The stochastic volatility model (SVPS) proposed by Fouque et al. (2000a) explores a rapid timescale fluctuation of the volatility process to end up with a parsimonious way of capturing the volatility ...smile implied by close to the money options. In this article we test the SVFPS model using options from a Brazilian telecommunications stock. First, we find evidence of fast mean reversion in the volatility process. In addition, to test the model's ability to price options not so close to the money, we extend its statistical estimators to consider, in the calibration process, a wider region for the options moneyness. As an illustration, we price an exotic option.
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Previous issue date: 2008-06-11T00:00:00Z
This thesis is divided in two chapters. The first chapter entitled "The Dynamics of the Dynamic Hedging" derives an optimal hedging ratio in a dynamic discrete-time stochastic setting allowing for margin requirements. Then, it empirically analyzes the dynamics of the hedging strategy in terms of wealth volatility by comparing alternative estimation methods. Besides considering margin accounts empirically, we also innovate by varying the out-of-sample hedging horizon for a representative investor from 10 to 127 days and evaluate the impact of the time horizon on the hedging efficiency. The second chapter entitled "The impact of ETS market on the futures prices of electricity or Kyoto 220 volts: Fast and Furious" addresses the economic impact of the carbon allowance market in European Emission Trading Scheme (ETS) on the futures market of electricity and gas prices. We also analyze the dynamics relationship among these markets with coal and natural gas futures markets.
O primeiro ensaio desenvolve e implementa um modelo de proteção (hedging) dinâmico considerando as chamadas de margem. O segundo ensaio trata-se de uma revisão teórica e de uma análise empírica do impacto do mercado de crédito de carbono europeu, impulsionado pelo Protocolo de Kyoto, no mercado futuro da eletricidade na Europa.
HOTAIRM1 is unlike most long non-coding RNAs in that its sequence is highly conserved across mammals. Such evolutionary conservation points to it having a role in key cellular processes. We ...previously reported that HOTAIRM1 is required to curb premature activation of downstream HOXA genes in a cell model recapitulating their sequential induction during development. We found that it regulates 3' HOXA gene expression by a mechanism involving epigenetic and three-dimensional chromatin changes. Here we show that HOTAIRM1 participates in proper progression through the early stages of neuronal differentiation. We found that it can associate with the HOXA1 transcription factor and contributes to its downstream transcriptional program. Particularly, HOTAIRM1 affects the NANOG/POU5F1/SOX2 core pluripotency network maintaining an undifferentiated cell state. HOXA1 depletion similarly perturbed expression of these pluripotent factors, suggesting that HOTAIRM1 is a modulator of this transcription factor pathway. Also, given that binding of HOTAIRM1 to HOXA1 was observed in different cell types and species, our results point to this ribonucleoprotein complex as an integral part of a conserved HOTAIRM1-HOXA1 regulatory axis modulating the transition from a pluripotent to a differentiated neuronal state.
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BFBNIB, GIS, IJS, KISLJ, NUK, PNG, UL, UM, UPUK
Objectives
We assessed whether quantitative imaging biomarkers derived from fluorodeoxyglucose-positron emission tomography (18F-FDG PET) could be extracted from perineural spread (PNS) in head and ...neck malignancies (HNM) to improve patient risk stratification.
Methods
A case–control exploratory study (1:2 ratio) enrolled 81 patients with FDG-avid HNM. The case-group comprised 28 patients with documented PNS (reference: expert consensus), including 14 squamous cell carcinomas (SCC). Imaging biomarkers were extracted from the PNS on 18F-FDG PET, CT-scan, and MRI. The control-group enrolled 53 SCCs. The Cox proportional-hazards regression model explored the association with overall survival by univariate and multivariate analyses.
Results
The rate of PNS detection by 18F-FDG PET was 100% in the case-group. Quantitative imaging biomarkers were not associated with the presence of sensory (
p
>0.20) or motor (
p
>0.10) symptoms. In SCC patients (case: 14; control: 53), PNS was associated with a hazard ratio of death of 5.5 (95%CI: 1.4:20.9) by multivariate analysis. Increased cranial nerve SUV
max
was significantly associated with poorer overall survival by univariate analysis (
p
=0.001).
Conclusions
Our pilot study showed the feasibility of extracting 18F-FDG PET biomarkers from PNS in FDG-avid HNM. Our results encourage the development of new PET/CT- or PET/MRI-guided management strategies in further prospective studies.
Key Points
•
18F-FDG PET/CT detects PNS in FDG-avid HNM.
•
PNS metabolism is more heterogeneous than healthy tissue.
•
PNS diagnosis is crucial: most patients were asymptomatic, N0 and M0.
•
PNS diagnosis is associated with poorer overall survival in SCC.
•
PET/CT- or PET/MRI-guided management strategies should be evaluated.
Anticorrosion coatings are specialized products designed to protect metal surfaces from costly and dangerous corrosion, acting as barriers against corrosive organisms. Therefore, this study examined ...the physical and mechanical properties of epoxy resin in the presence of reactive diluents. Reactive diluents were synthesized based on styrene (St) and glycidyl methacrylate (GMA) through the free radical method using benzoyl peroxide (BPO) as a catalyst with various feed ratios of St and GMA. Diluents were characterized by Fourier Transform Infrared (FTIR) spectroscopy and Thermogravimetric Analyzer (TGA). Epoxy resins and hardener were at a ratio of 1:1, 1:0.5, and 1:0.3, respectively. The results showed that reactive diluents Poly(St-co-GMA) had an excellent dilution effect on epoxy resin with a decrease in epoxy resin viscosity from 8592 mPa-s to 1656, 680, and 430 mPa-s. Furthermore, the adhesion, tensile, and hardness properties contained 70% GMA and 30% St at a hardener ratio of 1:0.3. The increase in the mechanical properties was attributed to the reaction between modified epoxy resins with hardener.
•RECIST1.1, WHO and volumetric methods on CT match with vocal cord remobilization.•WHO criteria on CT are as accurate, very reproducible but easier to use than volume.•WHO criteria could be used ...after induction chemotherapy for T3 laryngeal cancer.
After induction chemotherapy (IC) for laryngeal cancer, Computed Tomography (CT) is used to assess tumor response but lacks rationalized methods for measurement of this response. In T3 laryngeal cancer, remobilization of an initially fixed vocal cord (VC) is a major sign of tumor response. We compared the performances of RECIST1.1, WHO and volumetric methods of evaluating response with laryngeal remobilization to determine if these measurements could objectively assess tumor response.
This monocentric retrospective cohort study included patients treated with T3 laryngeal cancer with initial VC fixation treated with an organ preservation protocol with IC between 1999 and 2012. Tumors were measured with CT using RECIST1.1, WHO and volumetric methods by two radiologists blinded to VC remobilization (VCR), before and after induction chemotherapy and VC mobility was clinically assessed. Radiologic tumor shrinkage was compared to VCR. AUCs of ROC curves were compared. Inter-reader reliability, sensitivity and specificity of optimal cutoffs were determined.
Seven females and thirty-six males with a mean age of 59 years were included. AUCs were 0.759, 95%CI 0.614; 0.904 for RECIST1.1, 0.763, 95%CI 0.617; 0.909 for WHO and 0.752, 95%CI 0.608; 0.896 for volumetric evaluations with no significant difference among the three techniques. Inter-reader reader reliabilities were good (RECIST1.1) to excellent (WHO and volumetric methods).
RECIST1.1, WHO and volumetric measures match with VCR after IC in patient with T3 laryngeal cancer. WHO criteria combine accuracy, reproducibility and practical use; they may be best adapted for response assessment and protocol design.
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