Orthogonal gamma-based expansions for volatility option prices under jump-diffusion dynamics

In my work I derive closed-form pricing formulas for volatility based options by suitably approximating the volatility process risk-neutral density function. I exploit and adapt the idea, which stands behind popular techniques already employed in the context of equity options such as Edgeworth and Gram-Charlier expansions, of approximating the underlying process as a sum of some particular polynomials weighted by a kernel, which is typically a Gaussian distribution. I propose instead a Gamma kernel to adapt the methodology to the context of volatility options. VIX vanilla options closed-form pricing formulas are derived and their accuracy is tested for the Heston model (1993) as well as for the jump-diffusion SVJJ model proposed by Duffie et al. (2000).

A triplet spike-timing–dependent plasticity model generalizes the Bienenstock–Cooper–Munro rule to higher-order spatiotemporal correlations

Synaptic strength depresses for low and potentiates for high activation of the postsynaptic neuron. This feature is a key property of the Bienenstock–Cooper–Munro (BCM) synaptic learning rule, which has been shown to maximize the selectivity of the postsynaptic neuron, and thereby offers a possible explanation for experience-dependent cortical plasticity such as orientation selectivity. However, the BCM framework is rate-based and a significant amount of recent work has shown that synaptic plasticity also depends on the precise timing of presynaptic and postsynaptic spikes. Here we consider a triplet model of spike-timing–dependent plasticity (STDP) that depends on the interactions of three precisely timed spikes. Triplet STDP has been shown to describe plasticity experiments that the classical STDP rule, based on pairs of spikes, has failed to capture. In the case of rate-based patterns, we show a tight correspondence between the triplet STDP rule and the BCM rule. We analytically demonstrate the selectivity property of the triplet STDP rule for orthogonal inputs and perform numerical simulations for nonorthogonal inputs. Moreover, in contrast to BCM, we show that triplet STDP can also induce selectivity for input patterns consisting of higher-order spatiotemporal correlations, which exist in natural stimuli and have been measured in the brain. We show that this sensitivity to higher-order correlations can be used to develop direction and speed selectivity.

Animal model for percutaneous creation of traumatic thoracic aortic transection

PURPOSE: This study was conducted to create an animal model for thoracic aortic transection that is suitable for thoracic endograft research. MATERIALS AND METHODS: Percutaneous aortic transection creation was attempted in 12 sheep. A custom collapsible circumferential cutting device was inserted into the proximal descending thoracic aorta via a femoral approach with an 11-F delivery catheter. The device was deployed 2 cm distal to the left subclavian artery origin and rotated 20 times to create aortic transection. Aortic diameters, mean aortic pressures, and heart rates were tested for degrees of difference between measurements before and after the creation of transection. On necropsy, the extent of aortic damage was classified as none, nontransmural, or transmural, and aortic transection was classified as none, partial, or circumferential. RESULTS: On angiography, creation of transmural thoracic aortic transection was successful in 91.7% (11/12) of animals. Aortic transection was circumferential in 54.4% (6/11) of animals and partial in 45.6% (5/11) of animals. Mean aortic diameter was 19.6 +/- 3.4 mm (range 12-24 mm) pre-transection and 25.8 +/- 4.5 mm (range 17.8-33 mm) post-transection (P = .0003). Pre-transection, mean aortic pressure was 79 +/- 13.8 mmHg, and 64.6 +/- 15.8 mmHg 15 min post-transection (P = .041). Pre-transection, mean heart rate was 94.5 +/- 17.2 beats per minute (bpm), and 105.8 +/- 17.2 bpm 15 min post-transection (P = .0057). CONCLUSIONS: Thoracic aortic transection was successfully created percutaneously in most animals. The animals remained in hemodynamically stable condition for as long as 240 minutes after the creation of aortic injury. This percutaneous animal model is straightforward and may be of potential value for future thoracic endograft research.

Experimental model to evaluate in vivo and in vitro cartilage MR imaging by means of histological analyses

OBJECTIVES: Implementation of an experimental model to compare cartilage MR imaging by means of histological analyses. MATERIAL AND METHODS: MRI was obtained from 4 patients expecting total knee replacement at 1.5 and/or 3T prior surgery. The timeframe between pre-op MRI and knee replacement was within two days. Resected cartilage-bone samples were tagged with Ethi((R))-pins to reproduce the histological cutting course. Pre-operative scanning at 1.5T included following parameters for fast low angle shot (FLASH: TR/TE/FA=33ms/6ms/30 degrees , BW=110kHz, 120mmx120mm FOV, 256x256 matrix, 0.65mm slice-thickness) and double echo steady state (DESS: TR/TE/FA=23.7ms/6.9ms/40 degrees , BW=130kHz, 120x120mm FOV, 256x256 matrix, 0.65mm slice-thickness). At 3T, scan parameters were: FLASH (TR/TE/FA=12.2ms/5.1ms/10 degrees , BW=130kHz, 170x170mm FOV, 320x320, 0.5mm slice-thickness) and DESS (TR/TE/FA=15.6ms/4.5ms/25 degrees , BW=200kHz, 135mmx150mm FOV, 288x320matrix, 0.5mm slice-thickness). Imaging of the specimens was done the same day at 1.5T. MRI (Noyes) and histological (Mankin) score scales were correlated using the paired t-test. Sensitivity and specificity for the detection of different grades of cartilage degeneration were assessed. Inter-reader and intra-reader reliability was determined using Kappa analysis. RESULTS: Low correlation (sensitivity, specificity) was found for both sequences in normal to mild Mankin grades. Only moderate to severe changes were diagnosed with higher significance and specificity. The use of higher field-strengths was advantageous for both protocols with sensitivity values ranging from 13.6% to 93.3% (FLASH) and 20.5% to 96.2% (DESS). Kappa values ranged from 0.488 to 0.944. CONCLUSIONS: Correlating MR images with continuous histological slices was feasible by using three-dimensional imaging, multi-planar-reformat and marker pins. The capability of diagnosing early cartilage changes with high accuracy could not be proven for both FLASH and DESS.

ANOVA kernels and RKHS of zero mean functions for model-based sensitivity analysis

Given a reproducing kernel Hilbert space (H,〈.,.〉)(H,〈.,.〉) of real-valued functions and a suitable measure μμ over the source space D⊂RD⊂R, we decompose HH as the sum of a subspace of centered functions for μμ and its orthogonal in HH. This decomposition leads to a special case of ANOVA kernels, for which the functional ANOVA representation of the best predictor can be elegantly derived, either in an interpolation or regularization framework. The proposed kernels appear to be particularly convenient for analyzing the effect of each (group of) variable(s) and computing sensitivity indices without recursivity.

A Model Study of the Seasonal Circulation in the Gulf of Maine

The Princeton Ocean Model is used to study the circulation in the Gulf of Maine and its seasonal transition in response to wind, surface heat flux, river discharge, and the M-2 tide. The model has an orthogonal-curvature linear grid in the horizontal with variable spacing from 3 km nearshore to 7 km offshore and 19 levels in the vertical. It is initialized and forced at the open boundary with model results from the East Coast Forecast System. The first experiment is forced by monthly climatological wind and heat flux from the Comprehensive Ocean Atmosphere Data Set; discharges from the Saint John, Penobscot, Kennebec, and Merrimack Rivers are added in the second experiment; the semidiurnal lunar tide (M-2) is included as part of the open boundary forcing in the third experiment. It is found that the surface heat flux plays an important role in regulating the annual cycle of the circulation in the Gulf of Maine. The spinup of the cyclonic circulation between April and June is likely caused by the differential heating between the interior gulf and the exterior shelf/slope region. From June to December the cyclonic circulation continues to strengthen, but gradually shrinks in size. When winter cooling erodes the stratification, the cyclonic circulation penetrates deeper into the water column. The circulation quickly spins down from December to February as most of the energy is consumed by bottom friction. While inclusion of river discharge changes details of the circulation pattern, the annual evolution of the circulation is largely unaffected. On the other hand, inclusion of the tide results in not only the anticyclonic circulation on Georges Bank but also modifications to the seasonal circulation.

A Model Study of the Circulation in the Pearl River Estuary (PRE) and Its Adjacent Coastal Waters: 1. Simulations and Comparison with Observations

The Princeton Ocean Model is used to study the circulation features in the Pearl River Estuary and their responses to tide, river discharge, wind, and heat flux in the winter dry and summer wet seasons. The model has an orthogonal curvilinear grid in the horizontal plane with variable spacing from 0.5 km in the estuary to 1 km on the shelf and 15 sigma levels in the vertical direction. The initial conditions and the subtidal open boundary forcing are obtained from an associated larger-scale model of the northern South China Sea. Buoyancy forcing uses the climatological monthly heat fluxes and river discharges, and both the climatological monthly wind and the realistic wind are used in the sensitivity experiments. The tidal forcing is represented by sinusoidal functions with the observed amplitudes and phases. In this paper, the simulated tide is first examined. The simulated seasonal distributions of the salinity, as well as the temporal variations of the salinity and velocity over a tidal cycle are described and then compared with the in situ survey data from July 1999 and January 2000. The model successfully reproduces the main hydrodynamic processes, such as the stratification, mixing, frontal dynamics, summer upwelling, two-layer gravitational circulation, etc., and the distributions of hydrodynamic parameters in the Pearl River Estuary and coastal waters for both the winter and the summer season.

Comparative theoretical analysis of continuous wave laser cutting of metals at 1 and 10 um wavelength

We present a derivation and, based on it, an extension of a model originally proposed by V.G. Niziev to describe continuous wave laser cutting of metals. Starting from a local energy balance and by incorporating heat removal through heat conduction to the bulk material, we find a differential equation for the cutting profile. This equation is solved numerically and yields, besides the cutting profiles, the maximum cutting speed, the absorptivity profiles, and other relevant quantities. Our main goal is to demonstrate the model’s capability to explain some of the experimentally observed differences between laser cutting at around 1 and 10 μm wavelengths. To compare our numerical results to experimental observations, we perform simulations for exactly the same material and laser beam parameters as those used in a recent comparative experimental study. Generally, we find good agreement between theoretical and experimental results and show that the main differences between laser cutting with 1- and 10-μm beams arise from the different absorptivity profiles and absorbed intensities. Especially the latter suggests that the energy transfer, and thus the laser cutting process, is more efficient in the case of laser cutting with 1-μm beams.

THE NATURAL AND ORTHOGONAL INTERACTION (NOIA) MODELS FOR QUANTITATIVE TRAITS (QTs) AND COMPLEX DISEASES

My dissertation focuses on developing methods for gene-gene/environment interactions and imprinting effect detections for human complex diseases and quantitative traits. It includes three sections: (1) generalizing the Natural and Orthogonal interaction (NOIA) model for the coding technique originally developed for gene-gene (GxG) interaction and also to reduced models; (2) developing a novel statistical approach that allows for modeling gene-environment (GxE) interactions influencing disease risk, and (3) developing a statistical approach for modeling genetic variants displaying parent-of-origin effects (POEs), such as imprinting. In the past decade, genetic researchers have identified a large number of causal variants for human genetic diseases and traits by single-locus analysis, and interaction has now become a hot topic in the effort to search for the complex network between multiple genes or environmental exposures contributing to the outcome. Epistasis, also known as gene-gene interaction is the departure from additive genetic effects from several genes to a trait, which means that the same alleles of one gene could display different genetic effects under different genetic backgrounds. In this study, we propose to implement the NOIA model for association studies along with interaction for human complex traits and diseases. We compare the performance of the new statistical models we developed and the usual functional model by both simulation study and real data analysis. Both simulation and real data analysis revealed higher power of the NOIA GxG interaction model for detecting both main genetic effects and interaction effects. Through application on a melanoma dataset, we confirmed the previously identified significant regions for melanoma risk at 15q13.1, 16q24.3 and 9p21.3. We also identified potential interactions with these significant regions that contribute to melanoma risk. Based on the NOIA model, we developed a novel statistical approach that allows us to model effects from a genetic factor and binary environmental exposure that are jointly influencing disease risk. Both simulation and real data analyses revealed higher power of the NOIA model for detecting both main genetic effects and interaction effects for both quantitative and binary traits. We also found that estimates of the parameters from logistic regression for binary traits are no longer statistically uncorrelated under the alternative model when there is an association. Applying our novel approach to a lung cancer dataset, we confirmed four SNPs in 5p15 and 15q25 region to be significantly associated with lung cancer risk in Caucasians population: rs2736100, rs402710, rs16969968 and rs8034191. We also validated that rs16969968 and rs8034191 in 15q25 region are significantly interacting with smoking in Caucasian population. Our approach identified the potential interactions of SNP rs2256543 in 6p21 with smoking on contributing to lung cancer risk. Genetic imprinting is the most well-known cause for parent-of-origin effect (POE) whereby a gene is differentially expressed depending on the parental origin of the same alleles. Genetic imprinting affects several human disorders, including diabetes, breast cancer, alcoholism, and obesity. This phenomenon has been shown to be important for normal embryonic development in mammals. Traditional association approaches ignore this important genetic phenomenon. In this study, we propose a NOIA framework for a single locus association study that estimates both main allelic effects and POEs. We develop statistical (Stat-POE) and functional (Func-POE) models, and demonstrate conditions for orthogonality of the Stat-POE model. We conducted simulations for both quantitative and qualitative traits to evaluate the performance of the statistical and functional models with different levels of POEs. Our results showed that the newly proposed Stat-POE model, which ensures orthogonality of variance components if Hardy-Weinberg Equilibrium (HWE) or equal minor and major allele frequencies is satisfied, had greater power for detecting the main allelic additive effect than a Func-POE model, which codes according to allelic substitutions, for both quantitative and qualitative traits. The power for detecting the POE was the same for the Stat-POE and Func-POE models under HWE for quantitative traits.

A journey through the secret history of the Flying Geese Model

Economic development in East Asia is characterized by the sequential "take-off" of member countries. This multi-tiered economic development in East Asia is often termed the “Flying Geese” pattern of economic development. However, some authors argue that the traditional Flying Geese pattern is not applicable to some industries such as electronics. Here, Japan may no longer be the sole "leading goose", with "followers" such as China (now producing cutting-edge products) having "caught-up". Does this mean that the Flying Geese Model has become "obsolete" in the 21st century? The main objective of this paper is to clarify the two concepts of Flying Geese which now seem confused: (1) application of the pattern of economic development in one specific country, and (2) application of the pattern of economic development to multiple countries in sequence. This paper provides validity checks of Flying Geese Models after differentiating these two concepts more clearly

Blogs: On the Cutting Edge of the Next-generation Web

This article analyses a number of social and cultural aspects of the blog phenomenon with the methodological aid of a complexity model, the New Techno-social Environment (hereinafter also referred to by its Spanish acronym, NET, or Nuevo Entorno Tecnosocial) together with the socio-technical approach of the two blogologist authors. Both authors are researchers interested in the new reality of the Digital Universal Network (DUN). After a review of some basic definitions, the article moves on to highlight some key characteristics of an emerging blog culture and relates them to the properties of the NET. Then, after a brief practical parenthesis for people entering the blogosphere for the first time, we present some reflections on blogs as an evolution of virtual communities and on the changes experienced by the inhabitants of the infocity emerging from within the NET. The article concludes with a somewhat disturbing question; whether among these changes there might not be a gradual transformation of the structure and form of human intelligence.

Linear global instability of non-orthogonal incompressible swept attachment-line boundary layer flow

Instability of the orthogonal swept attachment line boundary layer has received attention by local1, 2 and global3–5 analysis methods over several decades, owing to the significance of this model to transition to turbulence on the surface of swept wings. However, substantially less attention has been paid to the problem of laminar flow instability in the non-orthogonal swept attachment-line boundary layer; only a local analysis framework has been employed to-date.6 The present contribution addresses this issue from a linear global (BiGlobal) instability analysis point of view in the incompressible regime. Direct numerical simulations have also been performed in order to verify the analysis results and unravel the limits of validity of the Dorrepaal basic flow7 model analyzed. Cross-validated results document the effect of the angle _ on the critical conditions identified by Hall et al.1 and show linear destabilization of the flow with decreasing AoA, up to a limit at which the assumptions of the Dorrepaal model become questionable. Finally, a simple extension of the extended G¨ortler-H¨ammerlin ODE-based polynomial model proposed by Theofilis et al.4 is presented for the non-orthogonal flow. In this model, the symmetries of the three-dimensional disturbances are broken by the non-orthogonal flow conditions. Temporal and spatial one-dimensional linear eigenvalue codes were developed, obtaining consistent results with BiGlobal stability analysis and DNS. Beyond the computational advantages presented by the ODE-based model, it allows us to understand the functional dependence of the three-dimensional disturbances in the non-orthogonal case as well as their connections with the disturbances of the orthogonal stability problem.

Efficient numerical methods for global linear instability. Analysis and modeling of non-orthogonal swept attachment-line boundary layer flow

The aim of this thesis is to study the mechanisms of instability that occur in swept wings when the angle of attack increases. For this, a simplified model for the a simplified model for the non-orthogonal swept leading edge boundary layer has been used as well as different numerical techniques in order to solve the linear stability problem that describes the behavior of perturbations superposed upon this base flow. Two different approaches, matrix-free and matrix forming methods, have been validated using direct numerical simulations with spectral resolution. In this way, flow instability in the non-orthogonal swept attachment-line boundary layer is addressed in a linear analysis framework via the solution of the pertinent global (Bi-Global) PDE-based eigenvalue problem. Subsequently, a simple extension of the extended G¨ortler-H¨ammerlin ODEbased polynomial model proposed by Theofilis, Fedorov, Obrist & Dallmann (2003) for orthogonal flow, which includes previous models as particular cases and recovers global instability analysis results, is presented for non-orthogonal flow. Direct numerical simulations have been used to verify the stability results and unravel the limits of validity of the basic flow model analyzed. The effect of the angle of attack, AoA, on the critical conditions of the non-orthogonal problem has been documented; an increase of the angle of attack, from AoA = 0 (orthogonal flow) up to values close to _/2 which make the assumptions under which the basic flow is derived questionable, is found to systematically destabilize the flow. The critical conditions of non-orthogonal flows at 0 _ AoA _ _/2 are shown to be recoverable from those of orthogonal flow, via a simple analytical transformation involving AoA. These results can help to understand the mechanisms of destabilization that occurs in the attachment line of wings at finite angles of attack. Studies taking into account variations of the pressure field in the basic flow or the extension to compressible flows are issues that remain open. El objetivo de esta tesis es estudiar los mecanismos de la inestabilidad que se producen en ciertos dispositivos aerodinámicos cuando se aumenta el ángulo de ataque. Para ello se ha utilizado un modelo simplificado del flujo de base, así como diferentes técnicas numéricas, con el fin de resolver el problema de estabilidad lineal asociado que describe el comportamiento de las perturbaciones. Estos métodos; sin y con formación de matriz, se han validado utilizando simulaciones numéricas directas con resolución espectral. De esta manera, la inestabilidad del flujo de capa límite laminar oblicuo entorno a la línea de estancamiento se aborda en un marco de análisis lineal por medio del método Bi-Global de resolución del problema de valores propios en derivadas parciales. Posteriormente se propone una extensión simple para el flujo no-ortogonal del modelo polinomial de ecuaciones diferenciales ordinarias, G¨ortler-H¨ammerlin extendido, propuesto por Theofilis et al. (2003) para el flujo ortogonal, que incluye los modelos previos como casos particulares y recupera los resultados del analisis global de estabilidad lineal. Se han realizado simulaciones directas con el fin de verificar los resultados del análisis de estabilidad así como para investigar los límites de validez del modelo de flujo base utilizado. En este trabajo se ha documentado el efecto del ángulo de ataque AoA en las condiciones críticas del problema no ortogonal obteniendo que el incremento del ángulo de ataque, de AoA = 0 (flujo ortogonal) hasta valores próximos a _/2, en el cual las hipótesis sobre las que se basa el flujo base dejan de ser válidas, tiende sistemáticamente a desestabilizar el flujo. Las condiciones críticas del caso no ortogonal 0 _ AoA _ _/2 pueden recuperarse a partir del caso ortogonal mediante el uso de una transformación analítica simple que implica el ángulo de ataque AoA. Estos resultados pueden ayudar a comprender los mecanismos de desestabilización que se producen en el borde de ataque de las alas de los aviones a ángulos de ataque finitos. Como tareas pendientes quedaría realizar estudios que tengan en cuenta variaciones del campo de presión en el flujo base así como la extensión de éste al caso de flujos compresibles.

Construção tridimensional de atlas dos núcleos anteriores do tálamo a partir de cortes de um bloco de encéfalo

Tese de mestrado integrado em Engenharia Biomédica e Biofísica, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2016