Asymptotic analysis of option pricing in a Markov modulated market

We address asymptotic analysis of option pricing in a regime switching market where the risk free interest rate, growth rate and the volatility of the stocks depend on a finite state Markov chain. We study two variations of the chain namely, when the chain is moving very fast compared to the underlying asset price and when it is moving very slow. Using quadratic hedging and asymptotic expansion, we derive corrections on the locally risk minimizing option price.

Nonlinear secondary whirl of an overhung rotor

Gravity critical speeds of rotors have hitherto been studied using linear analysis, and ascribed to rotor stiffness asymmetry. Here, we study an idealized asymmetric nonlinear overhung rotor model of Crandall and Brosens, spinning close to its gravity critical speed.Nonlinearities arise from finite displacements, and the rotor's staticlateral deflection under gravity is taken as small. Assuming small asymmetry and damping, slow modulations of whirl amplitudes are studied using the method of multiple scales. Inertia asymmetry appears only at second order. More interestingly, even without stiffness asymmetry, the gravity-induced resonance survives through geometric nonlinearities. The gravity resonant forcing does not influence the resonant mode at leading order, unlike the typical resonant oscillations. Nevertheless,the usual phenomena of resonances, namely saddle-node bifurcations, jump phenomena and hysteresis, are all observed. An unanticipated periodic solution branch is found. In the three-dimensional space oftwo modal coefficients and a detuning parameter, the full set of periodic solutions is found to be an imperfect version of three mutually intersecting curves: a straight line,a parabola and an ellipse.

Plant guard cell anion channel SLAC1 regulates stomatal closure

Plants are rooted to their growth place; therefore it is important that they react adequately to changes in environmental conditions. Stomatal pores, which are formed of a pair of guard cells in leaf epidermis, regulate plant gas-exchange. Importantly, guard cells protect the plant from desiccation in drought conditions by reducing the aperture of the stomatal pore. They serve also as the first barrier against the major air pollutant ozone, but the behaviour of guard cells during ozone exposure has not been sufficiently addressed. Aperture of the stomatal pore is regulated by the influx and efflux of osmotically active ions via ion channels and transporters across the guard cell membrane, however the molecular identity of guard cell plasma membrane anion channel has remained unknown. In the frame of this study, guard cell behaviour during ozone exposure was studied using the newly constructed Arabidopsis whole-rosette gas-exchange system. Ozone induced a Rapid Transient Decrease (RTD) in stomatal conductance within 10 min from the start of exposure, which was followed by a recovery in the conductance within the next 40 min. The decrease in stomatal conductance was dependent on the applied ozone concentration. Three minutes of ozone exposure was sufficient to induce RTD and further ozone application during the closure-recovery process had no effect on RTD, demonstrating that the whole process is programmed within the first three minutes. To address the molecular components responsible for RTD, the ozone response was measured in 59 different Arabidopsis mutants involved in guard cell signalling. Four of the tested mutants slac1 (originally rcd3), ost1, abi1-1 and abi2-1 lacked RTD completely. As the ozone sensitive mutant slac1 lacked RTD, the next aim of this study was to identify and characterize SLAC1. SLAC1 was shown to be a central regulator in response to all major factors regulating guard cell aperture: CO2, light/darkness transitions, ozone, relative air humidity, ABA, NO, H2O2, and extracellular Ca2+. It encodes the first guard cell plasma membrane slow type anion channel to be identified at the molecular level. Interestingly, the rapid type anion conductance was intact in slac1 mutant plants. For activation, SLAC1 needs to be phosphorylated. Protein kinase OST1 was shown to phosphorylate several amino acids in the N-terminal tail of SLAC1, Ser120 was one of its main targets, which led to SLAC1 activation. The lack of RTD in type 2C protein phosphatase mutants abi1-1 and abi2-1, suggests that these proteins have a regulatory role in ozoneinduced activation of the slow type anion channel.

A Mycobacterial Cyclic AMP Phosphodiesterase That Moonlights as a Modifier of Cell Wall Permeability

Mycobacterium tuberculosis utilizes many mechanisms to establish itself within the macrophage, and bacterially derived cAMP is important in modulating the host cellular response. Although the genome of M. tuberculosis is endowed with a number of mammalian-like adenylyl cyclases, only a single cAMP phosphodiesterase has been identified that can decrease levels of cAMP produced by the bacterium. We present the crystal structure of the full-length and sole cAMP phosphodiesterase, Rv0805, found in M. tuberculosis, whose orthologs are present only in /the genomes of slow growing and pathogenic mycobacteria. The dimeric core catalytic domain of Rv0805 adopts a metallophosphoesterase fold, and the C-terminal region builds the active site and contributes to multiple substrate utilization.Localization of Rv0805 to the cell wall is dependent on its C terminus, and expression of either wild type or mutationally inactivated Rv0805 in M. smegmatis alters cell permeability to hydrophobic cytotoxic compounds. Rv0805 may therefore play a key role in the pathogenicity of mycobacteria, not only by hydrolyzing bacterial cAMP, but also by moonlighting as a protein that can alter cell wall functioning.

Predicting the temporal response of seagrass meadows to dredging using Dynamic Bayesian Networks

Predicting temporal responses of ecosystems to disturbances associated with industrial activities is critical for their management and conservation. However, prediction of ecosystem responses is challenging due to the complexity and potential non-linearities stemming from interactions between system components and multiple environmental drivers. Prediction is particularly difficult for marine ecosystems due to their often highly variable and complex natures and large uncertainties surrounding their dynamic responses. Consequently, current management of such systems often rely on expert judgement and/or complex quantitative models that consider only a subset of the relevant ecological processes. Hence there exists an urgent need for the development of whole-of-systems predictive models to support decision and policy makers in managing complex marine systems in the context of industry based disturbances. This paper presents Dynamic Bayesian Networks (DBNs) for predicting the temporal response of a marine ecosystem to anthropogenic disturbances. The DBN provides a visual representation of the problem domain in terms of factors (parts of the ecosystem) and their relationships. These relationships are quantified via Conditional Probability Tables (CPTs), which estimate the variability and uncertainty in the distribution of each factor. The combination of qualitative visual and quantitative elements in a DBN facilitates the integration of a wide array of data, published and expert knowledge and other models. Such multiple sources are often essential as one single source of information is rarely sufficient to cover the diverse range of factors relevant to a management task. Here, a DBN model is developed for tropical, annual Halophila and temperate, persistent Amphibolis seagrass meadows to inform dredging management and help meet environmental guidelines. Specifically, the impacts of capital (e.g. new port development) and maintenance (e.g. maintaining channel depths in established ports) dredging is evaluated with respect to the risk of permanent loss, defined as no recovery within 5 years (Environmental Protection Agency guidelines). The model is developed using expert knowledge, existing literature, statistical models of environmental light, and experimental data. The model is then demonstrated in a case study through the analysis of a variety of dredging, environmental and seagrass ecosystem recovery scenarios. In spatial zones significantly affected by dredging, such as the zone of moderate impact, shoot density has a very high probability of being driven to zero by capital dredging due to the duration of such dredging. Here, fast growing Halophila species can recover, however, the probability of recovery depends on the presence of seed banks. On the other hand, slow growing Amphibolis meadows have a high probability of suffering permanent loss. However, in the maintenance dredging scenario, due to the shorter duration of dredging, Amphibolis is better able to resist the impacts of dredging. For both types of seagrass meadows, the probability of loss was strongly dependent on the biological and ecological status of the meadow, as well as environmental conditions post-dredging. The ability to predict the ecosystem response under cumulative, non-linear interactions across a complex ecosystem highlights the utility of DBNs for decision support and environmental management.

The incongruous observation of magnetic phase separation in La0.85Sr0.15CoO3 spin glass system

Phase separation (PS) in hole-doped cobaltites (La1-xSrxCoxO3) is drawing renewed interest recently. In particular, the magnetic behavior of La0.85Sr0.15CoO3 has been subjected to a controversial debate for the past several years; while some groups show evidence for magnetic PS, others show spin glass (SG) behavior. Here, an attempt is made to resolve the controversy related to ``PS versus SG'' behavior in this compound. We present the results of a comprehensive investigation of the dc magnetization, ac susceptibility, and the magnetotransport properties of La0.85Sr0.15CoO3 samples. We contemplate that the magnetic PS in La0.85Sr0.15CoO3 is neither intrinsic nor inherent, but it is a consequence of the preparation conditions. It is realized that a low temperature annealed (LTA) sample shows PS whereas the high temperature annealed (HTA) sample shows SG behavior. The Brillouin-like behavior of field cooled dc magnetization and apparently no frequency dependent peak shift in ac susceptibility for the LTA sample characterize it to be of ferromagneticlike whereas a kink in field cooled dc magnetization and a considerable amount (similar to 3 K) of frequency dependent peak shift in the ac susceptibility for the HTA sample characterize it to be of SG state. The magnetotransport properties show that the HTA sample is more semiconducting as compared to the LTA sample. This is interpreted in terms of the presence of isolated as well as coalescing metallic ferromagnetic clusters in the case of LTA sample. The magnetoresistance (MR) at 10 K for the HTA sample exhibits a huge value (similar to 65%) as compared to the LTA sample, and it monotonically decreases with the rise in temperature. Such a high value of MR in the case of HTA sample is strongly believed to be due to the spin dependent part of random potential distribution. Further, the slow decay of remnant magnetization with progress of time and the existence of hysteresis at higher temperatures (up to 200 K) in the case of LTA sample as compared to the HTA sample clearly unveil different magnetic states associated with them.

Evaluation of the Biocompatibility of Poly (ortho ester), Copolymer of ε-caprolactone/D,L-lactide and the Composite of Copolymer of ε-caprolactone/D,L-lactide and Tricalciumphosphate as Bone Filling Material

The purpose of this series of studies was to evaluate the biocompatibility of poly (ortho) ester (POE), copolymer of ε-caprolactone and D,L-lactide [P (ε-CL/DL-LA)] and the composite of P(ε-CL/DL-LA) and tricalciumphosphate (TCP) as bone filling material in bone defects. Tissue reactions and resorption times of two solid POE-implants (POE 140 and POE 46) with different methods of sterilization (gamma- and ethylene oxide sterilization), P(ε-CL/DL-LA)(40/60 w/w) in paste form and 50/50 w/w composite of 40/60 w/w P(ε-CL/DL-LA) and TCP and 27/73 w/w composite of 60/40 w/w P(ε-CL/DL-LA) and TCP were examined in experimental animals. The follow-up times were from one week to 52 weeks. The bone samples were evaluated histologically and the soft tissue samples histologically, immunohistochemically and electronmicroscopically. The results showed that the resorption time of gamma sterilized POE 140 was eight weeks and ethylene oxide sterilized POE 140 13 weeks in bone. The resorption time of POE 46 was more than 24 weeks. The gamma sterilized rods started to erode from the surface faster than ethylene oxide sterilized rods for both POEs. Inflammation in bone was from slight to moderate with POE 140 and moderate with POE 46. No highly fluorescent layer of tenascin or fibronectin was found in the soft tissue. Bone healing at the sites of implantation was slower than at control sites with the copolymer in small bone defects. The resorption time for the copolymer was over one year. Inflammation in bone was mostly moderate. Bone healing at the sites of implantation was also slower than at the control sites with the composite in small and large mandibular bone defects. Bone formation had ceased at both sites by the end of follow-up in large mandibular bone defects. The ultrastructure of the connective tissue was normal during the period of observation. It can be concluded that the method of sterilization influenced the resorption time of both POEs. Gamma sterilized POE 140 could have been suitable material for filling small bone defects, whereas the degradation times of solid EO-sterilized POE 140 and POE 46 were too slow to be considered as bone filling material. Solid material is difficult to contour, which can be considered as a disadvantage. The composites were excellent to handle, but the degradation time of the polymer and the composites were too slow. Therefore, the copolymer and the composite can not be recommended as bone filling material.

The Risk of Cancer Associated with Immunosuppressive Therapy for Skin Diseases

The possible carcinogenic risk of immunosuppressive therapies is an important issue in everyday clinical practise. Carcinogenesis is a slow multi step procedure, thus a long latency period is needed before cancer develops. PUVA therapy is used for many skin diseases including psoriasis, early stage cutaneous T cell lymphoma, atopic dermatitis, palmoplantar pustulosis and chronic eczema. There has been concern about the increased melanoma risk associated to PUVA therapy, which has previously been associated with an increased risk on non-melanoma skin cancer, especially squamous cell carcinoma. The increased risk of basal cell carcinoma (BCC) is also documented but it is modest compared to squamous cell carcinoma (SCC). This thesis evaluated melanoma and noncutaneous cancer risk associated to PUVA, and the persistence of nonmelanoma cancer risk after the cessation of PUVA treatment. Also, the influence of photochemotherapy to the development of secondary cancers in cutaneous T cell lymphoma and the role of short term cyclosporine in later cancer development in inflammatory skin diseases were evaluated. The first three studies were performed on psoriasis patients. The risk of melanoma started to increase 15 years after the first treatment with PUVA. The risk was highest among persons who had received over 250 treatments compared to those under 250 treatments. In noncutaneous cancer, the overall risk was not increased (RR=1.08,95% CI=0.93-1.24), but significant increases in risk were found in thyroid cancer, breast cancer and in central nervous system neoplasms. These cancers were not associated to PUVA. The increased risk of SCC was associated to high cumulative UVA exposure in the PUVA regimen. The patients with high risk had no substantial exposure to other carcinogens. In BCC there was a similar but more modest tendency. In the two other studies, the risk of all secondary cancers (SIR) in CTCL patients was 1.4 (95% CI=1.0-1.9). In separate sites, the risk of lung cancer, Hodgkin and non-Hodgkin lymphomas were increased. PUVA seemed not to contribute to any extent to the appearance of these cancers. The carcinogenity of short-term cyclosporine was evaluated in inflammatory skin diseases. No increased risk for any type of cancer including the skin cancers was detected. To conclude, our studies confirm the increased skin cancer risk related to PUVA treatment in psoriasis patients. In clinical practice, this has led to a close and permanent follow-up of patients treated with PUVA. In CTCL patients, PUVA treatment did not contribute to the development of secondary cancers. We could not detect any increase in the risk of cancer in patients treated with short term cyclosporine, unlike in organ transplant patients under such long-term therapy.

Modern computed tomography techniques in stroke management

Technological development of fast multi-sectional, helical computed tomography (CT) scanners has allowed computed tomography perfusion (CTp) and angiography (CTA) in evaluating acute ischemic stroke. This study focuses on new multidetector computed tomography techniques, namely whole-brain and first-pass CT perfusion plus CTA of carotid arteries. Whole-brain CTp data is acquired during slow infusion of contrast material to achieve constant contrast concentration in the cerebral vasculature. From these data quantitative maps are constructed of perfused cerebral blood volume (pCBV). The probability curve of cerebral infarction as a function of normalized pCBV was determined in patients with acute ischemic stroke. Normalized pCBV, expressed as a percentage of contralateral normal brain pCBV, was determined in the infarction core and in regions just inside and outside the boundary between infarcted and noninfarcted brain. Corresponding probabilities of infarction were 0.99, 0.96, and 0.11, R² was 0.73, and differences in perfusion between core and inner and outer bands were highly significant. Thus a probability of infarction curve can help predict the likelihood of infarction as a function of percentage normalized pCBV. First-pass CT perfusion is based on continuous cine imaging over a selected brain area during a bolus injection of contrast. During its first passage, contrast material compartmentalizes in the intravascular space, resulting in transient tissue enhancement. Functional maps such as cerebral blood flow (CBF), and volume (CBV), and mean transit time (MTT) are then constructed. We compared the effects of three different iodine concentrations (300, 350, or 400 mg/mL) on peak enhancement of normal brain tissue and artery and vein, stratified by region-of-interest (ROI) location, in 102 patients within 3 hours of stroke onset. A monotonic increasing peak opacification was evident at all ROI locations, suggesting that CTp evaluation of patients with acute stroke is best performed with the highest available concentration of contrast agent. In another study we investigated whether lesion volumes on CBV, CBF, and MTT maps within 3 hours of stroke onset predict final infarct volume, and whether all these parameters are needed for triage to intravenous recombinant tissue plasminogen activator (IV-rtPA). The effect of IV-rtPA on the affected brain by measuring salvaged tissue volume in patients receiving IV-rtPA and in controls was investigated also. CBV lesion volume did not necessarily represent dead tissue. MTT lesion volume alone can serve to identify the upper size limit of the abnormally perfused brain, and those with IV-rtPA salvaged more brain than did controls. Carotid CTA was compared with carotid DSA in grading of stenosis in patients with stroke symptoms. In CTA, the grade of stenosis was determined by means of axial source and maximum intensity projection (MIP) images as well as a semiautomatic vessel analysis. CTA provides an adequate, less invasive alternative to conventional DSA, although tending to underestimate clinically relevant grades of stenosis.

DMT of Multi-hop Cooperative Networks-Part II: Layered and Multi-Antenna Networks

We consider single-source, single-sink (ss-ss) multi-hop relay networks, with slow-fading Rayleigh links. This two part paper aims at giving explicit protocols and codes to achieve the optimal diversity-multiplexing tradeoff (DMT) of two classes of multi-hop networks: K-parallel-path (KPP) networks and Layered networks. While single-antenna KPP networks were the focus of the first part, we consider layered and multi-antenna networks in this second part. We prove that a linear DMT between the maximum diversity d(max). and the maximum multiplexing gain of 1 is achievable for single-antenna fully-connected layered networks under the half-duplex constraint. This is shown to be equal to the optimal DMT if the number of relaying layers is less than 4. For the multiple-antenna case, we provide an achievable DMT, which is significantly better than known lower bounds for half duplex networks. Along the way, we compute the DMT of parallel MIMO channels in terms of the DMT of the component channel. For arbitrary ss-ss single-antenna directed acyclic networks with full-duplex relays, we prove that a linear tradeoff between maximum diversity and maximum multiplexing gain is achievable using an amplify-and-forward (AF) protocol. Explicit short-block-length codes are provided for all the proposed protocols. Two key implications of the results in the two-part paper are that the half-duplex constraint does not necessarily entail rate loss by a factor of two as previously believed and that simple AN protocols are often sufficient to attain the best possible DMT.

DMT of Multi-hop Cooperative Networks-Part I: K-Parallel-Path Networks

We consider single-source, single-sink multi-hop relay networks, with slow-fading Rayleigh fading links and single-antenna relay nodes operating under the half-duplex constraint. While two hop relay networks have been studied in great detail in terms of the diversity-multiplexing tradeoff (DMT), few results are available for more general networks. In this two-part paper, we identify two families of networks that are multi-hop generalizations of the two hop network: K-Parallel-Path (KPP) networks and Layered networks. In the first part, we initially consider KPP networks, which can be viewed as the union of K node-disjoint parallel paths, each of length > 1. The results are then generalized to KPP(I) networks, which permit interference between paths and to KPP(D) networks, which possess a direct link from source to sink. We characterize the optimal DMT of KPP(D) networks with K >= 4, and KPP(I) networks with K >= 3. Along the way, we derive lower bounds for the DMT of triangular channel matrices, which are useful in DMT computation of various protocols. As a special case, the DMT of two-hop relay network without direct link is obtained. Two key implications of the results in the two-part paper are that the half-duplex constraint does not necessarily entail rate loss by a factor of two, as previously believed and that, simple AF protocols are often sufficient to attain the best possible DMT.

Electroencephalographic and Immunological Findings in Patients with Schizophrenia Treated with Clozapine

This work studies the effect of clozapine (CLO) on the electroencephalography (EEG) and reactive oxygen species (ROS) production by peripheral blood monocytes (MO) in patients with schizophrenia (SCH). The aim of the study was to investigate the mechanism of action of CLO, to clarify the effect of CLO on EEG absolute power spectrum and ROS production, and explore the relationship of these effects with clinical response. We also tried to clarify whether the EEG changes or ROS production would help to identify the patients who were most likely to respond to treatment with CLO. Our findings suggest that the amount of slow background activity, particularly the absolute power of the theta frequency band, in the EEG is markedly increased by CLO treatment and this finding correlates positively with clinical improvement in patients with SCH. CLO affected the production of ROS by blood MO with reduction or minimal increase of the ROS production being associated with clinical improvement, whereas marked increase of the ROS production did not. Also a positive correlation between theta absolute power increase in the EEG and suppression of the production of ROS by blood MO was found. The correlations between different symptom clusters of SCH and the EEG rhythms were investigated; the absolute power of beta activity in the EEG seemed to correlate positively to overall psychopathology in patients with SCH showing inadequate response. The results suggest that the EEG background activity and investigation of the production of ROS by MO seem to be an adjunctive method to objectively assess and possibly predict the therapeutic effect of CLO in patients with chronic SCH showing inadequate response to treatment with conventional antipsychotics.

Early and late electrophysiological effects of distractor frequency in picture naming: Reconciling input and output accounts

The “distractor-frequency effect” refers to the finding that high-frequency (HF) distractor words slow picture naming less than low-frequency distractors in the picture–word interference paradigm. Rival input and output accounts of this effect have been proposed. The former attributes the effect to attentional selection mechanisms operating during distractor recognition, whereas the latter attributes it to monitoring/decision mechanisms operating on distractor and target responses in an articulatory buffer. Using high-density (128-channel) EEG, we tested hypotheses from these rival accounts. In addition to conducting stimulus- and response-locked whole-brain corrected analyses, we investigated the correct-related negativity, an ERP observed on correct trials at fronto-central electrodes proposed to reflect the involvement of domain general monitoring. The wholebrain ERP analysis revealed a significant effect of distractor frequency at inferior right frontal and temporal sites between 100 and 300-msec post-stimulus onset, during which lexical access is thought to occur. Response-locked, region of interest (ROI) analyses of fronto-central electrodes revealed a correct-related negativity starting 121 msec before and peaking 125 msec after vocal onset on the grand averages. Slope analysis of this component revealed a significant difference between HF and lowfrequency distractor words, with the former associated with a steeper slope on the time windowspanning from100 msec before to 100 msec after vocal onset. The finding of ERP effects in time windows and components corresponding to both lexical processing and monitoring suggests the distractor frequency effect is most likely associated with more than one physiological mechanism.

Ultrasound-Triggered Controlled Drug Delivery and Biosensing Using Silica Nanotubes

Silica nanotubes (SNTs) have been demonstrated here as a versatile host for controlled drug delivery and biosensing. The sol-gel template synthesized SNTs have a slow rate of drug release. Application of an external stimulus in the form of ultrasound to or chemical functionalization of synthesized SNT results in higher yield of drug release as well as yield of drug release varying linearly with time. In case of controlled drug delivery triggered by ultrasound, drug yield as function of time is found to be heavily dependent on the ultrasound impulse protocol. Impulses of shorter duration (similar to 0.5 min) and shorter time intervals between successive impulses resulted in higher drug yields. Confinement of hemoglobin (Hb) inside nanometer sized channels of SNT does not have any detrimental effect on the native protein structure and function. Observance of significant enhancement in direct electron transfer of Hb makes the SNTs also promising for application in biosensors.

Development of novel grain morphology during hot extrusion of magnesium AZ21 alloy

Microstructure and microtexture evolution during static annealing of a hot-extruded AZ21 magnesium alloy was studied. Apart from fine recrystallized equiaxed grains and large elongated deformed grains, a new third kind of abnormal grains that are stacked one after the other in a row parallel to the extrusion direction were observed. The crystallographic misorientation inside these grains was similar to that of the fine recrystallized grains. The large elongated grains exhibited significant in-grain misorientation. A self-consistent mechanistic model was developed to describe the formation of these grain morphologies during dynamic recrystallization (DRX). The texture of pre-extruded material, although lost in DRX, leaves a unique signature which manifests itself in the form of these grain morphologies. The origin of abnormal stacked grains was associated with slow nucleation in pre-extruded grains of a certain orientation. Further annealing resulted in large secondary recrystallized grains with occasional extension twins. (c) 2009 Acta Materialia Inc. Published by Elsevier Ltd. All rights reserved.