Pricing Exotic Options in a Path Integral Approach

In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and implemented by means of various flexible and efficient algorithms. As an example, we detail the cases of Asian, barrier knock out, reverse cliquet and basket call options, evaluating prices and Greeks. The numerical results are compared with those obtained with other procedures used in quantitative finance and found to be in good agreement. In particular, when pricing at-the-money and out-of-the-money options, the path integral approach exhibits competitive performances.Comment: 21 pages, LaTeX, 3 figures, 6 table

Validity of the Polar V800 heart rate monitor to measure RR intervals at rest

Purpose To assess the validity of RR intervals and short-term heart rate variability (HRV) data obtained from the Polar V800 heart rate monitor, in comparison to an electrocardiograph (ECG). Method Twenty participants completed an active orthostatic test using the V800 and ECG. An improved method for the identification and correction of RR intervals was employed prior to HRV analysis. Agreement of the data was assessed using intra-class correlation coefficients (ICC), Bland–Altman limits of agreement (LoA), and effect size (ES). Results A small number of errors were detected between ECG and Polar RR signal, with a combined error rate of 0.086 %. The RR intervals from ECG to V800 were significantly different, but with small ES for both supine corrected and standing corrected data (ES 0.999 for both supine and standing corrected intervals. When analysed with the same HRV software no significant differences were observed in any HRV parameters, for either supine or standing; the data displayed small bias and tight LoA, strong ICC (>0.99) and small ES (≤0.029). Conclusions The V800 improves over previous Polar models, with narrower LoA, stronger ICC and smaller ES for both the RR intervals and HRV parameters. The findings support the validity of the Polar V800 and its ability to produce RR interval recordings consistent with an ECG. In addition, HRV parameters derived from these recordings are also highly comparable

Deletion of parasite immune modulatory sequences combined with immune activating signals enhances vaccine mediated protection against filarial nematodes

<p>Background: Filarial nematodes are tissue-dwelling parasites that can be killed by Th2-driven immune effectors, but that have evolved to withstand immune attack and establish chronic infections by suppressing host immunity. As a consequence, the efficacy of a vaccine against filariasis may depend on its capacity to counter parasite-driven immunomodulation.</p> <p>Methodology and Principal Findings: We immunised mice with DNA plasmids expressing functionally-inactivated forms of two immunomodulatory molecules expressed by the filarial parasite Litomosoides sigmodontis: the abundant larval transcript-1 (LsALT) and cysteine protease inhibitor-2 (LsCPI). The mutant proteins enhanced antibody and cytokine responses to live parasite challenge, and led to more leukocyte recruitment to the site of infection than their native forms. The immune response was further enhanced when the antigens were targeted to dendritic cells using a single chain Fv-αDEC205 antibody and co-administered with plasmids that enhance T helper 2 immunity (IL-4) and antigen-presenting cell recruitment (Flt3L, MIP-1α). Mice immunised simultaneously against the mutated forms of LsALT and LsCPI eliminated adult parasites faster and consistently reduced peripheral microfilaraemia. A multifactorial analysis of the immune response revealed that protection was strongly correlated with the production of parasite-specific IgG1 and with the numbers of leukocytes present at the site of infection.</p> <p>Conclusions: We have developed a successful strategy for DNA vaccination against a nematode infection that specifically targets parasite-driven immunosuppression while simultaneously enhancing Th2 immune responses and parasite antigen presentation by dendritic cells.</p&gt

Improved Constraints on Sterile Neutrino Mixing from Disappearance Searches in the MINOS, MINOS+, Daya Bay, and Bugey-3 Experiments.

Searches for electron antineutrino, muon neutrino, and muon antineutrino disappearance driven by sterile neutrino mixing have been carried out by the Daya Bay and MINOS+ collaborations. This Letter presents the combined results of these searches, along with exclusion results from the Bugey-3 reactor experiment, framed in a minimally extended four-neutrino scenario. Significantly improved constraints on the θ_{μe} mixing angle are derived that constitute the most constraining limits to date over five orders of magnitude in the mass-squared splitting Δm_{41}^{2}, excluding the 90% C.L. sterile-neutrino parameter space allowed by the LSND and MiniBooNE observations at 90% CL_{s} for Δm_{41}^{2}<13  eV^{2}. Furthermore, the LSND and MiniBooNE 99% C.L. allowed regions are excluded at 99% CL_{s} for Δm_{41}^{2}<1.6 eV^{2}

Effective Rheology of Bubbles Moving in a Capillary Tube

We calculate the average volumetric flux versus pressure drop of bubbles moving in a single capillary tube with varying diameter, finding a square-root relation from mapping the flow equations onto that of a driven overdamped pendulum. The calculation is based on a derivation of the equation of motion of a bubble train from considering the capillary forces and the entropy production associated with the viscous flow. We also calculate the configurational probability of the positions of the bubbles.Comment: 4 pages, 1 figur

Rapid production of human liver scaffolds for functional tissue engineering by high shear stress oscillation-decellularization

The development of human liver scaffolds retaining their 3-dimensional structure and extra-cellular matrix (ECM) composition is essential for the advancement of liver tissue engineering. We report the design and validation of a new methodology for the rapid and accurate production of human acellular liver tissue cubes (ALTCs) using normal liver tissue unsuitable for transplantation. The application of high shear stress is a key methodological determinant accelerating the process of tissue decellularization while maintaining ECM protein composition, 3D-architecture and physico-chemical properties of the native tissue. ALTCs were engineered with human parenchymal and non-parenchymal liver cell lines (HepG2 and LX2 cells, respectively), human umbilical vein endothelial cells (HUVEC), as well as primary human hepatocytes and hepatic stellate cells. Both parenchymal and non-parenchymal liver cells grown in ALTCs exhibited markedly different gene expression when compared to standard 2D cell cultures. Remarkably, HUVEC cells naturally migrated in the ECM scaffold and spontaneously repopulated the lining of decellularized vessels. The metabolic function and protein synthesis of engineered liver scaffolds with human primary hepatocytes reseeded under dynamic conditions were maintained. These results provide a solid basis for the establishment of effective protocols aimed at recreating human liver tissue in vitro

Identification of gene modules associated with low temperatures response in Bambara groundnut by network-based analysis

Bambara groundnut (Vigna subterranea (L.) Verdc.) is an African legume and is a promising underutilized crop with good seed nutritional values. Low temperature stress in a number of African countries at night, such as Botswana, can effect the growth and development of bambara groundnut, leading to losses in potential crop yield. Therefore, in this study we developed a computational pipeline to identify and analyze the genes and gene modules associated with low temperature stress responses in bambara groundnut using the cross-species microarray technique (as bambara groundnut has no microarray chip) coupled with network-based analysis. Analyses of the bambara groundnut transcriptome using cross-species gene expression data resulted in the identification of 375 and 659 differentially expressed genes (p<0.01) under the sub-optimal (23°C) and very sub-optimal (18°C) temperatures, respectively, of which 110 genes are commonly shared between the two stress conditions. The construction of a Highest Reciprocal Rank-based gene co-expression network, followed by its partition using a Heuristic Cluster Chiseling Algorithm resulted in 6 and 7 gene modules in sub-optimal and very sub-optimal temperature stresses being identified, respectively. Modules of sub-optimal temperature stress are principally enriched with carbohydrate and lipid metabolic processes, while most of the modules of very sub-optimal temperature stress are significantly enriched with responses to stimuli and various metabolic processes. Several transcription factors (from MYB, NAC, WRKY, WHIRLY & GATA classes) that may regulate the downstream genes involved in response to stimulus in order for the plant to withstand very sub-optimal temperature stress were highlighted. The identified gene modules could be useful in breeding for low-temperature stress tolerant bambara groundnut varieties

Evidence for direct CP violation in B-0 -> K+pi(-) decays

We report evidence for direct CP violation in the decay B-0-->K(+)pi(-) with 253 fb(-1) of data collected with the Belle detector at the KEKB e(+)e(-) collider. Using 275x10(6) B(B) over bar pairs we observe a B-->K(+/-)pi(-/+) signal with 2140+/-53 events. The measured CP violating asymmetry is A(CP)(K(+)pi(-))=-0.101+/-0.025(stat)+/-0.005(syst), corresponding to a significance of 3.9sigma including systematics. We also search for CP violation in the decays B+-->K(+)pi(0) and B+-->pi(+)pi(0). The measured CP violating asymmetries are A(CP)(K(+)pi(0))=0.04+/-0.05(stat)+/-0.02(syst) and A(CP)(pi(+)pi(0))=-0.02+/-0.10(stat)+/-0.01(syst), corresponding to the intervals -0.05< A(CP)(K(+)pi(0))<0.13 and -0.18< A(CP)(pi(+)pi(0))<0.14 at 90% confidence level

Alignment of the ALICE Inner Tracking System with cosmic-ray tracks

37 pages, 15 figures, revised version, accepted by JINSTALICE (A Large Ion Collider Experiment) is the LHC (Large Hadron Collider) experiment devoted to investigating the strongly interacting matter created in nucleus-nucleus collisions at the LHC energies. The ALICE ITS, Inner Tracking System, consists of six cylindrical layers of silicon detectors with three different technologies; in the outward direction: two layers of pixel detectors, two layers each of drift, and strip detectors. The number of parameters to be determined in the spatial alignment of the 2198 sensor modules of the ITS is about 13,000. The target alignment precision is well below 10 micron in some cases (pixels). The sources of alignment information include survey measurements, and the reconstructed tracks from cosmic rays and from proton-proton collisions. The main track-based alignment method uses the Millepede global approach. An iterative local method was developed and used as well. We present the results obtained for the ITS alignment using about 10^5 charged tracks from cosmic rays that have been collected during summer 2008, with the ALICE solenoidal magnet switched off.Peer reviewe