On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

This paper analyses the robustness of Least-Squares Monte Carlo, a techniquerecently proposed by Longstaff and Schwartz (2001) for pricing Americanoptions. This method is based on least-squares regressions in which theexplanatory variables are certain polynomial functions. We analyze theimpact of different basis functions on option prices. Numerical resultsfor American put options provide evidence that a) this approach is veryrobust to the choice of different alternative polynomials and b) few basisfunctions are required. However, these conclusions are not reached whenanalyzing more complex derivatives.

Asset prices and the measurement of wealth and saving

The paper defines concepts of real wealth and saving which take into account the intertemporal index number problem that results from changing interest rates. Unlike conventional measures of real wealth, which are based on the market value of assets and ignore the index number problem, the new measure correctly reflects the changes in the welfare of households over time. An empirically operational approximation to the theoretical measure is provided and applied to US data. A major empirical finding is that US real financial wealth increased strongly in the 1980s, much more than is revealed by the market value of assets.

Effect of early antiretroviral therapy during primary HIV-1 infection on cell-associated HIV-1 DNA and plasma HIV-1 RNA.

Background: Early initiation of combination antiretroviral therapy (ART) during primary HIV-1 infection may prevent the establishment of large viral reservoirs, possibly resulting in improved control of plasma viraemia rebound after ART cessation.Methods: Levels of cell-associated HIV-1 DNA and plasma HIV-1 RNA were measured longitudinally in 32 acutely and recently infected patients, who started ART <= 120 days after the estimated date of infection, and interrupted ART after 18 months (median) of continuous therapy. Averages of HIV-1 DNA and RNA concentrations present in blood 30-365 days after therapy interruption (median duration 300 days, range 195-358) were compared between patients who started ART <= 60 days after the estimated date of infection (early starters), those who started between 61 and 120 days (later starters), and, for HIV-1 RNA only, with 89 untreated participants of the Swiss HIV Cohort Study with documented sero-conversion and longitudinal measurements collected 90-455 days after the first positive HIV test.Results: In early ART starters, average levels of plasma HIV-1 RNA and cell-associated HIV-1 DNA after treatment interruption were 1 log(10) (P=0.008) and 0.4 log(10) (P=0.03) lower compared with later starters. Average post-treatment plasma HIV-1 RNA levels in early starters were significantly lower, respectively, compared with untreated controls (-1.2 log(10); P<0.0004).Conclusions: Early treatment initiation within 2 months after HIV infection compared with later therapy initiation resulted in reduced levels of plasma viraemia and proviral HIV-1 DNA for >= 1 year after subsequent ART cessation. Plasma HIV-1 RNA levels in early starters were also significantly lower than in untreated controls.

Perceptual and semantic contributions to repetition priming of environmental sounds.

Repetition of environmental sounds, like their visual counterparts, can facilitate behavior and modulate neural responses, exemplifying plasticity in how auditory objects are represented or accessed. It remains controversial whether such repetition priming/suppression involves solely plasticity based on acoustic features and/or also access to semantic features. To evaluate contributions of physical and semantic features in eliciting repetition-induced plasticity, the present functional magnetic resonance imaging (fMRI) study repeated either identical or different exemplars of the initially presented object; reasoning that identical exemplars share both physical and semantic features, whereas different exemplars share only semantic features. Participants performed a living/man-made categorization task while being scanned at 3T. Repeated stimuli of both types significantly facilitated reaction times versus initial presentations, demonstrating perceptual and semantic repetition priming. There was also repetition suppression of fMRI activity within overlapping temporal, premotor, and prefrontal regions of the auditory "what" pathway. Importantly, the magnitude of suppression effects was equivalent for both physically identical and semantically related exemplars. That the degree of repetition suppression was irrespective of whether or not both perceptual and semantic information was repeated is suggestive of a degree of acoustically independent semantic analysis in how object representations are maintained and retrieved.

Relatório Desempenho - THE LINK

A gestão de marketing é uma das funções necessárias e indispensáveis para o sucesso de qualquer empresa. Através da plataforma Marketplace (jogos de marketing), o desafio era, gerir uma nova divisão de marketing de uma empresa internacional de microcomputadores através de uma companhia denominada The Link, com a principal missão de traçar e implementar estratégias de marketing, durante dois anos e garantir o retorno de investimento dos stakeholders, num cenário real e competitivo. Marketing management is one of the necessary functions for the success of any company. Through the Marketplace platform ( marketing games) , the challenge was to manage a new marketing division of an international microcomputers company through a company called The Link , with the primary mission of creating and implementing marketing strategies for two years and ensure the return on investment of stakeholders , in a real and competitive landscape.

Limitations of stimulated echo acquisition mode (STEAM) techniques in cardiac applications.

Stimulated echoes are widely used for imaging functional tissue parameters such as diffusion coefficient, perfusion, and flow rates. They are potentially interesting for the assessment of various cardiac functions. However, severe limitations of the stimulated echo acquisition mode occur, which are related to the special dynamic properties of the beating heart and flowing blood. To the well-known signal decay due to longitudinal relaxation and through-plane motion between the preparation and the read-out period of the stimulated echoes, additional signal loss is often observed. As the prepared magnetization is fixed with respect to the tissue, this signal loss is caused by the tissue deformation during the cardiac cycle, which leads to a modification of the modulation frequency of the magnetization. These effects are theoretically derived and corroborated by phantom and in vivo experiments.

Effects of inbreeding on aversive learning in Drosophila.

Inbreeding adversely affects life history traits as well as various other fitness-related traits, but its effect on cognitive traits remains largely unexplored, despite their importance to fitness of many animals under natural conditions. We studied the effects of inbreeding on aversive learning (avoidance of an odour previously associated with mechanical shock) in multiple inbred lines of Drosophila melanogaster derived from a natural population through up to 12 generations of sib mating. Whereas the strongly inbred lines after 12 generations of inbreeding (0.75<F<0.93) consistently showed reduced egg-to-adult viability (on average by 28%), the reduction in learning performance varied among assays (average=18% reduction), being most pronounced for intermediate conditioning intensity. Furthermore, moderately inbred lines (F=0.38) showed no detectable decline in learning performance, but still had reduced egg-to-adult viability, which indicates that overall inbreeding effects on learning are mild. Learning performance varied among strongly inbred lines, indicating the presence of segregating variance for learning in the base population. However, the learning performance of some inbred lines matched that of outbred flies, supporting the dominance rather than the overdominance model of inbreeding depression for this trait. Across the inbred lines, learning performance was positively correlated with the egg-to-adult viability. This positive genetic correlation contradicts a trade-off observed in previous selection experiments and suggests that much of the genetic variation for learning is owing to pleiotropic effects of genes affecting functions related to survival. These results suggest that genetic variation that affects learning specifically (rather than pleiotropically through general physiological condition) is either low or mostly due to alleles with additive (semi-dominant) effects.

Statistical analysis of maximum likelihood estimator images of human brain FDG PET studies

The work presented evaluates the statistical characteristics of regional bias and expected error in reconstructions of real positron emission tomography (PET) data of human brain fluoro-deoxiglucose (FDG) studies carried out by the maximum likelihood estimator (MLE) method with a robust stopping rule, and compares them with the results of filtered backprojection (FBP) reconstructions and with the method of sieves. The task of evaluating radioisotope uptake in regions-of-interest (ROIs) is investigated. An assessment of bias and variance in uptake measurements is carried out with simulated data. Then, by using three different transition matrices with different degrees of accuracy and a components of variance model for statistical analysis, it is shown that the characteristics obtained from real human FDG brain data are consistent with the results of the simulation studies.

Effects of perinatal stress and maternal traumatic stress on the cortisol regulation of preterm infants.

Preterm infants experience intense stress during the perinatal period because they endure painful and intense medical procedures. Repeated activation of the hypothalamic-pituitary-adrenal (HPA) axis during this period may have long-term effects on subsequent cortisol regulation. A premature delivery may also be intensely stressful for the parents, and they may develop symptoms of posttraumatic stress disorder (PTSD). Usable saliva samples were collected (4 times per day over 2 days, in the morning at awakening, at midday, in the afternoon, and in the evening before going to bed) to assess the diurnal cortisol regulation from 46 preterm infants when the infants were 12 months of corrected age (∼ 14 months after birth). Mothers reported their level of PTSD symptoms. The results showed an interaction between perinatal stress and maternal traumatic stress on the diurnal cortisol slope of preterm infants (R(2) = .32). This suggests that the HPA axis of preterm infants exposed to high perinatal stress may be more sensitive to subsequent environmental stress.

Iowa Department of Transportation Performance Results Achieved for Fiscal Year 2009

The DOT monitors performance of five core functions, under which are eight services, products and activities (SPAs). In all, 56 measures are used to monitor the core functions and SPAs in the DOT’s performance plan. (See Iowa DOT Performance Report – FY2009, pages 1A-9A.) Overall, DOT’s performance was good in fiscal year 2009. Of the 56 measures in the DOT’s performance plan, 43 measures (77%) met or exceeded their targets. Of the 13 measures falling short, ten were within four percent of their target. This means 95 percent of DOT measures met or exceeded 96 percent of their preset target. Performance measures monitoring the core functions of Physical Asset Management and Resource Management showed the DOT did a good job managing resources. A total of 11 of the 14 (79%) core function and SPA measures met or exceeded their predetermined targets. Two of the three measures falling short were within four percent of its target. Core function and SPA measures within the Transportation Systems core function indicated good performance. A total of 22 of the 30 (73%) core function and SPA measures met or exceeded their predetermined targets. Overall, six of the eight measures falling short were within four percent of their target. Performance measures monitoring the core functions of Enforcement and Investigation and Regulation and Compliance showed the DOT performed well. A total of 10 of the 12 (83%) core function and SPA measures met or exceeded their predetermined targets. Both of the measures falling short were within four percent of their target.

Production of Pseudomonas aeruginosa Intercellular Small Signaling Molecules in Human Burn Wounds

Pseudomonas aeruginosa has developed a complex cell-to-cell communication system that relies on low-molecular weight excreted molecules to control the production of its virulence factors. We previously characterized the transcriptional regulator MvfR, that controls a major network of acute virulence functions in P. aeruginosa through the control of its ligands, the 4-hydroxy-2-alkylquinolines (HAQs)-4-hydroxy-2-heptylquinoline (HHQ) and 3,4-dihydroxy-2-heptylquinoline (PQS). Though HHQ and PQS are produced in infected animals, their ratios differ from those in bacterial cultures. Because these molecules are critical for the potency of activation of acute virulence functions, here we investigated whether they are also produced during human P. aeruginosa acute wound infection and whether their ratio is similar to that observed in P. aeruginosa-infected mice. We found that a clinically relevant P. aeruginosa isolate produced detectable levels of HAQs with ratios of HHQ and PQS that were similar to those produced in burned and infected animals, and not resembling ratios in bacterial cultures. These molecules could be isolated from wound tissue as well as from drainage liquid. These results demonstrate for the first time that HAQs can be isolated and quantified from acute human wound infection sites and validate the relevance of previous studies conducted in mammalian models of infection.

Multiplex liquid chromatography-tandem mass spectrometry assay for simultaneous therapeutic drug monitoring of ribavirin, boceprevir, and telaprevir.

New directly acting antivirals (DAAs) that inhibit hepatitis C virus (HCV) replication are increasingly used for the treatment of chronic hepatitis C. A marked pharmacokinetic variability and a high potential for drug-drug interactions between DAAs and numerous drug classes have been identified. In addition, ribavirin (RBV), commonly associated with hemolytic anemia, often requires dose adjustment, advocating for therapeutic drug monitoring (TDM) in patients under combined antiviral therapy. However, an assay for the simultaneous analysis of RBV and DAAs constitutes an analytical challenge because of the large differences in polarity among these drugs, ranging from hydrophilic (RBV) to highly lipophilic (telaprevir [TVR]). Moreover, TVR is characterized by erratic behavior on standard octadecyl-based reversed-phase column chromatography and must be separated from VRT-127394, its inactive C-21 epimer metabolite. We have developed a convenient assay employing simple plasma protein precipitation, followed by high-performance liquid chromatography coupled to tandem mass spectrometry (HPLC-MS/MS) for the simultaneous determination of levels of RBV, boceprevir, and TVR, as well as its metabolite VRT-127394, in plasma. This new, simple, rapid, and robust HPLC-MS/MS assay offers an efficient method of real-time TDM aimed at maximizing efficacy while minimizing the toxicity of antiviral therapy.

A filtering method to correct time-lapse 3D ERT data and improve imaging of natural aquifer dynamics

We have developed a processing methodology that allows crosshole ERT (electrical resistivity tomography) monitoring data to be used to derive temporal fluctuations of groundwater electrical resistivity and thereby characterize the dynamics of groundwater in a gravel aquifer as it is infiltrated by river water. Temporal variations of the raw ERT apparent-resistivity data were mainly sensitive to the resistivity (salinity), temperature and height of the groundwater, with the relative contributions of these effects depending on the time and the electrode configuration. To resolve the changes in groundwater resistivity, we first expressed fluctuations of temperature-detrended apparent-resistivity data as linear superpositions of (i) time series of riverwater-resistivity variations convolved with suitable filter functions and (ii) linear and quadratic representations of river-water-height variations multiplied by appropriate sensitivity factors; river-water height was determined to be a reliable proxy for groundwater height. Individual filter functions and sensitivity factors were obtained for each electrode configuration via deconvolution using a one month calibration period and then the predicted contributions related to changes in water height were removed prior to inversion of the temperature-detrended apparent-resistivity data. Applications of the filter functions and sensitivity factors accurately predicted the apparent-resistivity variations (the correlation coefficient was 0.98). Furthermore, the filtered ERT monitoring data and resultant time-lapse resistivity models correlated closely with independently measured groundwater electrical resistivity monitoring data and only weakly with the groundwater-height fluctuations. The inversion results based on the filtered ERT data also showed significantly less inversion artefacts than the raw data inversions. We observed resistivity increases of up to 10% and the arrival time peaks in the time-lapse resistivity models matched those in the groundwater resistivity monitoring data.

Control of introduced species using Trojan sex chromosomes.

To control introduced exotic species that have predominantly genetic, but environmentally reversible, sex determination (e.g. many species of fish), Gutierrez and Teem recently modeled the use of carriers of Trojan Y chromosomes--individuals who are phenotypically sex reversed from their genotype. Repeated introduction of YY females into wild populations should produce extreme male-biased sex ratios and eventual elimination of XX females, thus leading to population extinction. Analogous dynamics are expected in systems in which sex determination is influenced by one or a few major genes on autosomes.

Estimation of water retention and availability in soils of Rio Grande do Sul

Dispersed information on water retention and availability in soils may be compiled in databases to generate pedotransfer functions. The objectives of this study were: to generate pedotransfer functions to estimate soil water retention based on easily measurable soil properties; to evaluate the efficiency of existing pedotransfer functions for different geographical regions for the estimation of water retention in soils of Rio Grande do Sul (RS); and to estimate plant-available water capacity based on soil particle-size distribution. Two databases were set up for soil properties, including water retention: one based on literature data (725 entries) and the other with soil data from an irrigation scheduling and management system (239 entries). From the literature database, pedotransfer functions were generated, nine pedofunctions available in the literature were evaluated and the plant-available water capacity was calculated. The coefficient of determination of some pedotransfer functions ranged from 0.56 to 0.66. Pedotransfer functions generated based on soils from other regions were not appropriate for estimating the water retention for RS soils. The plant-available water content varied with soil texture classes, from 0.089 kg kg-1 for the sand class to 0.191 kg kg-1 for the silty clay class. These variations were more related to sand and silt than to clay content. The soils with a greater silt/clay ratio, which were less weathered and with a greater quantity of smectite clay minerals, had high water retention and plant-available water capacity.