Local volatility changes in the black-scholes model

In this paper we address a problem arising in risk management; namely the study of price variations of different contingent claims in the Black-Scholes model due to anticipating future events. The method we propose to use is an extension of the classical Vega index, i.e. the price derivative with respect to the constant volatility, in thesense that we perturb the volatility in different directions. Thisdirectional derivative, which we denote the local Vega index, will serve as the main object in the paper and one of the purposes is to relate it to the classical Vega index. We show that for all contingent claims studied in this paper the local Vega index can be expressed as a weighted average of the perturbation in volatility. In the particular case where the interest rate and the volatility are constant and the perturbation is deterministic, the local Vega index is an average of this perturbation multiplied by the classical Vega index. We also study the well-known goal problem of maximizing the probability of a perfect hedge and show that the speed of convergence is in fact dependent of the local Vega index.

Genome-wide association study of major recurrent depression in the U.K. population.

OBJECTIVE: Studies of major depression in twins and families have shown moderate to high heritability, but extensive molecular studies have failed to identify susceptibility genes convincingly. To detect genetic variants contributing to major depression, the authors performed a genome-wide association study using 1,636 cases of depression ascertained in the U.K. and 1,594 comparison subjects screened negative for psychiatric disorders. METHOD: Cases were collected from 1) a case-control study of recurrent depression (the Depression Case Control [DeCC] study; N=1346), 2) an affected sibling pair linkage study of recurrent depression (probands from the Depression Network [DeNT] study; N=332), and 3) a pharmacogenetic study (the Genome-Based Therapeutic Drugs for Depression [GENDEP] study; N=88). Depression cases and comparison subjects were genotyped at Centre National de Génotypage on the Illumina Human610-Quad BeadChip. After applying stringent quality control criteria for missing genotypes, departure from Hardy-Weinberg equilibrium, and low minor allele frequency, the authors tested for association to depression using logistic regression, correcting for population ancestry. RESULTS: Single nucleotide polymorphisms (SNPs) in BICC1 achieved suggestive evidence for association, which strengthened after imputation of ungenotyped markers, and in analysis of female depression cases. A meta-analysis of U.K. data with previously published results from studies in Munich and Lausanne showed some evidence for association near neuroligin 1 (NLGN1) on chromosome 3, but did not support findings at BICC1. CONCLUSIONS: This study identifies several signals for association worthy of further investigation but, as in previous genome-wide studies, suggests that individual gene contributions to depression are likely to have only minor effects, and very large pooled analyses will be required to identify them.

Genetic Variations and Diseases in UniProtKB/Swiss-Prot: The Ins and Outs of Expert Manual Curation.

During the last few years, next-generation sequencing (NGS) technologies have accelerated the detection of genetic variants resulting in the rapid discovery of new disease-associated genes. However, the wealth of variation data made available by NGS alone is not sufficient to understand the mechanisms underlying disease pathogenesis and manifestation. Multidisciplinary approaches combining sequence and clinical data with prior biological knowledge are needed to unravel the role of genetic variants in human health and disease. In this context, it is crucial that these data are linked, organized, and made readily available through reliable online resources. The Swiss-Prot section of the Universal Protein Knowledgebase (UniProtKB/Swiss-Prot) provides the scientific community with a collection of information on protein functions, interactions, biological pathways, as well as human genetic diseases and variants, all manually reviewed by experts. In this article, we present an overview of the information content of UniProtKB/Swiss-Prot to show how this knowledgebase can support researchers in the elucidation of the mechanisms leading from a molecular defect to a disease phenotype.

Description of two new species of Marilia Müller (Trichoptera, Odontoceridae) from southeastern Brazil, including the description of the female of Marilia major Müller

Two new species of Marilia Müller (Odontoceridae), M. aiuruoca sp. nov. and M. huamantincoae sp. nov., are described and figured from Itatiaia massif, Mantiqueira mountain range, southeastern Brazil. The female of M. major Müller, 1880 is described and the species is recorded for the first time from Rio de Janeiro state.

Psychological pressure in competitive environments: Evidence from a randomized natural experiment

Much like cognitive abilities, emotional skills can have major effects on performance and economic outcomes. This paper studies the behavior of professionalsubjects involved in a dynamic competition in their own natural environment. Thesetting is a penalty shoot-out in soccer where two teams compete in a tournamentframework taking turns in a sequence of five penalty kicks each. As the kicking order is determined by the random outcome of a coin flip, the treatment and control groups are determined via explicit randomization. Therefore, absent any psychological effects, both teams should have the same probability of winning regardless of the kicking order. Yet, we find a systematic first-kicker advantage. Using data on 2,731 penalty kicks from 262 shoot-outs for a three decade period, we find that teams kicking first win the penalty shoot-out 60.5% of the time. A dynamic panel data analysis shows that the psychological mechanism underlying this result arises from the asymmetry in the partial score. As most kicks are scored, kicking first typically means having the opportunity to lead in the partial score, whereas kicking second typically means lagging in the score and having the opportunity to, at most, get even. Having a worse prospect than the opponent hinders subjects' performance.Further, we also find that professionals are self-aware of their own psychological effects. When a recent change in regulations gives winners of the coin toss the chance to choose the kicking order, they rationally react to it by systematically choosing to kick first. A survey of professional players reveals that when asked to explain why they prefer to kick first, they precisely identify the psychological mechanism for which we find empirical support in the data: they want to lead in the score inorder to put pressure on the opponent.

Nyssomyia intermedia (Lutz & Neiva) and Nyssomyia neivai (Pinto) (Diptera, Psychodidae, Phlebotominae) in a sympatric area: seasonal and nocturnal hourly rhythm in black and white modified Shannon traps

Captures with black and white Shannon traps were undertaken to identify aspects of the behavior of the two cryptic and sympatric species implicated as vectors of cutaneous leishmaniasis, Nyssomyia intermedia (Lutz & Neiva, 1912) and Nyssomyia neivai (Pinto, 1926). The traps were installed side by side, monthly, from July 2001 to June 2002, from 18 to 07 hours, in a peridomicile of Iporanga municipality, state of São Paulo, Brazil. A total of 2,142 specimens were captured, Ny. intermedia (47.4%) and Ny. neivai (50.5%). The white trap was more attractive to both sexes of both species. Males of Ny. neivai predominated (70%) over those of Ny. intermedia on the two traps; on the black trap, the females of Ny. intermedia predominated (63.3%) over those of Ny. neivai (36.7%). Seventy percent of the specimens of both species were captured between 18 and 24 h. Females of Ny. intermedia presented the highest peak at 19-20 h, and those of Ny. neivai at 20-21 h. The highest hourly average for females of Ny. intermedia on the black trap occurred in the winter and that for males in the summer. For Ny. neivai, both sexes predominated in the summer. The two species probably transmit the cutaneous leishmaniasis in the area due to their great predominance.

Spine Bone Texture Assessed by Trabecular Bone Score (TBS) to Evaluate Bone Health in Thalassemia Major.

Due to the increasing survival of thalassemic patients, osteopathy is a mounting clinical problem. Low bone mass alone cannot account for the high fracture risk described; impaired bone quality has been speculated but so far it cannot be demonstrated noninvasively. We studied bone quality in thalassemia major using trabecular bone score (TBS), a novel texture measurement extracted from spine dual-energy X-ray absorptiometry (DXA), proposed in postmenopausal and secondary osteoporosis as an indirect index of microarchitecture. TBS was evaluated in 124 adult thalassemics (age range 19-56 years), followed-up with optimal transfusional and therapeutical regimens, and in 65 non-thalassemic patients (22-52 years) undergoing DXA for different bone diseases. TBS was lower in thalassemic patients (1.04 ± 0.12 [range 0.80-1.30]) versus controls (1.34 ± 0.11 [1.06-1.52]) (p < 0.001), and correlated with BMD. TBS and BMD values correlated with age, indicating that thalassemia negatively affects both bone quality and quantity, especially as the patient gets older. TBS was 1.02 ± 0.11 [0.80-1.28] in the osteoporotic thalassemic patients, 1.08 ± 0.12 [0.82-1.30] in the osteopenic ones and 1.15 ± 0.10 [0.96-1.26] in those with normal BMD. No gender differences were found (males: 1.02 ± 0.13 [0.80-1.30], females 1.05 ± 0.11 [0.80-1.30]), nor between patients with and without endocrine-metabolic disorders affecting bone metabolism. Our findings from a large population with thalassemia major show that TBS is a valuable tool to assess noninvasively bone quality, and it may be related to fragility fracture risk in thalassemic osteopathy.

Major bleeding risk in anticoagulated patients receiving concomitant antiplatelet therapy: A prospective study.

INTRODUCTION: Current literature suggesting a higher bleeding risk during combination therapy compared to oral anticoagulation alone is primarily based on retrospective studies or specific populations. We aimed to prospectively evaluate whether unselected medical patients on oral anticoagulation have an increased risk of bleeding when on concomitant antiplatelet therapy. MATERIAL AND METHODS: We prospectively studied consecutive adult medical patients who were discharged on oral anticoagulants between 01/2008 and 03/2009 from a Swiss university hospital. The primary outcome was the time to a first major bleed on oral anticoagulation within 12months, adjusted for age, international normalized ratio target, number of medications, and history of myocardial infarction and major bleeding. RESULTS: Among the 515 included anticoagulated patients, the incidence rate of a first major bleed was 8.2 per 100 patient-years. Overall, 161 patients (31.3%) were on both anticoagulant and antiplatelet therapy, and these patients had a similar incidence rate of major bleeding compared to patients on oral anticoagulation alone (7.6 vs. 8.4 per 100 patient-years, P=0.81). In a multivariate analysis, the association of concomitant antiplatelet therapy with the risk of major bleeding was not statistically significant (hazard ratio 0.89, 95% confidence interval, 0.37-2.10). CONCLUSIONS: The risk of bleeding in patients receiving oral anticoagulants combined with antiplatelet therapy was similar to patients receiving oral anticoagulants alone, suggesting that the incremental bleeding risk of combination therapy might not be clinically significant.

Audit report on the Black Hawk County Criminal Justice Information System for the year ended June 30, 2008

Audit report on the Black Hawk County Criminal Justice Information System for the year ended June 30, 2008

The three horsemen of riches: Plague, war and urbanization in early modern Europe

How did Europe escape the "Iron Law of Wages?" We construct a simple Malthusian model withtwo sectors and multiple steady states, and use it to explain why European per capita incomes andurbanization rates increased during the period 1350-1700. Productivity growth can only explain a smallfraction of the rise in output per capita. Population dynamics changes of the birth and death schedules were far more important determinants of steady states. We show how a major shock to population cantrigger a transition to a new steady state with higher per-capita income. The Black Death was such ashock, raising wages substantially. Because of Engel's Law, demand for urban products increased, andurban centers grew in size. European cities were unhealthy, and rising urbanization pushed up aggregatedeath rates. This effect was reinforced by diseases spread through war, financed by higher tax revenues.In addition, rising trade also spread diseases. In this way higher wages themselves reduced populationpressure. We show in a calibration exercise that our model can account for the sustained rise in Europeanurbanization as well as permanently higher per capita incomes in 1700, without technological change.Wars contributed importantly to the "Rise of Europe", even if they had negative short-run effects. We thustrace Europe s precocious rise to economic riches to interactions of the plague shock with the belligerentpolitical environment and the nature of cities.

Can the trabecular bone score (TBS) be considered as a major clinical risk factor (CRF) of osteoporotic fractures? A meta-like analysis

Abstract: To have an added value over BMD, a CRF of osteoporotic fracture must be predictable of the fracture, independent of BMD, reversible and quantifiable. Many major recognized CRF exist.Out of these factorsmany of themare indirect factor of bone quality. TBS predicts fracture independently of BMD as demonstrated from previous studies. The aim of the study is to verify if TBS can be considered as a major CRF of osteoporotic fracture. Existing validated datasets of Caucasian women were analyzed. These datasets stem from different studies performed by the authors of this report or provided to our group. However, the level of evidence of these studies will vary. Thus, the different datasets were weighted differently according to their design. This meta-like analysis involves more than 32000 women (≥50 years) with 2000 osteoporotic fractures from two prospective studies (OFELY&MANITOBA) and 7 crosssectional studies. Weighted relative risk (RR) for TBS was expressed for each decrease of one standard deviation as well as per tertile difference (TBS=1.300 and 1.200) and compared with those obtained for the major CRF included in FRAX®. Overall TBS RR obtained (adjusted for age) was 1.79 [95%CI-1.37-2.37]. For all women combined, RR for fracture for the lowest comparedwith themiddle TBS tertilewas 1.55[1.46- 1.68] and for the lowest compared with the highest TBS tertile was 2.8[2.70-3.00]. TBS is comparable to most of the major CRF (Fig 1) and thus could be used as one of them. Further studies have to be conducted to confirm these first findings.

The major genetic determinants of HIV-1 control affect HLA class I peptide presentation.

Infectious and inflammatory diseases have repeatedly shown strong genetic associations within the major histocompatibility complex (MHC); however, the basis for these associations remains elusive. To define host genetic effects on the outcome of a chronic viral infection, we performed genome-wide association analysis in a multiethnic cohort of HIV-1 controllers and progressors, and we analyzed the effects of individual amino acids within the classical human leukocyte antigen (HLA) proteins. We identified >300 genome-wide significant single-nucleotide polymorphisms (SNPs) within the MHC and none elsewhere. Specific amino acids in the HLA-B peptide binding groove, as well as an independent HLA-C effect, explain the SNP associations and reconcile both protective and risk HLA alleles. These results implicate the nature of the HLA-viral peptide interaction as the major factor modulating durable control of HIV infection.