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.

Desde mi experiencia : 'el reto de los sordos profesionistas bilingües oralizados-LSM'.

Resumen basado en el de la publicación

Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

Tecnologías del ADN y sus aplicaciones en las Ciencias del Mar. Un recorrido de 20 años por las actividades del LSM-USC

Manuel Rey Méndez es Catedrático de Bioquímica y Biología Molecular, Director del Laboratorio de Sistemática Molecular de la Universidad de Santiago de Compostela (LSM-USC)

Toward an assembly line for U7 snRNPs: interactions of U7-specific Lsm proteins with PRMT5 and SMN complexes.

The survival of motor neurons (SMN) complex mediates the assembly of small nuclear ribonucleoproteins (snRNPs) involved in splicing and histone RNA processing. A crucial step in this process is the binding of Sm proteins onto the SMN protein. For Sm B/B', D1, and D3, efficient binding to SMN depends on symmetrical dimethyl arginine (sDMA) modifications of their RG-rich tails. This methylation is achieved by another entity, the PRMT5 complex. Its pICln subunit binds Sm proteins whereas the PRMT5 subunit catalyzes the methylation reaction. Here, we provide evidence that Lsm10 and Lsm11, which replace the Sm proteins D1 and D2 in the histone RNA processing U7 snRNPs, associate with pICln in vitro and in vivo without receiving sDMA modifications. This implies that the PRMT5 complex is involved in an early stage of U7 snRNP assembly and hence may have a second snRNP assembly function unrelated to sDMA modification. We also show that the binding of Lsm10 and Lsm11 to SMN is independent of any methylation activity. Furthermore, we present evidence for two separate binding sites in SMN for Sm/Lsm proteins. One recognizes Sm domains and the second one, the sDMA-modified RG-tails, which are present only in a subset of these proteins.

A method for solving LSM problems of small size in the AHP

The Analytic Hierarchy Process (AHP) is one of the most popular methods used in Multi-Attribute Decision Making. It provides with ratio-scale measurements of the prioirities of elements on the various leveles of a hierarchy. These priorities are obtained through the pairwise comparisons of elements on one level with reference to each element on the immediate higher level. The Eigenvector Method (EM) and some distance minimizing methods such as the Least Squares Method (LSM), Logarithmic Least Squares Method (LLSM), Weighted Least Squares Method (WLSM) and Chi Squares Method (X2M) are of the tools for computing the priorities of the alternatives. This paper studies a method for generating all the solutions of the LSM problems for 3 × 3 matrices. We observe non-uniqueness and rank reversals by presenting numerical results.

Magnetic resonance imaging (MRI) and diseases of the liver and biliary tract. Part 1. Basic principles, MRI in the assessment of diffuse and focal hepatic disease

Magnetic resonance imaging (MRI) relies on the physical properties of unpaired protons in tissues to generate images. Unpaired protons behave like tiny bar magnets and will align themselves in a magnetic field. Radiofrequency pulses will excite these aligned protons to higher energy states. As they return to their original state, they will release this energy as radio waves. The frequency of the radio waves depends on the local magnetic field and by varying this over a subject, it is possible to build the images we are familiar with. In general, MRI has not been sufficiently sensitive or specific in the assessment of diffuse liver disease for clinical use. However, because of the specific characteristics of fat and iron, it may be useful in the assessment of hepatic steatosis and iron overload. Magnetic resonance imaging is useful in the assessment of focal liver disease, particularly in conjunction with contrast agents. Haemangiomas have a characteristic bright appearance on T-2 weighted images because of the slow flowing blood in dilated sinusoids. Focal nodular hyperplasia (FNH) has a homogenous appearance, and enhances early in the arterial phase after gadolinium injection, while the central scar typically enhances late. Hepatic adenomas have a more heterogenous appearance and also enhance in the arterial phase, but less briskly than FNH. Hepatocellular carcinoma is similar to an adenoma, but typically occurs in a cirrhotic liver and has earlier washout of contrast. The appearance of metastases depends on the underlying primary malignancy. Overall, MRI appears more sensitive and specific than computed tomography with contrast for the detection and evaluation of malignant lesions. (C) 2000 Blackwell Science Asia Pty Ltd.

Crystal structure of a heptameric Sm-like protein complex from archaea: Implications for the structure and evolution of snRNPs

The Sm/Lsm proteins associate with small nuclear RNA to form the core of small nuclear ribonucleoproteins, required for processes as diverse as pre-mRNA splicing, mRNA degradation and telomere formation. The Lsm proteins from archaea are likely to represent the ancestral Sm/Lsm domain. Here, we present the crystal structure of the Lsm alpha protein from the thermophilic archaeon Methanobacterium thermoautrophicum at 2.0 Angstrom resolution. The Lsm alpha protein crystallizes as a heptameric ring comprised of seven identical subunits interacting via beta -strand pairing and hydrophobic interactions. The heptamer can be viewed as a propeller-like structure in which each blade consists of a seven-stranded antiparallel beta -sheet formed from neighbouring subunits. There are seven slots on the inner surface of the heptamer ring, each of which is lined by Asp, Asn and Arg residues that are highly conserved in the Sm/Lsm sequences. These conserved slots are likely to form the RNA-binding site. In archaea, the gene encoding Lsm alpha is located next to the L37e ribosomal protein gene in a putative operon, suggesting a role for the Lsm alpha complex in ribosome function or biogenesis. (C) 2001 Academic Press.

Homomeric ring assemblies of eukaryotic Sm proteins have affinity for both RNA and DNA - Crystal structure of an oligomeric complex of yeast SmF

Sm and Sm-like proteins are key components of small ribonucleoproteins involved in many RNA and DNA processing pathways. In eukaryotes, these complexes contain seven unique Sm or Sm-like (Lsm) proteins assembled as hetero-heptameric rings, whereas in Archaea and bacteria six or seven-membered rings are made from only a single polypeptide chain. Here we show that single Sm and Lsm proteins from yeast also have the capacity to assemble into homo-oligomeric rings. Formation of homo-oligomers by the spliceosomal small nuclear ribonucleoprotein components SmE and SmF preclude hetero-interactions vital to formation of functional small nuclear RNP complexes in vivo. To better understand these unusual complexes, we have determined the crystal structure of the homomeric assembly of the spliceosomal protein SmF. Like its archaeal/bacterial homologs, the SmF complex forms a homomeric ring but in an entirely novel arrangement whereby two heptameric rings form a co-axially stacked dimer via interactions mediated by the variable loops of the individual SmF protein chains. Furthermore, we demonstrate that the homomeric assemblies of yeast Sm and Lsm proteins are capable of binding not only to oligo(U) RNA but, in the case of SmF, also to oligo(dT) single-stranded DNA.

Low-Level Laser Therapy in Chronic Autoimmune Thyroiditis: A Pilot Study

Background and Objectives: Chronic autoimmune thyroiditis (CAT) remains the most common cause of acquired hypothyroidism There is currently no therapy that is capable of regenerating CAT-damaged thyroid tissue The objective of this study was to gauge the value of applying low-level laser therapy (LLLT) in CAT patients based on both ultrasound studies (USs) and evaluations of thyroid function and thyroid autoantibodies. Study Design/Materials and Methods: Fifteen patients who had hypothyroidism caused by CAT and were undergoing levothyroxine (LT4) treatment were selected to participate in the study Patients received 10 applications of LLLT (830 nm, output power 50 mW) in continuous mode, twice a week, using either the punctual technique (8 patients) or the sweep technique (7 patients), with fluence in the range of 38-108 J/cm(2) USs were performed prior to and 30 days after LLLT USs included a quantitative analysis of echogenicity through a gray-scale computerized histogram index (El). Following the second ultrasound (30 days after LLLT), LT4 was discontinued in all patients and, if required, reintroduced Truodothyronine, thyroxine (T4), free T4, thyrotropin, thyroid peroxidase (TPOAb) and thyroglobulin (TgAb) antibodies levels were assessed before LLLT and then 1, 2, 3, 6, and 9 months after LT4 withdrawal. Results: We noted all patients` reduced LT4 dosage needs, including 7 (47%) who did not require any LT4 through the 9-month follow-up The LT4 dosage used pre-LLLT (96 +/- 22 mu g/day) decreased in the 9th month of follow-up (38 23 mu g/day; P<0.0001) TPOAb levels also decreased (pre-LLLT = 982 +/- 530 U/ml, post-LLLT = 579 454 U/ml, P = 0 016) TgAb levels were not reduced, though we did observe a post-LLLT increase in the EI (pre-LLLT = 0 99 +/- 0.09, post-LLLT= 1.21 +/- 0.19, P=0.001) Conclusion: The preliminary results indicate that LLLT promotes the improvement of thyroid function, as patients experienced a decreased need for LT4, a reduction in TPOAb levels, and an increase in parenchymal echogenicity Lasers Surg. Med. 42:589-596, 2010. (C) 2010 Wiley-Liss, Inc

Phototherapy Promotes Healing of Chronic Diabetic Leg Ulcers That Failed to Respond to Other Therapies

Objective: We tested the hypothesis that combined 660 and 890 nm LED phototherapy will promote healing of diabetic ulcers that failed to respond to other forms of treatment. Research Design and Methods: A double-blind randomized placebo controlled design was used to study 23 diabetic leg ulcers in two groups of 14 patients. Group one ulcers were cleaned, dressed with 1% silver sulfadiazine cream and treated with ""placebo"" phototherapy (<1.0 J cm(-2)) twice per week, using a Dynatron Solaris 705 (R) device. Group two ulcers were treated similarly but received 3 J cm(-2) dose. Results: At each of 15,30,45,60,75, and 90 days of healing, mean ulcer granulation and healing rates were significantly higher for group two than the ""placebo"" group (P < 0.02). While ""placebo"" treated ulcers worsened during the initial 30 days, group two ulcers healed rapidly; achieving 56% more granulation and 79.2% faster healing by day 30, and maintaining similarly higher rates of granulation and healing over the ""placebo"" group all through. By day 90, 58.3% of group two ulcers had healed fully and 75% had achieved 90-100% healing. In contrast, only one ""placebo"" treated ulcer healed fully by day 90; no other ulcer attained >90% healing. Conclusion: Combined 660 and 890 nm light promotes rapid granulation and healing of diabetic ulcers that failed to respond to other forms of treatment. Lasers Surg. Med. 41:433-441, 2009. (C) 2009 Wiley-Liss, Inc.

Micromorphology of Resin-Dentin Interfaces Using One-Bottle Etch&Rinse and Self-Etching Adhesive Systems on Laser-Treated Dentin Surfaces: A Confocal Laser Scanning Microscope Analysis

Background and Objectives: This study evaluated the hybrid layer (HL) morphology created by three adhesive systems (AS) on dentin surfaces treated with Er:YAG laser using two irradiation parameters. Study Design: Occlusal flat dentin surfaces of 36 human third molars were assigned into nine groups (n = 4) according to the following ASs: one bottle etch&rinse Single Bond Plus (3M ESPE), two-step Clearfil Protect Bond (Kuraray), and all-in-one S3 Bond (Kuraray) self-etching, which were labeled with rhodamine B or fluorescein isothiocyanate dextran and were applied to dentin surfaces that were irradiated with Er:YAG laser at either 120 (38.7 J/cm(2)) or 200 mJ/pulse (64.5 J/cm(2)), or were applied to untreated dentin surfaces (control group). The ASs were light-activated following MI and the bonded surfaces were restored with resin composite Z250 (3M ESPE). After 24 hours of storage in vegetable oil, the restored teeth were vertically, serially sectioned into 1-mm thick slabs, which had the adhesive interfaces analyzed with confocal laser microscope (CLSM-LSM 510 Meta). CLSM images were recorded in the fluorescent mode from three different regions along each bonded interface. Results: Non-uniform HL was created on laser-irradiated dentin surfaces regardless of laser irradiation protocol for all AS, while regular and uniform HL was observed in the control groups. ""Stretch mark""-like red lines were found within the HL as a result of resin infiltration into dentin microfissures, which were predominantly observed in 200 mJ/pulse groups regardless of AS. Poor resin infiltration into peritubular dentin was observed in most regions of adhesive interfaces created by all ASs on laser-irradiated dentin, resulting in thin resin tags with neither funnel-shaped morphology nor lateral resin projections. Conclusion: Laser irradiation of dentin surfaces at 120 or 200 mJ/pulse resulted in morphological changes in HL and resin tags for all ASs evaluated in the study. Lasers Surg. Med. 42:662-670, 2010. (C) 2010 Wiley-Liss, Inc.

Laser Phototherapy as Topical Prophylaxis Against Head and Neck Cancer Radiotherapy-Induced Oral Mucositis: Comparison Between Low and High/Low Power Lasers

Background and Objective: Oral mucositis is a dose-limiting and painful side effect of radiotherapy (RT) and/or chemotherapy in cancer patients. The purpose of the present study was to analyze the effect of different protocols of laser phototherapy (LPT) on the grade of mucositis and degree of pain in patients under RT. Patients and Methods: Thirty-nine patients were divided into three groups: G1, where the irradiations were done three times a week using low power laser; G2, where combined high and low power lasers were used three time a week; and G3, where patients received low power laser irradiation once a week. The low power LPT was done using an InGaAlP laser (660 nm/40 mW/6 J cm(-2)/0.24 J per point). In the combined protocol, the high power LPT was done using a GaAlAs laser (808 nm, 1 W/cm(2)). Oral mucositis was assessed at each LPT session in accordance to the oral-mucositis scale of the National Institute of the Cancer-Common Toxicity criteria (NIC-CTC). The patient self-assessed pain was measured by means of the visual analogue scale. Results: All protocols of LPT led to the maintenance of oral mucositis scores in the same levels until the last RT session. Moreover, LPT three times a week also maintained the pain levels. However, the patients submitted to the once a week LPT had significant pain increase; and the association of low/high LPT led to increased healing time. Conclusions: These findings are desired when dealing with oncologic patients under RT avoiding unplanned radiation treatment breaks and additional hospital costs. Lasers Surg.Med. 41:264-270,2009. (C) 2009Wiley-Liss, Inc.

Stem cell proliferation under low intensity laser irradiation: A preliminary study

Background and Objectives: Phototherapy with low intensity laser irradiation has shown to be effective in promoting the proliferation of different cells. The aim of this in vitro study was to evaluate the potential effect of laser phototherapy (660 nm) on human dental pulp stem cell (hDPSC) proliferation. Study Design/Materials and Methods: The hDPSC cell strain was used. Cells cultured under nutritional deficit (10% FBS) were either irradiated or not (control) using two different power settings (20 mW/6 seconds to 40 mW/3 seconds), with an InGaAIP diode laser. The cell growth was indirectly assessed by measuring the cell mitochondrial activity through the MTT reduction-based cytotoxicity assay. Results: The group irradiated with the 20 mW setting presented significantly higher MTT activity at 72 hours than the other two groups (negative control-10% FBSand lased 40 mW with 3 seconds exposure time). After 24 hours of the first irradiation, cultures grown under nutritional deficit (10% FBS) and irradiated presented significantly higher viable cells than the non-irradiated cultures grown under the same nutritional conditions. Conclusions: Under the conditions of this study it was possible to conclude that the cell strain hDPSC responds positively to laser phototherapy by improving the cell growth when cultured under nutritional deficit conditions. Thus, the association of laser phototherapy and hDPSC cells could be of importance for future tissue engineering and regenerative medicine. Moreover, it opens the possibility of using laser phototherapy for improving the cell growth of other types of stem cells.