Renewal equations for option pricing

In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural to the issue because it is based in the use of renewal equations, and therefore it enhances the potential use of CTRW techniques in finance. We solve these equations for typical contract specifications, in a particular but exemplifying case. We also show how a formal general solution can be found for more exotic derivatives, and we compare prices for alternative models of the underlying. Finally, we recover the celebrated results for the Wiener process under certain limits.

Holographic isotropization linearized

The holographic isotropization of a highly anisotropic, homogeneous, strongly coupled, non-Abelian plasma was simplified in ref. [1] by linearizing Einstein"s equations around the final, equilibrium state. This approximation reproduces the expectation value of the boundary stress tensor with a 20% accuracy. Here we elaborate on these results and extend them to observables that are directly sensitive to the bulk interior, focusing for simplicity on the entropy production on the event horizon. We also consider next-to-leading-order corrections and show that the leading terms alone provide a better description of the isotropization process for the states that are furthest from equilibrium.

Entry Strategy Issues in the Ophthalmic Industry: Entry Mode, Pricing and Distribution

Maahantulostrategia asettaa yrityksen kansainvälisiä liiketoimintoja ohjaavat tavoitteet, päämäärät, resurssit ja toiminnan suuntaviivat. Tämä diplomityö käsittelee yrityksen maahantulostrategian elementeistä operaatiomuodon valintaa, hinnoittelua ja jakelua. Työssä rakennetaan teoriakehys elementteihin liittyvien päätösten tutkimiseksi lääketeollisuuden ominaispiirteet huomioiden. Lääketeollisuudella on muihin teollisuudenaloihin verrattuna useita erityispiirteitä, joihin työ perehdyttää. Lisäksi työn olennainen osa on selvittää lääketeollisuuden maakohtaisia säädöksiä ja toimintamalleja. Diplomityö on tehty silmäläkkeitä valmistavalle, kehittävälle ja markkinoivalle Santen Oy:lle, joka suunnittelee toimintansa laajentamista Keski- ja Etelä-Euroopan markkinoille. Tässä laajentumisprosessissa ensimmäisenä kohdemaana on Saksa, jonka markkinoille suuntautuvia toimenpiteitä työ tutkii. Teoriakehyksen, markkinoiden ominaispiirteiden sekä useiden erilaisten analyysien pohjalta työn tavoitteena on antaa operaatiomuotoa, tuotteiden hinnoittelua ja jakelua koskevia suosituksia.

Langevin equations with multiplicative noise: Application to domain growth

Langevin Equations of Ginzburg-Landau form, with multiplicative noise, are proposed to study the effects of fluctuations in domain growth. These equations are derived from a coarse-grained methodology. The Cahn-Hiliard-Cook linear stability analysis predicts some effects in the transitory regime. We also derive numerical algorithms for the computer simulation of these equations. The numerical results corroborate the analytical predictions of the linear analysis. We also present simulation results for spinodal decomposition at large times.

TLR3-Mediated CD8+ Dendritic Cell Activation Is Coupled with Establishment of a Cell-Intrinsic Antiviral State.

Because of their unique capacity to cross-present Ags to CD8(+) T cells, mouse lymphoid tissue-resident CD8(+) dendritic cells (DCs) and their migratory counterparts are critical for priming antiviral T cell responses. High expression of the dsRNA sensor TLR3 is a distinctive feature of these cross-presenting DC subsets. TLR3 engagement in CD8(+) DCs promotes cross-presentation and the acquisition of effector functions required for driving antiviral T cell responses. In this study, we performed a comprehensive analysis of the TLR3-induced antiviral program and cell-autonomous immunity in CD8(+) DC lines and primary CD8(+) DCs. We found that TLR3-ligand polyinosinic-polycytidylic acid and human rhinovirus infection induced a potent antiviral protection against Sendai and vesicular stomatitis virus in a TLR3 and type I IFN receptor-dependent manner. Polyinosinic-polycytidylic acid-induced antiviral genes were identified by mass spectrometry-based proteomics and transcriptomics in the CD8(+) DC line. Nanostring nCounter experiments confirmed that these antiviral genes were induced by TLR3 engagement in primary CD8(+) DCs, and indicated that many are secondary TLR3-response genes requiring autocrine IFN-β stimulation. TLR3-activation thus establishes a type I IFN-dependent antiviral program in a DC subtype playing crucial roles in priming adaptive antiviral immune responses. This mechanism is likely to shield the priming of antiviral responses against inhibition or abrogation by the viral infection. It could be particularly relevant for viruses detected mainly by TLR3, which may not trigger type I IFN production by DCs that lack TLR3, such as plasmacytoid DCs or CD8(-) DCs.

Nanocharacterization of Soft Biological Samples in Shear Mode with Quartz Tuning Fork Probes

Quartz tuning forks are extremely good resonators and their use is growing in scanning probe microscopy. Nevertheless, only a few studies on soft biological samples have been reported using these probes. In this work, we present the methodology to develop and use these nanosensors to properly work with biological samples. The working principles, fabrication and experimental setup are presented. The results in the nanocharacterization of different samples in different ambients are presented by using different working modes: amplitude modulation with and without the use of a Phase-Locked Loop (PLL) and frequency modulation. Pseudomonas aeruginosa bacteria are imaged in nitrogen using amplitude modulation. Microcontact printed antibodies are imaged in buffer using amplitude modulation with a PLL. Finally, metastatic cells are imaged in air using frequency modulation.

Force Spectroscopy with Dual-Trap Optical Tweezers: Molecular Stiffness Measurements and Coupled Fluctuations Analysis

ABSTRACT Dual-trap optical tweezers are often used in high-resolution measurements in single-molecule biophysics. Such measurements can be hindered by the presence of extraneous noise sources, the most prominent of which is the coupling of fluctuations along different spatial directions, which may affect any optical tweezers setup. In this article, we analyze, both from the theoretical and the experimental points of view, the most common source for these couplings in dual-trap optical-tweezers setups: the misalignment of traps and tether. We give criteria to distinguish different kinds of misalignment, to estimate their quantitative relevance and to include them in the data analysis. The experimental data is obtained in a, to our knowledge, novel dual-trap optical-tweezers setup that directly measures forces. In the case in which misalignment is negligible, we provide a method to measure the stiffness of traps and tether based on variance analysis. This method can be seen as a calibration technique valid beyond the linear trap region. Our analysis is then employed to measure the persistence length of dsDNA tethers of three different lengths spanning two orders of magnitude. The effective persistence length of such tethers is shown to decrease with the contour length, in accordance with previous studies.

Anticipating linear stochastic differential equations driven by a Lévy process

In this paper we study the existence of a unique solution for linear stochastic differential equations driven by a Lévy process, where the initial condition and the coefficients are random and not necessarily adapted to the underlying filtration. Towards this end, we extend the method based on Girsanov transformations on Wiener space and developped by Buckdahn [7] to the canonical Lévy space, which is introduced in [25].

Effective Electrodiffusion equation for non uniform nanochannels

We derive a one dimensional formulation of the Planck-Nernst-Poisson equation to describe the dynamics of of a symmetric binary electrolyte in channels whose section is of nanometric section and varies along the axial direction. The approach is in the spirit of the Fick-Jacobs di fusion equation and leads to a system of coupled equations for the partial densities which depends on the charge sitting at the walls in a non trivial fashion. We consider two kinds of non uniformities, those due to the spatial variation of charge distribution and those due to the shape variation of the pore and report one and three-dimensional solutions of the electrokinetic equations.