938 resultados para implied volatility function models


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Alterations in sodium channel expression and function have been suggested as a key molecular event underlying the abnormal processing of pain after peripheral nerve or tissue injury. Although the relative contribution of individual sodium channel subtypes to this process is unclear, the biophysical properties of the tetrodotoxin-resistant current, mediated, at least in part, by the sodium channel PN3 (SNS), suggests that it may play a specialized, pathophysiological role in the sustained, repetitive firing of the peripheral neuron after injury. Moreover, this hypothesis is supported by evidence demonstrating that selective “knock-down” of PN3 protein in the dorsal root ganglion with specific antisense oligodeoxynucleotides prevents hyperalgesia and allodynia caused by either chronic nerve or tissue injury. In contrast, knock-down of NaN/SNS2 protein, a sodium channel that may be a second possible candidate for the tetrodotoxin-resistant current, appears to have no effect on nerve injury-induced behavioral responses. These data suggest that relief from chronic inflammatory or neuropathic pain might be achieved by selective blockade or inhibition of PN3 expression. In light of the restricted distribution of PN3 to sensory neurons, such an approach might offer effective pain relief without a significant side-effect liability.

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Cyclic nucleotide-gated (CNG) channels are Ca(2+)-permeable, nonspecific cation channels that can be activated through direct interaction with cAMP and/or cGMP. Recent electrophysiological evidence for these channels in cultured hippocampal neurons prompted us to investigate the expression of CNG channel genes in hippocampus. PCR amplification detected the expression of transcripts for subunit 1 of both the rod photoreceptor (RCNGC1) and the olfactory receptor cell (OCNGC1) subtype of CNG channel in adult rat hippocampus. In situ hybridization detected expression of both channel subtypes in most principal neurons, including pyramidal cells of the CA1 through CA3 regions and granule cells of the dentate gyrus. From the hybridization patterns, we conclude that the two genes are colocalized in individual neurons. Comparison of the patterns of expression of type 1 cGMP-dependent protein kinase and the CNG channels suggests that hippocampal neurons can respond to changes in cGMP levels with both rapid changes in CNG channel activity and slower changes induced by phosphorylation. Future models of hippocampal function should include CNG channels and their effects on both electrical responses and intracellular Ca2+ levels.

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The friction of rocks in the laboratory is a function of time, velocity of sliding, and displacement. Although the processes responsible for these dependencies are unknown, constitutive equations have been developed that do a reasonable job of describing the laboratory behavior. These constitutive laws have been used to create a model of earthquakes at Parkfield, CA, by using boundary conditions appropriate for the section of the fault that slips in magnitude 6 earthquakes every 20-30 years. The behavior of this model prior to the earthquakes is investigated to determine whether or not the model earthquakes could be predicted in the real world by using realistic instruments and instrument locations. Premonitory slip does occur in the model, but it is relatively restricted in time and space and detecting it from the surface may be difficult. The magnitude of the strain rate at the earth's surface due to this accelerating slip seems lower than the detectability limit of instruments in the presence of earth noise. Although not specifically modeled, microseismicity related to the accelerating creep and to creep events in the model should be detectable. In fact the logarithm of the moment rate on the hypocentral cell of the fault due to slip increases linearly with minus the logarithm of the time to the earthquake. This could conceivably be used to determine when the earthquake was going to occur. An unresolved question is whether this pattern of accelerating slip could be recognized from the microseismicity, given the discrete nature of seismic events. Nevertheless, the model results suggest that the most likely solution to earthquake prediction is to look for a pattern of acceleration in microseismicity and thereby identify the microearthquakes as foreshocks.

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The eukaryotic translation initiation factor 2 alpha (eIF2α) is part of the initiation complex that drives the initiator amino acid methionine to the ribosome, a crucial step in protein translation. In stress conditions such as virus infection, endoplasmic reticulum (ER) stress, amino acid or heme deficiency eIF2α can be phosphorylated and thereby inhibit global protein synthesis. This adaptive mechanism prevents protein accumulation and consequent cytotoxic effects. Heme-regulated eIF2α kinase (HRI) is a member of the eIF2α kinase family that regulates protein translation in heme deficiency conditions. Although present in all tissues, HRI is predominantly expressed in erythroid cells where it remains inactive in the presence of normal heme concentrations. In response to heme deficiency, HRI is activated and phosphorylates eIF2α decreasing globin synthesis. This mechanism is important to prevent accumulation of heme-free globin chains which cause ER stress and apoptosis. RNA sequencing data from our group showed that in human islets and in primary rat beta cells HRI is the most expressed eIF2α kinase compared to the other family members. Despite its high expression levels, little is known about HRI function in beta cells. The aim of this project is to identify the role of HRI in pancreatic beta cells. This was investigated taking a loss-of-function approach. HRI knock down (KD) by RNA interference induced beta cell apoptosis in basal condition. HRI KD potentiated the apoptotic effects of palmitate or proinflammatory cytokines, two in vitro models for type 2 and type 1 diabetes, respectively. Increased cytokine-induced apoptosis was also observed in HRI-deficient primary rat beta cells. Unexpectedly, we observed a mild increase in eIF2α phosphorylation in HRI-deficient cells. The levels of mRNA or protein expression of C/EBP homologous protein (CHOP) and activating transcription factor 4 (ATF4) were not modified. HRI KD cells have decreased spliced X-box binding protein 1 (XBP1s), an important branch of the ER stress response. However, overexpression of XBP1s by adenovirus in HRI KD cells did not protect from HRI siRNA-induced apoptosis. HRI deficiency decreased phosphorylation of Akt and its downstream targets glycogen synthase kinase 3 (GSK3), forkhead box protein O1 (FOXO1) and Bcl-2-associated death promoter (BAD). Overexpression of a constitutively active form of Akt by adenovirus in HRI-deficient beta cells partially decreased HRI KD-mediated apoptosis. Interestingly, BAD silencing protected from apoptosis caused by HRI deficiency. HRI silencing in beta cells also induced JNK activation. These results suggest an important role of HRI in beta cell survival through modulation of the Akt/BAD pathway. Thus, HRI may be an interesting target to modulate beta cell fate in diabetic conditions.

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The agricultural and energy industries are closely related, both biologically and financially. The paper discusses the relationship and the interactions on price and volatility, with special focus on the covolatility spillover effects for these two industries. The interaction and covolatility spillovers or the delayed effect of a returns shock in one asset on the subsequent volatility or covolatility in another asset, between the energy and agricultural industries is the primary emphasis of the paper. Although there has already been significant research on biofuel and biofuel-related crops, much of the previous research has sought to find a relationship among commodity prices. Only a few published papers have been concerned with volatility spillovers. However, it must be emphasized that there have been numerous technical errors in the theoretical and empirical research, which needs to be corrected. The paper not only considers futures prices as a widely-used hedging instrument, but also takes an interesting new hedging instrument, ETF, into account. ETF is regarded as index futures when investors manage their portfolios, so it is possible to calculate an optimal dynamic hedging ratio. This is a very useful and interesting application for the estimation and testing of volatility spillovers. In the empirical analysis, multivariate conditional volatility diagonal BEKK models are estimated for comparing patterns of covolatility spillovers. The paper provides a new way of analyzing and describing the patterns of covolatility spillovers, which should be useful for the future empirical analysis of estimating and testing covolatility spillover effects.

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13th Mediterranean Congress of Chemical Engineering (Sociedad Española de Química Industrial e Ingeniería Química, Fira Barcelona, Expoquimia), Barcelona, September 30-October 3, 2014

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ESAT 2014. 27th European Symposium on Applied Thermodynamics, Eindhoven University of Technology, July 6-9, 2014.

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In an open system, each disequilibrium causes a force. Each force causes a flow process, these being represented by a flow variable formally written as an equation called flow equation, and if each flow tends to equilibrate the system, these equations mathematically represent the tendency to that equilibrium. In this paper, the authors, based on the concepts of forces and conjugated fluxes and dissipation function developed by Onsager and Prigogine, they expose the following hypothesis: Is replaced in Prigogine’s Theorem the flow by its equation or by a flow orbital considering conjugate force as a gradient. This allows to obtain a dissipation function for each flow equation and a function of orbital dissipation.

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In this paper, the authors extend and generalize the methodology based on the dynamics of systems with the use of differential equations as equations of state, allowing that first order transformed functions not only apply to the primitive or original variables, but also doing so to more complex expressions derived from them, and extending the rules that determine the generation of transformed superior to zero order (variable or primitive). Also, it is demonstrated that for all models of complex reality, there exists a complex model from the syntactic and semantic point of view. The theory is exemplified with a concrete model: MARIOLA model.

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Stroke is a leading cause of death and permanent disability worldwide, affecting millions of individuals. Traditional clinical scores for assessment of stroke-related impairments are inherently subjective and limited by inter-rater and intra-rater reliability, as well as floor and ceiling effects. In contrast, robotic technologies provide objective, highly repeatable tools for quantification of neurological impairments following stroke. KINARM is an exoskeleton robotic device that provides objective, reliable tools for assessment of sensorimotor, proprioceptive and cognitive brain function by means of a battery of behavioral tasks. As such, KINARM is particularly useful for assessment of neurological impairments following stroke. This thesis introduces a computational framework for assessment of neurological impairments using the data provided by KINARM. This is done by achieving two main objectives. First, to investigate how robotic measurements can be used to estimate current and future abilities to perform daily activities for subjects with stroke. We are able to predict clinical scores related to activities of daily living at present and future time points using a set of robotic biomarkers. The findings of this analysis provide a proof of principle that robotic evaluation can be an effective tool for clinical decision support and target-based rehabilitation therapy. The second main objective of this thesis is to address the emerging problem of long assessment time, which can potentially lead to fatigue when assessing subjects with stroke. To address this issue, we examine two time reduction strategies. The first strategy focuses on task selection, whereby KINARM tasks are arranged in a hierarchical structure so that an earlier task in the assessment procedure can be used to decide whether or not subsequent tasks should be performed. The second strategy focuses on time reduction on the longest two individual KINARM tasks. Both reduction strategies are shown to provide significant time savings, ranging from 30% to 90% using task selection and 50% using individual task reductions, thereby establishing a framework for reduction of assessment time on a broader set of KINARM tasks. All in all, findings of this thesis establish an improved platform for diagnosis and prognosis of stroke using robot-based biomarkers.

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Recent scholarship has suggested that nation-states will gradually fade away in favor of regions and super-regions as the main actors within a European Union characterized by strong regional identities. At the same time, recent developments have shown that citizen support for European integration is essential for any future development of the Union. The puzzle inspiring this paper is the finding that the greatest support for the EU increasingly stems from minority nationalist regions seeking to bypass their central states to achieve their policy goals at the EU level. This paper empirically tests this suggestion, while shedding light on the relationship between the quality of representation of regional interests at the EU level and positive citizen attitudes towards the EU. In particular, it finds two explanations for cross-regional variation in the relationship between Euroskepticism and representation: (1) a cultural explanation, embodied by a difference in the nature and quality of representation between regions that are linguistically distinctive and regions that are not; and (2) an institutional explanation, embodied by a difference in the nature and quality of representation between regions from federal and non-federal member states. The paper uses an eclectic methodological approach, first utilizing multivariate regression analysis, estimating logistic and ordinal logit models that help explain variation in Euroskepticism at the regional level. The results are then complemented by the findings of in-depth elite interviews of regional representatives - more specifically the directors of a selection of the many regional information offices present in Brussels. This paper takes the study of Euroskepticism to a new level, as most previous scholarly work has focused on explanations at the individual or at the member state level. At the same time it strengthens the notion of a growing importance of a "Europe of the regions."

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One to two percent of all children are born with a developmental disorder requiring pediatric hospital admissions. For many such syndromes, the molecular pathogenesis remains poorly characterized. Parallel developmental disorders in other species could provide complementary models for human rare diseases by uncovering new candidate genes, improving the understanding of the molecular mechanisms and opening possibilities for therapeutic trials. We performed various experiments, e.g. combined genome-wide association and next generation sequencing, to investigate the clinico-pathological features and genetic causes of three developmental syndromes in dogs, including craniomandibular osteopathy (CMO), a previously undescribed skeletal syndrome, and dental hypomineralization, for which we identified pathogenic variants in the canine SLC37A2 (truncating splicing enhancer variant), SCARF2 (truncating 2-bp deletion) and FAM20C (missense variant) genes, respectively. CMO is a clinical equivalent to an infantile cortical hyperostosis (Caffey disease), for which SLC37A2 is a new candidate gene. SLC37A2 is a poorly characterized member of a glucose-phosphate transporter family without previous disease associations. It is expressed in many tissues, including cells of the macrophage lineage, e.g. osteoclasts, and suggests a disease mechanism, in which an impaired glucose homeostasis in osteoclasts compromises their function in the developing bone, leading to hyperostosis. Mutations in SCARF2 and FAM20C have been associated with the human van den Ende-Gupta and Raine syndromes that include numerous features similar to the affected dogs. Given the growing interest in the molecular characterization and treatment of human rare diseases, our study presents three novel physiologically relevant models for further research and therapy approaches, while providing the molecular identity for the canine conditions.

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In the first chapter, we test some stochastic volatility models using options on the S&P 500 index. First, we demonstrate the presence of a short time-scale, on the order of days, and a long time-scale, on the order of months, in the S&P 500 volatility process using the empirical structure function, or variogram. This result is consistent with findings of previous studies. The main contribution of our paper is to estimate the two time-scales in the volatility process simultaneously by using nonlinear weighted least-squares technique. To test the statistical significance of the rates of mean-reversion, we bootstrap pairs of residuals using the circular block bootstrap of Politis and Romano (1992). We choose the block-length according to the automatic procedure of Politis and White (2004). After that, we calculate a first-order correction to the Black-Scholes prices using three different first-order corrections: (i) a fast time scale correction; (ii) a slow time scale correction; and (iii) a multiscale (fast and slow) correction. To test the ability of our model to price options, we simulate options prices using five different specifications for the rates or mean-reversion. We did not find any evidence that these asymptotic models perform better, in terms of RMSE, than the Black-Scholes model. In the second chapter, we use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock returns. Since there is evidence that lagged skewness alone does not adequately forecast skewness, we estimate a cross-sectional model of expected skewness that uses additional predictive variables. Then, we sort stocks each month according to their idiosyncratic moments, forming quintile portfolios. We find a negative relationship between higher idiosyncratic moments and next-month stock returns. The trading strategy that sells stocks in the top quintile of expected skewness and buys stocks in the bottom quintile generates a significant monthly return of about 120 basis points. Our results are robust across sample periods, portfolio weightings, and to Fama and French (1993)’s risk adjustment factors. Finally, we identify a return reversal of stocks with high idiosyncratic skewness. Specifically, stocks with high idiosyncratic skewness have high contemporaneous returns. That tends to reverse, resulting in negative abnormal returns in the following month.

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Late Pleistocene signals of calcium carbonate, organic carbon, and opaline silica concentration and accumulation are documented in a series of cores from a zonal/meridional/depth transect in the equatorial Atlantic Ocean to reconstruct the regional sedimentary history. Spectral analysis reveals that maxima and minima in biogenous sedimentation occur with glacial-interglacial cyclicity as a function of both (1) primary production at the sea surface modulated by orbitally forced variation in trade wind zonality and (2) destruction at the seafloor by variation in the chemical character of advected intermediate and deep water from high latitudes modulated by high-latitude ice volume. From these results a pattern emerges in which the relative proportion of signal variance from the productivity signal centered on the precessional (23 kyr) band decreases while that of the destruction signal centered on the obliquity (41 kyr) and eccentricity (100 kyr) periods increases below ~3600-m ocean depth.

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Thesis (Ph.D.)--University of Washington, 2016-06