On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

A note on the Malliavin differentiability of the Heston volatility

We show that the Heston volatility or equivalently the Cox-Ingersoll-Ross process is Malliavin differentiable and give an explicit expression for the derivative. This result assures the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model and the Cox-Ingersoll-Ross model for interest rates.

The IFNL3/4 ΔG variant increases susceptibility to cytomegalovirus retinitis among HIV-infected patients.

BACKGROUND: Cytomegalovirus (CMV) retinitis is a major cause of visual impairment and blindness among patients with uncontrolled HIV infections. Whereas polymorphisms in interferon-lambda 3 (IFNL3, previously named IL28B) strongly influence the clinical course of hepatitis C, few studies examined the role of such polymorphisms in infections due to viruses other than hepatitis C virus. OBJECTIVES: To analyze the association of newly identified IFNL3/4 variant rs368234815 with susceptibility to CMV-associated retinitis in a cohort of HIV-infected patients. DESIGN AND METHODS: This retrospective longitudinal study included 4884 white patients from the Swiss HIV Cohort Study, among whom 1134 were at risk to develop CMV retinitis (CD4 nadir <100 /μl and positive CMV serology). The association of CMV-associated retinitis with rs368234815 was assessed by cumulative incidence curves and multivariate Cox regression models, using the estimated date of HIV infection as a starting point, with censoring at death and/or lost follow-up. RESULTS: A total of 40 individuals among 1134 patients at risk developed CMV retinitis. The minor allele of rs368234815 was associated with a higher risk of CMV retinitis (log-rank test P = 0.007, recessive mode of inheritance). The association was still significant in a multivariate Cox regression model (hazard ratio 2.31, 95% confidence interval 1.09-4.92, P = 0.03), after adjustment for CD4 nadir and slope, HAART and HIV-risk groups. CONCLUSION: We reported for the first time an association between an IFNL3/4 polymorphism and susceptibility to AIDS-related CMV retinitis. IFNL3/4 may influence immunity against viruses other than HCV.

A Variant of Higher-Order Anti-Unification

We present a rule-based Huet’s style anti-unification algorithm for simply-typed lambda-terms in ɳ long β normal form, which computes a least general higher-order pattern generalization. For a pair of arbitrary terms of the same type, such a generalization always exists and is unique modulo α equivalence and variable renaming. The algorithm computes it in cubic time within linear space. It has been implemented and the code is freely available

Reduced IFNλ4 activity is associated with improved HCV clearance and reduced expression of interferon-stimulated genes

Hepatitis C virus (HCV) infections are the major cause of chronic liver disease, cirrhosis and hepatocellular carcinoma worldwide. Both spontaneous and treatment-induced clearance of HCV depend on genetic variation within the interferon-lambda locus, but until now no clear causal relationship has been established. Here we demonstrate that an amino-acid substitution in the IFNλ4 protein changing a proline at position 70 to a serine (P70S) substantially alters its antiviral activity. Patients harbouring the impaired IFNλ4-S70 variant display lower interferon-stimulated gene (ISG) expression levels, better treatment response rates and better spontaneous clearance rates, compared with patients coding for the fully active IFNλ4-P70 variant. Altogether, these data provide evidence supporting a role for the active IFNλ4 protein as the driver of high hepatic ISG expression as well as the cause of poor HCV clearance.

A flood geodatabase and its climatological applications: the case of Catalonia for the last century

Floods are the natural hazards that produce the highest number of casualties and material damage in the Western Mediterranean. An improvement in flood risk assessment and study of a possible increase in flooding occurrence are therefore needed. To carry out these tasks it is important to have at our disposal extensive knowledge on historical floods and to find an efficient way to manage this geographical data. In this paper we present a complete flood database spanning the 20th century for the whole of Catalonia (NE Spain), which includes documentary information (affected areas and damage) and instrumental information (meteorological and hydrological records). This geodatabase, named Inungama, has been implemented on a GIS (Geographical Information System) in order to display all the information within a given geographical scenario, as well as to carry out an analysis thereof using queries, overlays and calculus. Following a description of the type and amount of information stored in the database and the structure of the information system, the first applications of Inungama are presented. The geographical distribution of floods shows the localities which are more likely to be flooded, confirming that the most affected municipalities are the most densely populated ones in coastal areas. Regarding the existence of an increase in flooding occurrence, a temporal analysis has been carried out, showing a steady increase over the last 30 years.

Cloning of an interferon-gamma regulated human melanoma-associated antigen: identity to the intercellular adhesion molecule ICAM-1.

The human melanoma-associated antigen identified by the monoclonal antibody (mAb) Me14-D12 is a cell surface protein whose expression is induced by interferon-gamma (IFN-gamma). We have recently reported the molecular cloning of a genomic probe specific for the gene and mRNA of this protein. By screening with the genomic probe, we have now isolated a full length 3.0 kb cDNA from a Raji cell line-derived lambda-gt10 library. Sequence analysis of this cDNA showed a 99.8% homology with the intercellular adhesion molecule-1 (ICAM-1). Mouse Ltk- cells stably transfected with the human cDNA clone were found to express the ICAM-1 antigenic determinants detected by mAb Me14-D12 and a reference anti-ICAM-1 mAb, as judged by surface immunofluorescence. Immunoprecipitation of surface-iodinated proteins with mAb Me14-D12 revealed the presence of a 90 kD molecule with identical mobility to ICAM-1. In addition, mAb Me14-D12 could inhibit the phorbolester-stimulated aggregation of U937 cells. The findings show that the human melanoma-associated Me14-D12 antigen is the adhesion molecule ICAM-1.

Localized amyloid light-chain amyloidosis and extramedullary plasmacytoma of the mitral valve.

An unusual case of localized amyloid light-chain (AL) amyloidosis and extramedullary plasmacytoma of the mitral valve is described. The worsening of a mitral regurgitation led to investigations and surgery. The valve presented marked distortion and thickening by type AL amyloid associated with a monotypic CD138+ immunoglobulin lambda plasma cell proliferation. Systemic staging showed a normal bone marrow and no evidence of amyloid deposition in other localizations. The patient's outcome after mitral valve replacement was excellent. To our knowledge, this is the first description of a localized AL amyloidosis as well as of a primary extramedullary plasmacytoma of the mitral valve.

The recent breakthroughs in the understanding of host genomics in hepatitis C.

BACKGROUND: Hepatitis C Virus (HCV) infection is spontaneously resolved in about 30% of acutely infected individuals. In those who progress to chronic hepatitis C, HCV therapy permanently eradicates infection in about 40% of cases. It has long been suspected that host genetic factors are key determinants for the control of HCV infection. DESIGN: We will review in this study four genome-wide association studies (GWAS) and two large candidate gene studies that assessed the role of host genetic variation for the natural and treatment-induced control of HCV infection. RESULTS: The studies consistently identified genetic variation in interleukin 28B (IL28B) as the strongest predictor for the control of HCV infection. Importantly, single nucleotide polymorphisms (SNPs) in IL28B strongly predicted both spontaneous and treatment-induced HCV recovery. IL28B is located on chromosome 19 and encodes interferon-λ, a type III interferon with antiviral activity, which is mediated through the JAK-STAT pathway by inducing interferon-stimulated genes. The SNPs identified in the GWAS are in high linkage disequilibrium with coding or functional non-coding SNPs that might modulate function and/or expression of IL28B. The role of the different IL28B alleles on gene expression and cytokine function has not yet been established. CONCLUSIONS: These findings provide strong genetic evidence for the influence of interferon-λ for both the natural and treatment-induced control of HCV infection, and support the further investigation of interferon-λ for the treatment of chronic hepatitis C. Furthermore, genetic testing before HCV therapy could provide important information towards an individualized HCV treatment.

Gauge transformations in the Lagrangian and Hamilton formalisms of generally covariant theories

We study spacetime diffeomorphisms in the Hamiltonian and Lagrangian formalisms of generally covariant systems. We show that the gauge group for such a system is characterized by having generators which are projectable under the Legendre map. The gauge group is found to be much larger than the original group of spacetime diffeomorphisms, since its generators must depend on the lapse function and shift vector of the spacetime metric in a given coordinate patch. Our results are generalizations of earlier results by Salisbury and Sundermeyer. They arise in a natural way from using the requirement of equivalence between Lagrangian and Hamiltonian formulations of the system, and they are new in that the symmetries are realized on the full set of phase space variables. The generators are displayed explicitly and are applied to the relativistic string and to general relativity.

Mossbauer and magnetization studies of amorphous NdFeB compositionally modulated thin films

Several NdFeB compositionally modulated thin films are studied by using both conversion electron Mossbauer spectra and SQUID (superconducting quantum-interference-device) magnetometry. Both the hyperfine fields and the easy magnetization magnitude are not correlated with the modulation characteristic length (lambda) while the magnetization perpendicular to the thin-film plane decreases as lambda increases. The spectra were recorded at room temperature being the gamma rays perpendicular to the substrate plane. The magnetization measurements were recorded by using a SHE SQUID magnetometer in applied magnetic fields up to 5.5 T and in the temperature range between 1.8 and 30 K.

Chaotic Kabanov formula for the Azéma martingales

We derive the chaotic expansion of the product of nth- and first-order multiple stochastic integrals with respect to certain normal martingales. This is done by application of the classical and quantum product formulae for multiple stochastic integrals. Our approach extends existing results on chaotic calculus for normal martingales and exhibits properties, relative to multiple stochastic integrals, polynomials and Wick products, that characterize the Wiener and Poisson processes.