Estimating the parameters of stochastic volatility models using option price data

This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 to 2011. The method is able to estimate both the parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options), including the volatility and jump risk premia. The estimation is implemented using a particle filter whose efficacy is demonstrated under simulation. The computational load of this estimation method, which previously has been prohibitive, is managed by the effective use of parallel computing using graphics processing units (GPUs). The empirical results indicate that the parameters of the models are reliably estimated and consistent with values reported in previous work. In particular, both the volatility risk premium and the jump risk premium are found to be significant.

Growth hormone resistance and somatomedins in children with end-stage liver disease awaiting transplantation

Background: The success of orthotopic liver transplantation as treatment for end-stage liver disease has prompted investigation of strategies to maintain or improve nutrition and growth in children awaiting transplantation, because malnutrition is an adverse prognostic factor. The purpose of this study was to evaluate the effect of recombinant human growth hormone therapy on body composition and indices of liver function in patients awaiting transplant. Methods: The study was designed as a placebo- controlled, double-blind, crossover trial. Patients received 0.2 U/kg growth hormone, subcutaneously, or placebo daily for 28 days during two treatment periods, separated by a 2-week washout period. Ten patients (mean age, 3.06 ± 1.15 years; range, 0.51-11.65 years, five men), with extrahepatic biliary atresia (n = 8) or two with Alagille's syndrome (n = 2), with end-stage liver disease, completed the trial while awaiting orthotopic liver transplantation. Height, weight, total body potassium, total body fat, resting energy expenditure, respiratory quotient, hematologic and multiple biochemical profile, number of albumin infusions, insulin-like growth factor-1 and 1, growth hormone binding protein (GHBP), and insulin-like growth factor binding protein-1 (IGFBP-1) and insulin-like growth factor binding protein (IGFBP-3) were measured at the beginning and end of each treatment period. Results: Growth hormone treatment was associated with a significant decline in serum bilirubin (-34.6 ± 16.5 μmol/l vs. 18.2 ± 11.59 μmol/l; p < 0.02) but there was no significant effect on any anthropometric or body composition measurements, or on any biochemical or hematologic parameters. Conclusions: These children with end-stage liver disease displayed growth hormone resistance, particularly in relation to the somatomedin axis. Exogenous growth hormone administration may be of limited value in these patients

Label-free isolation of a prostate cancer cell among blood cells and the single-cell measurement of drug accumulation using an integrated microfluidic chip

Circulating tumor cells (CTCs) are found in the blood of patients with cancer. Although these cells are rare, they can provide useful information for chemotherapy. However, isolation of these rare cells from blood is technically challenging because they are small in numbers. An integrated microfluidic chip, dubbed as CTC chip, was designed and fabricated for conducting tumor cell isolation. As CTCs usually show multidrug resistance (MDR), the effect of MDR inhibitors on chemotherapeutic drug accumulation in the isolated single tumor cell is measured. As a model of CTC isolation, human prostate tumor cells were mixed with mouse blood cells and the labelfree isolation of the tumor cells was conducted based on cell size difference. The major advantages of the CTC chip are the ability for fast cell isolation, followed by multiple rounds of single-cell measurements, suggesting a potential assay for detecting the drug responses based on the liquid biopsy of cancer patients.

Studies on elastic coupling parameters of fracture modes in orthotropic materials

The characterisation of cracks is usually done using the well known three basic fracture modes, namely opening, shearing and tearing modes. In isotropic materials these modes are uncoupled and provide a convenient way to define the fracture parameters. It is well known that these fracture modes are coupled in anisotropic materials. In the case of orthotropic materials also, coupling exists between the fracture modes, unless the crack plane coincides with one of the axes of orthotropy. The strength of coupling depends upon the orientation of the axes of orthotropy with respect to the crack plane and so the energy release rate components associated with each of the modes vary with crack orientation. The variation, of these energy release rate components with the crack orientation with respect to orthotropic axes, is analyzed in this paper. Results indicate that in addition to the orthotropic planes there exists other planes with reference to which fracture modes are uncoupled.

Determination of diffusion parameters and activation energy of diffusion in V3Si phase with A15 crystal structure

Diffusion such is the integrated diffusion coefficient of the phase, the tracer diffusion coefficient of species at different temperatures and the activation energy for diffusion, are determined in V3Si phase with A15 crystal structure. The tracer diffusion coefficient of Si Was found to be negligible compared to the tracer diffusion coefficient of V. The calculated diffusion parameters will help to validate the theoretical analysis of defect structure of the phase, which plays an important role in the superconductivity.

A probabilistic constrained nonlinear optimization framework to optimize RED parameters

The random early detection (RED) technique has seen a lot of research over the years. However, the functional relationship between RED performance and its parameters viz,, queue weight (omega(q)), marking probability (max(p)), minimum threshold (min(th)) and maximum threshold (max(th)) is not analytically availa ble. In this paper, we formulate a probabilistic constrained optimization problem by assuming a nonlinear relationship between the RED average queue length and its parameters. This problem involves all the RED parameters as the variables of the optimization problem. We use the barrier and the penalty function approaches for its Solution. However (as above), the exact functional relationship between the barrier and penalty objective functions and the optimization variable is not known, but noisy samples of these are available for different parameter values. Thus, for obtaining the gradient and Hessian of the objective, we use certain recently developed simultaneous perturbation stochastic approximation (SPSA) based estimates of these. We propose two four-timescale stochastic approximation algorithms based oil certain modified second-order SPSA updates for finding the optimum RED parameters. We present the results of detailed simulation experiments conducted over different network topologies and network/traffic conditions/settings, comparing the performance of Our algorithms with variants of RED and a few other well known adaptive queue management (AQM) techniques discussed in the literature.

The Influence of Processing Parameters on Characteristics of an Aluminum Alloy Spray Deposition

In the present investigation, two nozzle configurations are used for spray deposition, convergent nozzle (nozzle-A), and convergent nozzle with 2 mm parallel portion attached at its end (nozzle-C) without changing the exit area. First, the conditions for subambient aspiration pressure, i.e., pressure at the tip of the melt delivery tube, are established by varying the protrusion length of the melt delivery tube at different applied gas pressures for both of the nozzles. Using these conditions, spray deposits in a reproducible manner are successfully obtained for 7075 Al alloy. The effect of applied gas pressure, flight distance, and nozzle configuration on various characteristics of spray deposition, viz., yield, melt flow rate, and gas-to-metal ratio, is examined. The over-spray powder is also characterized with respect to powder size distribution, shape, and microstructure. Some of the results are explained with the help of numerical analysis presented in an earlier article.

In vivo velocity vector imaging and time-resolved strain rate measurements in the wall of blood vessels using MRI

In this paper, we present a new approach for velocity vector imaging and time-resolved measurements of strain rates in the wall of human arteries using MRI and we prove its feasibility on two examples: in vitro on a phantom and in vivo on the carotid artery of a human subject. Results point out the promising potential of this approach for investigating the mechanics of arterial tissues in vivo.

Measurement of stenotic carotid arterial compliance with MRI

Arterial compliance has been shown to correlate well with overall cardiovascular outcome and it may also be a potential risk factor for the development of atheromatous disease. This study assesses the utility of 2-D phase contrast Magnetic Resonance (MR) imaging with intra-sequence blood pressure measurement to determine carotid compliance and distensibility. 20 patients underwent 2-D phase contrast MR imaging and also ultrasound-based wall tracking measurements. Values for carotid compliance and distensibility were derived from the two different modalities and compared. Linear regression analysis was utilised to determine the extent of correlation between MR and ultrasound derived parameters. In those variables that could be directly compared, an agreement analysis was undertaken. MR measures of compliance showed a good correlation with measures based on ultrasound wall-tracking (r=0.61, 95% CI 0.34 to 0.81 p=0.0003). Vessels that had undergone carotid endarterectomy previously were significantly less compliant than either diseased or normal contralateral vessels (p=0.04). Agreement studies showed a relatively poor intra-class correlation coefficient (ICC) between diameter-based measures of compliance through either MR or ultrasound (ICC=0.14). MRI based assessment of local carotid compliance appears to be both robust and technically feasible in most subjects. Measures of compliance correlate well with ultrasound-based values and correlate best when cross-sectional area change is used rather than derived diameter changes. If validated by further larger studies, 2-D phase contrast imaging with intra-sequence blood pressure monitoring and off-line radial artery tonometry may provide a useful tool in further assessment of patients with carotid atheroma.

Simulation of the interaction between blood flow and atherosclerotic plaque

It has been well accepted that over 50% of cerebral ischemic events are the result of rupture of vulnerable carotid atheroma and subsequent thrombosis. Such strokes are potentially preventable by carotid interventions. Selection of patients for intervention is currently based on the severity of carotid luminal stenosis. It has been, however, widely accepted that luminal stenosis alone may not be an adequate predictor of risk. To evaluate the effects of degree of luminal stenosis and plaque morphology on plaque stability, we used a coupled nonlinear time-dependent model with flow-plaque interaction simulation to perform flow and stress/strain analysis for stenotic artery with a plaque. The Navier-Stokes equations in the Arbitrary Lagrangian-Eulerian (ALE) formulation were used as the governing equations for the fluid. The Ogden strain energy function was used for both the fibrous cap and the lipid pool. The plaque Principal stresses and flow conditions were calculated for every case when varying the fibrous cap thickness from 0.1 to 2mm and the degree of luminal stenosis from 10% to 90%. Severe stenosis led to high flow velocities and high shear stresses, but a low or even negative pressure at the throat of the stenosis. Higher degree of stenosis and thinner fibrous cap led to larger plaque stresses, and a 50% decrease of fibrous cap thickness resulted in a 200% increase of maximum stress. This model suggests that fibrous cap thickness is critically related to plaque vulnerability and that, even within presence of moderate stenosis, may play an important role in the future risk stratification of those patients when identified in vivo using high resolution MR imaging.

An E-Convergence Method For The Evaluation Of Critical Parameters

A simple cconversence technique is applied to obtain accurate estimates of critical temperatures and critical it\ponmts of a few two- and threpdiniensional king models. When applied to the virial series for hard spheres and hard discs, this method predicts a divergence of the equation-of-state at the density of closest packing.

A simple method for estimating growth parameters from multiple length-frequency data in presence of continuous recruitment

The extended recruitment season for short-lived species such as prawns biases the estimation of growth parameters from length-frequency data when conventional methods are used. We propose a simple method for overcoming this bias given a time series of length-frequency data. The difficulties arising from extended recruitment are eliminated by predicting the growth of the succeeding samples and the length increments of the recruits in previous samples. This method requires that some maximum size at recruitment can be specified. The advantages of this multiple length-frequency method are: it is simple to use; it requires only three parameters; no specific distributions need to be assumed; and the actual seasonal recruitment pattern does not have to be specified. We illustrate the new method with length-frequency data on the tiger prawn Penaeus esculentus from the north-western Gulf of Carpentaria, Australia.

Shared common variants in prostate cancer and blood lipids

Background Epidemiological and clinical studies suggest comorbidity between prostate cancer (PCA) and cardiovascular disease (CVD) risk factors. However, the relationship between these two phenotypes is still not well understood. Here we sought to identify shared genetic loci between PCA and CVD risk factors. Methods We applied a genetic epidemiology method based on conjunction false discovery rate (FDR) that combines summary statistics from different genome-wide association studies (GWAS), and allows identification of genetic overlap between two phenotypes. We evaluated summary statistics from large, multi-centre GWA studies of PCA (n = 50 000) and CVD risk factors (n = 200 000) [triglycerides (TG), low-density lipoprotein (LDL) cholesterol and high-density lipoprotein (HDL) cholesterol, systolic blood pressure, body mass index, waist-hip ratio and type 2 diabetes (T2D)]. Enrichment of single nucleotide polymorphisms (SNPs) associated with PCA and CVD risk factors was assessed with conditional quantile-quantile plots and the Anderson-Darling test. Moreover, we pinpointed shared loci using conjunction FDR. Results We found the strongest enrichment of P-values in PCA was conditional on LDL and conditional on TG. In contrast, we found only weak enrichment conditional on HDL or conditional on the other traits investigated. Conjunction FDR identified altogether 17 loci; 10 loci were associated with PCA and LDL, 3 loci were associated with PCA and TG and additionally 4 loci were associated with PCA, LDL and TG jointly (conjunction FDR < 0.01). For T2D, we detected one locus adjacent to HNF1B. Conclusions We found polygenic overlap between PCA predisposition and blood lipids, in particular LDL and TG, and identified 17 pleiotropic gene loci between PCA and LDL, and PCA and TG, respectively. These findings provide novel pathobiological insights and may have implications for trials using targeting lipid-lowering agents in a prevention or cancer setting.

Estimation of growth parameters from multiple-recapture data

This article develops a method for analysis of growth data with multiple recaptures when the initial ages for all individuals are unknown. The existing approaches either impute the initial ages or model them as random effects. Assumptions about the initial age are not verifiable because all the initial ages are unknown. We present an alternative approach that treats all the lengths including the length at first capture as correlated repeated measures for each individual. Optimal estimating equations are developed using the generalized estimating equations approach that only requires the first two moment assumptions. Explicit expressions for estimation of both mean growth parameters and variance components are given to minimize the computational complexity. Simulation studies indicate that the proposed method works well. Two real data sets are analyzed for illustration, one from whelks (Dicathais aegaota) and the other from southern rock lobster (Jasus edwardsii) in South Australia.