Implied volatility of basket options at extreme strikes

In the paper, we characterize the asymptotic behavior of the implied volatility of a basket call option at large and small strikes in a variety of settings with increasing generality. First, we obtain an asymptotic formula with an error bound for the left wing of the implied volatility, under the assumption that the dynamics of asset prices are described by the multidimensional Black-Scholes model. Next, we find the leading term of asymptotics of the implied volatility in the case where the asset prices follow the multidimensional Black-Scholes model with time change by an independent increasing stochastic process. Finally, we deal with a general situation in which the dependence between the assets is described by a given copula function. In this setting, we obtain a model-free tail-wing formula that links the implied volatility to a special characteristic of the copula called the weak lower tail dependence function

Identification of a Transcription Factor Controlling pH-Dependent Organic Acid Response in Aspergillus niger.

Acid formation in Aspergillus niger is known to be subjected to tight regulation, and the acid production profiles are fine-tuned to respond to the ambient pH. Based on transcriptome data, putative trans-acting pH responding transcription factors were listed and through knock out studies, mutants exhibiting an oxalate overproducing phenotype were identified. The yield of oxalate was increased up to 158% compared to the wild type and the corresponding transcription factor was therefore entitled Oxalic Acid repression Factor, OafA. Detailed physiological characterization of one of the ΔoafA mutants, compared to the wild type, showed that both strains produced substantial amounts of gluconic acid, but the mutant strain was more efficient in re-uptake of gluconic acid and converting it to oxalic acid, particularly at high pH (pH 5.0). Transcriptional profiles showed that 241 genes were differentially expressed due to the deletion of oafA and this supported the argument of OafA being a trans-acting transcription factor. Furthermore, expression of two phosphoketolases was down-regulated in the ΔoafA mutant, one of which has not previously been described in fungi. It was argued that the observed oxalate overproducing phenotype was a consequence of the efficient re-uptake of gluconic acid and thereby a higher flux through glycolysis. This results in a lower flux through the pentose phosphate pathway, demonstrated by the down-regulation of the phosphoketolases. Finally, the physiological data, in terms of the specific oxygen consumption, indicated a connection between the oxidative phosphorylation and oxalate production and this was further substantiated through transcription analysis

The stellar and sub-stellar IMF of simple and composite populations

The current knowledge on the stellar IMF is documented. It appears to become top-heavy when the star-formation rate density surpasses about 0.1Msun/(yr pc^3) on a pc scale and it may become increasingly bottom-heavy with increasing metallicity and in increasingly massive early-type galaxies. It declines quite steeply below about 0.07Msun with brown dwarfs (BDs) and very low mass stars having their own IMF. The most massive star of mass mmax formed in an embedded cluster with stellar mass Mecl correlates strongly with Mecl being a result of gravitation-driven but resource-limited growth and fragmentation induced starvation. There is no convincing evidence whatsoever that massive stars do form in isolation. Various methods of discretising a stellar population are introduced: optimal sampling leads to a mass distribution that perfectly represents the exact form of the desired IMF and the mmax-to-Mecl relation, while random sampling results in statistical variations of the shape of the IMF. The observed mmax-to-Mecl correlation and the small spread of IMF power-law indices together suggest that optimally sampling the IMF may be the more realistic description of star formation than random sampling from a universal IMF with a constant upper mass limit. Composite populations on galaxy scales, which are formed from many pc scale star formation events, need to be described by the integrated galactic IMF. This IGIMF varies systematically from top-light to top-heavy in dependence of galaxy type and star formation rate, with dramatic implications for theories of galaxy formation and evolution.Comment: 167 pages, 37 figures, 3 tables, published in Stellar Systems and Galactic Structure, Vol.5, Springer. This revised version is consistent with the published version and includes additional references and minor additions to the text as well as a recomputed Table 1. ISBN 978-90-481-8817-

Sea level: measuring the bounding surfaces of the ocean

The practical need to understand sea level along the coasts, such as for safe navigation given the spatially variable tides, has resulted in tide gauge observations having the distinction of being some of the longest instrumental ocean records. Archives of these records, along with geological constraints, have allowed us to identify the century-scale rise in global sea level. Additional data sources, particularly satellite altimetry missions, have helped us to better identify the rates and causes of sea level rise and the mechanisms leading to spatial variability in the observed rates. Analysis of all of the data reveals the need for long-term and stable observation systems to assess accurately the regional changes as well as to improve our ability to estimate future changes in sea level. While information from many scientific disciplines is needed to understand sea level change, this paper focuses on contributions from geodesy and the role of the ocean’s bounding surfaces: the sea surface and the Earth’s crust

Choice of activity-intensity classification thresholds impacts upon accelerometer-assessed physical activity-health relationships in children

It is unknown whether using different published thresholds (PTs) for classifying physical activity (PA) impacts upon activity-health relationships. This study explored whether relationships between PA (sedentary [SED], light PA [LPA], moderate PA [MPA], moderate-to-vigorous PA, vigorous PA [VPA]) and health markers differed in children when classified using three different PTs

Independent associations of physical activity and cardiorespiratory fitness with metabolic risk factors in children: the European youth heart study

Udgivelsesdato: septemberAIMS/HYPOTHESIS: High levels of cardiorespiratory fitness (CRF) and physical activity (PA) are associated with a favourable metabolic risk profile. However, there has been no thorough exploration of the independent contributions of cardiorespiratory fitness and subcomponents of activity (total PA, time spent sedentary, and time spent in light, moderate and vigorous intensity PA) to metabolic risk factors in children and the relative importance of these factors. METHODS: We performed a population-based, cross-sectional study in 9- to 10- and 15- to 16-year-old boys and girls from three regions of Europe (n = 1709). We examined the independent associations of subcomponents of PA and CRF with metabolic risk factors (waist circumference, BP, fasting glucose, insulin, triacylglycerol and HDL-cholesterol levels). Clustered metabolic risk was expressed as a continuously distributed score calculated as the average of the standardised values of the six subcomponents. RESULTS: CRF (standardised beta = -0.09, 95% CI -0.12, -0.06), total PA (standardised beta = -0.08, 95% CI -0.10, -0.05) and all other subcomponents of PA were significantly associated with clustered metabolic risk. After excluding waist circumference from the summary score and further adjustment for waist circumference as a confounding factor, the magnitude of the association between CRF and clustered metabolic risk was attenuated (standardised beta = -0.05, 95% CI -0.08, -0.02), whereas the association with total PA was unchanged (standardised beta = -0.08 95% CI -0.10, -0.05). CONCLUSIONS/INTERPRETATION: PA and CRF are separately and independently associated with individual and clustered metabolic risk factors in children. The association between CRF and clustered risk is partly mediated or confounded by adiposity, whereas the association between activity and clustered risk is independent of adiposity. Our results suggest that fitness and activity affect metabolic risk through different pathways

Genome wide analysis of gene expression changes in skin from patients with type 2 diabetes

Non-healing chronic ulcers are a serious complication of diabetes and are a major healthcare problem. While a host of treatments have been explored to heal or prevent these ulcers from forming, these treatments have not been found to be consistently effective in clinical trials. An understanding of the changes in gene expression in the skin of diabetic patients may provide insight into the processes and mechanisms that precede the formation of non-healing ulcers. In this study, we investigated genome wide changes in gene expression in skin between patients with type 2 diabetes and non-diabetic patients using next generation sequencing. We compared the gene expression in skin samples taken from 27 patients (13 with type 2 diabetes and 14 non-diabetic). This information may be useful in identifying the causal factors and potential therapeutic targets for the prevention and treatment of diabetic related diseases