Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.

Growth and yield models in Spain: historical overview, contemporary examples and perspectives

En el presente trabajo se presenta una revisión sobre los modelos forestales desarrollados en España durante los últimos años, tanto para la producción maderable como no maderable y, para la dinámica de los bosques (regeneración, mortalidad). Se presentan modelos tanto de rodal completo como de clases diamétricas y de árbol individual. Los modelos desarrollados hasta la fecha se han desarrollado a partir de datos procedentes de parcelas permanentes, ensayos y el Inventario Forestal Nacional. En el trabajo se muestran los diferentes submodelos desarrollados hasta la fecha, así como las plataformas informáticas que permiten utilizar dichos modelos. Se incluyen las principales perspectivas de desarrollo de la modelización forestal en España.

Steady-state global optimization of metabolic non-linear dynamic models through recasting into power-law canonical models

Background: Design of newly engineered microbial strains for biotechnological purposes would greatly benefit from the development of realistic mathematical models for the processes to be optimized. Such models can then be analyzed and, with the development and application of appropriate optimization techniques, one could identify the modifications that need to be made to the organism in order to achieve the desired biotechnological goal. As appropriate models to perform such an analysis are necessarily non-linear and typically non-convex, finding their global optimum is a challenging task. Canonical modeling techniques, such as Generalized Mass Action (GMA) models based on the power-law formalism, offer a possible solution to this problem because they have a mathematical structure that enables the development of specific algorithms for global optimization. Results: Based on the GMA canonical representation, we have developed in previous works a highly efficient optimization algorithm and a set of related strategies for understanding the evolution of adaptive responses in cellular metabolism. Here, we explore the possibility of recasting kinetic non-linear models into an equivalent GMA model, so that global optimization on the recast GMA model can be performed. With this technique, optimization is greatly facilitated and the results are transposable to the original non-linear problem. This procedure is straightforward for a particular class of non-linear models known as Saturable and Cooperative (SC) models that extend the power-law formalism to deal with saturation and cooperativity. Conclusions: Our results show that recasting non-linear kinetic models into GMA models is indeed an appropriate strategy that helps overcoming some of the numerical difficulties that arise during the global optimization task.

Definition of linear color models in the RGB vector color space to detect red peaches in orchard images taken under natural illumination

This work proposes the detection of red peaches in orchard images based on the definition of different linear color models in the RGB vector color space. The classification and segmentation of the pixels of the image is then performed by comparing the color distance from each pixel to the different previously defined linear color models. The methodology proposed has been tested with images obtained in a real orchard under natural light. The peach variety in the orchard was the paraguayo (Prunus persica var. platycarpa) peach with red skin. The segmentation results showed that the area of the red peaches in the images was detected with an average error of 11.6%; 19.7% in the case of bright illumination; 8.2% in the case of low illumination; 8.6% for occlusion up to 33%; 12.2% in the case of occlusion between 34 and 66%; and 23% for occlusion above 66%. Finally, a methodology was proposed to estimate the diameter of the fruits based on an ellipsoidal fitting. A first diameter was obtained by using all the contour pixels and a second diameter was obtained by rejecting some pixels of the contour. This approach enables a rough estimate of the fruit occlusion percentage range by comparing the two diameter estimates.

Sensitivity analysis, dominant factors, and robustness of the ECETOC TRA v3, Stoffenmanager 4.5, and ART 1.5 occupational exposure models

Occupational exposure modeling is widely used in the context of the E.U. regulation on the registration, evaluation, authorization, and restriction of chemicals (REACH). First tier tools, such as European Centre for Ecotoxicology and TOxicology of Chemicals (ECETOC) targeted risk assessment (TRA) or Stoffenmanager, are used to screen a wide range of substances. Those of concern are investigated further using second tier tools, e.g., Advanced REACH Tool (ART). Local sensitivity analysis (SA) methods are used here to determine dominant factors for three models commonly used within the REACH framework: ECETOC TRA v3, Stoffenmanager 4.5, and ART 1.5. Based on the results of the SA, the robustness of the models is assessed. For ECETOC, the process category (PROC) is the most important factor. A failure to identify the correct PROC has severe consequences for the exposure estimate. Stoffenmanager is the most balanced model and decision making uncertainties in one modifying factor are less severe in Stoffenmanager. ART requires a careful evaluation of the decisions in the source compartment since it constitutes ∼75% of the total exposure range, which corresponds to an exposure estimate of 20-22 orders of magnitude. Our results indicate that there is a trade off between accuracy and precision of the models. Previous studies suggested that ART may lead to more accurate results in well-documented exposure situations. However, the choice of the adequate model should ultimately be determined by the quality of the available exposure data: if the practitioner is uncertain concerning two or more decisions in the entry parameters, Stoffenmanager may be more robust than ART.

Identifying the preferred subset of enzymatic profiles in nonlinear kinetic metabolic models via multiobjective global optimization and pareto filters

Optimization models in metabolic engineering and systems biology focus typically on optimizing a unique criterion, usually the synthesis rate of a metabolite of interest or the rate of growth. Connectivity and non-linear regulatory effects, however, make it necessary to consider multiple objectives in order to identify useful strategies that balance out different metabolic issues. This is a fundamental aspect, as optimization of maximum yield in a given condition may involve unrealistic values in other key processes. Due to the difficulties associated with detailed non-linear models, analysis using stoichiometric descriptions and linear optimization methods have become rather popular in systems biology. However, despite being useful, these approaches fail in capturing the intrinsic nonlinear nature of the underlying metabolic systems and the regulatory signals involved. Targeting more complex biological systems requires the application of global optimization methods to non-linear representations. In this work we address the multi-objective global optimization of metabolic networks that are described by a special class of models based on the power-law formalism: the generalized mass action (GMA) representation. Our goal is to develop global optimization methods capable of efficiently dealing with several biological criteria simultaneously. In order to overcome the numerical difficulties of dealing with multiple criteria in the optimization, we propose a heuristic approach based on the epsilon constraint method that reduces the computational burden of generating a set of Pareto optimal alternatives, each achieving a unique combination of objectives values. To facilitate the post-optimal analysis of these solutions and narrow down their number prior to being tested in the laboratory, we explore the use of Pareto filters that identify the preferred subset of enzymatic profiles. We demonstrate the usefulness of our approach by means of a case study that optimizes the ethanol production in the fermentation of Saccharomyces cerevisiae.

Models de gestió per a la producció combinada de fusta i bolets en boscos de Pinus sylvestris

El bosc mediterrani ens proporciona una gran quantita de productes i serveis que poden contribuir a la riquesa i el benestar de la societat. La combinació dels diferents productes i serveis a través de models de gestió forestal multiobjectiu, com és el cas de la producció de fusta i bolets, permet avançar cap a la millora del potencial productiu del bosc i la preservació de les masses forestals.

Phenomenological models of holographic superconductors and hall currents

We study general models of holographic superconductivity parametrized by four arbitrary functions of a neutral scalar field of the bulk theory. The models can accommodate several features of real superconductors, like arbitrary critical temperatures and critical exponents in a certain range, and perhaps impurities or boundary or thickness effects. We find analytical expressions for the critical exponents of the general model and show that they satisfy the Rushbrooke identity. An important subclass of models exhibit second order phase transitions. A study of the specific heat shows that general models can also describe holographic superconductors undergoing first, second and third (or higher) order phase transitions. We discuss how small deformations of the HHH model can lead to the appearance of resonance peaks in the conductivity, which increase in number and become narrower as the temperature is gradually decreased, without the need for tuning mass of the scalar to be close to the Breitenlohner-Freedman bound. Finally, we investigate the inclusion of a generalized ¿theta term¿ producing Hall effect without magnetic field.

Supergravity models of (3+1)-dimensional QCD

The most general black M5-brane solution of eleven-dimensional supergravity (with a flat R4 spacetime in the brane and a regular horizon) is characterized by charge, mass and two angular momenta. We use this metric to construct general dual models of large-N QCD (at strong coupling) that depend on two free parameters. The mass spectrum of scalar particles is determined analytically (in the WKB approximation) and numerically in the whole two-dimensional parameter space. We compare the mass spectrum with analogous results from lattice calculations, and find that the supergravity predictions are close to the lattice results everywhere on the two dimensional parameter space except along a special line. We also examine the mass spectrum of the supergravity Kaluza-Klein (KK) modes and find that the KK modes along the compact D-brane coordinate decouple from the spectrum for large angular momenta. There are however KK modes charged under a U(1)×U(1) global symmetry which do not decouple anywhere on the parameter space. General formulas for the string tension and action are also given.

Establishment and characterization of models of chemotherapy resistance in colorectal cancer: Towards a predictive signature of chemoresistance.

Current standard treatments for metastatic colorectal cancer (CRC) are based on combination regimens with one of the two chemotherapeutic drugs, irinotecan or oxaliplatin. However, drug resistance frequently limits the clinical efficacy of these therapies. In order to gain new insights into mechanisms associated with chemoresistance, and departing from three distinct CRC cell models, we generated a panel of human colorectal cancer cell lines with acquired resistance to either oxaliplatin or irinotecan. We characterized the resistant cell line variants with regards to their drug resistance profile and transcriptome, and matched our results with datasets generated from relevant clinical material to derive putative resistance biomarkers. We found that the chemoresistant cell line variants had distinctive irinotecan- or oxaliplatin-specific resistance profiles, with non-reciprocal cross-resistance. Furthermore, we could identify several new, as well as some previously described, drug resistance-associated genes for each resistant cell line variant. Each chemoresistant cell line variant acquired a unique set of changes that may represent distinct functional subtypes of chemotherapy resistance. In addition, and given the potential implications for selection of subsequent treatment, we also performed an exploratory analysis, in relevant patient cohorts, of the predictive value of each of the specific genes identified in our cellular models.

Soluble models in two-dimensional dilaton gravity

A one-parameter class of simple models of two-dimensional dilaton gravity, which can be exactly solved including back-reaction effects, is investigated at both classical and quantum levels. This family contains the RST model as a special case, and it continuously interpolates between models having a flat (Rindler) geometry and a constant curvature metric with a nontrivial dilaton field. The processes of formation of black hole singularities from collapsing matter and Hawking evaporation are considered in detail. Various physical aspects of these geometries are discussed, including the cosmological interpretation.

Examining the virulence of Candida albicans transcription factor mutants using Galleria mellonella and mouse infection models.

The aim of the present study was to identify Candida albicans transcription factors (TFs) involved in virulence. Although mice are considered the gold-standard model to study fungal virulence, mini-host infection models have been increasingly used. Here, barcoded TF mutants were first screened in mice by pools of strains and fungal burdens (FBs) quantified in kidneys. Mutants of unannotated genes which generated a kidney FB significantly different from that of wild-type were selected and individually examined in Galleria mellonella. In addition, mutants that could not be detected in mice were also tested in G. mellonella. Only 25% of these mutants displayed matching phenotypes in both hosts, highlighting a significant discrepancy between the two models. To address the basis of this difference (pool or host effects), a set of 19 mutants tested in G. mellonella were also injected individually into mice. Matching FB phenotypes were observed in 50% of the cases, highlighting the bias due to host effects. In contrast, 33.4% concordance was observed between pool and single strain infections in mice, thereby highlighting the bias introduced by the "pool effect." After filtering the results obtained from the two infection models, mutants for MBF1 and ZCF6 were selected. Independent marker-free mutants were subsequently tested in both hosts to validate previous results. The MBF1 mutant showed impaired infection in both models, while the ZCF6 mutant was only significant in mice infections. The two mutants showed no obvious in vitro phenotypes compared with the wild-type, indicating that these genes might be specifically involved in in vivo adapt.