Option pricing in affine generalized Merton models

In this article we consider affine generalizations of the Merton jump diffusion model [Merton, J. Fin. Econ., 1976] and the respective pricing of European options. On the one hand, the Brownian motion part in the Merton model may be generalized to a log-Heston model, and on the other hand, the jump part may be generalized to an affine process with possibly state dependent jumps. While the characteristic function of the log-Heston component is known in closed form, the characteristic function of the second component may be unknown explicitly. For the latter component we propose an approximation procedure based on the method introduced in [Belomestny et al., J. Func. Anal., 2009]. We conclude with some numerical examples

Autism Spectrum Disorder Diagnosis Using Sparse Graph Embedding of Morphological Brain Networks

Autism Spectrum Disorder (ASD) is a neurodevelopmental disorder involving a complex cognitive impairment that can be difficult to diagnose early enough. Much work has therefore been done investigating the use of machine-learning techniques on functional and structural connectivity networks for ASD diagnosis. However, networks based on the morphology of the brain have yet to be similarly investigated, despite research findings that morphological features, such as cortical thickness, are affected by ASD. In this paper, we first propose modelling morphological brain connectivity (or graph) using a set of cortical attributes, each encoding a unique aspect of cortical morphology. However, it can be difficult to capture for each subject the complex pattern of relationships between morphological brain graphs, where each may be affected simultaneously or independently by ASD. In order to solve this problem, we therefore also propose the use of high-order networks which can better capture these relationships. Further, since ASD and normal control (NC) high-dimensional connectomic data might lie in different manifolds, we aim to find a low-dimensional representation of the data which captures the intrinsic dimensions of the underlying connectomic manifolds, thereby allowing better learning by linear classifiers. Hence, we propose the use of sparse graph embedding (SGE) method, which allows us to distinguish between data points drawn from different manifolds, even when they are too close to one another. SGE learns a similarity matrix of the connectomic data graph, which then is used to embed the high-dimensional connectomic features into a low-dimensional space that preserves the locality of the original data. Our ASD/NC classification results outperformed several state-of-the-art methods including statistical feature selection, and local linear embedding methods

A latent trait look at pretest-posttest validation of criterion-referenced test items

Since Cox and Vargas (1966) introduced their pretest-posttest validity index for criterion-referenced test items, a great number of additions and modifications have followed. All are based on the idea of gain scoring; that is, they are computed from the differences between proportions of pretest and posttest item responses. Although the method is simple and generally considered as the prototype of criterion-referenced item analysis, it has many and serious disadvantages. Some of these go back to the fact that it leads to indices based on a dual test administration- and population-dependent item p values. Others have to do with the global information about the discriminating power that these indices provide, the implicit weighting they suppose, and the meaningless maximization of posttest scores they lead to. Analyzing the pretest-posttest method from a latent trait point of view, it is proposed to replace indices like Cox and Vargas’ Dpp by an evaluation of the item information function for the mastery score. An empirical study was conducted to compare the differences in item selection between both methods

Large-scale associations between the leukocyte transcriptome and BOLD responses to speech differ in autism early language outcome subtypes.

Heterogeneity in early language development in autism spectrum disorder (ASD) is clinically important and may reflect neurobiologically distinct subtypes. Here, we identified a large-scale association between multiple coordinated blood leukocyte gene coexpression modules and the multivariate functional neuroimaging (fMRI) response to speech. Gene coexpression modules associated with the multivariate fMRI response to speech were different for all pairwise comparisons between typically developing toddlers and toddlers with ASD and poor versus good early language outcome. Associated coexpression modules were enriched in genes that are broadly expressed in the brain and many other tissues. These coexpression modules were also enriched in ASD-associated, prenatal, human-specific, and language-relevant genes. This work highlights distinctive neurobiology in ASD subtypes with different early language outcomes that is present well before such outcomes are known. Associations between neuroimaging measures and gene expression levels in blood leukocytes may offer a unique in vivo window into identifying brain-relevant molecular mechanisms in ASD

Comparison of embedded and added motor imagery training in patients after stroke: Study protocol of a randomised controlled pilot trial using a mixed methods approach

Copyright @ 2009 Schuster et al; licensee BioMed Central Ltd. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/2.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.Background: Two different approaches have been adopted when applying motor imagery (MI) to stroke patients. MI can be conducted either added to conventional physiotherapy or integrated within therapy sessions. The proposed study aims to compare the efficacy of embedded MI to an added MI intervention. Evidence from pilot studies reported in the literature suggests that both approaches can improve performance of a complex motor skill involving whole body movements, however, it remains to be demonstrated, which is the more effective one.Methods/Design: A single blinded, randomised controlled trial (RCT) with a pre-post intervention design will be carried out. The study design includes two experimental groups and a control group (CG). Both experimental groups (EG1, EG2) will receive physical practice of a clinical relevant motor task ('Going down, laying on the floor, and getting up again') over a two week intervention period: EG1 with embedded MI training, EG2 with MI training added after physiotherapy. The CG will receive standard physiotherapy intervention and an additional control intervention not related to MI.The primary study outcome is the time difference to perform the task from pre to post-intervention. Secondary outcomes include level of help needed, stages of motor task completion, degree of motor impairment, balance ability, fear of falling measure, motivation score, and motor imagery ability score. Four data collection points are proposed: twice during baseline phase, once following the intervention period, and once after a two week follow up. A nested qualitative part should add an important insight into patients' experience and attitudes towards MI. Semi-structured interviews of six to ten patients, who participate in the RCT, will be conducted to investigate patients' previous experience with MI and their expectations towards the MI intervention in the study. Patients will be interviewed prior and after the intervention period.Discussion: Results will determine whether embedded MI is superior to added MI. Findings of the semi-structured interviews will help to integrate patient's expectations of MI interventions in the design of research studies to improve practical applicability using MI as an adjunct therapy technique

Brief Report: Schema Consistent Misinformation Effects in Eyewitnesses with Autism Spectrum Disorder

A number of studies have demonstrated schema-related misinformation effects in typical individuals, but no research to date has examined this with witnesses with autism spectrum disorder (ASD), despite their impaired ability to generate core elements that define everyday events. After witnessing slides depicting a bank robbery, 16 adults with ASD and 16 matched comparison individuals were exposed to post-event misinformation that was either schema typical or atypical. Consistent with previous work, the comparison group went onto report more schema typical misinformation than atypical misinformation. However, so too did the ASD group, suggesting that individuals with ASD do have understanding of the causal links between events, persons and actions, an important finding from both theoretical and applied perspectives

Understanding the theoretical underpinning of the exercise component in a fall prevention programme for older adults with mild dementia: a realist review protocol

Background Older adults with mild dementia are at an increased risk of falls. Preventing those at risk from falling requires complex interventions involving patient-tailored strength- and balance-challenging exercises, home hazard assessment, visual impairment correction, medical assessment and multifactorial combinations. Evidence for these interventions in older adults with mild cognitive problems is sparse and not as conclusive as the evidence for the general community-dwelling older population. The objectives of this realist review are (i) to identify the underlying programme theory of strength and balance exercise interventions targeted at those individuals that have been identified as falling and who have a mild dementia and (ii) to explore how and why that intervention reduces falls in that population, particularly in the context of a community setting. This protocol will explain the rationale for using a realist review approach and outline the method. Methods A realist review is a methodology that extends the scope of a traditional narrative or systematic evidence review. Increasingly used in the evaluation of complex interventions, a realist enquiry can look at the wider context of the intervention, seeking more to explain than judge if the intervention is effective by investigating why, what the underlying mechanism is and the necessary conditions for success. In this review, key rough programme theories were articulated and defined through discussion with a stakeholder group. The six rough programme theories outlined within this protocol will be tested against the literature found using the described comprehensive search strategy. The process of data extraction, appraisal and synthesis is outlined and will lead to the production of an explanatory programme theory. Discussion As far as the authors are aware, this is the first realist literature review within fall prevention research and adds to the growing use of this methodology within healthcare. This synthesis of evidence will provide a valuable addition to the evidence base surrounding the exercise component of a fall intervention programme for older adults with mild dementia and will ultimately provide clinically relevant recommendations for improving the care of people with dementia

Autism as a disorder of neural information processing: directions for research and targets for therapy

The broad variation in phenotypes and severities within autism spectrum disorders suggests the involvement of multiple predisposing factors, interacting in complex ways with normal developmental courses and gradients. Identification of these factors, and the common developmental path into which theyfeed, is hampered bythe large degrees of convergence from causal factors to altered brain development, and divergence from abnormal brain development into altered cognition and behaviour. Genetic, neurochemical, neuroimaging and behavioural findings on autism, as well as studies of normal development and of genetic syndromes that share symptoms with autism, offer hypotheses as to the nature of causal factors and their possible effects on the structure and dynamics of neural systems. Such alterations in neural properties may in turn perturb activity-dependent development, giving rise to a complex behavioural syndrome many steps removed from the root causes. Animal models based on genetic, neurochemical, neurophysiological, and behavioural manipulations offer the possibility of exploring these developmental processes in detail, as do human studies addressing endophenotypes beyond the diagnosis itself

Associations between language development and skin conductance responses to faces and eye gaze in children with autism spectrum disorder

Attention to social stimuli is associated with language development, and arousal is associated with the increased viewing of stimuli. We investigated whether skin conductance responses (SCRs) are associated with language development in ASD: a population that shows abnormalities in both attention to others and language development. A sample of 32 children with ASD (7 y – 15 y; M =9 y) was divided into two groups, based on language onset histories. A typically developing comparison group consisted of 18 age and IQ matched children. SCRs were taken as the participants viewed faces. SCRs differentiated the ASD group based on language onset and were associated with abnormal attention to gaze in infancy and subsequent language development

Self-reported sex differences in high-functioning adults with autism: a meta-analysis

Background: Sex differences in autistic symptomatology are believed to contribute to the mis- and missed diagnosis of many girls and women with an autism spectrum condition (ASC). Whilst recent years have seen the emergence of clinical and empirical reports delineating the profile of young autistic girls, recognition of sex differences in symptomatology in adulthood is far more limited. Methods: We chose here to focus on symptomatology as reported using a screening instrument, the Ritvo Autism Asperger Diagnostic Scale-Revised (RAADS-R). In a meta-analysis, we pooled and analysed RAADS-R data from a number of experimental groups. Analysis of variance (ANOVA) searched for the presence of main effects of Sex and Diagnosis and for interactions between these factors in our sample of autistic and non-autistic adults. Results: In social relatedness and circumscribed interests, main effects of Diagnosis revealed that as expected, autistic adults reported significantly greater lifetime prevalence of symptoms in these domains; an effect of Sex, in circumscribed interests, also suggested that males generally reported more prevalent symptoms than females. An interaction of Sex and Diagnosis in language symptomatology revealed that a normative sex difference in language difficulties was attenuated in autism. An interaction of Sex and Diagnosis in the sensorimotor domain revealed the opposite picture: a lack of sex differences between typically-developing men and women and a greater prevalence of sensorimotor symptoms in autistic women than autistic men. Conclusions: We discuss the literature on childhood sex differences in relation to those which emerged in our adult sample. Where childhood sex differences fail to persist in adulthood, several interpretations exist, and we discuss, for example, an inherent sampling bias that may mean that only autistic women most similar to the male presentation are diagnosed. The finding that sensorimotor symptomatology is more highly reported by autistic women is a finding requiring objective confirmation, given its potential importance in diagnosis