Local Volatility Calibration by Optimal Transport

The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion process that matches the known densities of an asset price at two different dates, while minimizing a chosen cost function. Inspired by the seminal work of Benamou and Brenier [1], we formulate the problem as a convex optimization problem, derive its dual formulation, and solve it numerically via an augmented Lagrangian method and the alternative direction method of multipliers (ADMM) algorithm. The solution effectively reconstructs the dynamic of the asset price between the two dates by recovering the optimal local volatility function, without requiring any time interpolation of the option prices

HPV infection and immunochemical detection of cell-cycle markers in verrucous carcinoma of the penis

Penile verrucous carcinoma is a rare disease and little is known of its aetiology or pathogenesis. In this study we examined cell-cycle proteins expression and correlation with human papillomavirus infection in a series of 15 pure penile verrucous carcinomas from a single centre. Of 148 penile tumours, 15 (10%) were diagnosed as pure verrucous carcinomas. The expression of the cell-cycle-associated proteins p53, p21, RB, p16INK4A and Ki67 were examined by immunohistochemistry. Human papillomavirus infection was determined by polymerase chain reaction to identify a wide range of virus types. The expression of p16INK4A and Ki67 was significantly lower in verrucous carcinoma than in usual type squamous cell carcinoma, whereas the expression of p53, p21 and RB was not significantly different. p53 showed basal expression in contrast to usual type squamous cell carcinoma. Human papillomavirus infection was present in only 3 out of 13 verrucous carcinomas. Unique low-risk, high-risk and mixed viral infections were observed in each of the three cases. In conclusion, lower levels of p16INK4A and Ki67 expressions differentiate penile verrucous carcinoma from usual type squamous cell carcinoma. The low Ki67 index reflects the slow-growing nature of verrucous tumours. The low level of p16INK4A expression and human papillomavirus detection suggests that penile verrucous carcinoma pathogenesis is unrelated to human papillomavirus infection and the oncogenes and tumour suppressor genes classically altered by virus infection.Peer reviewedFinal Accepted Versio

Screening of DUB activity and specificity by MALDI-TOF mass spectrometry

Deubiquitylases (DUBs) are key regulators of the ubiquitin system which cleave ubiquitin moieties from proteins and polyubiquitin chains. Several DUBs have been implicated in various diseases and are attractive drug targets. We have developed a sensitive and fast assay to quantify in vitro DUB enzyme activity using matrix-assisted laser desorption/ionization time-of-flight (MALDI-TOF) mass spectrometry. Unlike other current assays, this method uses unmodified substrates, such as diubiquitin topoisomers. By analyzing 42 human DUBs against all diubiquitin topoisomers we provide an extensive characterization of DUB activity and specificity. Our results confirm the high specificity of many members of the OTU and JAMM DUB families and highlight that all USPs tested display low linkage selectivity. We also demonstrate that this assay can be deployed to assess the potency and specificity of DUB inhibitors by profiling 11 compounds against a panel of 32 DUBs

The association between histamine 2 receptor antagonist use and Clostridium difficile infection: a systematic review and meta-analysis.

Background Clostridium difficile infection (CDI) is a major health problem. Epidemiological evidence suggests that there is an association between acid suppression therapy and development of CDI. Purpose We sought to systematically review the literature that examined the association between histamine 2 receptor antagonists (H2RAs) and CDI. Data source We searched Medline, Current Contents, Embase, ISI Web of Science and Elsevier Scopus from 1990 to 2012 for all analytical studies that examined the association between H2RAs and CDI. Study selection Two authors independently reviewed the studies for eligibility. Data extraction Data about studies characteristics, adjusted effect estimates and quality were extracted. Data synthesis Thirty-five observations from 33 eligible studies that included 201834 participants were analyzed. Studies were performed in 6 countries and nine of them were multicenter. Most studies did not specify the type or duration of H2RAs therapy. The pooled effect estimate was 1.44, 95% CI (1.22–1.7), I2 = 70.5%. This association was consistent across different subgroups (by study design and country) and there was no evidence of publication bias. The pooled effect estimate for high quality studies was 1.39 (1.15–1.68), I2 = 72.3%. Meta-regression analysis of 10 study-level variables did not identify sources of heterogeneity. In a speculative analysis, the number needed to harm (NNH) with H2RAs at 14 days after hospital admission in patients receiving antibiotics or not was 58, 95% CI (37, 115) and 425, 95% CI (267, 848), respectively. For the general population, the NNH at 1 year was 4549, 95% CI (2860, 9097). Conclusion In this rigorous systematic review and meta-analysis, we observed an association between H2RAs and CDI. The absolute risk of CDI associated with H2RAs is highest in hospitalized patients receiving antibiotics

Increased Adiposity, Dysregulated Glucose Metabolism and Systemic Inflammation in Galectin-3 KO Mice

PMCID: PMC3579848This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited

Self-assembled hydrogel fibers for sensing the multi-compartment intracellular milieu

Targeted delivery of drugs and sensors into cells is an attractive technology with both medical and scientific applications. Existing delivery vehicles are generally limited by the complexity of their design, dependence on active transport, and inability to function within cellular compartments. Here, we developed self-assembled nanofibrous hydrogel fibers using a biologically inert, low-molecular-weight amphiphile. Self-assembled nanofibrous hydrogels offer unique physical/mechanical properties and can easily be loaded with a diverse range of payloads. Unlike commercially available E. coli membrane particles covalently bound to the pH reporting dye pHrodo, pHrodo encapsulated in self-assembled hydrogel-fibers internalizes into macrophages at both physiologic (37°C) and sub-physiologic (4°C) temperatures through an energy-independent, passive process. Unlike dye alone or pHrodo complexed to E. coli, pHrodo-SAFs report pH in both the cytoplasm and phagosomes, as well the nucleus. This new class of materials should be useful for next-generation sensing of the intracellular milieu

Rapidity and Centrality Dependence of Proton and Anti-proton Production from Au+Au Collisions at sqrt(sNN) = 130GeV

We report on the rapidity and centrality dependence of proton and anti-proton transverse mass distributions from Au+Au collisions at sqrt(sNN) = 130GeV as measured by the STAR experiment at RHIC. Our results are from the rapidity and transverse momentum range of |y|<0.5 and 0.35 <p_t<1.00GeV/c. For both protons and anti-protons, transverse mass distributions become more convex from peripheral to central collisions demonstrating characteristics of collective expansion. The measured rapidity distributions and the mean transverse momenta versus rapidity are flat within |y|<0.5. Comparisons of our data with results from model calculations indicate that in order to obtain a consistent picture of the proton(anti-proton) yields and transverse mass distributions the possibility of pre-hadronic collective expansion may have to be taken into account.Comment: 4 pages, 3 figures, 1 table, submitted to PR

Future therapeutic targets in rheumatoid arthritis?

Rheumatoid arthritis (RA) is a chronic inflammatory disease characterized by persistent joint inflammation. Without adequate treatment, patients with RA will develop joint deformity and progressive functional impairment. With the implementation of treat-to-target strategies and availability of biologic therapies, the outcomes for patients with RA have significantly improved. However, the unmet need in the treatment of RA remains high as some patients do not respond sufficiently to the currently available agents, remission is not always achieved and refractory disease is not uncommon. With better understanding of the pathophysiology of RA, new therapeutic approaches are emerging. Apart from more selective Janus kinase inhibition, there is a great interest in the granulocyte macrophage-colony stimulating factor pathway, Bruton's tyrosine kinase pathway, phosphoinositide-3-kinase pathway, neural stimulation and dendritic cell-based therapeutics. In this review, we will discuss the therapeutic potential of these novel approaches

Genome-scale analyses of health-promoting bacteria: probiogenomics

The human body is colonized by an enormous population of bacteria (microbiota) that provides the host with coding capacity and metabolic activities. Among the human gut microbiota are health-promoting indigenous species (probiotic bacteria) that are commonly consumed as live dietary supplements. Recent genomics-based studies (probiogenomics) are starting to provide insights into how probiotic bacteria sense and adapt to the gastrointestinal tract environment. In this Review, we discuss the application of probiogenomics in the elucidation of the molecular basis of probiosis using the well-recognized model probiotic bacteria genera Bifidobacterium and Lactobacillus as examples

Azimuthal anisotropy and correlations at large transverse momenta in p+pp+p and Au+Au collisions at sNN\sqrt{s_{_{NN}}}= 200 GeV

Results on high transverse momentum charged particle emission with respect to the reaction plane are presented for Au+Au collisions at $\sqrt{s_{_{NN}}}$= 200 GeV. Two- and four-particle correlations results are presented as well as a comparison of azimuthal correlations in Au+Au collisions to those in $p+p$ at the same energy. Elliptic anisotropy, $v_2$, is found to reach its maximum at $p_t \sim 3$ GeV/c, then decrease slowly and remain significant up to $p_t\approx 7$ -- 10 GeV/c. Stronger suppression is found in the back-to-back high-$p_t$ particle correlations for particles emitted out-of-plane compared to those emitted in-plane. The centrality dependence of $v_2$ at intermediate $p_t$ is compared to simple models based on jet quenching.Comment: 4 figures. Published version as PRL 93, 252301 (2004