique et traumatologique. En raison de la survenue de complications telles que réactions inflammatoires, formation de séromes ou ostéolyse, l'utilisation du matériel conventionnel a été préférée. Cependant, depuis quelques années, de nouveaux matériaux en acide polylactique sont apparus sur le marché. La période de résorption étant beaucoup plus lente, ces matériaux induisent des réactions beaucoup plus faibles, sans conséquences cliniques relevées jusqu'à présent. Chez l'adulte, de récentes études ont prouvés l'efficacité et l'absence d'effets secondaires liés à ces matériaux. Par contre, chez l'enfant, peu d'études à moyen terme ont été réalisées et l'impact sur l'os en croissance est peu connu, même si pour l'heure aucune conséquence clinique n'a été relevée. Dans le cadre de notre étude, nous avons comparé 2 groupes d'enfants traités pour des fractures du condyle externe du coude. Le premier groupe traité par du matériel conventionnel et le second par matériel résorbable. Les enfants ont tous étés suivis de manière très étroite durant la première année et la récupération clinique est similaire pour les 2 groupes. A 4 ans du traumatisme, les résultats fonctionnels sont identiques pour les 2 groupes et aucune complication liée au matériel résorbable n'a été mise en évidence. Par ailleurs, à 1 et 4 ans, les clichés radiologiques montrent l'absence de lésions liées au matériel résorbable. En conclusion, dans le cadre de notre travail nous avons pu montrer l'efficacité des matériaux résorbables dans la prise en charge des fractures du condyle externe du coude chez l'enfant. Ces matériaux permettent d'optimiser la prise en charge de ce type de fracture en prévenant un risque opératoire et anesthésique liés à une seconde intervention nécessaire au retrait du matériel d'ostéosynthèse conventionnel. Par ailleurs le coût lié à la prise en charge globale de ce type de fracture est moindre lors de l'utilisation de matériel résorbable.

Diffusion-weighted spectroscopy: a novel approach to determine macromolecule resonances in short-echo time 1H-MRS.

Quantification of short-echo time proton magnetic resonance spectroscopy results in >18 metabolite concentrations (neurochemical profile). Their quantification accuracy depends on the assessment of the contribution of macromolecule (MM) resonances, previously experimentally achieved by exploiting the several fold difference in T(1). To minimize effects of heterogeneities in metabolites T(1), the aim of the study was to assess MM signal contributions by combining inversion recovery (IR) and diffusion-weighted proton spectroscopy at high-magnetic field (14.1 T) and short echo time (= 8 msec) in the rat brain. IR combined with diffusion weighting experiments (with δ/Δ = 1.5/200 msec and b-value = 11.8 msec/μm(2)) showed that the metabolite nulled spectrum (inversion time = 740 msec) was affected by residuals attributed to creatine, inositol, taurine, choline, N-acetylaspartate as well as glutamine and glutamate. While the metabolite residuals were significantly attenuated by 50%, the MM signals were almost not affected (< 8%). The combination of metabolite-nulled IR spectra with diffusion weighting allows a specific characterization of MM resonances with minimal metabolite signal contributions and is expected to lead to a more precise quantification of the neurochemical profile.