Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Model Configuration And Data Management In The Short-Term Water Information Forecasting Tools

The Short-term Water Information and Forecasting Tools (SWIFT) is a suite of tools for flood and short-term streamflow forecasting, consisting of a collection of hydrologic model components and utilities. Catchments are modeled using conceptual subareas and a node-link structure for channel routing. The tools comprise modules for calibration, model state updating, output error correction, ensemble runs and data assimilation. Given the combinatorial nature of the modelling experiments and the sub-daily time steps typically used for simulations, the volume of model configurations and time series data is substantial and its management is not trivial. SWIFT is currently used mostly for research purposes but has also been used operationally, with intersecting but significantly different requirements. Early versions of SWIFT used mostly ad-hoc text files handled via Fortran code, with limited use of netCDF for time series data. The configuration and data handling modules have since been redesigned. The model configuration now follows a design where the data model is decoupled from the on-disk persistence mechanism. For research purposes the preferred on-disk format is JSON, to leverage numerous software libraries in a variety of languages, while retaining the legacy option of custom tab-separated text formats when it is a preferred access arrangement for the researcher. By decoupling data model and data persistence, it is much easier to interchangeably use for instance relational databases to provide stricter provenance and audit trail capabilities in an operational flood forecasting context. For the time series data, given the volume and required throughput, text based formats are usually inadequate. A schema derived from CF conventions has been designed to efficiently handle time series for SWIFT.

Extracortical plate fixation with new plate inserts and cerclage wires for the treatment of periprosthetic hip fractures

PURPOSE Fixation of periprosthetic hip fractures with intracortical anchorage might not be feasible in cases with bulky implants and/or poor bone stock. METHODS Rotational stability of new plate inserts with extracortical anchorage for cerclage fixation was measured and compared to the stability found using a standard technique in a biomechanical setup using a torsion testing machine. In a synthetic PUR bone model, transverse fractures were fixed distally using screws and proximally by wire cerclages attached to the plates using "new" (extracortical anchorage) or "standard" (intracortical anchorage) plate inserts. Time to fracture consolidation and complications were assessed in a consecutive series of 18 patients (18 female; mean age 81 years, range 55-92) with periprosthetic hip fractures (ten type B1, eight type C-Vancouver) treated with the new device between July 2003 and July 2010. RESULTS The "new" device showed a higher rotational stability than the "standard" technique (p < 0.001). Fractures showed radiographic consolidation after 14 ± 5 weeks (mean ± SD) postoperatively in patients. Revision surgery was necessary in four patients, unrelated to the new technique. CONCLUSION In periprosthetic hip fractures in which fixation with intracortical anchorage using conventional means might be difficult due to bulky revision stems and/or poor bone stock, the new device may be an addition to the range of existing implants.

INTERACTION OF BACILLUS ANTHRACIS EXOSPORIUM PROTEIN BCLA WITH COMPLEMENT FACTOR H AND SPORE PERSISTENCE IN THE LUNG

Anthrax outbreaks in the United States and Europe and its potential use as a bioweapon have made Bacillus anthracis an interest of study. Anthrax infections are caused by the entry of B. anthracis spores into the host via the respiratory system, the gastrointestinal tract, cuts or wounds in the skin, and injection. Among these four forms, inhalational anthrax has the highest lethality rate and persistence of spores in the lungs of animals following pulmonary exposure has been noted for decades. However, details or mechanisms of spore persistence were not known. In this study, we investigated spore persistence in a mouse model. The results suggest that B. anthracis spores have special properties that promote persistence in the lung, and that there may be multiple mechanisms contributing to spore persistence. Moreover, recent discoveries from our laboratory suggest that spores evolved a sophisticated mechanism to interact with the host complement system. The complement system is a crucial part of the host defense mechanism against foreign microorganisms. Knowledge of the specific interactions that occur between the complement system and B. anthracis was limited. Studies performed in our laboratory have suggested that spores of B. anthracis can target specific proteins, such as Factor H (fH) of the complement system. Spores of B. anthracis are enclosed by an exosporium, which consists of a basal layer surrounded by a nap of hair-like filaments. The major structural component of the filaments is called Bacillus collagen-like protein of anthracis (BclA), which comprises a central collagen-like region and a globular C-terminal domain. BclA is the first point of contact with the innate system of an infected host. In this study, we investigated the molecular details of BclA-fH interaction with respect to the specific binding mechanism and the functional significance of this interaction in a murine model of anthrax infection. We hypothesized that the recruitment of fH to the spore surface by BclA limits the extent of complement activation and promotes pathogen survival and persistence in the infected host. Findings from this study are significant to understanding how to treat post-exposure prophylaxis and improve our knowledge of spores with the host immune system.

Textural classification of land cover using support vector machines: an empirical comparison with parametric, non parametric and hybrid classifiers in the Bolivian Amazon

Land cover classification is a key research field in remote sensing and land change science as thematic maps derived from remotely sensed data have become the basis for analyzing many socio-ecological issues. However, land cover classification remains a difficult task and it is especially challenging in heterogeneous tropical landscapes where nonetheless such maps are of great importance. The present study aims to establish an efficient classification approach to accurately map all broad land cover classes in a large, heterogeneous tropical area of Bolivia, as a basis for further studies (e.g., land cover-land use change). Specifically, we compare the performance of parametric (maximum likelihood), non-parametric (k-nearest neighbour and four different support vector machines - SVM), and hybrid classifiers, using both hard and soft (fuzzy) accuracy assessments. In addition, we test whether the inclusion of a textural index (homogeneity) in the classifications improves their performance. We classified Landsat imagery for two dates corresponding to dry and wet seasons and found that non-parametric, and particularly SVM classifiers, outperformed both parametric and hybrid classifiers. We also found that the use of the homogeneity index along with reflectance bands significantly increased the overall accuracy of all the classifications, but particularly of SVM algorithms. We observed that improvements in producer’s and user’s accuracies through the inclusion of the homogeneity index were different depending on land cover classes. Earlygrowth/degraded forests, pastures, grasslands and savanna were the classes most improved, especially with the SVM radial basis function and SVM sigmoid classifiers, though with both classifiers all land cover classes were mapped with producer’s and user’s accuracies of around 90%. Our approach seems very well suited to accurately map land cover in tropical regions, thus having the potential to contribute to conservation initiatives, climate change mitigation schemes such as REDD+, and rural development policies.

The association of education with body mass index and waist circumference in the EPIC-PANACEA study

Background To examine the association of education with body mass index (BMI) and waist circumference (WC) in the European Prospective Investigation into Cancer and Nutrition (EPIC). Method This study included 141,230 male and 336,637 female EPIC-participants, who were recruited between 1992 and 2000. Education, which was assessed by questionnaire, was classified into four categories; BMI and WC, measured by trained personnel in most participating centers, were modeled as continuous dependent variables. Associations were estimated using multilevel mixed effects linear regression models. Results Compared with the lowest education level, BMI and WC were significantly lower for all three higher education categories, which was consistent for all countries. Women with university degree had a 2.1 kg/m2 lower BMI compared with women with lowest education level. For men, a statistically significant, but less pronounced difference was observed (1.3 kg/m2). The association between WC and education level was also of greater magnitude for women: compared with the lowest education level, average WC of women was lower by 5.2 cm for women in the highest category. For men the difference was 2.9 cm. Conclusion In this European cohort, there is an inverse association between higher BMI as well as higher WC and lower education level. Public Health Programs that aim to reduce overweight and obesity should primarily focus on the lower educated population.

Pharmaceuticals occurrence in a WWTP with significant industrial contribution and its input into the river system

Occurrence and removal of 81 representative Pharmaceutical Active Compounds (PhACs) were assessed in a municipal WWTP located in a highly industrialized area, with partial water reuse after UV tertiary treatment and discharge to a Mediterranean river. Water monitoring was performed in an integrated way at different points in the WWTP and river along three seasons. Consistent differences between therapeutic classes were observed in terms of influent concentration, removal efficiencies and seasonal variation. Conventional (primary and secondary) treatment was unable to completely remove numerous compounds and UV-based tertiary treatment played a complementary role for some of them. Industrial activity influence was highlighted in terms of PhACs presence and seasonal distribution. Even if global WWTP effluent impact on the studied river appeared to be minor, PhACs resulted widespread pollutants in river waters. Contamination can be particularly critical in summer in water scarcity areas, when water flow decreases considerably

Bordering with Culture(s): Europeanization and Cultural Agency at the External Border of the European Union.

Rajallistamisen kulttuuri(t): Eurooppalaistuminen ja kulttuurinen toimijuus Euroopan unionin ulkorajalla Euroopan integraation ja Euroopan unionin laajentumisen myötä EU:n sisärajat ovat avautuneet kun taas sen ulkorajoilla lisääntyvää rajan ylitysten valvontaa on pyritty kompensoimaan yhteistyön merkitystä ja verkostoitumista painottamalla. Tämä tutkimus pyrkii ymmärtämään EU:n ulkorajan muutosten merkitystä paikalliselle hyvinvoinnille sekä laajemmin ylirajaisuuden merkitystä identiteettien rakentamiselle raja-alueilla. EU:n ulkorajalla Puolassa ja Suomessa toteutettavat rajat ylittävät, kulttuuriin ja kulttuuriperintöön liittyvät, projektit kertovat eurooppalaistumisesta ja sen vaikutuksista kulttuurisen horisontin muutokselle. Voidaan nähdä miten Eurooppa kulttuurisena konstruktiona tulee paikallisesti merkittäväksi tavoilla jotka kertovat myös paikallisten toimijoiden mahdollisuuksista osallistua EU-rajan muutoksia ja paikallisuutta määritteleviin prosesseihin. Tällöin erityisesti raja-alueiden materiaalisen perinnön, ja sen mahdollistamien rajaan liittyvien neuvottelujen, voidaan nähdä kertovat Eurooppalaistumisesta myös ns. alhaaltapäin muotoutuvana prosessina. Artikkeliväitöskirjan taustalla on Puolan ja Suomen toisen maailmansodan seurauksena luovuttamien raja-alueiden (Kresy ja Karjala) asema nykyisellä Euroopan unionin ulkorajalla. Tutkimusidea perustuu tutkijan omiin kokemuksiin projekteista Puolan ja Ukrainan raja-alueella vuonna 2003, ennen Puolan liittymistä EU:hun vuonna 2004. Tutkimusaineisto on peräisin vuosien 2005-2009 aikana tehdyistä ns. monipaikkaisista (multi-sited) kenttätöistä EU:n ulkorajalla, pääosin Puolassa ja Suomessa, joissa kohteena olivat kulttuuria ja kulttuuriperintöä hyödyntävät, pääosin EU-rahoitetut, rajat ylittävät projektit. Materiaalit koostuvat 34 projektitoimijan haastatteluista, projektien materiaaleista, kenttätöiden havainnoista, paikallisten sanomalehtien artikkeleista sekä eri tasoilla (EU, kansallinen, alueellinen) tuotetuista ohjelmadokumenteista. Huomio kiinnittyy projektitoimijoiden tapoihin tehdä rajanylityksiä, sekä heidän tapaansa kokea ja hyödyntää raja-alueiden kulttuuriperintöä sekä ymmärtää niiden nykyistä kulttuurista moninaisuutta. Tällöin havaitaan miten erilaiset eurooppalaiset ideat, representaatiot ja käytänteet tulevat osaksi erilaisia translokaaleja, rajat ylittäviä ja paikallis-eurooppalaisia, suhteita. Vertailun kohteeksi eivät tällöin asetu projektit, toimijat tai raja-alueet sinänsä, vaan näihin suhteisiin liittyvä kulttuurinen toimijuus. Keskeinen käsite tutkimuksessa on ’rajallistaminen’, eli sen havaitseminen, miten jokainen rajan ylitys tarkoittaa myös neuvottelua rajasta. Rajan ylitys voi siis tarkoittaa myös sen vahvistamista. Myös itse raja voi asettua toiminnan kohteeksi, jolloin nousee esiin se, miten rajat ylittäviä ”kulttuureja” käytetään ja mitkä ovat niiden rajaan liittyvät paikalliset merkitykset. Kysymys on siitä kuka, ja kenelle, rajan merkityksiä neuvottelee? Projektitoimijoiden voidaan nähdä neuvottelevan näitä erilaisia ”kulttuureja” jotka tuottavat rajaa neuvottelevia suhteita, kuten esimerkiksi yhteistyön verkostojen tapaa ohittaa rajan paikallinen merkitys. Tämä rajallistaminen voi kuitenkin tarkoittaa myös paikallisten kulttuuristen identifikaatioiden huomioimista. Tällöin kyse on myös sen luovuuden havaitsemisesta, jota yksilöillä on kun he neuvottelevat näitä erilaisia rajallistamisen kulttuureja. Erityisesti toisen maailmansodan seurauksena valtiorajoista tuli vahvasti kansallisia kulttuureja erottavia, mutta nyt kulttuurisista rajoista neuvotellaan ja rajojen yli tapahtuva vuorovaikutus, sekä paikallisen ja Eurooppalaisen tason väliset suhteet, ja niiden moniäänisyys, nousevat tutkimuksen keskiöön. Tutkimuksen yhteenvedon kannalta keskeinen on kysymys raja/alueen kestävyydestä. Tyypillisesti verkostoitumista painottavan rajat ylittävän yhteistyön suhde paikalliseen yhteisöön voi jäädä häilyväksi. Tavoite paikallisen kulttuuriperinnön suojeluun ei itsessään vielä kerro sen merkityksestä paikalliselle hyvinvoinnille. Arvioinnin kannalta on hyödyllistä nähdä miten myös materiaalisella perinnöllä on toimijuutta osana paikallisuutta muokkaavia suhteita. Paikallisten asukkaiden kokemus rajasta voi edelleen olla että se ei ole muuttunut Neuvostoliiton ajoista, toisaalta EU:nkin voidaan toivoa määrittelemään rajansa vielä tarkemmin, jotta sen kansallinen luonne muuttuisi. Tutkimus nostaa esiin miten eurooppalaiset yhteistyötä ja kulttuurista moninaisuutta korostavat ideat ja käytänteet vaikuttavat erityisesti puolalaisten toimijoiden mahdollisuuksiin määritellä EU-rajaan liittyviä prosesseja osana paikallisia kulttuuriperinnön määrittelyjä. Paikallisten rajaan liittyvien kulttuuristen identifikaatioiden liittäminen osaksi projekteja ei kuitenkaan ole helppoa. Toisaalta rajan merkitys on sisäistetty osana arkea, toisaalta taas rajaan liittyvät suuret kertomukset kansallisena ja EU-rajana voivat olla etäännyttäviä tekijöitä. EU-raja, projektit ja monikulttuurisen perinnön autenttisuus ovat kuitenkin raja-alueen toimijoille ja yhteisöille mahdollisuus osallistua rajallistamiseen. Toiminnan kestävyyden kannalta kyse on pitkälti siitä avaako rajallistaminen paikallisen perinnön merkityksiä osana paikallis-eurooppalaisia suhteita.

Reactions of steroidal epoxides with strong organic bases and an investigation into the syntheses of some labelled pregnane derivatives

Reactions of 5,6- and 4,5-epoxycholestane derivatives with strong bases were investigated. Epoxidation of 3a-acetoxycholest-5-ene also gave a new compound along with the anticipated epoxides. Interconversions of the latter were observed. Some possible mechanisms of its formation and rearrangements have been pIioposed. No reaction was observed with any of the 5,6- and 4,5-steroidal epoxides employed in the present study, using potassium tertiary butoxide under refluxing conditions. n-Butyllithium reacted only with 5,6-epoxycholestanes bearing a ketal moiety at the C3 carbon. Opening of the ketal group was observed with n-butyllithium in the case of a ~-epoxide. The reaction was also investigated in the absence of epoxide functionality. A possible mechanism for the opening of ketal group has been proposed. Lithium diethylamide (LDEA) was found effective in rearranging 5,6- and 4,5-epoxides to their ~orresponding allylic alcohols. These rearrangements presumably proceed via syn-eliminations, however the possibility of a corresponding anti-elimination has not been eliminated. A substituent effect of various functional groups (R = H, OH, OCH2CH20) at C3 has-been observed on product distribution in the LDEApromoted rearrangements of the corresponding epoxides. No reaction of these epoxides was observed with lithium diisopropylamide (LDA) • In the second part of the project, several attempts were made towards the sYRthesis of deoxycorticoste~one~17,2l,2l~d3' a compound desirable for the 2l-dehydroxylation studies of deoxycorticosterone. Several routes were investigated, and some deuterium labelled pregnane derivatives were prepared in this regard. Microbial 21-hydroxylation of progesteronel7,21,21,2l- d4 by ~ niger led to loss of deuterium from C21 of the product. An effort was made to hydroxylate progesterone microbially under neutral condtions.

Synthesis and catalytic epoxidation potentiality of oxodiperoxo molybdenum(VI) complexes with pyridine-2-carboxaldoxime and pyridine-2-carboxylate: the crystal structure of PMePh3[MoO(O-2)(2)(PyCO)]

[MoO(O-2)(2)(PyCOXH)(H2O)] and PMePh3[MoO(O-2)(2)(PyCO)] (PyCOXH = Pyridine-2-carboxaldoxime and PyCOH = Pyridine-2-carboxylic acid) have been synthesized. Both complexes have been characterized by physico-chemical and spectroscopic methods; in addition, the carboxylate complex has been structurally characterized by X-ray crystallography. The carboxylate complex is a more efficient catalyst than the oxime complex for epoxidation of olefins and shows excellent catalytic activity for the substrates: cyclooctene, cinnamyl alcohol, allyl alcohol and 1-hexene.

Utp25p, a nucleolar Saccharomyces cerevisiae protein, interacts with U3 snoRNP subunits and affects processing of the 35S pre-rRNA

In eukaryotes, pre-rRNA processing depends on a large number of nonribosomal trans-acting factors that form intriguingly organized complexes. Two intermediate complexes, pre-40S and pre-60S, are formed at the early stages of 35S pre-rRNA processing and give rise to the mature ribosome subunits. Each of these complexes contains specific pre-rRNAs, some ribosomal proteins and processing factors. The novel yeast protein Utp25p has previously been identified in the nucleolus, an indication that this protein could be involved in ribosome biogenesis. Here we show that Utp25p interacts with the SSU processome proteins Sas10p and Mpp10p, and affects 18S rRNA maturation. Depletion of Utp25p leads to accumulation of the pre-rRNA 35S and the aberrant rRNA 23S, and to a severe reduction in 40S ribosomal subunit levels. Our results indicate that Utp25p is a novel SSU processome subunit involved in pre-40S maturation.

Comparison of direct digital and conventional imaging with Ekta Speed Plus and INSIGHT films for the detection of approximal caries

Purpose: To evaluate the accuracy of approximal caries detection comparing enhanced and unenhanced Sidexis CCD-based digital image with Ektaspeed Plus and INSIGHT films. Methods: Fifty-two extracted premolars were imaged under identical standardized geometric and exposure conditions. Four observers, using five points confidence scale, rated 104 approximal surfaces for the presence or absence of carious lesions by means of four image modalities: (1) observer enhanced; (2) unenhanced Sidexis displays; (3) E speed films and (4) F speed film. Histologic sections served as validating criterion for the presence and depth of carious lesions. Diagnostic accuracy was measured as the area beneath the ROC curve. Results: Mean ROC (receiver operating characteristic) curve areas for approximal surfaces were 0.865 (E speed), 0.856 (F speed), 0.816 (unenhanced Sidexis) and 0.776 (observer enhanced). There were no significant differences between unenhanced digital Sidexis and films. Observer enhanced Sidexis images exhibited a statistically significant lower diagnostic accuracy than the film images for two of the observers.

Compliance with supportive periodontal therapy and its relation to the bleeding index

THIS IS A RETROSPECTIVE STUDY of 418 patients who received active periodontal treatment between the years of 1984 and 1990. The patients were instructed to return for supportive periodontal treatment (SPT) at 3 to 6-month intervals. The objective of this study was to evaluate patient compliance with periodic recall visits, and to study the relationship of bleeding upon probing in those who returned regularly. The patients were divided into 3 groups: patients who returned periodically for supportive treatment, patients who interrupted the proposed maintenance treatment, and patients who never returned after active periodontal treatment. Analysis was made for each group to correlate the degree of compliance with gender, disease classification, and type of treatment received. To analyze bleeding upon probing, 2 groups of patients were selected: a test group with 39 patients who had attended at least 10 recall visits and participated in the study for more than 40 months, and a control group of 21 patients who interrupted the SPT for at least 12 months. The results showed that 26% of the treated patients returned for SPT and, of those, 40% returned irregularly. There was a statistical significant difference in compliance in relation to disease classification and the type of treatment received, but no correlation was found between compliance and gender. There was a statistically significant difference in compliance between the test group and the control group in relation to the variation of the bleeding index.