Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Oxidants positively or negatively regulate nuclear factor kappaB in a context-dependent manner.

Redox-based mechanisms play critical roles in the regulation of multiple cellular functions. NF-kappaB, a master regulator of inflammation, is an inducible transcription factor generally considered to be redox-sensitive, but the modes of interactions between oxidant stress and NF-kappaB are incompletely defined. Here, we show that oxidants can either amplify or suppress NF-kappaB activation in vitro by interfering both with positive and negative signals in the NF-kappaB pathway. NF-kappaB activation was evaluated in lung A549 epithelial cells stimulated with tumor necrosis factor alpha (TNFalpha), either alone or in combination with various oxidant species, including hydrogen peroxide or peroxynitrite. Exposure to oxidants after TNFalpha stimulation produced a robust and long lasting hyperactivation of NF-kappaB by preventing resynthesis of the NF-kappaB inhibitor IkappaB, thereby abrogating the major negative feedback loop of NF-kappaB. This effect was related to continuous activation of inhibitor of kappaB kinase (IKK), due to persistent IKK phosphorylation consecutive to oxidant-mediated inactivation of protein phosphatase 2A. In contrast, exposure to oxidants before TNFalpha stimulation impaired IKK phosphorylation and activation, leading to complete prevention of NF-kappaB activation. Comparable effects were obtained when interleukin-1beta was used instead of TNFalpha as the NF-kappaB activator. This study demonstrates that the influence of oxidants on NF-kappaB is entirely context-dependent, and that the final outcome (activation versus inhibition) depends on a balanced inhibition of protein phosphatase 2A and IKK by oxidant species. Our findings provide a new conceptual framework to understand the role of oxidant stress during inflammatory processes.

Malware al context del programari lliure

Aquest document mostra els resultats d'una recerca basada en un cas d'estudi on s'avalua la fortalesa de dos comunitats de programari lliure. L'avaluació d'aquesta fortalesa es du a terme amb una exploració que té com a objectiu esbrinar si aquestes comunitats acompleixen una sèrie de procediments que les ajuden a protegir-se davant d'atacs.

Effect of iodine prophylaxis during pregnancy on neurocognitive development of children during the first two years of life.

CONTEXT The association between thyroid function during pregnancy and the later mental and psychomotor development of the child is supported by numerous experimental, clinical, and epidemiological studies. OBJECTIVE The aim of the study was to evaluate the psychological development of infants aged 3 to 18 months whose mothers had received 300 microg of potassium iodide during the first trimester of their pregnancy and compare with infants whose mothers had received no iodine supplements. DESIGN AND STUDY SUBJECTS: The study included 133 women who had received 300 microg of potassium iodine and 61 women who had received no iodine supplements. MAIN OUTCOME MEASURES The neuropsychological status of the children was evaluated with the Bayley Scales of Infant Development, and measurements were made of TSH, free T(3), free T(4), and urinary iodine. RESULTS Those children whose mothers had received an iodine supplement of 300 microg had a more favorable psychometric assessment than those of the other group of mothers. They had higher scores on the Psychomotor Development Index (P = 0.02) and the Behavior Rating Scale. CONCLUSIONS Dietary iodine supplements not only have no harmful effect on the neurodevelopment of the children, they may even be beneficial. Given the possible presence of confounding variables not controlled for in this study, these findings should be considered as preliminary.

Context switching accounting mechanism

How many times a given process p preempts, either voluntarily or involuntarily, is an important threat to computer's processes throughput. Whenever running cpu-bound processes on a multi-core system without an actual system grid engine as commonly found on Grid Clusters, their performance and stability are directly related to their accurate implementation and the system reliability which is, to an extend, an important caveat most of the times so difficult to detect. Context Switching is time-consuming. Thus, if we could develop a tool capable of detecting it and gather data from every single performed Context Switch, we would beable to study this data and present some results that should pin-point at whatever their main cause could be.

Using free data mining software and clustering algorithms to find predictors from student qualifications

In this project a research both in finding predictors via clustering techniques and in reviewing the Data Mining free software is achieved. The research is based in a case of study, from where additionally to the KDD free software used by the scientific community; a new free tool for pre-processing the data is presented. The predictors are intended for the e-learning domain as the data from where these predictors have to be inferred are student qualifications from different e-learning environments. Through our case of study not only clustering algorithms are tested but also additional goals are proposed.

Fat-free mass index and fat mass index percentiles in Caucasians aged 18-98 y.

OBJECTIVE: To determine reference values for fat-free mass index (FFMI) and fat mass index (FMI) in a large Caucasian group of apparently healthy subjects, as a function of age and gender and to develop percentile distribution for these two parameters. DESIGN: Cross-sectional study in which bioelectrical impedance analysis (50 kHz) was measured (using tetrapolar electrodes and cross-validated formulae by dual-energy X-ray absorptiometry in order to calculate FFMI (fat-free mass/height squared) and FMI (fat mass/height squared). SUBJECTS: A total of 5635 apparently healthy adults from a mixed non-randomly selected Caucasian population in Switzerland (2986 men and 2649 women), varying in age from 24 to 98 y. RESULTS: The median FFMI (18-34 y) were 18.9 kg/m(2) in young males and 15.4 kg/m(2) in young females. No difference with age in males and a modest increase in females were observed. The median FMI was 4.0 kg/m(2) in males and 5.5 kg/m(2) in females. From young to elderly age categories, FMI progressively rose by an average of 55% in males and 62% in females, compared to an increase in body mass index (BMI) of 9 and 19% respectively. CONCLUSIONS: Reference intervals for FFMI and FMI could be of practical value for the clinical evaluation of a deficit in fat-free mass with or without excess fat mass (sarcopenic obesity) for a given age category, complementing the classical concept of body mass index (BMI) in a more qualitative manner. In contrast to BMI, similar reference ranges seems to be utilizable for FFMI with advancing age, in particular in men.

Navigator-gated coronary magnetic resonance angiography using steady-state-free-precession: comparison to standard T2-prepared gradient-echo and spiral imaging.

RATIONALE AND OBJECTIVES: Recent developments of magnetic resonance imaging enabled free-breathing coronary MRA (cMRA) using steady-state-free-precession (SSFP) for endogenous contrast. The purpose of this study was a systematic comparison of SSFP cMRA with standard T2-prepared gradient-echo and spiral cMRA. METHODS: Navigator-gated free-breathing T2-prepared SSFP-, T2-prepared gradient-echo- and T2-prepared spiral cMRA was performed in 18 healthy swine (45-68 kg body-weight). Image quality was investigated subjectively and signal-to-noise ratio (SNR), contrast-to-noise ratio (CNR) and vessel sharpness were compared. RESULTS: SSFP cMRA allowed for high quality cMRA during free breathing with substantial improvements in SNR, CNR and vessel sharpness when compared with standard T2-prepared gradient-echo imaging. Spiral imaging demonstrated the highest SNR while image quality score and vessel definition was best for SSFP imaging. CONCLUSION: Navigator-gated free-breathing T2-prepared SSFP cMRA is a promising new imaging approach for high signal and high contrast imaging of the coronary arteries with improved vessel border definition.

Magatzems de dades en el context de la web semàntica

L'objecte del projecte és estudiar en profunditat els sistemes gestors de bases de dates en l'àmbit de la web semàntica. Aquests sistemes són gestors de bases de dades especialitzats en l'emmagatzematge i tractament de dades semàntiques, tot tenint en compte les peculiaritats d'aquestes. Per tal d'aprofundir en la matèria, el projecte es divideix en dues parts principals. En la primera es recerca l'estat de l'art, fent un estudi comparatiu entre els magatzems semàntics més coneguts en l'actualitat. En la segona part s'estudia en profunditat un d'aquests magatzems (Virtuoso Universal Server).

Free flaps in surgical dermatology. Comparison between fasciocutaneous and myocutaneous free flaps in facial reconstructions.

BACKGROUND Dermatologic surgeons routinely harvest pedicled flaps at distance with an axial or random pattern to repair facial defects. These types of skin flaps are time-consuming and have high economic, social and personal costs. These drawbacks could be avoided with the introduction of a single-step transfer of free flaps to the recipient site, with microvascular anastomosis. OBJECTIVE To demonstrate that better results are obtained with myocutaneous or fasciocutaneous free flaps and which one is more suitable in surgical dermatology. MATERIAL AND METHODS We selected two patients of opposite sexes and similar ages who had undergone Mohs surgery to remove recurrent malignant tumors that were located in the upper cheek bordering the zygomatic zone. The woman was treated with a fasciocutaneous radial free flap and the man with a rectus abdominis free flap. RESULTS Both patients had excellent immediate postoperative outcomes. Complications observed in the male patient were related to a previous pulmonary alteration. The fasciocutaneous radial free flap reconstruction was easier to perform than the rectus abdominis free flap; nevertheless, the radial free flap is very thin and, although the palmaris longus tendon is used, it does not yield enough volume, requiring later use of implants. In contrast, the rectus abdominis free flap transfers a wide flap with enough fat tissue to expand in the future. As for the cosmetic results regarding the donor site, the rectus abdominis free flap produces better-looking scars, since secondary defects of the palmar surface cannot be directly closed and usually require grafting - a situation that some patients do not accept. CONCLUSIONS In surgical dermatology, each case, once the tumor has been extirpated, requires its own reconstructive technique. The radial free flap is suitable for thin patients who are willing to cover their arm with a shirt. The rectus abdominis free flap is best suited for obese patients with deep and voluminous defects, although it is necessary to dislocate the navel from its original position.

ESR1 gene promoter region methylation in free circulating DNA and its correlation with estrogen receptor protein expression in tumor tissue in breast cancer patients.

BACKGROUND Tumor expression of estrogen receptor (ER) is an important marker of prognosis, and is predictive of response to endocrine therapy in breast cancer. Several studies have observed that epigenetic events, such methylation of cytosines and deacetylation of histones, are involved in the complex mechanisms that regulate promoter transcription. However, the exact interplay of these factors in transcription activity is not well understood. In this study, we explored the relationship between ER expression status in tumor tissue samples and the methylation of the 5' CpG promoter region of the estrogen receptor gene (ESR1) isolated from free circulating DNA (fcDNA) in plasma samples from breast cancer patients. METHODS Patients (n = 110) with non-metastatic breast cancer had analyses performed of ER expression (luminal phenotype in tumor tissue, by immunohistochemistry method), and the ESR1-DNA methylation status (fcDNA in plasma, by quantitative methylation specific PCR technique). RESULTS Our results showed a significant association between presence of methylated ESR1 in patients with breast cancer and ER negative status in the tumor tissue (p = 0.0179). There was a trend towards a higher probability of ESR1-methylation in those phenotypes with poor prognosis i.e. 80% of triple negative patients, 60% of HER2 patients, compared to 28% and 5.9% of patients with better prognosis such as luminal A and luminal B, respectively. CONCLUSION Silencing, by methylation, of the promoter region of the ESR1 affects the expression of the estrogen receptor protein in tumors of breast cancer patients; high methylation of ESR1-DNA is associated with estrogen receptor negative status which, in turn, may be implicated in the patient's resistance to hormonal treatment in breast cancer. As such, epigenetic markers in plasma may be of interest as new targets for anticancer therapy, especially with respect to endocrine treatment.

Clinicopathologic correlates in the oldest-old: Commentary on "No disease in the brain of a 115-year-old woman".

den Dunnen et al. [den Dunnen, W.F.A., Brouwer, W.H., Bijlard, E., Kamphuis, J., van Linschoten, K., Eggens-Meijer, E., Holstege, G., 2008. No disease in the brain of a 115-year-old woman. Neurobiol. Aging] had the opportunity to follow up the cognitive functioning of one of the world's oldest woman during the last 3 years of her life. They performed two neuropsychological evaluations at age 112 and 115 that revealed a striking preservation of immediate recall abilities and orientation. In contrast, working memory, retrieval from semantic memory and mental arithmetic performances declined after age 112. Overall, only a one-point decrease of MMSE score occurred (from 27 to 26) reflecting the remarkable preservation of cognitive abilities. The neuropathological assessment showed few neurofibrillary tangles (NFT) in the hippocampal formation compatible with Braak staging II, absence of amyloid deposits and other types of neurodegenerative lesions as well as preservation of neuron numbers in locus coeruleus. This finding was related to a striking paucity of Alzheimer disease (AD)-related lesions in the hippocampal formation. The present report parallels the early descriptions of rare "supernormal" centenarians supporting the dissociation between brain aging and AD processes. In conjunction with recent stereological analyses in cases aged from 90 to 102 years, it also points to the marked resistance of the hippocampal formation to the degenerative process in this age group and possible dissociation between the occurrence of slight cognitive deficits and development of AD-related pathologic changes in neocortical areas. This work is discussed in the context of current efforts to identify the biological and genetic parameters of human longevity.

Stochastic optimal bid to electricity markets with environmental risk constraints

There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.

New stakeholders, spaces and instruments of analysis in the context of energy relationships: Case studies from Kazakhstan and Turkmenistan

The disintegration of the USSR brought the emergence of a new geo-energy space in Central Asia. This space arose in the context of a global energy transition, which began in the late 1970s. Therefore, this new space in a changing energy world requires both new conceptual frameworks of analysis and the creation of new analytical tools. Taking into account this fact, our paper attempts to apply the theoretical framework of the Global Commodity Chain (GCC) to the case of natural resources in Central Asia. The aim of the paper is to check if there could be any Central Asia’s geo-energy space, assuming that this space would exist if natural resources were managed with regional criteria. The paper is divided into four sections. First an introduction that describes the new global energy context within natural resources of Central Asia would be integrated. Secondly, the paper justifies why the GCC methodology is suitable for the study of the value chains of energy products. Thirdly, we build up three cases studies (oil and uranium from Kazakhstan and gas from Turkmenistan) which reveal a high degree of uncertainty over the direction these chains will take. Finally, we present the conclusions of this study that state that the most plausible scenario would be the integration of energy resources of these countries in GCC where the core of the decision-making process will be far away from the region of Central Asia. Key words: Energy transition, geo-energy space, Global Commodity Chains, Central Asia