A Stieltjes approach to static hedges

Static hedging of complicated payoff structures by standard instruments becomes increasingly popular in finance. The classical approach is developed for quite regular functions, while for less regular cases, generalized functions and approximation arguments are used. In this note, we discuss the regularity conditions in the classical decomposition formula due to P. Carr and D. Madan (in Jarrow ed, Volatility, pp. 417–427, Risk Publ., London, 1998) if the integrals in this formula are interpreted as Lebesgue integrals with respect to the Lebesgue measure. Furthermore, we show that if we replace these integrals by Lebesgue–Stieltjes integrals, the family of representable functions can be extended considerably with a direct approach.

A generalized anisotropic quadric yield criterion and its application to bone tissue at multiple length scales

Nonlinear computational analysis of materials showing elasto-plasticity or damage relies on knowledge of their yield behavior and strengths under complex stress states. In this work, a generalized anisotropic quadric yield criterion is proposed that is homogeneous of degree one and takes a convex quadric shape with a smooth transition from ellipsoidal to cylindrical or conical surfaces. If in the case of material identification, the shape of the yield function is not known a priori, a minimization using the quadric criterion will result in the optimal shape among the convex quadrics. The convexity limits of the criterion and the transition points between the different shapes are identified. Several special cases of the criterion for distinct material symmetries such as isotropy, cubic symmetry, fabric-based orthotropy and general orthotropy are presented and discussed. The generality of the formulation is demonstrated by showing its degeneration to several classical yield surfaces like the von Mises, Drucker–Prager, Tsai–Wu, Liu, generalized Hill and classical Hill criteria under appropriate conditions. Applicability of the formulation for micromechanical analyses was shown by transformation of a criterion for porous cohesive-frictional materials by Maghous et al. In order to demonstrate the advantages of the generalized formulation, bone is chosen as an example material, since it features yield envelopes with different shapes depending on the considered length scale. A fabric- and density-based quadric criterion for the description of homogenized material behavior of trabecular bone is identified from uniaxial, multiaxial and torsional experimental data. Also, a fabric- and density-based Tsai–Wu yield criterion for homogenized trabecular bone from in silico data is converted to an equivalent quadric criterion by introduction of a transformation of the interaction parameters. Finally, a quadric yield criterion for lamellar bone at the microscale is identified from a nanoindentation study reported in the literature, thus demonstrating the applicability of the generalized formulation to the description of the yield envelope of bone at multiple length scales.

Short communication: Fractional milking distribution of immunoglobulin G and other constituents in colostrum.

The provision of quality colostrum with a high concentration of immunoglobulins is critical for newborn calf health. Because first colostrum may be low in overall concentration to effectively reduce the risk of newborn infections, we tested equivalent milking fractions of colostrum for possible IgG differences. The objective of this study was to determine if the fractional composition of colostrum changes during the course of milking with a focus on immunoglobulins. Twenty-four Holstein and Simmental cows were milked (first colostrum) within 4h after calving. The colostrum of 1 gland per animal was assembled into 4 percentage fractions over the course of milking: 0 to 25%, 25 to 50%, 50 to 75%, and 75 to 100%. The IgG concentration among the various fractions did not change in any significant pattern. Concentration of protein, casein, lactose and somatic cell count remained the same or exhibited only minor changes during the course of fractional milking colostrum. We determined that no benefit exists in feeding any particular fraction of colostrum to the newborn.

Generalized fuzzy clustering for segmentation of multi-spectral magnetic resonance images.

An integrated approach for multi-spectral segmentation of MR images is presented. This method is based on the fuzzy c-means (FCM) and includes bias field correction and contextual constraints over spatial intensity distribution and accounts for the non-spherical cluster's shape in the feature space. The bias field is modeled as a linear combination of smooth polynomial basis functions for fast computation in the clustering iterations. Regularization terms for the neighborhood continuity of intensity are added into the FCM cost functions. To reduce the computational complexity, the contextual regularizations are separated from the clustering iterations. Since the feature space is not isotropic, distance measure adopted in Gustafson-Kessel (G-K) algorithm is used instead of the Euclidean distance, to account for the non-spherical shape of the clusters in the feature space. These algorithms are quantitatively evaluated on MR brain images using the similarity measures.

Shying away: An observer-based microprocess analysis of experiential avoidance and resource activation in outpatients with generalized anxiety spectrum disorder

Despite long-standing calls for patient-focused research on individuals with generalized anxiety spectrum disorder there is little systematized knowledge about the in-session behaviors of these patients. The primary objective of this study was to describe of in-session trajectories of the patients' level of explication (as an indicator of an elaborated exposure of negative emotionality) and the patients' focus on their own resources and how these trajectories are associated with post-treatment outcome. In respect to GAD patients, a high level of explication might be seen as an indicator of successful exposure of avoided negative emotionality during therapy sessions. Observers made minute-by-minute ratings of 1100 minutes of video of 20 patients-therapists dyads. The results indicated that a higher level of explication generally observed at a later stage during the therapy sessions and the patients' focus on competencies at an early stage was highly associated with positive therapy outcome at assessment at post treatment, independent of pretreatment distress, rapid response of well-being and symptom reduction, as well as the therapists' professional experience and therapy lengths. These results will be discussed under the perspective of emotion regulation of patients and therapist's counterregulation. It is assumed that GAD-Patients are especially skilled in masking difficult emotions. Explication level and emotion regulation are important variables for this patient group but there's relation to outcome is different.

Generalized resistance resources of informal caregivers: A study of demands for care, competing demands, perception of burden and cognitive stress

This study examines the relationship among psychological resources (generalized resistance resources), care demands (demands for care, competing demands, perception of burden) and cognitive stress in a selected population of primary family caregivers. The study utilizes Antonovsky's Salutogenic Model of Health, specifically the concept of generalized resistance resources (GRRs), to analyze the relative effect of these resources on mediating cognitive stress, controlling for other care demands. The study is based on a sample of 784 eligible caregivers who (1) were relatives, (2) had the main responsibility for care, defined as a primary caregiver, and (3) provided a scaled stress score for the amount of overall care given to the care recipient (family member). The sample was drawn from the 1982 National Long-Term Care Survey (NLTCS) of individuals who assisted a given NLTCS sample person with ADL limitations.^ The study tests the following hypotheses: (a) There will be a negative relationship between generalized resistance resources (GRRs) and cognitive stress controlling for care demands (demands for care, competing demands, and perceptions of burden); (b) of the specific GRRs (material, cognitive, social, cultural-environmental) the social domain will represent the most significant factor predicting a decrease in cognitive stress; and (c) the social domain will be more significant for the female than the male primary family caregiver in decreasing cognitive stress.^ The study found that GRRs had a statistically significant mediating effect on cognitive stress, but the GRRs were a less significant predictor of stress than perception of burden and demands for care. Thus, although the analysis supported the underlying hypothesis, the specific hypothesis regarding GRRs' greater significance in buffering cognitive stress was not supported. Second, the results did not demonstrate the statistical significance or differences among the GRR domains. The hypothesis that the social GRR domain was most significant in mediating stress of family caregivers was not supported. Finally, the results confirmed that there are differences in the importance of social support help in mediating stress based on gender. It was found that gender and social support help were related to cognitive stress and gender had a statistically significant interaction effect with social support help. Implications for clinical practice, public health policy, and research are discussed. ^

A comparison of Markov and generalized linear models of hospital mortality

This paper reports a comparison of three modeling strategies for the analysis of hospital mortality in a sample of general medicine inpatients in a Department of Veterans Affairs medical center. Logistic regression, a Markov chain model, and longitudinal logistic regression were evaluated on predictive performance as measured by the c-index and on accuracy of expected numbers of deaths compared to observed. The logistic regression used patient information collected at admission; the Markov model was comprised of two absorbing states for discharge and death and three transient states reflecting increasing severity of illness as measured by laboratory data collected during the hospital stay; longitudinal regression employed Generalized Estimating Equations (GEE) to model covariance structure for the repeated binary outcome. Results showed that the logistic regression predicted hospital mortality as well as the alternative methods but was limited in scope of application. The Markov chain provides insights into how day to day changes of illness severity lead to discharge or death. The longitudinal logistic regression showed that increasing illness trajectory is associated with hospital mortality. The conclusion is reached that for standard applications in modeling hospital mortality, logistic regression is adequate, but for new challenges facing health services research today, alternative methods are equally predictive, practical, and can provide new insights. ^

Non-exponential return time distributions for vorticity extremes explained by fractional Poisson processes

Serial correlation of extreme midlatitude cyclones observed at the storm track exits is explained by deviations from a Poisson process. To model these deviations, we apply fractional Poisson processes (FPPs) to extreme midlatitude cyclones, which are defined by the 850 hPa relative vorticity of the ERA interim reanalysis during boreal winter (DJF) and summer (JJA) seasons. Extremes are defined by a 99% quantile threshold in the grid-point time series. In general, FPPs are based on long-term memory and lead to non-exponential return time distributions. The return times are described by a Weibull distribution to approximate the Mittag–Leffler function in the FPPs. The Weibull shape parameter yields a dispersion parameter that agrees with results found for midlatitude cyclones. The memory of the FPP, which is determined by detrended fluctuation analysis, provides an independent estimate for the shape parameter. Thus, the analysis exhibits a concise framework of the deviation from Poisson statistics (by a dispersion parameter), non-exponential return times and memory (correlation) on the basis of a single parameter. The results have potential implications for the predictability of extreme cyclones.

Fractional Flow Reserve–Guided PCI for Stable Coronary Artery Disease

Background We hypothesized that in patients with stable coronary artery disease and stenosis, percutaneous coronary intervention (PCI) performed on the basis of the fractional flow reserve (FFR) would be superior to medical therapy. Methods In 1220 patients with stable coronary artery disease, we assessed the FFR in all stenoses that were visible on angiography. Patients who had at least one stenosis with an FFR of 0.80 or less were randomly assigned to undergo FFR-guided PCI plus medical therapy or to receive medical therapy alone. Patients in whom all stenoses had an FFR of more than 0.80 received medical therapy alone and were included in a registry. The primary end point was a composite of death from any cause, nonfatal myocardial infarction, or urgent revascularization within 2 years. Results The rate of the primary end point was significantly lower in the PCI group than in the medical-therapy group (8.1% vs. 19.5%; hazard ratio, 0.39; 95% confidence interval [CI], 0.26 to 0.57; P<0.001). This reduction was driven by a lower rate of urgent revascularization in the PCI group (4.0% vs. 16.3%; hazard ratio, 0.23; 95% CI, 0.14 to 0.38; P<0.001), with no significant between-group differences in the rates of death and myocardial infarction. Urgent revascularizations that were triggered by myocardial infarction or ischemic changes on electrocardiography were less frequent in the PCI group (3.4% vs. 7.0%, P=0.01). In a landmark analysis, the rate of death or myocardial infection from 8 days to 2 years was lower in the PCI group than in the medical-therapy group (4.6% vs. 8.0%, P=0.04). Among registry patients, the rate of the primary end point was 9.0% at 2 years. Conclusions In patients with stable coronary artery disease, FFR-guided PCI, as compared with medical therapy alone, improved the outcome. Patients without ischemia had a favorable outcome with medical therapy alone. (Funded by St. Jude Medical; FAME 2 ClinicalTrials.gov number, NCT01132495 .).

Innate immune cells express IL-17A/F in acute generalized exanthematous pustulosis and generalized pustular psoriasis.

Acute generalized exanthematous pustulosis (AGEP) and generalized pustular psoriasis (GPP) are rare pustular skin disorders with systemic involvement. IL-17A/F is a proinflammatory cytokine involved in various neutrophilic inflammatory disorders. Here we show that IL-17A/F is highly expressed by innate immune cells such as neutrophils and mast cells in both AGEP and GPP.