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

Yukawa Structure with Maximal Predictability

A simple Ansatz for the quark mass matrices is considered, based on the assumption of a power structure for the matrix elements and the requirement of maximal predictability. A good fit to the present experimental data is obtained and the position of the vertex of the unitarity triangle, i.e. (\bar{\rho},\bar{\eta}), is predicted.Comment: 13 pages, 2 EPS figures, some modifications and references added; version to appear in Phys. Lett.

Relationship between thoracic kyphosis and neural axis abnormalities in patients with adolescent idiopathic scoliosis.

Purpose:Previous studies have suggested an association between increased thoracic kyphosis and neural axis abnormalities in patients with adolescent idiopathic scoliosis (AIS). However, the basis for this finding is unclear, and this association has been mainly noted in retrospective studies on a non-consecutive series of patients. The purpose of this study was to assess the relationship between thoracic kyphosis and neural axis abnormalities in patients with AIS. Methods:We studied a consecutive series of AIS patients treated with spinal fusion. Thoracic kyphosis (T2 to T12) was measured from preoperative lateral radiographs. All patients underwent a spine magnetic resonance imaging (MRI) prior to surgery, and MRI reports were reviewed to determine the presence of neural axis abnormalities. Statistical analyses included descriptive statistics and chi-squared analysis. Results:This study included 210 patients with AIS. There were no significant differences in age or gender between patients with thoracic hypokyphosis (kyphosis < 20°), normal thoracic kyphosis (kyphosis 20° to 40°) and thoracic hyperkyphosis (kyphosis > 40°) (p > 0.05). Neural axis abnormalities were present in 17.9% of patients with thoracic hypokyphosis, 9.8% of patients with normal thoracic kyphosis and 13.6% of patients with thoracic hyperkyphosis (p = 0.60). There were no significant differences in rates of Chiari malformation, syrinx, intra-spinal masses and other central nervous system abnormalities between groups (p > 0.05). Conclusions:Thoracic kyphosis was not associated with neural axis abnormalities in our consecutive series of patients with AIS. Increased thoracic kyphosis may not be a reliable indicator for the presence of neural axis abnormalities in patients with AIS. Level of Evidence:IV

Electroweak Radiative Corrections To Polarized M{\o}ller Scattering Asymmetries

One loop electroweak radiative corrections to left-right parity violating M{\o}ller scattering ($e^-e^-\to e^-e^-$) asymmetries are presented. They reduce the standard model (tree level) prediction by 40$\pm 3$ \% where the main shift and uncertainty stem from hadronic vacuum polarization loops. A similar reduction also occurs for the electron-electron atomic parity violating interaction. That effect can be attributed to an increase of $\sin^2\theta_W(q^2)$ by $3\%$ in running from $q^2=m_Z^2$ to 0. The sensitivity of the asymmetry to ``new physics'' is also discussed.Comment: 14 pages, Revtex, postscript file including figures is available at ftp://ttpux2.physik.uni-karlsruhe.de/ttp95-14/ttp95-14.ps or via WWW at http://ttpux2.physik.uni-karlsruhe.de/cgi-bin/preprints/ (129.13.102.139

Transit Timing Analysis in the HAT-P-32 System

We present the results of 45 transit observations obtained for the transiting exoplanet HATP- 32b. The transits have been observed using several telescopes mainly throughout the YETI (Young Exoplanet Transit Initiative) 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 Rp/Rs, and the ratio between the semimajor axis and the stellar radius a/Rs. First analyses by Hartman et al. suggests 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 the literature data points into account, we can explain all mid-transit times by refining the linear ephemeris by 21 ms. Thus, we can exclude TTV amplitudes of more than ∼1.5min

Searching for the Kuhnian moment : the Black-Scholes-Merton formula and the evolution of modern finance theory

The Black-Scholes-Merton formula has been put to widespread use by options traders because it provides a means of calculating the theoretically 'correct' price of stock options. Traders can therefore see whether the market price of stock options undervalues or overvalues them compared with their hypothetical Black-Scholes-Merton price, before choosing to buy or sell options accordingly. As a consequence of this close relationship between options pricing theory and options pricing practice, a strong performativity loop was activated, whereby market prices quickly converged on the hypothetical Black-Scholes-Merton prices following the dissemination of the formula. The theory has therefore had significant real-world effects, but how should we characterize the initial instinct to derive the theory from a philosophy of science perspective? The two books under review suggest that a Kuhnian reading of the advancement of scientific knowledge might well be the most appropriate. But, on closer inspection, it becomes clear that the publication of the Black-Scholes-Merton formula should not be seen as a Kuhnian moment with paradigm-shaping attributes. It is shown that, at most, the formula acts as an important exemplar which, via its use in the training of options pricing theorists and options pricing practitioners, reinforces the entrenchment of finance theory within the orthodox economics worldview

New transit observations for HAT-P-30 b, HAT-P-37 b, TrES-5 b, WASP-28 b, WASP-36 b, and WASP-39 b

We present new transit light curves for planets in six extrasolar planetary systems. They were acquired with 0.4-2.2 m telescopes located in west Asia, Europe, and South America. When combined with literature data, they allowed us to redetermine system parameters in a homogeneous way. Our results for individual systems are in agreement with values reported in previous studies. We refined transit ephemerides and reduced uncertainties of orbital periods by a factor between 2 and 7. No sign of any variations in transit times was detected for the planets studied.Comment: Submitted to Acta Astronomic

A multicountry randomized controlled trial of comprehensive maternal nutrition supplementation initiated before conception: the Women First trial.

Background: Reported benefits of maternal nutrition supplements commenced during pregnancy in low-resource populations have typically been quite limited. Objectives: This study tested the effects on newborn size, especially length, of commencing nutrition supplements for women in low-resource populations ≥3 mo before conception (Arm 1), compared with the same supplement commenced late in the first trimester of pregnancy (Arm 2) or not at all (control Arm 3). Methods: Women First was a 3-arm individualized randomized controlled trial (RCT). The intervention was a lipid-based micronutrient supplement; a protein-energy supplement was also provided if maternal body mass index (kg/m2) was(DRC), Guatemala, India, and Pakistan. The primary outcome was length-for-age z score (LAZ), with all anthropometry obtainedDRC, outcomes were determined for all 4 sites from WHO newborn standards (non-gestational-age-adjusted, NGAA) as well as INTERGROWTH-21st fetal standards (3 sites, gestational age-adjusted, GAA). Results: A total of 7387 nonpregnant women were randomly assigned, yielding 2451 births with NGAA primary outcomes and 1465 with GAA outcomes. Mean LAZ and other outcomes did not differ between Arm 1 and Arm 2 using either NGAA or GAA. Mean LAZ (NGAA) for Arm 1 was greater than for Arm 3 (effect size: +0.19; 95% CI: 0.08, 0.30, P = 0.0008). For GAA outcomes, rates of stunting and small-for-gestational-age were lower in Arm 1 than in Arm 3 (RR: 0.69; 95% CI: 0.49, 0.98, P = 0.0361 and RR: 0.78; 95% CI: 0.70, 0.88, P \u3c 0.001, respectively). Rates of preterm birth did not differ among arms. Conclusions: In low-resource populations, benefits on fetal growth-related birth outcomes were derived from nutrition supplements commenced before conception or late in the first trimester. This trial was registered at clinicaltrials.gov as NCT01883193

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

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