In this article, we propose an arbitrage-free modelling framework for the joint dynamics of forward variance along with the underlying index, which can be seen as a combination of the two approaches proposed by Bergomi. The difference between our modelling framework and the Bergomi (2008. Smile dynamics III. Risk, October, 90–96) models is mainly the ability to compute the prices of VIX futures an

Haemophilia is a congenital disorder with bleeding episodes as its primary symptom. These episodes can result in negative outcomes including joint damage, loss of active days due to hospitalization and reduced quality of life. Effective treatment, however, can improve the outcome. Registries have been used as a valuable source of information regarding the monitoring of treatment and outcome. The t

In this article, we propose an analytical approximation for the pricing of European options for some log-normal stochastic volatility models. This approximation is a second-order Taylor series expansion of the Fourier transform with respect to the “volatility of volatility.” We give, using these formulas, a new method of variance reduction for the Monte Carlo simulation of the trajectories of the

In this article, we study the price monotonicity in the parameters of the Heston model for a contract with a convex pay-off function; in particular we consider European put options. We show that the price is increasing in the constant term in the drift of the variance process and decreasing in the coefficient of the linear term in the drift of variance process. We also show that the price is incre

OBJECTIVE: Most amputees experience referred sensations, known as a phantom hand map, on the residual forearm, where touch on specific areas is perceived as touch on the amputated hand. The aim of this study was to evaluate the sensory qualities of the phantom hand map.METHODS: In 10 traumatic forearm-amputees touch thres-holds and discriminative touch of the phantom hand map were assessed and com

We study the differentiability of the CIR process with respect to its parameters. We give a stochastic representation for these derivatives in terms of the paths of V.

Market making and optimal portfolio liquidation in the context of electronic limit order books are of considerably practical importance for high frequency (HF) market makers as well as more traditional brokerage firms supplying optimal execution services for clients. In general, the two problems are based on probabilistic models defined on certain reference probability spaces. However, due to unce

We studied the behavior, life cycle, and reproductive biology of the sciarid fly Scatopsciara cunicularius (Lengersdorf, 1943) under two constant temperatures. The sciarid was reared at 12.3 ± 0.6°C and 22 ± 1.7°C on its host, the liverwort Marchantia polymorpha L. Our results show that the sciarid fly is able to complete its life cycle with liverwort tissue as its only source of food. The egg-lay

BACKGROUND: Twin studies have been criticized for upwardly biased estimates that might contribute to the missing heritability problem.METHOD: We identified, from the general Swedish population born 1960-1990, informative sibships containing a proband, one reared-together full- or half-sibling and a full-, step- or half-sibling with varying degrees of childhood cohabitation with the proband. Estima

Herbivory on liverworts is rarely reported. We studied the effects of feeding by larvae of the sciarid fly Scatopsciara cunicularius on the growth of the thalloid liverwort Marchantia polymorpha at two different constant temperatures, 12°C and 22°C. Larvae reared at the lower temperature fed slower and over a longer period of time, which resulted in more damage and a greater reduction in the growt

AIMS: People with Type 1 diabetes have smaller pancreases than healthy individuals. Several diseases causing pancreatic atrophy are associated with pancreatic steatosis, but pancreatic fat in Type 1 diabetes has not been measured. This cross-sectional study aimed to compare pancreas size and fat fraction in children with Type 1 diabetes and controls.METHODS: The volume and fat fraction of the panc

Excessive production of collagen is the hallmark of fatal diseases of fibrosis such as systemic sclerosis. Overexpression of the proteoglycan fibromodulin (FMOD) has been associated with improved wound healing and scarless repair. In this study we have investigated the consequences of FMOD deficiency on the development of experimental skin fibrosis. Using immunohistochemistry, we identified FMOD i

'Sustainability' is an emerging issue that product development engineers must engage with to remain relevant, competitive and, most importantly, responsible. Yet, on examining the term 'sustainable', a plethora of definitions emerges, many of which are contradictory and confusing. This confusion and a general lack of understanding means that sustainability often gets relegated to an afterthought o

Resolving complexes of closely related and cryptic insect species can be challenging, especially when dealing with rare and protected taxa that are difficult to collect for genetic and morphological analyses. Until recently, populations of the genus Osmoderma (Scarabaeidae), widespread in Europe, were treated as a single species O. eremita (Scopoli, 1763) in spite of observed geographic variation

Homeostasis of short-lived blood cells is dependent on rapid proliferation of immature precursors. Using a conditional histone 2B-mCherry-labeling mouse model, we characterize hematopoietic stem cell (HSC) and progenitor proliferation dynamics in steady state and following several types of induced stress. HSC proliferation following HSC transplantation into lethally irradiated mice is fundamentall

To gain insights into the regulatory mechanisms of hematopoietic stem cells (HSCs), we employed a genome-wide RNAi screen in human cord-blood derived cells and identified candidate genes whose knockdown maintained the HSC phenotype during culture. A striking finding was the identification of members of the cohesin complex (STAG2, RAD21, STAG1, and SMC3) among the top 20 genes from the screen. Upon

It has been suggested that neural mechanisms may contribute to effects of the incretin hormones, and, therefore, also to the effects of dipeptidyl peptidase (DPP-4) inhibition. We therefore examined whether muscarinic mechanisms are involved in the stimulation of insulin secretion by DPP-4 inhibition. Fasted, anesthetized mice were given intraperitoneal saline or the muscarinic antagonist atropine

Idiopathic pulmonary fibrosis (IPF), an insidious disease with grave prognosis, is characterized by heterogeneous fibrosis with densely fibrotic areas surrounded by nonfibrotic normal-looking tissue, believed to reflect a temporal development. The etiology is incompletely elucidated, but aberrant wound healing is believed to be involved. Embryonic signaling pathways, including Wnt signaling, are r