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).

Peptide modification or blocking of CD8, resulting in weak TCR signaling, can activate CTL for Fas- but not perforin-dependent cytotoxicity or cytokine production.

This study describes a form of partial agonism for a CD8+ CTL clone, S15, in which perforin-dependent killing and IFN-gamma production were lost but Fas (APO1 or CD95)-dependent cytotoxicity preserved. Cloned S15 CTL are H-2Kd restricted and specific for a photoreactive derivative of the Plasmodium berghei circumsporozoite peptide PbCS 252-260 (SYIPSAEKI). The presence of a photoactivatable group in the epitope permitted assessment of TCR-ligand binding by TCR photoaffinity labeling. Selective activation of Fas-dependent killing was observed for a peptide-derivative variant containing a modified photoreactive group. A similar functional response was obtained after binding of the wild-type peptide derivative upon blocking of CD8 participation in TCR-ligand binding. The epitope modification or blocking of CD8 resulted in an > or = 8-fold decrease in TCR-ligand binding. In both cases, phosphorylation of zeta-chain and ZAP-70, as well as calcium mobilization were reduced close to background levels, indicating that activation of Fas-dependent cytotoxicity required weaker TCR signaling than activation of perforin-dependent killing or IFN-gamma production. Consistent with this, we observed that depletion of the protein tyrosine kinase p56(lck) by preincubation of S15 CTL with herbimycin A severely impaired perforin- but not Fas-dependent cytotoxicity. Together with the observation that S15 CTL constitutively express Fas ligand, these results indicate that TCR signaling too weak to elicit perforin-dependent cytotoxicity or cytokine production can induce Fas-dependent cytotoxicity, possibly by translocation of preformed Fas ligand to the cell surface.

A singular function and its relation with the number systems involved in its definition

Minkowski's ?(x) function can be seen as the confrontation of two number systems: regular continued fractions and the alternated dyadic system. This way of looking at it permits us to prove that its derivative, as it also happens for many other non-decreasing singular functions from [0,1] to [0,1], when it exists can only attain two values: zero and infinity. It is also proved that if the average of the partial quotients in the continued fraction expansion of x is greater than k* =5.31972, and ?'(x) exists then ?'(x)=0. In the same way, if the same average is less than k**=2 log2(F), where F is the golden ratio, then ?'(x)=infinity. Finally some results are presented concerning metric properties of continued fraction and alternated dyadic expansions.

Local volatility changes in the black-scholes model

In this paper we address a problem arising in risk management; namely the study of price variations of different contingent claims in the Black-Scholes model due to anticipating future events. The method we propose to use is an extension of the classical Vega index, i.e. the price derivative with respect to the constant volatility, in thesense that we perturb the volatility in different directions. Thisdirectional derivative, which we denote the local Vega index, will serve as the main object in the paper and one of the purposes is to relate it to the classical Vega index. We show that for all contingent claims studied in this paper the local Vega index can be expressed as a weighted average of the perturbation in volatility. In the particular case where the interest rate and the volatility are constant and the perturbation is deterministic, the local Vega index is an average of this perturbation multiplied by the classical Vega index. We also study the well-known goal problem of maximizing the probability of a perfect hedge and show that the speed of convergence is in fact dependent of the local Vega index.

Sleep, metabolism and aging

Aging is a multidimensional process of physical, psychological, and social changes. Understanding how we sleep and how this dynamic process evolves across life span will help to identify normal developmental aspects of sleep over time and to create strategies to increase awareness of sleep disturbances and their early management. In normal sleepers from HypnoLaus cohort, we evaluated the effects of age and gender on both subjective and objective sleep measurements. Our results indicate that normal aging is not accompanied by sleep complaints, and when they exist suggest the presence of underlying comorbidities. Polysomnographic data revealed that slow wave sleep was more affected with age in men, and age affected differently NREM and REM spectral power densities. Both sleep structure and spectral analysis profiles may constitute standards to delineate pathological changes in sleep, both for aging women and men. Another important aspect in the management of sleep and its disorders is a detailed characterization of sleep-inducing medications. Gamma-hydroxybutyrate (GHB) is an inhibitory neurotransmitter derivative of GABA, but its mode of action and the range of effects are not well understood. Several properties, as growth hormone stimulation in humans and the development of weight loss in treated patients suggest an unexplored metabolic effect. In different experiments we assessed the effects of acute, short term and chronic GHB administration on central (cerebral cortex) and peripheral (liver) biochemical processes involved in the metabolism of the drug, as well as the effects of the drug on metabolism in C57BL/6J, GABAB knock-out and obese (ob/ob) mice. We showed that GHB treatment affects weight gain in C57BL/6J and GABAB knock-out mice. Metabolomic analysis indicated large central and peripheral metabolic changes induced by GHB with important relevance to its therapeutic use. -- Le vieillissement est un processus multidimensionnel accompagné par de multiples changements dans les domaines physique, psychologique et social. Comprendre comment nous dormons et comment ce processus dynamique évolue sur la durée de vie nous aidera à identifier les aspects normaux du développement du sommeil au fil du temps, et à créer des stratégies pour accroître la connaissance et compréhension des troubles du sommeil et leur prise en charge précoce. Chez les sujets normaux de la cohorte HypnoLaus nous avons évalué les effets de l'âge et du sexe sur les mesures subjectives et objectives du sommeil. Nos résultats indiquent que le vieillissement normal ne s'accompagne pas de troubles du sommeil, et quand ils existent ceux-ci suggèrent la présence de comorbidités sous-jacentes. Les données polysomnographiques ont révélé que le sommeil profond était plus affecté avec l'âge chez les hommes. De plus, nous avons montré comment l'âge modifie la composition spectrale du sommeil lent et paradoxal. La structure du sommeil et les profils d'analyse spectrale peuvent donc constituer des standards permettant de définir les changements pathologiques du sommeil chez les personnes âgées. Parmi les aspects importants de la gestion du sommeil et de ses troubles, la caractérisation détaillée des médicaments hypnotiques utilisés est essentielle. L'acide gamma-hydroxybutyrique (GHB) est un acide gras à courte chaîne dérivé du GABA, principal neurotransmetteur inhibiteur du cerveau, mais son mode d'action et tous ses effets sont toujours largement méconnus. Plusieurs propriétés, comme la stimulation de la sécrétion de l'hormone de croissance chez l'homme et le développement d'une perte de poids chez les patients traités suggèrent un effet métabolique inexploré. Dans différentes expériences, nous avons évalué les effets d'une exposition aiguë, à court terme et chronique de GHB sur les processus biochimiques centraux (cortex cérébral) et périphériques (foie) impliqués dans le métabolisme du médicament. Nous avons aussi évalué les effets du médicament sur le métabolisme des souris C57BL/6J, GABAB KO et obèses (ob/ob). Nos résultats ont montré que le GHB diminue le gain de poids chez les souris C57BL/6J et GABAB KO. L'analyse métabolomique a indiqué des changements importants induits par GHB au niveau central et périphérique, et ces effets sont importants pour son utilisation thérapeutique.

Riesz-Nágy singular functions revisited

In 1952 F. Riesz and Sz.Nágy published an example of a monotonic continuous function whose derivative is zero almost everywhere, that is to say, a singular function. Besides, the function was strictly increasing. Their example was built as the limit of a sequence of deformations of the identity function. As an easy consequence of the definition, the derivative, when it existed and was finite, was found to be zero. In this paper we revisit the Riesz-N´agy family of functions and we relate it to a system for real numberrepresentation which we call (t, t-1) expansions. With the help of these real number expansions we generalize the family. The singularity of the functions is proved through some metrical properties of the expansions used in their definition which also allows us to give a more precise way of determining when the derivative is 0 or infinity.

The use of derivatives in the Spanish mutual fund industry

We study the use of derivatives in the Spanish mutual fund industry. The picture that emerges from our analysis is rather negative. In general, the use of derivatives does not improve the performance of the funds. In only one out of eight categories we find some (very weak and not robust) evidence of superior performance. In most of the cases users significantly underperform non users. Furthermore, users do not seem to exhibit superior timing or selectivity skills either, but rather the contrary. This bad performance is only partially explained by the larger fees funds using derivatives charge. Moreover,we do not find evidence of derivatives being used for hedging purposes. We do find evidence of derivatives being used for speculation. But users in only one category exhibit skills as speculators. Finally, we find evidence of derivatives being used to manage the funds cash inflows and outflows more efficiently.

Effects of a treatment gap during adjuvant chemotherapy in node-positive breast cancer: results of International Breast Cancer Study Group (IBCSG) Trials 13-93 and 14-93.

BACKGROUND: The International Breast Cancer Study Group (IBCSG) conducted two complementary randomized trials to assess whether a treatment-free gap during adjuvant chemotherapy influenced outcome. PATIENTS AND METHODS: From 1993 to 1999, IBCSG Trials 13-93 and 14-93 enrolled 2215 premenopausal and postmenopausal women with axillary node-positive, operable breast cancer. All patients received cyclophosphamide (Cytoxan, C) plus either doxorubicin (Adriamycin, A) or epirubicin (E) for four courses followed immediately (No Gap) or after a 16-week delay (Gap) by classical cyclophosphamide, methotrexate, and fluorouracil (CMF) for three courses. The median follow-up was 7.7 years. RESULTS: The Gap and No-Gap groups had similar disease-free survival (DFS) and overall survival (OS). No identified subgroup showed a statistically significant difference, but exploratory subgroup analysis noted a trend towards decreased DFS for Gap compared with No Gap for women with estrogen receptor (ER)-negative tumors not receiving tamoxifen, especially evident during the first 2 years. CONCLUSIONS: A 16-week gap between adjuvant AC/EC and CMF provided no benefit and may have increased early recurrence rates in patients with ER-negative tumors.

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.

Achievement of at least very good partial response is a simple and robust prognostic factor in patients with multiple myeloma treated with high-dose therapy: long-term analysis of the IFM 99-02 and 99-04 Trials.

PURPOSE: The prognostic impact of complete response (CR) achievement in multiple myeloma (MM) has been shown mostly in the context of autologous stem-cell transplantation. Other levels of response have been defined because, even with high-dose therapy, CR is a relatively rare event. The purpose of this study was to analyze the prognostic impact of very good partial response (VGPR) in patients treated with high-dose therapy. PATIENTS AND METHODS: All patients were included in the Intergroupe Francophone du Myelome 99-02 and 99-04 trials and treated with vincristine, doxorubicin, and dexamethasone (VAD) induction therapy followed by double autologous stem-cell transplantation (ASCT). Best post-ASCT response assessment was available for 802 patients. RESULTS: With a median follow-up of 67 months, median event-free survival (EFS) and 5-year EFS were 42 months and 34%, respectively, for 405 patients who achieved at least VGPR after ASCT versus 32 months and 26% in 288 patients who achieved only partial remission (P = .005). Five-year overall survival (OS) was significantly superior in patients achieving at least VGPR (74% v 61% P = .0017). In multivariate analysis, achievement of less than VGPR was an independent factor predicting shorter EFS and OS. Response to VAD had no impact on EFS and OS. The impact of VGPR achievement on EFS and OS was significant in patients with International Staging System stages 2 to 3 and for patients with poor-risk cytogenetics t(4;14) or del(17p). CONCLUSION: In the context of ASCT, achievement of at least VGPR is a simple prognostic factor that has importance in intermediate and high-risk MM and can be informative in more patients than CR.

Outcome and patterns of failure in testicular lymphoma: a multicenter Rare Cancer Network study.

PURPOSE: To assess the outcome and patterns of failure in patients with testicular lymphoma treated by chemotherapy (CT) and/or radiation therapy (RT). METHODS AND MATERIALS: Data from a series of 36 adult patients with Ann Arbor Stage I (n = 21), II (n = 9), III (n = 3), or IV (n = 3) primary testicular lymphoma, consecutively treated between 1980 and 1999, were collected in a retrospective multicenter study by the Rare Cancer Network. Median age was 64 years (range: 21-91 years). Full staging workup (chest X-ray, testicular ultrasound, abdominal ultrasound, and/or thoracoabdominal computer tomography, bone marrow assessment, full blood count, lactate dehydrogenase, and cerebrospinal fluid evaluation) was completed in 18 (50%) patients. All but one patient underwent orchidectomy, and spermatic cord infiltration was found in 9 patients. Most patients (n = 29) had CT, consisting in most cases of cyclophosphamide, doxorubicin, vincristine, and prednisolone (CHOP) with (n = 17) or without intrathecal CT. External RT was delivered to scrotum alone (n = 12) or testicular, iliac, and para-aortic regions (n = 8). The median RT dose was 31 Gy (range: 20-44 Gy) in a median of 17 fractions (10-24), using a median of 1.8 Gy (range: 1.5-2.5 Gy) per fraction. The median follow-up period was 42 months (range: 6-138 months). RESULTS: After a median period of 11 months (range: 1-76 months), 14 patients presented lymphoma progression, mostly in the central nervous system (CNS) (n = 8). Among the 17 patients who received intrathecal CT, 4 had a CNS relapse (p = NS). No testicular, iliac, or para-aortic relapse was observed in patients receiving RT to these regions. The 5-year overall, lymphoma-specific, and disease-free survival was 47%, 66%, and 43%, respectively. In univariate analyses, statistically significant factors favorably influencing the outcome were early-stage and combined modality treatment. Neither RT technique nor total dose influenced the outcome. Multivariate analysis revealed that the most favorable independent factors predicting the outcome were younger age, early-stage disease, and combined modality treatment. CONCLUSIONS: In this multicenter retrospective study, CNS was found to be the principal site of relapse, and no extra-CNS lymphoma progression was observed in the irradiated volumes. More effective CNS prophylaxis, including combined modalities, should be prospectively explored in this uncommon site of extranodal lymphoma.

Carbamazepine augmentation in depressive patients non-responding to citalopram: a pharmacokinetic and clinical pilot study

Citalopram is a chiral antidepressant drug. Its eutomer, S-citalopram (escitalopram), has recently been introduced as an antidepressant. In an open pilot study, four outpatients and two inpatients with a major depressive episode (ICD-10), and who were nonresponders to a 4-week pretreatment with 40-60 mg/day citalopram, were comedicated for another 4-week period with carbamazepine (200-400 mg/day). Some of the patients suffered also from comorbidities: Phobic anxiety disorder with panic attacks (n=2), generalised anxiety disorder, alcohol abuse, dependent personality disorder, hypertension (n=1). After a 4-week augmentation therapy with carbamazepine, a significant (P<0.03) decrease of the plasma concentrations of S-citalopram and R-citalopram, by 27 and 31%, respectively, was observed. Apparently, the probable induction of CYP3A4 by carbamazepine results in a nonstereoselective increase in N-demethylation of citalopram. Moreover, there was a significant (P<0.03) decrease of the ratio S/R-citalopram propionic acid derivative, the formation of it being partly regulated by MAO-A and MAO-B. Already, within 1 week after addition of carbamazepine, there was a slight but significant (P<0.03) decrease of the MADRS depression scores, from 27.0+/-7.7 (mean+/-S.D.) to 23.3+/-6.6, and the final score on day 56 was 18.8+/-10.9. The treatment was generally well tolerated. There was no evidence of occurrence of a serotonin syndrome. After augmentation with carbamazepine, treatment related adverse events were: Nausea in one case, diarrhea in one case, and rash in two cases. In conclusion, the results of this pilot study suggest that carbamazepine augmentation of a citalopram treatment in previous nonresponders to citalopram may be clinically useful, but that in addition carbamazepine can lead to a decrease of the plasma concentrations of the active enantiomer escitalopram.

Persistence and cell culturability of biocontrol strain Pseudomonas fluorescens CHA0 under plough pan conditions in soil and influence of the anaerobic regulator gene anr.

Certain fluorescent pseudomonads can protect plants from soil-borne pathogens, and it is important to understand how these biocontrol agents survive in soil. The persistence of the biocontrol strain Pseudomonas fluorescens CHA0-Rif under plough pan conditions was assessed in non-sterile soil microcosms by counting total cells (immunofluorescence microscopy), intact cells (BacLight membrane permeability test), viable cells (Kogure's substrate-responsiveness test) and culturable cells (colony counts on selective plates) of the inoculant. Viable but non-culturable cells of CHA0-Rif (106 cells g-1 soil) were found in flooded microcosms amended with fermentable organic matter, in which the soil redox potential was low (plough pan conditions), in agreement with previous observations of plough pan samples from a field inoculated with CHA0-Rif. However, viable but non-culturable cells were not found in unamended flooded, amended unflooded or unamended unflooded (i.e. control) microcosms, suggesting that such cells resulted from exposure of CHA0-Rif to a combination of low redox potential and oxygen limitation in soil. CHA0-Rif is strictly aerobic. Its anaerobic regulator ANR is activated by low oxygen concentrations and it controls production of the biocontrol metabolite hydrogen cyanide under microaerophilic conditions. Under plough pan conditions, an anr-deficient mutant of CHA0-Rif and its complemented derivative displayed the same persistence pattern as CHA0-Rif, indicating that anr was not implicated in the formation of viable but non-culturable cells of this strain at the plough pan.

RNOP-09: pegylated liposomal doxorubicine and prolonged temozolomide in addition to radiotherapy in newly diagnosed glioblastoma--a phase II study.

BACKGROUND: Although Temozolomide is effective against glioblastoma, the prognosis remains dismal and new regimens with synergistic activity are sought for. METHODS: In this phase-I/II trial, pegylated liposomal doxorubicin (Caelyx, PEG-Dox) and prolonged administration of Temozolomide in addition to radiotherapy was investigated in 63 patients with newly diagnosed glioblastoma. In phase-I, PEG-Dox was administered in a 3-by-3 dose-escalation regimen. In phase-II, 20 mg/m2 PEG-Dox was given once prior to radiotherapy and on days 1 and 15 of each 28-day cycle starting 4 weeks after radiotherapy. Temozolomide was given in a dose of 75 mg/m2 daily during radiotherapy (60 Gy) and 150-200 mg/m2 on days 1-5 of each 28-day cycle for 12 cycles or until disease progression. RESULTS: The toxicity of the combination of PEG-Dox, prolonged administration of Temozolomide, and radiotherapy was tolerable. The progression free survival after 12 months (PFS-12) was 30.2%, the median overall survival was 17.6 months in all patients including the ones from Phase-I. None of the endpoints differed significantly from the EORTC26981/NCIC-CE.3 data in a post-hoc statistical comparison. CONCLUSION: Together, the investigated combination is tolerable and feasible. Neither the addition of PEG-Dox nor the prolonged administration of Temozolomide resulted in a meaningful improvement of the patient's outcome as compared to the EORTC26981/NCIC-CE.3 data.