On the closed-form approximation of short-time random strike options

In this paper we propose a general technique to develop first and second order closed-form approximation formulas for short-time options withrandom strikes. Our method is based on Malliavin calculus techniques andallows us to obtain simple closed-form approximation formulas dependingon the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches ontwo-assets and three-assets spread options as Kirk's formula or the decomposition mehod presented in Alòs, Eydeland and Laurence (2011).

Improving the sensitivity of the sequence profile method.

The sequence profile method (Gribskov M, McLachlan AD, Eisenberg D, 1987, Proc Natl Acad Sci USA 84:4355-4358) is a powerful tool to detect distant relationships between amino acid sequences. A profile is a table of position-specific scores and gap penalties, providing a generalized description of a protein motif, which can be used for sequence alignments and database searches instead of an individual sequence. A sequence profile is derived from a multiple sequence alignment. We have found 2 ways to improve the sensitivity of sequence profiles: (1) Sequence weights: Usage of individual weights for each sequence avoids bias toward closely related sequences. These weights are automatically assigned based on the distance of the sequences using a published procedure (Sibbald PR, Argos P, 1990, J Mol Biol 216:813-818). (2) Amino acid substitution table: In addition to the alignment, the construction of a profile also needs an amino acid substitution table. We have found that in some cases a new table, the BLOSUM45 table (Henikoff S, Henikoff JG, 1992, Proc Natl Acad Sci USA 89:10915-10919), is more sensitive than the original Dayhoff table or the modified Dayhoff table used in the current implementation. Profiles derived by the improved method are more sensitive and selective in a number of cases where previous methods have failed to completely separate true members from false positives.

Off-resonance angiography: a new method to depict vessels--phantom and rabbit studies.

PURPOSE: To evaluate the utility of inversion recovery with on-resonant water suppression (IRON) in combination with injection of the long-circulating monocrystalline iron oxide nanoparticle (MION)-47 for contrast material-enhanced magnetic resonance (MR) angiography. MATERIALS AND METhods: Experiments were approved by the institutional animal care committee. Eleven rabbits were imaged at baseline before injection of a contrast agent and then serially 5-30 minutes, 2 hours, 1 day, and 3 days after a single intravenous bolus injection of 80 micromol of MION-47 per kilogram of body weight (n = 6) or 250 micromol/kg MION-47 (n = 5). Conventional T1-weighted MR angiography and IRON MR angiography were performed on a clinical 3.0-T imager. Signal-to-noise and contrast-to-noise ratios were measured in the aorta of rabbits in vivo. Venous blood was obtained from the rabbits before and after MION-47 injection for use in phantom studies. RESULTS: In vitro blood that contained MION-47 appeared signal attenuated on T1-weighted angiograms, while characteristic signal-enhanced dipolar fields were observed on IRON angiograms. In vivo, the vessel lumen was signal attenuated on T1-weighted MR angiograms after MION-47 injection, while IRON supported high intravascular contrast by simultaneously providing positive signal within the vessels and suppressing background tissue (mean contrast-to-noise ratio, 61.9 +/- 12.4 [standard deviation] after injection vs 1.1 +/- 0.4 at baseline, P < .001). Contrast-to-noise ratio was higher on IRON MR angiograms than on conventional T1-weighted MR angiograms (9.0 +/- 2.5, P < .001 vs IRON MR angiography) and persisted up to 24 hours after MION-47 injection (76.2 +/- 15.9, P < .001 vs baseline). CONCLUSION: IRON MR angiography in conjunction with superparamagnetic nanoparticle administration provides high intravascular contrast over a long time and without the need for image subtraction.

A noninvasive method for measuring the velocity of diffuse hydrothermal flow by tracking moving refractive index anomalies

Diffuse flow velocimetry (DFV) is introduced as a new, noninvasive, optical technique for measuring the velocity of diffuse hydrothermal flow. The technique uses images of a motionless, random medium (e.g.,rocks) obtained through the lens of a moving refraction index anomaly (e.g., a hot upwelling). The method works in two stages. First, the changes in apparent background deformation are calculated using particle image velocimetry (PIV). The deformation vectors are determined by a cross correlation of pixel intensities across consecutive images. Second, the 2-D velocity field is calculated by cross correlating the deformation vectors between consecutive PIV calculations. The accuracy of the method is tested with laboratory and numerical experiments of a laminar, axisymmetric plume in fluids with both constant and temperaturedependent viscosity. Results show that average RMS errors are ∼5%–7% and are most accurate in regions of pervasive apparent background deformation which is commonly encountered in regions of diffuse hydrothermal flow. The method is applied to a 25 s video sequence of diffuse flow from a small fracture captured during the Bathyluck’09 cruise to the Lucky Strike hydrothermal field (September 2009). The velocities of the ∼10°C–15°C effluent reach ∼5.5 cm/s, in strong agreement with previous measurements of diffuse flow. DFV is found to be most accurate for approximately 2‐D flows where background objects have a small spatial scale, such as sand or gravel

Modelling of weather radar echoes from anomalous propagation using a hybrid parabolic equation method and NWP model data

Contamination of weather radar echoes by anomalous propagation (anaprop) mechanisms remains a serious issue in quality control of radar precipitation estimates. Although significant progress has been made identifying clutter due to anaprop there is no unique method that solves the question of data reliability without removing genuine data. The work described here relates to the development of a software application that uses a numerical weather prediction (NWP) model to obtain the temperature, humidity and pressure fields to calculate the three dimensional structure of the atmospheric refractive index structure, from which a physically based prediction of the incidence of clutter can be made. This technique can be used in conjunction with existing methods for clutter removal by modifying parameters of detectors or filters according to the physical evidence for anomalous propagation conditions. The parabolic equation method (PEM) is a well established technique for solving the equations for beam propagation in a non-uniformly stratified atmosphere, but although intrinsically very efficient, is not sufficiently fast to be practicable for near real-time modelling of clutter over the entire area observed by a typical weather radar. We demonstrate a fast hybrid PEM technique that is capable of providing acceptable results in conjunction with a high-resolution terrain elevation model, using a standard desktop personal computer. We discuss the performance of the method and approaches for the improvement of the model profiles in the lowest levels of the troposphere.

Method for retinal gene repair in neonatal mouse.

Gene correction at the site of the mutation in the chromosome is the absolute way to really cure a genetic disease. The oligonucleotide (ODN)-mediated gene repair technology uses an ODN perfectly complementary to the genomic sequence except for a mismatch at the base that is mutated. The endogenous repair machinery of the targeted cell then mediates substitution of the desired base in the gene, resulting in a completely normal sequence. Theoretically, it avoids potential gene silencing or random integration associated with common viral gene augmentation approaches and allows an intact regulation of expression of the therapeutic protein. The eye is a particularly attractive target for gene repair because of its unique features (small organ, easily accessible, low diffusion into systemic circulation). Moreover therapeutic effects on visual impairment could be obtained with modest levels of repair. This chapter describes in details the optimized method to target active ODNs to the nuclei of photoreceptors in neonatal mouse using (1) an electric current application at the eye surface (saline transpalpebral iontophoresis), (2) combined with an intravitreous injection of ODNs, as well as the experimental methods for (3) the dissection of adult neural retinas, (4) their immuno-labelling, and (5) flat-mounting for direct observation of photoreceptor survival, a relevant criteria of treatment outcomes for retinal degeneration.

Quantitative antibiogram as a typing method for the prospective epidemiological surveillance and control of MRSA: comparison with molecular typing.

OBJECTIVE: Evaluation of the quantitative antibiogram as an epidemiological tool for the prospective typing of methicillin-resistant Staphylococcus aureus (MRSA), and comparison with ribotyping. METHODS: The method is based on the multivariate analysis of inhibition zone diameters of antibiotics in disk diffusion tests. Five antibiotics were used (erythromycin, clindamycin, cotrimoxazole, gentamicin, and ciprofloxacin). Ribotyping was performed using seven restriction enzymes (EcoRV, HindIII, KpnI, PstI, EcoRI, SfuI, and BamHI). SETTING: 1,000-bed tertiary university medical center. RESULTS: During a 1-year period, 31 patients were found to be infected or colonized with MRSA. Cluster analysis of antibiogram data showed nine distinct antibiotypes. Four antibiotypes were isolated from multiple patients (2, 4, 7, and 13, respectively). Five additional antibiotypes were isolated from the remaining five patients. When analyzed with respect to the epidemiological data, the method was found to be equivalent to ribotyping. Among 206 staff members who were screened, six were carriers of MRSA. Both typing methods identified concordant of MRSA types in staff members and in the patients under their care. CONCLUSIONS: The quantitative antibiogram was found to be equivalent to ribotyping as an epidemiological tool for typing of MRSA in our setting. Thus, this simple, rapid, and readily available method appears to be suitable for the prospective surveillance and control of MRSA for hospitals that do not have molecular typing facilities and in which MRSA isolates are not uniformly resistant or susceptible to the antibiotics tested.

An active contour-based atlas registration model applied to automatic subthalamic nucleus targeting on MRI: method and validation.

This paper presents a new non parametric atlas registration framework, derived from the optical flow model and the active contour theory, applied to automatic subthalamic nucleus (STN) targeting in deep brain stimulation (DBS) surgery. In a previous work, we demonstrated that the STN position can be predicted based on the position of surrounding visible structures, namely the lateral and third ventricles. A STN targeting process can thus be obtained by registering these structures of interest between a brain atlas and the patient image. Here we aim to improve the results of the state of the art targeting methods and at the same time to reduce the computational time. Our simultaneous segmentation and registration model shows mean STN localization errors statistically similar to the most performing registration algorithms tested so far and to the targeting expert's variability. Moreover, the computational time of our registration method is much lower, which is a worthwhile improvement from a clinical point of view.

Chances and limits of method restriction: a detailed analysis of suicide methods in Switzerland.

The objective of this study was to estimate the potential of method restriction as a public health strategy in suicide prevention. Data from the Swiss Federal Statistical Office and the Swiss Institutes of Forensic Medicine from 2004 were gathered and categorized into suicide submethods according to accessibility to restriction of means. Of suicides in Switzerland, 39.2% are accessible to method restriction. The highest proportions were found in private weapons (13.2%), army weapons (10.4%), and jumps from hot-spots (4.6%). The presented method permits the estimation of the suicide prevention potential of a country by method restriction and the comparison of restriction potentials between suicide methods. In Switzerland, reduction of firearm suicides has the highest potential to reduce the total number of suicides.

The M-Coffee web server: a meta-method for computing multiple sequence alignments by combining alternative alignment methods.

The M-Coffee server is a web server that makes it possible to compute multiple sequence alignments (MSAs) by running several MSA methods and combining their output into one single model. This allows the user to simultaneously run all his methods of choice without having to arbitrarily choose one of them. The MSA is delivered along with a local estimation of its consistency with the individual MSAs it was derived from. The computation of the consensus multiple alignment is carried out using a special mode of the T-Coffee package [Notredame, Higgins and Heringa (T-Coffee: a novel method for fast and accurate multiple sequence alignment. J. Mol. Biol. 2000; 302: 205-217); Wallace, O'Sullivan, Higgins and Notredame (M-Coffee: combining multiple sequence alignment methods with T-Coffee. Nucleic Acids Res. 2006; 34: 1692-1699)] Given a set of sequences (DNA or proteins) in FASTA format, M-Coffee delivers a multiple alignment in the most common formats. M-Coffee is a freeware open source package distributed under a GPL license and it is available either as a standalone package or as a web service from www.tcoffee.org.

A non-extensive maximum entropy based regulations method for bad conditioned inverse problems

A regularization method based on the non-extensive maximum entropy principle is devised. Special emphasis is given to the q=1/2 case. We show that, when the residual principle is considered as constraint, the q=1/2 generalized distribution of Tsallis yields a regularized solution for bad-conditioned problems. The so devised regularized distribution is endowed with a component which corresponds to the well known regularized solution of Tikhonov (1977).

Use of anisotropic modelling in electrical impedance tomography: description of method and preliminary assessment of utility in imaging brain function in the adult human head.

Electrical Impedance Tomography (EIT) is an imaging method which enables a volume conductivity map of a subject to be produced from multiple impedance measurements. It has the potential to become a portable non-invasive imaging technique of particular use in imaging brain function. Accurate numerical forward models may be used to improve image reconstruction but, until now, have employed an assumption of isotropic tissue conductivity. This may be expected to introduce inaccuracy, as body tissues, especially those such as white matter and the skull in head imaging, are highly anisotropic. The purpose of this study was, for the first time, to develop a method for incorporating anisotropy in a forward numerical model for EIT of the head and assess the resulting improvement in image quality in the case of linear reconstruction of one example of the human head. A realistic Finite Element Model (FEM) of an adult human head with segments for the scalp, skull, CSF, and brain was produced from a structural MRI. Anisotropy of the brain was estimated from a diffusion tensor-MRI of the same subject and anisotropy of the skull was approximated from the structural information. A method for incorporation of anisotropy in the forward model and its use in image reconstruction was produced. The improvement in reconstructed image quality was assessed in computer simulation by producing forward data, and then linear reconstruction using a sensitivity matrix approach. The mean boundary data difference between anisotropic and isotropic forward models for a reference conductivity was 50%. Use of the correct anisotropic FEM in image reconstruction, as opposed to an isotropic one, corrected an error of 24 mm in imaging a 10% conductivity decrease located in the hippocampus, improved localisation for conductivity changes deep in the brain and due to epilepsy by 4-17 mm, and, overall, led to a substantial improvement on image quality. This suggests that incorporation of anisotropy in numerical models used for image reconstruction is likely to improve EIT image quality.

Analysis of a finite volume method for a cross-diffusion model in population dynamics

The main goal of this paper is to propose a convergent finite volume method for a reactionâeuro"diffusion system with cross-diffusion. First, we sketch an existence proof for a class of cross-diffusion systems. Then the standard two-point finite volume fluxes are used in combination with a nonlinear positivity-preserving approximation of the cross-diffusion coefficients. Existence and uniqueness of the approximate solution are addressed, and it is also shown that the scheme converges to the corresponding weak solution for the studied model. Furthermore, we provide a stability analysis to study pattern-formation phenomena, and we perform two-dimensional numerical examples which exhibit formation of nonuniform spatial patterns. From the simulations it is also found that experimental rates of convergence are slightly below second order. The convergence proof uses two ingredients of interest for various applications, namely the discrete Sobolev embedding inequalities with general boundary conditions and a space-time $L^1$ compactness argument that mimics the compactness lemma due to Kruzhkov. The proofs of these results are given in the Appendix.