Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Histoire littéraire de la France au quatorzième siècle. Discours sur l'état des lettres. Discours sur l'état des beaux-arts. T. 1 / par Victor Le Clerc... ; par Ernest Renan...

Comprend : Discours sur l'état des lettres ; Discours sur l'état des beaux-arts

Histoire littéraire de la France au quatorzième siècle. Discours sur l'état des lettres. Discours sur l'état des beaux-arts. T. 2 / par Victor Le Clerc... ; par Ernest Renan...

Comprend : Discours sur l'état des lettres ; Discours sur l'état des beaux-arts

Molecular and immunological evaluation of the expression of cancer/testis gene products in human colorectal cancer.

Tumor-specific gene products, such as cancer/testis (CT) antigens, constitute promising targets for the development of T cell vaccines. Whereas CT antigens are frequently expressed in melanoma, their expression in colorectal cancers (CRC) remains poorly characterized. Here, we have studied the expression of the CT antigens MAGE-A3, MAGE-A4, MAGE-A10, NY-ESO-1 and SSX2 in CRC because of the presence of well-described HLA-A2-restricted epitopes in their sequences. Our analyses of 41 primary CRC and 14 metastatic liver lesions confirmed the low frequency of expression of these CT antigens. No increased expression frequencies were observed in metastatic tumors compared to primary tumors. Histological analyses of CRC samples revealed heterogeneous expression of individual CT antigens. Finally, evidence of a naturally acquired CT antigen-specific CD8(+) T cell response could be demonstrated. These results show that the expression of CT antigens in a subset of CRC patients induces readily detectable T cell responses.

Distortion theorems for quasiconformal mappings

L'any 1994, Astala publicà el reconegut teorema de distorió de l'àrea per aplicacions quasiconformes, un resultat innovador que va permetre que n'apareguessin nombrosos més dins d'aquest camp de l'anàlisi durant la darrera dècada. Ens centrem en les conseqüències que té en la distorsió de la mesura de Hausdorff. Seguim la demostració de Lacey, Sawyer i Uriarte-Tuero per la distorsió del contingut de Hausdorff, clarificant-ne alguns punts i canviant l'enfocament per l'acotació de la transformada de Beurling, on prenem les idees d'Astala, Clop, Tolsa, Uriarte-Tuero i Verdera.

Efficacy of prescribed injectable diacetylmorphine in the Andalusian trial: Bayesian analysis of responders and non-responders according to a multi domain outcome index.

BACKGROUND The objective of this research was to evaluate data from a randomized clinical trial that tested injectable diacetylmorphine (DAM) and oral methadone (MMT) for substitution treatment, using a multi-domain dichotomous index, with a Bayesian approach. METHODS Sixty two long-term, socially-excluded heroin injectors, not benefiting from available treatments were randomized to receive either DAM or MMT for 9 months in Granada, Spain. Completers were 44 and data at the end of the study period was obtained for 50. Participants were determined to be responders or non responders using a multi-domain outcome index accounting for their physical and mental health and psychosocial integration, used in a previous trial. Data was analyzed with Bayesian methods, using information from a similar study conducted in The Netherlands to select a priori distributions. On adding the data from the present study to update the a priori information, the distribution of the difference in response rates were obtained and used to build credibility intervals and relevant probability computations. RESULTS In the experimental group (n = 27), the rate of responders to treatment was 70.4% (95% CI 53.287.6), and in the control group (n = 23), it was 34.8% (95% CI 15.354.3). The probability of success in the experimental group using the a posteriori distributions was higher after a proper sensitivity analysis. Almost the whole distribution of the rates difference (the one for diacetylmorphine minus methadone) was located to the right of the zero, indicating the superiority of the experimental treatment. CONCLUSION The present analysis suggests a clinical superiority of injectable diacetylmorphine compared to oral methadone in the treatment of severely affected heroin injectors not benefiting sufficiently from the available treatments. TRIAL REGISTRATION Current Controlled Trials ISRCTN52023186.

Efficacy and safety of acupuncture for the treatment of non-specific acute low back pain: a randomised controlled multicentre trial protocol [ISRCTN65814467]

BACKGROUND Low back pain and its associated incapacitating effects constitute an important healthcare and socioeconomic problem, as well as being one of the main causes of disability among adults of working age. The prevalence of non-specific low back pain is very high among the general population, and 60-70% of adults are believed to have suffered this problem at some time. Nevertheless, few randomised clinical trials have been made of the efficacy and efficiency of acupuncture with respect to acute low back pain. The present study is intended to assess the efficacy of acupuncture for acute low back pain in terms of the improvement reported on the Roland Morris Questionnaire (RMQ) on low back pain incapacity, to estimate the specific and non-specific effects produced by the technique, and to carry out a cost-effectiveness analysis. METHODS/DESIGN Randomised four-branch controlled multicentre prospective study made to compare semi-standardised real acupuncture, sham acupuncture (acupuncture at non-specific points), placebo acupuncture and conventional treatment. The patients are blinded to the real, sham and placebo acupuncture treatments. Patients in the sample present symptoms of non specific acute low back pain, with a case history of 2 weeks or less, and will be selected from working-age patients, whether in paid employment or not, referred by General Practitioners from Primary Healthcare Clinics to the four clinics participating in this study. In order to assess the primary and secondary result measures, the patients will be requested to fill in a questionnaire before the randomisation and again at 3, 12 and 48 weeks after starting the treatment. The primary result measure will be the clinical relevant improvement (CRI) at 3 weeks after randomisation. We define CRI as a reduction of 35% or more in the RMQ results. DISCUSSION This study is intended to obtain further evidence on the effectiveness of acupuncture on acute low back pain and to isolate the specific and non-specific effects of the treatment.

Pregnancy-induced chromatin remodeling in the breast of postmenopausal women.

Early pregnancy and multiparity are known to reduce the risk of women to develop breast cancer at menopause. Based on the knowledge that the differentiation of the breast induced by the hormones of pregnancy plays a major role in this protection, this work was performed with the purpose of identifying what differentiation-associated molecular changes persist in the breast until menopause. Core needle biopsies (CNB) obtained from the breast of 42 nulliparous (NP) and 71 parous (P) postmenopausal women were analyzed in morphology, immunocytochemistry and gene expression. Whereas in the NP breast, nuclei of epithelial cells were large and euchromatic, in the P breast they were small and hyperchromatic, showing strong methylation of histone 3 at lysine 9 and 27. Transcriptomic analysis performed using Affymetrix HG_U133 oligonucleotide arrays revealed that in CNB of the P breast, there were 267 upregulated probesets that comprised genes controlling chromatin organization, transcription regulation, splicing machinery, mRNA processing and noncoding elements including XIST. We concluded that the differentiation process induced by pregnancy is centered in chromatin remodeling and in the mRNA processing reactome, both of which emerge as important regulatory pathways. These are indicative of a safeguard step that maintains the fidelity of the transcription process, becoming the ultimate mechanism mediating the protection of the breast conferred by full-term pregnancy.