Fast and accurate pricing of discretely monitored barrier options by numerical path integration

Barrier options are financial derivative contracts that are activated or deactivated according to the crossing of specified barriers by an underlying asset price. Exact models for pricing barrier options assume continuous monitoring of the underlying dynamics, usually a stock price. Barrier options in traded markets, however, nearly always assume less frequent observation, e.g. daily or weekly. These situations require approximate solutions to the pricing problem. We present a new approach to pricing such discretely monitored barrier options that may be applied in many realistic situations. In particular, we study daily monitored up-and-out call options of the European type with a single underlying stock. The approach is based on numerical approximation of the transition probability density associated with the stochastic differential equation describing the stock price dynamics, and provides accurate results in less than one second whenever a contract expires in a year or less. The flexibility of the method permits more complex underlying dynamics than the Black and Scholes paradigm, and its relative simplicity renders it quite easy to implement.     

A 16-Mb MRAM featuring bootstrapped write drivers

A 16-Mb magnetic random access memory (MRAM) is demonstrated in 0.18-/spl mu/m three-Cu-level CMOS with a three-level MRAM process adder. The chip, the highest density MRAM reported to date, utilizes a 1.42/spl mu/m/sup 2/ 1-transistor 1-magnetic tunnel junction (1T1MTJ) cell, measures 79 mm/sup 2/ and features a /spl times/16 asynchronous SRAM-like interface. The paper describes the cell, architecture, and circuit techniques unique to multi-Mb MRAM design, including a novel bootstrapped write driver circuit. Hardware results are presented.     

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Stability, in-Vitro and in-Vivo Release Studies from Metronidazole Ointments

The influence of ointment formulation on the stability, the in-vitro release and the in-vivo absorption through the skin of rabbits was investigated. The choice of the selected ointments has no influence on the drug stability with the exception of an acidified emulsion base. A good correlation between in-vitro release and in-vivo absorption was found revealing that metronidazole was quickly released and effectively absorbed from a polyethylene glycol base.     

Evaluation of the accuracy of real-time ultrasonic measurements of backfat and loin muscle area in swine using multiple statistical analysis procedures

Real-time ultrasonic measurements of 10th-rib backfat (BF10) and loin muscle area (LMA) were made by a single technician at four mean BW (67.4, 80.3, 93.4, and 104.9 kg) on live hogs to assess the accuracy of predicting carcass measurements before and at slaughter weight. Records were evaluated on 655 purebred barrows and 472 purebred gilts in two tests. Residual correlations-accounting for test, sex, and breed effects, among and between scans and carcass measurements--were moderate to high for BF10 (r=.69 to .82) and LMA (r=.57 to .68), with the largest correlations at 104.9 kg of live weight. Ultrasonic BF10 and LMA were within +/-4 mm and +/-6.45 cm2, respectively, of the corresponding carcass measurement 75.9 and 89.8% of the time. Sex differences for LMA bias were significant (P < .001); ultrasonic LMA was overestimated in barrows by .75 cm2 and underestimated in gilts by .91 cm2. Breed differences were significant (P < .001) for BF10 and LMA bias. Standard errors of prediction (SEP) for BF10 and LMA across the two tests were 3.46 mm and 4.04 cm2, respectively. The SEP for BF10 were 3.60 mm for barrows and 3.19 mm for gilts. The SEP for LMA were 3.77 cm2 for barrows and 4.22 cm2 for gilts. The SEP for BF10 within breeds ranged from 3.25 to 3.72 mm, and for LMA, ranged from 2.98 cm2 to 4.90 cm2. Ultrasound measurements overestimated the carcass measurement by .57 mm for carcasses measuring < 24.1 mm and underestimated by 2.81 mm carcasses with BF10 > 30.3 mm. Ultrasonic LMA overestimated the carcass by 2.35 cm2 in carcasses measuring < 32.5 cm2 and underestimated by 2.29 cm2 in carcasses measuring greater than 37.9 cm2. Results indicate that the magnitude of the carcass measurement affects bias and accuracy of prediction for real-time ultrasonic measurements of BF10 and LMA. The SEP statistic is more consistent in evaluating accuracy of ultrasonic measurement than bias, absolute deviations, and percentage of absolute deviation.     

The CADE-14 ATP System Competition

This paper documents the design, competing systems, results, and conclusions of the CADE-14 ATP System Competition (CASC-14).     

Loss of heterozygosity of the von Hippel Lindau gene locus in polypoid dysplasia but not flat dysplasia in ulcerative colitis or sporadic adenomas

Carcinoma in ulcerative colitis (UC) develops from dysplastic precursor lesions, which include flat dysplasia (FD) and polypoid dysplasias (PD). PD may present as single or multiple polypoid structures or as plaque-like lesions that, independent of histological grade, are an indication for colectomy. PDs are histologically similar to adenomas and may not be readily distinguished by light microscopy. It is not known whether FD and PD are different entities, or whether they represent etiologically similar lesions with different morphological expression. We microdissected 25 cases of UC with PD and 19 samples of FD with surrounding chronic colitis (CC) in UC. Loss of heterozygosity (LOH) at the von Hippel Lindau (vHL) gene locus and the putative tumor suppressor genes APC, INK4A (9p16), and p53 was studied. LOH of the vHL gene, INK4A (9p16), and APC was also studied in 11 sporadic adenomas of the colon. LOH at the vHL locus was present in 50% of the samples of PD and in 12% of the samples of FD. LOH was seen in CC close to PD and FD in 26% and 12% of cases, respectively. No adenoma showed LOH of the vHL gene markers studied. LOH in p53 was seen in PD in 16% cases and in FD in 42% cases and in CC close to PD and FD in 0% and 14% cases, respectively. LOH patterns between PD and FD of the markers for APC and 9p16 were not different. LOH in APC was seen in two of five cases of adenoma. We conclude that PD and FD share genetic alterations in APC and 9p16 genes. More frequent involvement of the VHL gene in PD and surrounding CC and involvement of p53 in HGD and CC in FD may represent genetic differences between the development of PD and FD and may be the cause of the different morphology. The infrequency of LOH at the vHL locus in adenomas versus PD may serve as a discriminator between adenomas and PD in diagnostically problematic cases.     

Loveparade 2010: Automatic video analysis of a crowd disaster

On July 24, 2010, 21 people died and more than 500 were injured in a stampede at the Loveparade, a music festival, in Duisburg, Germany. Although this tragic incident is but one among many terrible crowd disasters that occur during pilgrimage, sports events, or other mass gatherings, it stands out for it has been well documented: there were a total of seven security cameras monitoring the Loveparade and the chain of events that led to disaster was meticulously reconstructed.In this paper, we present an automatic, video-based analysis of the events in Duisburg. While physical models and simulations of human crowd behavior have been reported before, to the best of our knowledge, automatic vision systems that detect congestions and dangerous crowd turbulences in real world settings were not reported yet. Derived from lessons learned from the video footage of the Loveparade, our system is able to detect motion patterns that characterize crowd behavior in stampedes. Based on our analysis, we propose methods for the detection and early warning of dangerous situations during mass events. Since our approach mainly relies on optical flow computations, it runs in real-time and preserves privacy of the people being monitored.     

Clones: what is that smell?

Clones are generally considered bad programming practice in software engineering folklore. They are identified as a bad smell?(Fowler et?al. 1999) and a major contributor to project maintenance difficulties. Clones inherently cause code bloat, thus increasing project size and maintenance costs. In this work, we try to validate the conventional wisdom empirically to see whether cloning makes code more defect prone. This paper analyses the relationship between cloning and defect proneness. For the four medium to large open source projects that we studied, we find that, first, the great majority of bugs are not significantly associated with clones. Second, we find that clones may be less defect prone than non-cloned code. Third, we find little evidence that clones with more copies are actually more error prone. Fourth, we find little evidence to support the claim that clone groups that span more than one file or directory are more defect prone than collocated clones. Finally, we find that developers do not need to put a disproportionately higher effort to fix clone dense bugs. Our findings do not support the claim that clones are really a “bad smell”?(Fowler et?al. 1999). Perhaps we can clone, and breathe easily, at the same?time.