Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Detection of live and antibiotic-killed bacteria by quantitative real-time PCR of specific fragments of rRNA.

Assessing bacterial viability by molecular markers might help accelerate the measurement of antibiotic-induced killing. This study investigated whether rRNA could be suitable for this purpose. Cultures of penicillin-susceptible and penicillin-tolerant (Tol1 mutant) Streptococcus gordonii were exposed to mechanistically different penicillin and levofloxacin. Bacterial survival was assessed by viable counts and compared to quantitative real-time PCR amplification of either the 16S rRNA genes or the 16S rRNA, following reverse transcription. Penicillin-susceptible S. gordonii lost > or =4 log(10) CFU/ml of viability over 48 h of penicillin treatment. In comparison, the Tol1 mutant lost < or =1 log(10) CFU/ml. Amplification of a 427-bp fragment of 16S rRNA genes yielded amplicons that increased proportionally to viable counts during bacterial growth but did not decrease during drug-induced killing. In contrast, the same 427-bp fragment amplified from 16S rRNA paralleled both bacterial growth and drug-induced killing. It also differentiated between penicillin-induced killing of the parent and the Tol1 mutant (> or =4 log(10) CFU/ml and < or =1 log(10) CFU/ml, respectively) and detected killing by mechanistically unrelated levofloxacin. Since large fragments of polynucleotides might be degraded faster than smaller fragments, the experiments were repeated by amplifying a 119-bp region internal to the original 427-bp fragment. The amount of 119-bp amplicons increased proportionally to viability during growth but remained stable during drug treatment. Thus, 16S rRNA was a marker of antibiotic-induced killing, but the size of the amplified fragment was critical for differentiation between live and dead bacteria.

Analysis of the association between chondrocalcinosis and osteoarthritis: a community based study

To analyse the association between chondrocalcinosis and osteoarthritis (OA) of the hands and knees in an unselected elderly rural population. METHODS--A community based cross sectional study was performed in individuals randomly selected from a previous epidemiological survey on the prevalence of chondrocalcinosis in people older than 60 years from Osona county, Catalonia, northeastern Spain. Radiological OA (grade 2 or more of Kellgren's classification) was evaluated in 26 individuals with chondrocalcinosis and in 104 controls. A total of 18 articular areas of both knees (medial and lateral tibiofemoral compartments) and hands (first, second and third metacarpophalangeal (MCP), first carpometacarpal, trapezium-scaphoid, radiocarpal and distal radioulnar joints) were studied. RESULTS--Radiological changes of OA in the knees were more common in subjects with chondrocalcinosis than in those without it, with an odds ratio adjusted for age and gender (aOR) of 4.3 (95% confidence interval (CI) 1.6 to 11.8, p = 0.005). OA was also more frequent in almost all areas of the hands in individuals with chondrocalcinosis, though the difference reached statistical significance only in the MCP joints (aOR 3.1; 95% CI 1.1 to 8.8; p = 0.033). However, taking into account the side and the different joint compartments analysed, the association between chondrocalcinosis and OA was significant only in the lateral tibiofemoral compartment and the left MCP joints. CONCLUSIONS--In an elderly population unselected for their rheumatic complaints, there was a real association between OA and chondrocalcinosis. This association was particularly relevant in the lateral tibiofemoral compartment of the knee and in the first three left MCP joints.

Identification by Real-time PCR of 13 mature microRNAs differentially expressed in colorectal cancer and non-tumoral tissues

MicroRNAs (miRNAs) are short non-coding RNA molecules playing regulatory roles by repressing translation or cleaving RNA transcripts. Although the number of verified human miRNA is still expanding, only few have been functionally described. However, emerging evidences suggest the potential involvement of altered regulation of miRNA in pathogenesis of cancers and these genes are thought to function as both tumours suppressor and oncogenes. In our study, we examined by Real-Time PCR the expression of 156 mature miRNA in colorectal cancer. The analysis by several bioinformatics algorithms of colorectal tumours and adjacent non-neoplastic tissues from patients and colorectal cancer cell lines allowed identifying a group of 13 miRNA whose expression is significantly altered in this tumor. The most significantly deregulated miRNA being miR-31, miR-96, miR-133b, miR-135b, miR-145, and miR-183. In addition, the expression level of miR-31 was correlated with the stage of CRC tumor. Our results suggest that miRNA expression profile could have relevance to the biological and clinical behavior of colorectal neoplasia.

Production Flow Analysis - cases from manufacturing and service industry

Production flow analysis (PFA) is a well-established methodology used for transforming traditional functional layout into product-oriented layout. The method uses part routings to find natural clusters of workstations forming production cells able to complete parts and components swiftly with simplified material flow. Once implemented, the scheduling system is based on period batch control aiming to establish fixed planning, production and delivery cycles for the whole production unit. PFA is traditionally applied to job-shops with functional layouts, and after reorganization within groups lead times reduce, quality improves and motivation among personnel improves. Several papers have documented this, yet no research has studied its application to service operations management. This paper aims to show that PFA can well be applied not only to job-shop and assembly operations, but also to back-office and service processes with real cases. The cases clearly show that PFA reduces non-value adding operations, introduces flow by evening out bottlenecks and diminishes process variability, all of which contribute to efficient operations management.

Spatial relational learning and memory abilities do not differ between men and women in a real-world, open-field environment

This study assesses gender differences in spatial and non-spatial relational learning and memory in adult humans behaving freely in a real-world, open-field environment. In Experiment 1, we tested the use of proximal landmarks as conditional cues allowing subjects to predict the location of rewards hidden in one of two sets of three distinct locations. Subjects were tested in two different conditions: (1) when local visual cues marked the potentially-rewarded locations, and (2) when no local visual cues marked the potentially-rewarded locations. We found that only 17 of 20 adults (8 males, 9 females) used the proximal landmarks to predict the locations of the rewards. Although females exhibited higher exploratory behavior at the beginning of testing, males and females discriminated the potentially-rewarded locations similarly when local visual cues were present. Interestingly, when the spatial and local information conflicted in predicting the reward locations, males considered both spatial and local information, whereas females ignored the spatial information. However, in the absence of local visual cues females discriminated the potentially-rewarded locations as well as males. In Experiment 2, subjects (9 males, 9 females) were tested with three asymmetrically-arranged rewarded locations, which were marked by local cues on alternate trials. Again, females discriminated the rewarded locations as well as males in the presence or absence of local cues. In sum, although particular aspects of task performance might differ between genders, we found no evidence that women have poorer allocentric spatial relational learning and memory abilities than men in a real-world, open-field environment.

Multiple Kernel Learning of Environmental Data. Case study: Analysis and Mapping of Wind Fields

The paper presents the Multiple Kernel Learning (MKL) approach as a modelling and data exploratory tool and applies it to the problem of wind speed mapping. Support Vector Regression (SVR) is used to predict spatial variations of the mean wind speed from terrain features (slopes, terrain curvature, directional derivatives) generated at different spatial scales. Multiple Kernel Learning is applied to learn kernels for individual features and thematic feature subsets, both in the context of feature selection and optimal parameters determination. An empirical study on real-life data confirms the usefulness of MKL as a tool that enhances the interpretability of data-driven models.

Effect of interleukin-6 receptor inhibition with tocilizumab in patients with rheumatoid arthritis (OPTION study): a double-blind, placebo-controlled, randomised trial.

BACKGROUND: Interleukin 6 is involved in the pathogenesis of rheumatoid arthritis via its broad effects on immune and inflammatory responses. Our aim was to assess the therapeutic effects of blocking interleukin 6 by inhibition of the interleukin-6 receptor with tocilizumab in patients with rheumatoid arthritis. METHODS: In this double-blind, randomised, placebo-controlled, parallel group phase III study, 623 patients with moderate to severe active rheumatoid arthritis were randomly assigned with an interactive voice response system, stratified by site with a randomisation list provided by the study sponsor, to receive tocilizumab 8 mg/kg (n=205), tocilizumab 4 mg/kg (214), or placebo (204) intravenously every 4 weeks, with methotrexate at stable pre-study doses (10-25 mg/week). Rescue therapy with tocilizumab 8 mg/kg was offered at week 16 to patients with less than 20% improvement in both swollen and tender joint counts. The primary endpoint was the proportion of patients with 20% improvement in signs and symptoms of rheumatoid arthritis according to American College of Rheumatology criteria (ACR20 response) at week 24. Analyses were by intention to treat. This trial is registered with ClinicalTrials.gov, number NCT00106548. FINDINGS: The intention-to-treat analysis population consisted of 622 patients: one patient in the 4 mg/kg group did not receive study treatment and was thus excluded. At 24 weeks, ACR20 responses were seen in more patients receiving tocilizumab than in those receiving placebo (120 [59%] patients in the 8 mg/kg group, 102 [48%] in the 4 mg/kg group, 54 [26%] in the placebo group; odds ratio 4.0 [95% CI 2.6-6.1], p<0.0001 for 8 mg/kg vs placebo; and 2.6 [1.7-3.9], p<0.0001 for 4 mg/kg vs placebo). More people receiving tocilizumab than those receiving placebo had at least one adverse event (143 [69%] in the 8 mg/kg group; 151 [71%] in the 4 mg/kg group; 129 [63%] in the placebo group). The most common serious adverse events were serious infections or infestations, reported by six patients in the 8 mg/kg group, three in the 4 mg/kg group, and two in the placebo group. INTERPRETATION: Tocilizumab could be an effective therapeutic approach in patients with moderate to severe active rheumatoid arthritis. FUNDING: F Hoffmann-La Roche, Chugai Pharmaceutical.

Exposure to bioaerosols in poultry houses at different stages of fattening; use of real-time PCR for airborne bacterial quantification

Previous studies have demonstrated that poultry house workers are exposed to very high levels of organic dust and consequently have an increased prevalence of adverse respiratory symptoms. However, the influence of the age of broilers on bioaerosol concentrations has not been investigated. To evaluate the evolution of bioaerosol concentration during the fattening period, bioaerosol parameters (inhalable dust, endotoxin and bacteria) were measured in 12 poultry confinement buildings in Switzerland, at three different stages of the birds' growth; samples of air taken from within the breathing zones of individual poultry house employees as they caught the chickens ready to be transported for slaughter were also analysed. Quantitative polymerase chain reaction (Q-PCR) was used to assess the quantity of total airborne bacteria and total airborne Staphylococcus species. Bioaerosol levels increased significantly during the fattening period of the chickens. During the task of catching mature birds, the mean inhalable dust concentration for a worker was 26 +/- 1.9 mg m(-3) and endotoxin concentration was 6198 +/- 2.3 EU m(-3) air, >6-fold higher than the Swiss occupational recommended value (1000 EU m(-3)). The mean exposure level of bird catchers to total bacteria and Staphylococcus species measured by Q-PCR is also very high, respectively, reaching values of 53 (+/-2.6) x 10(7) cells m(-3) air and 62 (+/-1.9) x 10(6) m(-3) air. It was concluded that in the absence of wearing protective breathing apparatus, chicken catchers in Switzerland risk exposure beyond recommended limits for all measured bioaerosol parameters. Moreover, the use of Q-PCR to estimate total and specific numbers of airborne bacteria is a promising tool for evaluating any modifications intended to improve the safety of current working practices

Validation of real-time methylation-specific PCR to determine O6-methylguanine-DNA methyltransferase gene promoter methylation in glioma.

Epigenetic silencing of the DNA repair protein O(6)-methylguanine-DNA methyltransferase (MGMT) by promoter methylation predicts successful alkylating agent therapy, such as with temozolomide, in glioblastoma patients. Stratified therapy assignment of patients in prospective clinical trials according to tumor MGMT status requires a standardized diagnostic test, suitable for high-throughput analysis of small amounts of formalin-fixed, paraffin-embedded tumor tissue. A direct, real-time methylation-specific PCR (MSP) assay was developed to determine methylation status of the MGMT gene promoter. Assay specificity was obtained by selective amplification of methylated DNA sequences of sodium bisulfite-modified DNA. The copy number of the methylated MGMT promoter, normalized to the beta-actin gene, provides a quantitative test result. We analyzed 134 clinical glioma samples, comparing the new test with the previously validated nested gel-based MSP assay, which yields a binary readout. A cut-off value for the MGMT methylation status was suggested by fitting a bimodal normal mixture model to the real-time results, supporting the hypothesis that there are two distinct populations within the test samples. Comparison of the tests showed high concordance of the results (82/91 [90%]; Cohen's kappa = 0.80; 95% confidence interval, 0.82-0.95). The direct, real-time MSP assay was highly reproducible (Pearson correlation 0.996) and showed valid test results for 93% (125/134) of samples compared with 75% (94/125) for the nested, gel-based MSP assay. This high-throughput test provides an important pharmacogenomic tool for individualized management of alkylating agent chemotherapy.

A critical analysis of three psychological research programs of doping behaviour

Objectives To consider the various specific substances-taking activities in sport an examination of three psychological models of doping behaviour utilised by researchers is presented in order to evaluate their real and potential impact, and to improve the relevance and efficiency of anti-doping campaigns. Design Adopting the notion of a "research program" (Lakatos, 1978) from the philosophy of science, a range of studies into the psychology of doping behaviour are classified and critically analysed. Method Theoretical and practical parameters of three research programs are critically evaluated (i) cognitive; (ii) drive; and (iii) situated-dynamic. Results The analysis reveals the diversity of theoretical commitments of the research programs and their practical consequences. The «cognitive program» assumes that athletes are accountable for their acts that reflect the endeavour to attain sporting and non-sporting goals. Attitudes, knowledge and rational decisions are understood to be the basis of doping behaviour. The «drive program» characterises the variety of traces and consequences on psychological and somatic states coming from athlete's experience with sport. Doping behaviour here is conceived of as a solution to reduce unconscious psychological and somatic distress. The «situated-dynamic program» considers a broader context of athletes' doping activity and its evolution during a sport career. Doping is considered as emergent and self-organized behaviour, grounded on temporally critical couplings between athletes' actions and situations and the specific dynamics of their development during the sporting life course. Conclusions These hypothetical, theoretical and methodological considerations offer a more nuanced understanding of doping behaviours, making an effective contribution to anti-doping education and research by enabling researchers and policy personnel to become more critically reflective about their explicit and implicit assumptions regarding models of explanations for doping behaviour.

Quantifying Uncertainty in Real Time Performance Measurement for Highway Winter Maintenance Operations – Phase 2, RB03-013, 2014

Winter weather in Iowa is often unpredictable and can have an adverse impact on traffic flow. The Iowa Department of Transportation (Iowa DOT) attempts to lessen the impact of winter weather events on traffic speeds with various proactive maintenance operations. In order to assess the performance of these maintenance operations, it would be beneficial to develop a model for expected speed reduction based on weather variables and normal maintenance schedules. Such a model would allow the Iowa DOT to identify situations in which speed reductions were much greater than or less than would be expected for a given set of storm conditions, and make modifications to improve efficiency and effectiveness. The objective of this work was to predict speed changes relative to baseline speed under normal conditions, based on nominal maintenance schedules and winter weather covariates (snow type, temperature, and wind speed), as measured by roadside weather stations. This allows for an assessment of the impact of winter weather covariates on traffic speed changes, and estimation of the effect of regular maintenance passes. The researchers chose events from Adair County, Iowa and fit a linear model incorporating the covariates mentioned previously. A Bayesian analysis was conducted to estimate the values of the parameters of this model. Specifically, the analysis produces a distribution for the parameter value that represents the impact of maintenance on traffic speeds. The effect of maintenance is not a constant, but rather a value that the researchers have some uncertainty about and this distribution represents what they know about the effects of maintenance. Similarly, examinations of the distributions for the effects of winter weather covariates are possible. Plots of observed and expected traffic speed changes allow a visual assessment of the model fit. Future work involves expanding this model to incorporate many events at multiple locations. This would allow for assessment of the impact of winter weather maintenance across various situations, and eventually identify locations and times in which maintenance could be improved.

On-line desorption of dried blood spot: A novel approach for the direct LC/MS analysis of micro-whole blood samples.

The aim of this work is to present a new concept, called on-line desorption of dried blood spots (on-line DBS), allowing the direct analysis of a dried blood spot coupled to liquid chromatography mass spectrometry device (LC/MS). The system is based on an inox cell which can receive a blood sample (10 microL) previously spotted on a filter paper. The cell is then integrated into LC/MS system where the analytes are desorbed out of the paper towards a column switching system ensuring the purification and separation of the compounds before their detection on a single quadrupole MS coupled to atmospheric pressure chemical ionisation (APCI) source. The described procedure implies that no pretreatment is necessary in spite the analysis is based on whole blood sample. To ensure the applicability of the concept, saquinavir, imipramine, and verapamil were chosen. Despite the use of a small sampling volume and a single quadrupole detector, on-line DBS allowed the analyses of these three compounds over their therapeutic concentrations from 50 to 500 ng/mL for imipramine and verapamil and from 100 to 1000 ng/mL for saquinavir. Moreover, the method showed good repeatability with relative standard deviation (RSD) lower than 15% based on two levels of concentration (low and high). Function responses were found to be linear over the therapeutic concentration for each compound and were used to determine the concentrations of real patient samples for saquinavir. Comparison of the founded values with those of a validated method used routinely in a reference laboratory showed a good correlation between the two methods. Moreover, good selectivity was observed ensuring that no endogenous or chemical components interfered with the quantitation of the analytes. This work demonstrates the feasibility and applicability of the on-line DBS procedure for bioanalysis.

Les partícules modals de la llengua alemanya i l’anàlisi del seu ús comparant el llenguatge oral real i el fingit

Resum: El treball està enfocat en les anomenades “partícules modals” de la llengua alemanya. La part teòrica inclou informació extreta de diferents fonts bibliogràfiques i a la part pràctica se n’analitza l’ús a partir d’un exercici elaborat amb fragments del guió de dues pel·lícules (llenguatge oral fingit) i la col·laboració d’estudiants de diferents parts d’Alemanya.

Expressive concatenative synthesis by reusing samples from real performance recordings

Here we describe an approach to the expressive synthesis of jazz saxophone melodies that reuses audio recordings and carefully concatenates note samples. The aim is to generate an expressive audio sequence from the analysis of an arbitrary input score using a previously induced performance model and an annotated saxophone note database extracted from real performances. We push the idea of using the same corpus for both inducing an expressive performance model and synthesizing sound by concatenating samples in the corpus. Therefore, a connection between the performers’ instrument sound and performance characteristics is kept during the synthesis process.