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.

In vitro antitumor activity of methotrexate via pH-sensitive chitosan nanoparticles

Nanoparticles with pH-sensitive behavior may enhance the success of chemotherapy in many cancers by efficient intracellular drug delivery. Here, we investigated the effect of a bioactive surfactant with pH-sensitive properties on the antitumor activity and intracellular behavior of methotrexate-loaded chitosan nanoparticles (MTX-CS-NPs). NPs were prepared using a modified ionotropic complexation process, in which was included the surfactant derived from Nα,Nε-dioctanoyl lysine with an inorganic lithium counterion. The pH-sensitive behavior of NPs allowed accelerated release of MTX in an acidic medium, as well as membrane-lytic pH-dependent activity, which facilitated the cytosolic delivery of endocytosed materials. Moreover, our results clearly proved that MTX-CSNPs were more active against the tumor HeLa and MCF-7 cell lines than the free drug. The feasibilty of using NPs to target acidic tumor extracellular pH was also shown, as cytotoxicity against cancer cells was greater in a mildly acidic environment. Finally, the combined physicochemical and pH-sensitive properties of NPs generally allowed the entrapped drug to induce greater cell cycle arrest and apoptotic effects. Therefore, our overall results suggest that pH-sensitive MTX-CS-NPs could be potentially useful as a carrier system for tumor and intracellular drug delivery in cancer therapy.

Characterization of Ornamental Rock Residue and Potassium Liberation Via Organic Acid Application

ABSTRACT Organic acids present in organic matter and, or, exudates by microorganisms and plants can increase the liberation of potassium present in minerals. The objective of this study was to characterize the residue from ornamental rocks and evaluate the release of K from these residues after the application of organic acids. The experiment was conducted under laboratory conditions and followed a 2 × 3 × 5 factorial design with three replicates. The studied factors were: two organic acids (citric acid and malic acid), three ornamental rock residues (R1, R2 and R3) and five organic acid rates (0, 5, 10, 20 and 40 mmol L-1). After agitation, K concentrations were determined in the equilibrium solution. Successive extractions were performed (1, 5, 10, 15, 30 and 60 days after the start of the experiment). The organic acids used (citric and malic) promoted the release of up to 4.86 and 4.34 % of the total K contained in the residue, respectively, reinforcing the role of organic acids in the weathering of minerals and in providing K to the soil. The K quantities were, on average, 6.1 % higher when extracted with citric acid compared to malic acid.

Feasibility Study on Proposed Amtrak service from Chicago, to Iowa City, Iowa via Quad Cities, December 5, 2007

Soon after the Illinois Department of Transportation (“Ill. DOT”) requested Amtrak to conduct a feasibility study on proposed Amtrak service between Chicago and the Illinois Quad Cities, the Iowa Department of Transportation (“Iowa DOT”) asked that the study be extended to Iowa City and later to Des Moines. This report examines the feasibility of extending service to Iowa City. The completed report for the proposed Chicago – Quad Cities’ service was delivered to Ill. DOT in early January 2008. It assumes a stand-alone train operation strictly within the State of Illinois and makes no reference to extending the service into the State of Iowa. Therefore, there is no discussion about potential cost sharing allocations for capital improvements or operating losses between the two states which will become a matter of future negotiations between the two jurisdictions. That being said, this report on extending the service to Iowa City is simply an addendum to the Quad Cities report and covers such topics as additional capital infrastructure improvements that would be required in Iowa, impacts on operating expenses, revised ridership and revenue projections, and the like. With one minor exception, the recommended level of capital improvements within Illinois will still be required if the service to Iowa City is initiated. It is thus important for the readers of this report to refer to the Illinois study for detailed information on that state’s portion of the route alternatives.

Periodic points of holomorphic maps via Lefschetz numbers

In this paper we study the set of periods of holomorphic maps on compact manifolds, using the periodic Lefschetz numbers introduced by Dold and Llibre, which can be computed from the homology class of the map. We show that these numbers contain information about the existence of periodic points of a given period; and, if we assume the map to be transversal, then they give us the exact number of such periodic orbits. We apply this result to the complex projective space of dimension n and to some special type of Hopf surfaces, partially characterizing their set of periods. In the first case we also show that any holomorphic map of CP(n) of degree greater than one has infinitely many distinct periodic orbits, hence generalizing a theorem of Fornaess and Sibony. We then characterize the set of periods of a holomorphic map on the Riemann sphere, hence giving an alternative proof of Baker's theorem.

[Voyage en Italie : 1825-1830]. , Justice de Paix, via Maggiore ; palais sur la place du St Esprit : [deux plans] : [dessin] / h. L. [Henri Labrouste]

Référence bibliographique : Weigert, 151

Human immunoglobulins and Fc fragments promote microtubule assembly via tau proteins and induce conformational changes of neuronal microtubules in vitro.

The influence of human immunoglobulins (Ig) in neuronal cytoskeleton stability was studied in vitro. Here we show that human Ig and Fc fragments stimulate animal and human microtubule assembly by binding to microtubules via tau isoforms. In presence of Ig, microtubules show increased aggregation, twisting and rigidity. Non-immune Ig and Fc fragments promote microtubule assembly in temperature-dependent manner and stabilize microtubules at a molecular ratio of 1 Ig per 4 tubulin dimers. These in vitro data provide an experimental support for an immuno-mediated modulation of the cytoskeleton. In conjunction with previous neuropathological data, they suggest that Ig could participate in early stages of neurodegeneration by affecting the microtubule stability in vivo.

ER stress activates the NLRP3 inflammasome via an UPR-independent pathway.

Uncontrolled endoplasmic reticulum (ER) stress responses are proposed to contribute to the pathology of chronic inflammatory diseases such as type 2 diabetes or atherosclerosis. However, the connection between ER stress and inflammation remains largely unexplored. Here, we show that ER stress causes activation of the NLRP3 inflammasome, with subsequent release of the pro-inflammatory cytokine interleukin-1β. This ER-triggered proinflammatory signal shares the same requirement for reactive oxygen species production and potassium efflux compared with other known NLRP3 inflammasome activators, but is independent of the classical unfolded protein response (UPR). We thus propose that the NLRP3 inflammasome senses and responds to ER stress downstream of a previously uncharacterized ER stress response signaling pathway distinct from the UPR, thus providing mechanistic insight to the link between ER stress and chronic inflammatory diseases.

The δ-Opioid Receptor Affects Epidermal Homeostasis via ERK-Dependent Inhibition of Transcription Factor POU2F3.

Neuropeptides and their receptors are present in human skin, and their importance for cutaneous homeostasis and during wound healing is increasingly appreciated. However, there is currently a lack of understanding of the molecular mechanisms by which their signaling modulates keratinocyte function. Here, we show that δ-opioid receptor (DOPr) activation inhibits proliferation of human keratinocytes, resulting in decreased epidermal thickness in an organotypic skin model. DOPr signaling markedly delayed induction of keratin intermediate filament (KRT10) during in vitro differentiation and abolished its induction in the organotypic skin model. This was accompanied by deregulation of involucrin (IVL), loricrin, and filaggrin. Analysis of the transcription factor POU2F3, which is involved in regulation of KRT10, IVL, and profilaggrin expression, revealed a DOPr-mediated extracellular signal-regulated kinase (ERK)-dependent downregulation of this factor. We propose that DOPr signaling specifically activates the ERK 1/2 mitogen-activated protein kinase pathway to regulate keratinocyte functions. Complementing our earlier studies in DOPr-deficient mice, these data suggest that DOPr activation in human keratinocytes profoundly influences epidermal morphogenesis and homeostasis.

[Voyage en Italie : 1824-1830]. , [Façade de l'église de la Sapienza vue depuis la] via di Costantinopoli : [élévation] : [dessin] / h. L. [Henri Labrouste]

Référence bibliographique : Weigert, 243

[Voyage en Italie : 1824-1830]. , Escalier d'une maison près St Janvier. [Maison] via Sta Chiara. Vestibule d'église : [vue perspective, élévation, deux plans] : [dessin] / h. L. [Henri Labrouste]

Référence bibliographique : Weigert, 245

Enhanced biodegradation of hexachlorocyclohexane (HCH) in contaminated soils via inoculation with Sphingobium indicum B90A.

Soil pollution with hexachlorocyclohexane (HCH) has caused serious environmental problems. Here we describe the targeted degradation of all HCH isomers by applying the aerobic bacterium Sphingobium indicum B90A. In particular, we examined possibilities for large-scale cultivation of strain B90A, tested immobilization, storage and inoculation procedures, and determined the survival and HCH-degradation activity of inoculated cells in soil. Optimal growth of strain B90A was achieved in glucose-containing mineral medium and up to 65% culturability could be maintained after 60 days storage at 30 degrees C by mixing cells with sterile dry corncob powder. B90A biomass produced in water supplemented with sugarcane molasses and immobilized on corncob powder retained 15-20% culturability after 30 days storage at 30 degrees C, whereas full culturability was maintained when cells were stored frozen at -20 degrees C. On the contrary, cells stored on corncob degraded gamma-HCH faster than those that had been stored frozen, with between 15 and 85% of gamma-HCH disappearance in microcosms within 20 h at 30 degrees C. Soil microcosm tests at 25 degrees C confirmed complete mineralization of [(14)C]-gamma-HCH by corncob-immobilized strain B90A. Experiments conducted in small pits and at an HCH-contaminated agricultural site resulted in between 85 and 95% HCH degradation by strain B90A applied via corncob, depending on the type of HCH isomer and even at residual HCH concentrations. Up to 20% of the inoculated B90A cells survived under field conditions after 8 days and could be traced among other soil microorganisms by a combination of natural antibiotic resistance properties, unique pigmentation and PCR amplification of the linA genes. Neither the addition of corncob nor of corncob immobilized B90A did measurably change the microbial community structure as determined by T-RFLP analysis. Overall, these results indicate that on-site aerobic bioremediation of HCH exploiting the biodegradation activity of S. indicum B90A cells stored on corncob powder is a promising technology.