Generative topographic mapping applied to clustering and visualization of motor unit action potentials

The identification and visualization of clusters formed by motor unit action potentials (MUAPs) is an essential step in investigations seeking to explain the control of the neuromuscular system. This work introduces the generative topographic mapping (GTM), a novel machine learning tool, for clustering of MUAPs, and also it extends the GTM technique to provide a way of visualizing MUAPs. The performance of GTM was compared to that of three other clustering methods: the self-organizing map (SOM), a Gaussian mixture model (GMM), and the neural-gas network (NGN). The results, based on the study of experimental MUAPs, showed that the rate of success of both GTM and SOM outperformed that of GMM and NGN, and also that GTM may in practice be used as a principled alternative to the SOM in the study of MUAPs. A visualization tool, which we called GTM grid, was devised for visualization of MUAPs lying in a high-dimensional space. The visualization provided by the GTM grid was compared to that obtained from principal component analysis (PCA). (c) 2005 Elsevier Ireland Ltd. All rights reserved.

Pricing inefficiencies in private real estate markets using total return swaps

Efficient markets should guarantee the existence of zero spreads for total return swaps. However, real estate markets have recorded values that are significantly different from zero in both directions. Possible explanations might suggest non-rational behaviour by inexperienced market players or unusual features of the underlying asset market. We find that institutional characteristics in the underlying market lead to market inefficiencies and, hence, to the creation of a rational trading window with upper and lower bounds within which transactions do not offer arbitrage opportunities. Given the existence of this rational trading window, we also argue that the observed spreads can substantially be explained by trading imbalances due to the limited liquidity of a newly formed market and/or to the effect of market sentiment, complementing explanations based on the lag between underlying market returns and index returns.

Risk pricing practices in finance, insurance and construction

A review of current risk pricing practices in the financial, insurance and construction sectors is conducted through a comprehensive literature review. The purpose was to inform a study on risk and price in the tendering processes of contractors: specifically, how contractors take account of risk when they are calculating their bids for construction work. The reference to mainstream literature was in view of construction management research as a field of application rather than a fundamental academic discipline. Analytical models are used for risk pricing in the financial sector. Certain mathematical laws and principles of insurance are used to price risk in the insurance sector. construction contractors and practitioners are described to traditionally price allowances for project risk using mechanisms such as intuition and experience. Project risk analysis models have proliferated in recent years. However, they are rarely used because of problems practitioners face when confronted with them. A discussion of practices across the three sectors shows that the construction industry does not approach risk according to the sophisticated mechanisms of the two other sectors. This is not a poor situation in itself. However, knowledge transfer from finance and insurance can help construction practitioners. But also, formal risk models for contractors should be informed by the commercial exigencies and unique characteristics of the construction sector.

Self-assembly of a designed amyloid peptide containing the functional thienylalanine unit

The self-assembly of a peptide based on a sequence from the amyloid beta peptide but incorporating the non-natural amino acid beta-2-thienylalanine (2-Thi) has been investigated in aqueous and methanol solutions. The peptide AAKLVFF was used as a design motif, replacing the phenylalanine residues (F) with 2-Thi units to yield (2-Thi)(2-Thi)VLKAA. The 2-Thi residues are expected to confer interesting electronic properties due to charge delocalization and pi-stacking. The peptide is shown to form beta-sheet-rich amyloid fibrils with a twisted morphology, in both water and methanol solutions at sufficiently high concentration. The formation of a self-assembling hydrogel is observed at high concentration. Detailed molecular modeling using molecular dynamics methods was performed using NOE constraints provided by 2D-NMR experiments. The conformational and charge properties of 2-Thi were modeled using quantum mechanical methods, and found to be similar to those previously reported for the beta-3-thienylalanine analogue. The molecular dynamics simulations reveal well-defined folded structures (turn-like) in dilute aqueous solution, driven by self-assembly of the hydrophobic aromatic units, with charged lysine groups exposed to water.

American option valuation: implied calibration of GARCH pricing models

This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

Analytic approximations for multi-asset option pricing

We derive general analytic approximations for pricing European basket and rainbow options on N assets. The key idea is to express the option’s price as a sum of prices of various compound exchange options, each with different pairs of subordinate multi- or single-asset options. The underlying asset prices are assumed to follow lognormal processes, although our results can be extended to certain other price processes for the underlying. For some multi-asset options a strong condition holds, whereby each compound exchange option is equivalent to a standard single-asset option under a modified measure, and in such cases an almost exact analytic price exists. More generally, approximate analytic prices for multi-asset options are derived using a weak lognormality condition, where the approximation stems from making constant volatility assumptions on the price processes that drive the prices of the subordinate basket options. The analytic formulae for multi-asset option prices, and their Greeks, are defined in a recursive framework. For instance, the option delta is defined in terms of the delta relative to subordinate multi-asset options, and the deltas of these subordinate options with respect to the underlying assets. Simulations test the accuracy of our approximations, given some assumed values for the asset volatilities and correlations. Finally, a calibration algorithm is proposed and illustrated.