Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

Dynamics of small interfering RNA - FRET based integrity measurements of siRNA in the cuvette & inside cells

RNAi ist ein bedeutendes Werkzeug zur Funktionsanalyse von Genen und hat großes Potential für den Einsatz in der Therapie. Obwohl effiziente Knockdowns in der Zellkultur erzielt werden, erweist sich eine in vivo Anwendung als schwierig. Die großen Hürden sind dabei der Transport der siRNA ins Zielgewebe und deren voranschreitende Degradierung.rnMarkierte siRNA kann sowohl zur eigenen Integritätsmessung als auch zur Lokalisierung verwendet werden. Zwei Farbstoffe an den jeweiligen 3’- bzw. -5’-Enden des Sense- bzw. Antisense-Stranges erzeugen ein robustes FRET-System (Hirsch et al. 2012). Das Verhältnis von FRET- zu Donor-Signal, das R/G-Ratio, dient zur sensitiven Klassifizierung des Integritätslevels einer siRNA Probe (Järve et al. 2007; Hirsch et al. 2011; Kim et al. 2010). Mit diesem System kann eine Degradierung von weniger als 5 % in der Küvette und in Zellen nachgewiesen werden.rnDie vorliegende Arbeit beschäftigt sich mit der Evaluierung von potentiellen FRET Farbstoffpaaren hinsichtlich deren Eignung für in vitro und in vivo Anwendung. Verschiedenste FRET-Paare, die das gesamte sichtbare Spektrum abdecken, wurden evaluiert und ermöglichen nun die Auswahl eines geeigneten Paares für die jeweilige Anwendung oder Kombination mit anderen Farbstoffen.rnMit Hilfe von Alexa555/Atto647N siRNA wurde ein erfolgreicher Einschluss von siRNA in Liposomen beobachtet. Eine anschließende Evaluierung der RNase-Protektion ergab für Liposomen, Nanohydrogele und kationische Peptide hervorragende protektive Eigenschaften. Basierend auf den Ergebnisse können diese und andere Transportsysteme nun für eine zelluläre Aufnahme optimiert werden.rnAtto488/Atto590 zeigte die besten Eigenschaften für Echtzeit-Integritätsmessungen in der Lebendzellmikroskopie. Verringerte Bleicheigenschaften und minimaler spektraler “Cross-Talk” ermöglichten es, transfizierte Zellen über einen Zeitraum von bis zu 8 Stunden zu beobachten. Mittels Atto488/Atto590 siRNA wurde die Einschleusung und Freisetzung in Zellen in Echtzeit untersucht. Dabei konnten Freisetzung und Verteilung in einzelnen Zellen beobachtet und analysiert werden. rnAuf eine anfängliche Phase mit hoher Freisetzungsrate folgte eine Phase mit geringerer Rate für den restlichen Beobachtungszeitraum. Die durchschnittliche Verweildauer im Zytosol betrug 24 und 58 Minuten, wobei zwischen lang- und kurzanhaltenden Ereignissen unterschieden werden konnte. Obwohl ein Import von siRNA in den Zellkern beobachtet wurde, konnte kein Schema bzw. genauer Zeitpunkt, in Bezug auf den Transfektionszeitraum für diese Ereignisse bestimmt werden. Die beobachteten Freisetzungsprozesse fanden sporadisch statt und Änderungen in der zellulären Verteilung geschahen innerhalb von wenigen Minuten. Einmal freigesetzte siRNA verschwand mit der Zeit wieder aus dem Zytosol und es blieben nur kleine Aggregate von siRNA mit immer noch geringer Integrität zurück.rn

Habitat use of migrating dwarf minke whales (Balaenoptera acutorostrata subspecies) in Tasmanian waters

The Great Barrier Reef hosts the only known reliable aggregation of dwarf minke whale (Balaenoptera acutorostrata subspecies) in Australian waters. While this short seasonal aggregation is quite predictable, the distribution and movements of the whales during the rest of their annual cycle are poorly understood. In particular, feeding and resting areas on their southward migration which are likely to be important have not been described. Using satellite telemetry data, I modelled the habitat use of seven whales during their southward migration through waters surrounding Tasmania. The whales were tagged with LIMPET satellite tags in the GBR in July 2013 (2 individuals) and 2014 (5 individuals). The study area around Tasmania was divided into 10km² cells and the time spent by each individual in each cell was calculated and averaged based on the number of animals using the cell. Two areas of high residency time were highlighted: south-western Bass Strait and Storm Bay (SE Tasmania). Remotely sensed ocean data were extracted for each cell and averaged temporally during the entire period of residency. Using Generalised Additive Models I explored the influence of key environmental characteristics. Nine predictors (bathymetry, distance from coast, distance from shore, gradient of sea surface temperature, sea surface height (absolute and variance), gradient of current speed, wind speed and chlorophyll-a concentration) were retained in the final model which explained 68% of the total variance. Regions of higher time-spent values were characterised by shallow waters, proximity to the coast (but not to the shelf break), high winds and sea surface height but low gradient of sea surface temperature. Given that the two high residency areas corresponded with regions where other marine predators also forage in Bass Strait and Storm Bay, I suggest the whales were probably feeding, rather than resting in these areas.

Numerical model of the human cornea based on stromal microstructure: identification of mechanical properties for two age groups

The optical quality of the human eye mainly depends on the refractive performance of the cornea. The shape of the cornea is a mechanical balance between intraocular pressure and tissue intrinsic stiffness. Several surgical procedures in ophthalmology alter the biomechanics of the cornea to provoke local or global curvature changes for vision correction. Legitimated by the large number of surgical interventions performed every day, the demand for a deeper understanding of corneal biomechanics is rising to improve the safety of procedures and medical devices. The aim of our work is to propose a numerical model of corneal biomechanics, based on the stromal microstructure. Our novel anisotropic constitutive material law features a probabilistic weighting approach to model collagen fiber distribution as observed on human cornea by Xray scattering analysis (Aghamohammadzadeh et. al., Structure, February 2004). Furthermore, collagen cross-linking was explicitly included in the strain energy function. Results showed that the proposed model is able to successfully reproduce both inflation and extensiometry experimental data (Elsheikh et. al., Curr Eye Res, 2007; Elsheikh et. al., Exp Eye Res, May 2008). In addition, the mechanical properties calculated for patients of different age groups (Group A: 65-79 years; Group B: 80-95 years) demonstrate an increased collagen cross-linking, and a decrease in collagen fiber elasticity from younger to older specimen. These findings correspond to what is known about maturing fibrous biological tissue. Since the presented model can handle different loading situations and includes the anisotropic distribution of collagen fibers, it has the potential to simulate clinical procedures involving nonsymmetrical tissue interventions. In the future, such mechanical model can be used to improve surgical planning and the design of next generation ophthalmic devices.

Cardiogoniometric parameters for detection of coronary artery disease at rest as a function of stenosis localization and distribution

Cardiogoniometry (CGM), a spatiotemporal electrocardiologic 5-lead method with automated analysis, may be useful in primary healthcare for detecting coronary artery disease (CAD) at rest. Our aim was to systematically develop a stenosis-specific parameter set for global CAD detection. In 793 consecutively admitted patients with presumed non-acute CAD, CGM data were collected prior to elective coronary angiography and analyzed retrospectively. 658 patients fulfilled the inclusion criteria, 405 had CAD verified by coronary angiography; the 253 patients with normal coronary angiograms served as the non-CAD controls. Study patients--matched for age, BMI, and gender--were angiographically assigned to 8 stenosis-specific CAD categories or to the controls. One CGM parameter possessing significance (P < .05) and the best diagnostic accuracy was matched to one CAD category. The area under the ROC curve was .80 (global CAD versus controls). A set containing 8 stenosis-specific CGM parameters described variability of R vectors and R-T angles, spatial position and potential distribution of R/T vectors, and ST/T segment alterations. Our parameter set systematically combines CAD categories into an algorithm that detects CAD globally. Prospective validation in clinical studies is ongoing.

A Stellar Census of the Tucana-Horologium Moving Group

We report the selection and spectroscopic confirmation of 129 new late-type (SpT = K3-M6) members of the Tucana-Horologium moving group, a nearby (d similar to 40 pc), young (tau similar to 40 Myr) population of comoving stars. We also report observations for 13 of the 17 known Tuc-Hor members in this spectral type range, and that 62 additional candidates are likely to be unassociated field stars; the confirmation frequency for new candidates is therefore 129/191 = 67%. We have used radial velocities, Ha emission, and Li-6708 absorption to distinguish between contaminants and bona fide members. Our expanded census of Tuc-Hor increases the known population by a factor of similar to 3 in total and by a factor of similar to 8 for members with SpT >= K3, but even so, the K-M dwarf population of Tuc-Hor is still markedly incomplete. Our expanded census allows for a much more detailed study of Tuc-Hor than was previously feasible. The spatial distribution of members appears to trace a two-dimensional sheet, with a broad distribution in X and Y, but a very narrow distribution (+/- 5 pc) in Z. The corresponding velocity distribution is very small, with a scatter of +/- 1.1 km s(-1) about the mean UVW velocity for stars spanning the entire 50 pc extent of Tuc-Hor. We also show that the isochronal age (tau similar to 20-30 Myr) and the lithium depletion boundary age (tau similar to 40 Myr) disagree, following the trend in other pre-main-sequence populations for isochrones to yield systematically younger ages. The H alpha emission line strength follows a trend of increasing equivalent width with later spectral type, as is seen for young clusters. We find that moving group members have been depleted of measurable lithium for spectral types of K7.0-M4.5. None of our targets have significant infrared excesses in the WISE W3 band, yielding an upper limit on warm debris disks of F < 0.7%. Finally, our purely kinematic and color-magnitude selection procedure allows us to test the efficiency and completeness for activity-based selection of young stars. We find that 60% of K-M dwarfs in Tuc-Hor do not have ROSAT counterparts and would have been omitted in X-ray-selected samples. In contrast, GALEX UV-selected samples using a previously suggested criterion for youth achieve completeness of 77% and purity of 78%, and we suggest new SpT-dependent selection criteria that will yield > 95% completeness for tau similar to 40 Myr populations with GALEX data available.

Tracking the subprocesses of decision-based action in the human frontal lobes

Situationally adaptive behavior relies on the identification of relevant target stimuli, the evaluation of these with respect to the current context and the selection of an appropriate action. We used functional magnetic resonance imaging (fMRI) to disentangle the neural networks underlying these processes within a single task. Our results show that activation of mid-ventrolateral prefrontal cortex (PFC) reflects the perceived presence of a target stimulus regardless of context, whereas context-appropriate evaluation is subserved by mid-dorsolateral PFC. Enhancing demands on response selection by means of response conflict activated a network of regions, all of which are directly connected to motor areas. On the midline, rostral anterior paracingulate cortex was found to link target detection and response selection by monitoring for the presence of behaviorally significant conditions. In summary, we provide new evidence for process-specific functional dissociations in the frontal lobes. In target-centered processing, target detection in the VLPFC is separable from contextual evaluation in the DLPFC. Response-centered processing in motor-associated regions occurs partly in parallel to these processes, which may enhance behavioral efficiency, but it may also lead to reaction time increases when an irrelevant response tendency is elicited.

Model Evaluation Based on the Distribution of Estimated Absolute Prediction Error

The construction of a reliable, practically useful prediction rule for future response is heavily dependent on the "adequacy" of the fitted regression model. In this article, we consider the absolute prediction error, the expected value of the absolute difference between the future and predicted responses, as the model evaluation criterion. This prediction error is easier to interpret than the average squared error and is equivalent to the mis-classification error for the binary outcome. We show that the distributions of the apparent error and its cross-validation counterparts are approximately normal even under a misspecified fitted model. When the prediction rule is "unsmooth", the variance of the above normal distribution can be estimated well via a perturbation-resampling method. We also show how to approximate the distribution of the difference of the estimated prediction errors from two competing models. With two real examples, we demonstrate that the resulting interval estimates for prediction errors provide much more information about model adequacy than the point estimates alone.

ON THE MERITS OF VOXEL-BASED MORPHOMETRIC PATH-ANALYSIS FOR INVESTIGATING VOLUMETRIC MEDIATION OF A TOXICANT'S INFLUENCE ON COGNITIVE FUNCTION

We previously showed that lifetime cumulative lead dose, measured as lead concentration in the tibia bone by X-ray fluorescence, was associated with persistent and progressive declines in cognitive function and with decreases in MRI-based brain volumes in former lead workers. Moreover, larger region-specific brain volumes were associated with better cognitive function. These findings motivated us to explore a novel application of path analysis to evaluate effect mediation. Voxel-wise path analysis, at face value, represents the natural evolution of voxel-based morphometry methods to answer questions of mediation. Application of these methods to the former lead worker data demonstrated potential limitations in this approach where there was a tendency for results to be strongly biased towards the null hypothesis (lack of mediation). Moreover, a complimentary analysis using anatomically-derived regions of interest volumes yielded opposing results, suggesting evidence of mediation. Specifically, in the ROI-based approach, there was evidence that the association of tibia lead with function in three cognitive domains was mediated through the volumes of total brain, frontal gray matter, and/or possibly cingulate. A simulation study was conducted to investigate whether the voxel-wise results arose from an absence of localized mediation, or more subtle defects in the methodology. The simulation results showed the same null bias evidenced as seen in the lead workers data. Both the lead worker data results and the simulation study suggest that a null-bias in voxel-wise path analysis limits its inferential utility for producing confirmatory results.

Snake venom C-type lectins interacting with platelet receptors. Structure-function relationships and effects on haemostasis

Snake venoms contain components that affect the prey either by neurotoxic or haemorrhagic effects. The latter category affect haemostasis either by inhibiting or activating platelets or coagulation factors. They fall into several types based upon structure and mode of action. A major class is the snake C-type lectins or C-type lectin-like family which shows a typical folding like that in classic C-type lectins such as the selectins and mannose-binding proteins. Those in snake venoms are mostly based on a heterodimeric structure with two subunits alpha and beta, which are often oligomerized to form larger molecules. Simple heterodimeric members of this family have been shown to inhibit platelet functions by binding to GPIb but others activate platelets via the same receptor. Some that act via GPIb do so by inducing von Willebrand factor to bind to it. Another series of snake C-type lectins activate platelets by binding to GPVI while yet another series uses the integrin alpha(2)beta(1) to affect platelet function. The structure of more and more of these C-type lectins have now been, and are being, determined, often together with their ligands, casting light on binding sites and mechanisms. In addition, it is relatively easy to model the structure of the C-type lectins if the primary structure is known. These studies have shown that these proteins are quite a complex group, often with more than one platelet receptor as ligand and although superficially some appear to act as inhibitors, in fact most function by inducing thrombocytopenia by various routes. The relationship between structure and function in this group of venom proteins will be discussed.

Carotenoid-based plumage colors and immune function: Is there a trade-off for rare carotenoids?

Theory suggests that carotenoid-based signals are used in animal communication because they contain specific information about parasite resistance or immunocompetence. This implies that honesty of carotenoid-based signals is maintained by a trade-off between pigmentation and immune function for carotenoids, assuming that the carotenoids used for coloration are also immunoenhancing. We tested this hypothesis by altering the diets of nestling great tits (Paris major) with supplementary beadlets containing the carotenoids that are naturally ingested with food or beadlets containing the carotenoids that are incorporated into the feathers; a control group received beadlets containing no carotenoids. We simultaneously immune challenged half of the nestlings of each supplementation group, using a two-factorial design. Activatior of the immune system led to reduced color expression. However, only nestlings fed with the naturally ingested carotenoids and not with the carotenoids deposited in the feathers showed an increased cellular immune response. This shows that the carotenoids used for ornamentation do not promote the immune function, which conflicts with the trade-off hypothesis. Our results indicate that honesty of carotenoid-based signals is maintained by an individual's physiological limitation to absorb and/or transport carotenoids and by access to carotenoids, indicating that preferences for carotenoid-based traits in sexual selection or parent-offspring interactions select for competitive individuals, rather than specifically for immune function.