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).

Diffusion-weighted MR imaging of native and transplanted kidneys

Applications of diffusion-weighted (DW) magnetic resonance (MR) imaging outside the brain have gained increasing importance in recent years. Owing to technical improvements in MR imaging units and faster sequences, the need for noninvasive imaging without contrast medium administration, mainly in patients with renal insufficiency, can be met successfully by applying this technique. DW MR imaging is quantified by the apparent diffusion coefficient (ADC), which provides information on diffusion and perfusion simultaneously. By using a biexponential fitting process of the DW MR imaging data, these two entities can be separated, because this type of fitting process can serve as an estimate of both the perfusion fraction and the true diffusion coefficient. DW MR imaging can be applied for functional evaluation of the kidneys in patients with acute or chronic renal failure. Impairment of renal function is accompanied by a decreased ADC. Acute ureteral obstruction leads to perfusion and diffusion changes in the affected kidney, and renal artery stenosis results in a decreased ADC. In patients with pyelonephritis, diffuse or focal changes in signal intensity are seen on the high-b-value images, with increased signal intensity corresponding to low signal intensity on the ADC map. The feasibility and reproducibility of DW MR imaging in patients with transplanted kidneys have already been demonstrated, and initial results seem to be promising for the assessment of allograft deterioration. Overall, performance of renal DW MR imaging, presuming that measurements are of high quality, will further boost this modality, particularly for early detection of diffuse renal conditions, as well as more accurate characterization of focal renal lesions.

Bundling Strategies When Products Are Vertically Differentiated and Capacities Are Limited

We consider a seller who owns two capacity-constrained resources and markets two products (components) corresponding to these resources as well as a bundle comprising the two components. In an environment where all customers agree that one of the two components is of higher quality than the other and that the bundle is of the highest quality, we derive the seller's optimal bundling strategy. We demonstrate that the optimal solution depends on the absolute and relative availabilities of the two resources as well as upon the extent of subadditivity of the quality of the products. The possible strategies that can arise as equilibrium behavior include a pure components strategy, a partial- or full-spectrum mixed bundling strategy, and a pure bundling strategy, where the latter strategy is optimal when capacities are unconstrained. These conclusions are contrary to findings in the prior literature on bundling that demonstrated the unambiguous dominance of the full-spectrum mixed bundling strategy. Thus, our work expands the frontier of bundling to an environment with vertically differentiated components and limited resources. We also explore how the bundling strategies change as we introduce an element of horizontal differentiation wherein different types of customers value the available components differently.

INTERPOLATING BLASCHKE PRODUCTS AND ANGULAR DERIVATIVES

We show that to each inner function, there corresponds at least one interpolating Blaschke product whose angular derivatives have precisely the same behavior as the given inner function. We characterize the Blaschke products invertible in the closed algebra H-infinity[(b) over bar : b has finite angular derivative everywhere. We study the most well-known example of a Blaschke product with infinite angular derivative everywhere and show that it is an interpolating Blaschke product. We conclude the paper with a method for constructing thin Blaschke products with infinite angular derivative everywhere.

Interpolating Blaschke Products and Angular Derivatives

We show that to each inner function, there corresponds at least one interpolating Blaschke product whose angular derivatives have precisely the same behavior as the given inner function. We characterize the Blaschke products invertible in the closed algebra generated by the algebra of bounded analytic functions and the conjugates of Blaschke products with angular derivative finite everywhere. We study the most well-known example of a Blaschke product with infinite angular derivative everywhere and show that it is an interpolating Blaschke product. We conclude the paper with a method for constructing thin Blaschke products with infinite angular derivative everywhere.

Fecal carriage of extended-spectrum beta-lactamase-producing Enterobacteriaceae in swine and cattle at slaughter in Switzerland

During the past decade, extended-spectrum beta-lactamase (ESBL)-producing Enterobacteriaceae have become a matter of great concern in human medicine. ESBL-producing strains are found in the community, not just in hospital-associated patients, which raises a question about possible reservoirs. Recent studies describe the occurrence of ESBL-producing Enterobacteriaceae in meat, fish, and raw milk; therefore, the impact of food animals as reservoirs for and disseminators of such strains into the food production chain must be assessed. In this pilot study, fecal samples of 59 pigs and 64 cattle were investigated to determine the occurrence of ESBL-producing Enterobacteriaceae in farm animals at slaughter in Switzerland. Presumptive-positive colonies on Brilliance ESBL agar were subjected to identification and antibiotic susceptibility testing including the disc diffusion method and E-test ESBL strips. As many as 15.2% of the porcine and 17.1% of the bovine samples, predominantly from calves, yielded ESBL producers. Of the 21 isolated strains, 20 were Escherichia coli, and one was Citrobacter youngae. PCR analysis revealed that 18 strains including C. youngae produced CTX-M group 1 ESBLs, and three strains carried genes encoding for CTX-M group 9 enzymes. In addition, eight isolates were PCR positive for TEM beta-lactamase, but no bla(SHV) genes were detected. Pulsed-field gel electrophoresis showed a high genetic diversity within the strains. The relatively high rates of occurrence of ESBLproducing strains in food animals and the high genetic diversity among these strains indicate that there is an established reservoir of these organisms in farm animals. Further studies are necessary to assess future trends.

Therapy response with diffusion MRI: an update

The efficiency of an oncological treatment regimen is often assessed by morphological criteria such as tumour size evaluated by cross-sectional imaging, or by laboratory measurements of plasma biomarkers. Because these types of measures typically allow for assessment of treatment response several weeks or even months after the start of therapy, earlier response assessment that provides insight into tumour function is needed. This is particularly urgent for the evaluation of newer targeted therapies and for fractionated therapies that are delivered over a period of weeks to allow for a change of treatment in non-responding patients. Diffusion-weighted MRI (DW-MRI) is a non-invasive imaging tool that does not involve radiation or contrast media, and is sensitive to tissue microstructure and function on a cellular level. DW-MRI parameters have shown sensitivity to treatment response in a growing number of tumour types and organ sites, with additional potential as predictive parameters for treatment outcome. A brief overview of DW-MRI principles is provided here, followed by a review of recent literature in which DW-MRI has been used to monitor and predict tumour response to various therapeutic regimens.

Spinal Cord Diffusion-Tensor Imaging and Motor-evoked Potentials in Multiple Sclerosis Patients: Microstructural and Functional Asymmetry

Purpose: To assess possible association between intrinsic structural damage and clinical disability by correlating spinal cord diffusion-tensor (DT) imaging data with electrophysiological parameters in patients with a diagnosis of multiple sclerosis (MS). Materials and Methods: This study was approved by the local ethical committee according to the declaration of Helsinki and written informed consent was obtained. DT images and T1- and T2-weighted images of the spinal cord were acquired in 28 healthy volunteers and 41 MS patients. Fractional anisotropy (FA) and apparent diffusion coefficients were evaluated in normal-appearing white matter (NAWM) at the cervical level and were correlated with motor-evoked potentials (n = 34). Asymmetry index was calculated for FA values with corresponding left and right regions of interest as percentage of the absolute difference between these values relative to the sum of the respective FA values. Statistical analysis included Spearman rank correlations, Mann-Whitney test, and reliability analysis. Results: Healthy volunteers had low asymmetry index (1.5%-2.2%). In MS patients, structural abnormalities were reflected by asymmetric decrease of FA (asymmetry index: 3.6%; P = .15). Frequently asymmetrically affected among MS patients was left and right central motor conduction time (CMCT) to abductor digiti minimi muscle (ADMM) (asymmetry index, 15%-16%) and tibialis anterior muscle (TAM) (asymmetry index, 9.5%-14.1%). Statistically significant correlations of functional (ie, electrophysiological) and structural (ie, DT imaging) asymmetries were found (P = .005 for CMCT to ADMM; P = .007 for CMCT to TAM) for the cervical lateral funiculi, which comprise the crossed pyramidal tract. Interobserver reliability for DT imaging measurements was excellent (78%-87%). Conclusion: DT imaging revealed asymmetric anatomic changes in spinal cord NAWM, which corresponded to asymmetric electrophysiological deficits for both arms and legs, and reflected a specific structure-function relationship in the human spinal cord. © RSNA, 2013.

Diffusion-driven transport in clayrock formations

Clay mineral-rich sedimentary formations are currently under investigation to evaluate their potential use as host formations for installation of deep underground disposal facilities for radioactive waste (e.g. Boom Clay (BE), Opalinus Clay (CH), Callovo-Oxfordian argillite (FR)). The ultimate safety of the corresponding repository concepts depends largely on the capacity of the host formation to limit the flux towards the biosphere of radionuclides (RN) contained in the waste to acceptably low levels. Data for diffusion-driven transfer in these formations shows extreme differences in the measured or modelled behaviour for various radionuclides, e. g. between halogen RN (Cl-36, I-129) and actinides (U-238,U-235, Np-237, Th-232, etc.), which result from major differences between RN of the effects on transport of two phenomena: diffusion and sorption. This paper describes recent research aimed at improving understanding of these two phenomena, focusing on the results of studies carried out during the EC Funmig IP on clayrocks from the above three formations and from the Boda formation (HU). Project results regarding phenomena governing water, cation and anion distribution and mobility in the pore volumes influenced by the negatively-charged surfaces of clay minerals show a convergence of the modelling results for behaviour at the molecular scale and descriptions based on electrical double layer models. Transport models exist which couple ion distribution relative to the clay-solution interface and differentiated diffusive characteristics. These codes are able to reproduce the main trends in behaviour observed experimentally, e.g. D-e(anion) < D-e(HTO) < D-e(cation) and D-e(anion) variations as a function of ionic strength and material density. These trends are also well-explained by models of transport through ideal porous matrices made up of a charged surface material. Experimental validation of these models is good as regards monovalent alkaline cations, in progress for divalent electrostatically-interacting cations (e.g. Sr2+) and still relatively poor for 'strongly sorbing', high K-d cations. Funmig results have clarified understanding of how clayrock mineral composition, and the corresponding organisation of mineral grain assemblages and their associated porosity, can affect mobile solute (anions, HTO) diffusion at different scales (mm to geological formation). In particular, advances made in the capacity to map clayrock mineral grain-porosity organisation at high resolution provide additional elements for understanding diffusion anisotropy and for relating diffusion characteristics measured at different scales. On the other hand, the results of studies focusing on evaluating the potential effects of heterogeneity on mobile species diffusion at the formation scale tend to show that there is a minimal effect when compared to a homogeneous property model. Finally, the results of a natural tracer-based study carried out on the Opalinus Clay formation increase confidence in the use of diffusion parameters measured on laboratory scale samples for predicting diffusion over geological time-space scales. Much effort was placed on improving understanding of coupled sorption-diffusion phenomena for sorbing cations in clayrocks. Results regarding sorption equilibrium in dispersed and compacted materials for weakly to moderately sorbing cations (Sr2+, Cs+, Co2+) tend to show that the same sorption model probably holds in both systems. It was not possible to demonstrate this for highly sorbing elements such as Eu(III) because of the extremely long times needed to reach equilibrium conditions, but there does not seem to be any clear reason why such elements should not have similar behaviour. Diffusion experiments carried out with Sr2+, Cs+ and Eu(III) on all of the clayrocks gave mixed results and tend to show that coupled diffusion-sorption migration is much more complex than expected, leading generally to greater mobility than that predicted by coupling a batch-determined K-d and Ficks law based on the diffusion behaviour of HTO. If the K-d measured on equivalent dispersed systems holds as was shown to be the case for Sr, Cs (and probably Co) for Opalinus Clay, these results indicate that these cations have a D-e value higher than HTO (up to a factor of 10 for Cs+). Results are as yet very limited for very moderate to strongly sorbing species (e.g. Co(II), Eu(III), Cu(II)) because of their very slow transfer characteristics. (C) 2011 Elsevier Ltd. All rights reserved.

Cerebral connectivity and psychotic personality traits : A diffusion tensor imaging study

This study aims to investigate the relationship between regional connectivity in the brain white matter and the presence of psychotic personality traits, in healthy subjects with psychotic traits. Thirteen healthy controls were administered the MMPI-2, to assess psychotic traits and, according to MMPI results, a dichotomization into a group of "high-psychotic" and "low-psychotic" was performed. Diffusion tensor imaging (DTI) was used as a non-invasive measure, in order to obtain information about the fractional anisotropy (FA), an intravoxel index of local connectivity and, by means of a voxelwise approach, the between-group differences of the FA values were calculated. The "high-psychotic" group showed higher FA in the left arcuate fasciculus. Subjects with low scores for psychotic traits had significantly higher FA in the corpus callosum, right arcuate fasciculus, and fronto-parietal fibers. In line with previous brain imaging studies of schizophrenia spectrum disorders, our results suggest that psychotic personality traits are related to altered connectivity and brain asymmetry.

Compressed sensing based cyclic feature spectrum sensing for cognitive radios

Spectrum sensing is currently one of the most challenging design problems in cognitive radio. A robust spectrum sensing technique is important in allowing implementation of a practical dynamic spectrum access in noisy and interference uncertain environments. In addition, it is desired to minimize the sensing time, while meeting the stringent cognitive radio application requirements. To cope with this challenge, cyclic spectrum sensing techniques have been proposed. However, such techniques require very high sampling rates in the wideband regime and thus are costly in hardware implementation and power consumption. In this thesis the concept of compressed sensing is applied to circumvent this problem by utilizing the sparsity of the two-dimensional cyclic spectrum. Compressive sampling is used to reduce the sampling rate and a recovery method is developed for re- constructing the sparse cyclic spectrum from the compressed samples. The reconstruction solution used, exploits the sparsity structure in the two-dimensional cyclic spectrum do-main which is different from conventional compressed sensing techniques for vector-form sparse signals. The entire wideband cyclic spectrum is reconstructed from sub-Nyquist-rate samples for simultaneous detection of multiple signal sources. After the cyclic spectrum recovery two methods are proposed to make spectral occupancy decisions from the recovered cyclic spectrum: a band-by-band multi-cycle detector which works for all modulation schemes, and a fast and simple thresholding method that works for Binary Phase Shift Keying (BPSK) signals only. In addition a method for recovering the power spectrum of stationary signals is developed as a special case. Simulation results demonstrate that the proposed spectrum sensing algorithms can significantly reduce sampling rate without sacrifcing performance. The robustness of the algorithms to the noise uncertainty of the wireless channel is also shown.

Upregulation of alpha-skeletal muscle actin and myosin heavy polypeptide gene products in degenerating rotator cuff muscles

Impaired function of shoulder muscles, resulting from rotator cuff tears, is associated with abnormal deposition of fat in muscle tissue, but corresponding cellular and molecular mechanisms, likely reflected by altered gene expression profiles, are largely unknown. Here, an analysis of muscle gene expression was carried out by semiquantitative RT-PCR in total RNA extracts of supraspinatus biopsies collected from 60 patients prior to shoulder surgery. A significant increase of alpha-skeletal muscle actin (p = 0.0115) and of myosin heavy polypeptide 1 (p = 0.0147) gene transcripts was observed in parallel with progressive fat deposition in the muscle, assessed on parasagittal T1-weighted turbo-spin-echo magnetic resonance images according to Goutallier. Upregulation of alpha-skeletal muscle actin and of myosin heavy polypeptide-1 has been reported to be associated with increased muscle tissue metabolism and oxidative stress. The findings of the present study, therefore, challenge the hypothesis that increased fat deposition in rotator cuff muscle after injury reflects muscle degeneration.

Regulation of mitochondrial function by hypoxia and inflammation in sepsis: A putative role for hypoxia inducible factor

Sepsis-related organ failure is the leading cause of mortality in European intensive care units (ICU). Although the inflammatory cascade of mediators in response to infection is well known, the relationships between regional inflammation, microvascular heterogeneity, hypoxia and hypoxia-inducible gene expression, and finally, organ dysfunction, are unknown. Growing evidence suggests that not only low oxygen supply to the tissues secondary to macrovascular and microvascular alterations, but also altered cellular oxygen utilization is involved in the development of multiorgan dysfunction [1]–[3]. Microbial products and innate and adaptive dysregulated immune response to infection directly affect parenchymal cells of organs and may contribute to multiorgan dysfunction.

DENITRIFICATION IN SOILS: FROM GENES TO ENVIRONMENTAL OUTCOMES

Denitrification is an important process of global nitrogen cycle as it removes reactive nitrogen from the biosphere, and acts as the primary source of nitrous oxide (N2O). This thesis seeks to gain better understanding of the biogeochemistry of denitrification by investigating the process from four different aspects: genetic basis, enzymatic kinetics, environmental interactions, and environmental consequences. Laboratory and field experiments were combined with modeling efforts to unravel the complexity of denitrification process under microbiological and environmental controls. Dynamics of denitrification products observed in laboratory experiments revealed an important role of constitutive denitrification enzymes, whose presence were further confirmed with quantitative analysis of functional genes encoding nitrite reductase and nitrous oxide reductase. A metabolic model of denitrification developed with explicit denitrification enzyme kinetics and representation of constitutive enzymes successfully reproduced the dynamics of N2O and N2 accumulation observed in the incubation experiments, revealing important regulatory effect of denitrification enzyme kinetics on the accumulation of denitrification products. Field studies demonstrated complex interaction of belowground N2O production, consumption and transport, resulting in two pulse pattern in the surface flux. Coupled soil gas diffusion/denitrification model showed great potential in simulating the dynamics of N2O below ground, with explicit representation of the activity of constitutive denitrification enzymes. A complete survey of environmental variables showed distinct regulation regimes on the denitrification activity from constitutive enzymes and new synthesized enzymes. Uncertainties in N2O estimation with current biogeochemical models may be reduced as accurate simulation of the dynamics of N2O in soil and surface fluxes is possible with a coupled diffusion/denitrification model that includes explicit representation of denitrification enzyme kinetics. In conclusion, denitrification is a complex ecological function regulated at cellular level. To assess the environmental consequences of denitrification and develop useful tools to mitigate N2O emissions require a comprehensive understanding of the regulatory network of denitrification with respect to microbial physiology and environmental interactions.

Maximum principle preserving high order schemes for convection-dominated diffusion equations

The maximum principle is an important property of solutions to PDE. Correspondingly, it's of great interest for people to design a high order numerical scheme solving PDE with this property maintained. In this thesis, our particular interest is solving convection-dominated diffusion equation. We first review a nonconventional maximum principle preserving(MPP) high order finite volume(FV) WENO scheme, and then propose a new parametrized MPP high order finite difference(FD) WENO framework, which is generalized from the one solving hyperbolic conservation laws. A formal analysis is presented to show that a third order finite difference scheme with this parametrized MPP flux limiters maintains the third order accuracy without extra CFL constraint when the low order monotone flux is chosen appropriately. Numerical tests in both one and two dimensional cases are performed on the simulation of the incompressible Navier-Stokes equations in vorticity stream-function formulation and several other problems to show the effectiveness of the proposed method.