Conditional sampling for barrier option pricing under the LT method

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance reduction is achieved. We extend the method to allow pricing knock-in barrier options and introduce a root-finding method to obtain a further variance reduction. The effectiveness of the new method is supported by numerical results

The oral microbiome and adverse pregnancy outcomes.

Significant evidence supports an association between periodontal pathogenic bacteria and preterm birth and preeclampsia. The virulence properties assigned to specific oral pathogenic bacteria, for example, Fusobacterium nucleatum, Porphyromonas gingivalis, Filifactor alocis, Campylobacter rectus, and others, render them as potential collaborators in adverse outcomes of pregnancy. Several pathways have been suggested for this association: 1) hematogenous spread (bacteremia) of periodontal pathogens; 2) hematogenous spread of multiple mediators of inflammation that are generated by the host and/or fetal immune response to pathogenic bacteria; and 3) the possibility of oral microbial pathogen transmission, with subsequent colonization, in the vaginal microbiome resulting from sexual practices. As periodontal disease is, for the most part, preventable, the medical and dental public health communities can address intervention strategies to control oral inflammatory disease, lessen the systemic inflammatory burden, and ultimately reduce the potential for adverse pregnancy outcomes. This article reviews the oral, vaginal, and placental microbiomes, considers their potential impact on preterm labor, and the future research needed to confirm or refute this relationship

Polarized deep inelastic scattering at high energies and parity violating structure functions

A comprehensive analysis of deep inelastic scattering of polarized charged leptons on polarized nucleons is presented; weak interaction contributions, both in neutral and charged current processes, are taken into account and the parity violating polarized nucleon structure functions are studied. Possible ways of their measurements and their interpretations in the parton model are discussed.Comment: (slightly modified version, includes a few new references and corrects few misprints for publication), 14 pages in TeX (needs harvmac) no figure, DFTT 80/9

Building Interprofessional Global Health Infrastructure at a University and Health System: Navigating Challenges and Scaling Successes

Mission: Global Jefferson will create sustainable programs of global distinction through collaboration that position Jefferson as a local and international destination and resource for education, research, and clinical activities. Global Jefferson is supported by the Associate Provost for Global Affairs, part of the Office of the Provost. Global activity at Jefferson includes: Global Health Initiatives Committee (GHIC) Service Learning Global Research & Exchange between institutions Pre-clinical, translational, clinical, and applied research Poster presented at: 8th Annual Global Health Conference of the Consortium of Universities for Global Health (CUGH)https://jdc.jefferson.edu/globalhealthposters/1000/thumbnail.jp

Convertible bond valuation in a jump diffusion setting with stochastic interest rates

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie et al. [Econometrica, 2000, 68, 1343–1376] with tractable behaviour. We define the firm’s optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates

Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model

Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strike price, K, and the distribution function of the returns. We derive this distribution function using for C(K) a Black-Scholes (BS) expression with volatility in the form of a volatility smile. We show that this approach based on a volatility smile leads to relative minima for the distribution function ("bad" probabilities) never observed in real data and, in the worst cases, negative probabilities. We show that these undesirable effects can be eliminated by requiring "adiabatic" conditions on the volatility smile

Absolute properties of the binary system BB Pegasi

We present a ground based photometry of the low-temperature contact binary BB Peg. We collected all times of mid-eclipses available in literature and combined them with those obtained in this study. Analyses of the data indicate a period increase of 3.0(1) x 10^{-8} days/yr. This period increase of BB Peg can be interpreted in terms of the mass transfer 2.4 x 10^{-8} Ms yr^{-1} from the less massive to the more massive component. The physical parameters have been determined as Mc = 1.42 Ms, Mh = 0.53 Ms, Rc = 1.29 Rs, Rh = 0.83 Rs, Lc = 1.86 Ls, and Lh = 0.94 Ls through simultaneous solution of light and of the radial velocity curves. The orbital parameters of the third body, that orbits the contact system in an eccentric orbit, were obtained from the period variation analysis. The system is compared to the similar binaries in the Hertzsprung-Russell and Mass-Radius diagram.Comment: 17 pages, 3 figures, accepted for Astronomical Journa

Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.Comment: 9 pages, 2 figures, 1 tabl

Transit Timing Analysis in the HAT-P-32 system

We present the results of 45 transit observations obtained for the transiting exoplanet HAT-P-32b. The transits have been observed using several telescopes mainly throughout the YETI network. In 25 cases, complete transit light curves with a timing precision better than $1.4\:$min have been obtained. These light curves have been used to refine the system properties, namely inclination $i$, planet-to-star radius ratio $R_\textrm{p}/R_\textrm{s}$, and the ratio between the semimajor axis and the stellar radius $a/R_\textrm{s}$. First analyses by Hartman et al. (2011) suggest the existence of a second planet in the system, thus we tried to find an additional body using the transit timing variation (TTV) technique. Taking also literature data points into account, we can explain all mid-transit times by refining the linear ephemeris by 21ms. Thus we can exclude TTV amplitudes of more than $\sim1.5$min.Comment: MNRAS accepted; 13 pages, 10 figure