Derivative Asset Pricing with Transaction Costs: An Extension

This paper examines the optimal perfect hedging (super-replication) of an option by a cash-plus-riskless asset portfolio within the context of the binomial model. The cases discussed here were not covered by the earlier studies of Boyle and Vorst (1992) and Bensaid, Lesne, Pagès and Scheinkman (1992). It is argued that these cases are empirically important, and that there is some indication that they are encountered very often in practice in the Swiss options market. A new algorithm is developed to compute the option price lower bound (bid price) for such cases. It is then shown that, for most such cases, the portfolio hedging the short call when replication is not optimal coincides with the Merton (1973) lower bound.     

The Interplay between Aquaporin-1 and the Hypoxia-Inducible Factor 1α in a Lipopolysaccharide-Induced Lung Injury Model in Human Pulmonary Microvascular Endothelial Cells

Aquaporin-1 (AQP1), a water channel, and the hypoxia-inducible factor 1α (HIF1A) are implicated in acute lung injury responses, modulating among others pulmonary vascular leakage. We hypothesized that the AQP1 and HIF1A systems interact, affecting mRNA, protein levels and function of AQP1 in human pulmonary microvascular endothelial cells (HPMECs) exposed to lipopolysaccharide (LPS). Moreover, the role of AQP1 in apoptosis and wound healing progression was examined. Both AQP1 mRNA and protein expression levels were higher in HPMECs exposed to LPS compared to untreated HPMECs. However, in the LPS-exposed HIF1A-silenced cells, the mRNA and protein expression levels of AQP1 remained unaltered. In the permeability experiments, a statistically significant volume increase was observed at the 360 s time-point in the LPS-exposed HPMECs, while LPS-exposed HIF1A-silenced HPMECs did not exhibit cell swelling, implying a dysfunctional AQP1. AQP1 did not seem to affect cell apoptosis yet could interfere with endothelial migration and/or proliferation. Based on our results, it seems that HIF1A silencing negatively affects AQP1 mRNA and protein expression, as well as AQP1 function, in the setting of lung injury.     

Three-dimensional weft-knitted textile fabrics-based capacitors

Wearable electronics have evolved from electronic components secured on the human body with straps and belts to partial electronic components integration onto textile structures. Cables and standard components defeat the purpose of the wearable approach by being bulky, rigid and especially not being able to withstand standard textile cleaning/care methods (washing, dry-cleaning, etc.). New 3D textile structures can provide a promising solution. In this research project, we examined the capacitive behaviour of specially prepared 3D weft knitted textile fabrics. The samples knitted specially for this project incorporated conductive outer layers and an insulating inner layer. The outer layers form the plates of the capacitor and the insulating layer plays a role of the dielectric material between the two plates. The structure of these 3D knits allows for inherent capacitive behaviour of the material. These 3D weft-knitted fabrics can be produced on usual existing knitting machines, without any need of dedicated, specialized or expensive equipment. The expected values of the capacitance, based on theoretical calculations, satisfactorily approach the values derived from the measuring process. The ability to customize the structure and hence the capacitance of the 3D fabrics-based capacitors is a positive point towards the design of the textile-based electronics systems in the future. Therefore, the development of textile capacitors based on the 3D fabrics is expected to be an essential contribution to the integration of the wearable system concept.     

Estimation of behavioral user state based on eye gaze and head pose—application in an e-learning environment

Most e-learning environments which utilize user feedback or profiles, collect such information based on questionnaires, resulting very often in incomplete answers, and sometimes deliberate misleading input. In this work, we present a mechanism which compiles feedback related to the behavioral state of the user (e.g. level of interest) in the context of reading an electronic document; this is achieved using a non-intrusive scheme, which uses a simple web camera to detect and track the head, eye and hand movements and provides an estimation of the level of interest and engagement with the use of a neuro-fuzzy network initialized from evidence from the idea of Theory of Mind and trained from expert-annotated data. The user does not need to interact with the proposed system, and can act as if she was not monitored at all. The proposed scheme is tested in an e-learning environment, in order to adapt the presentation of the content to the user profile and current behavioral state. Experiments show that the proposed system detects reading- and attention-related user states very effectively, in a testbed where children’s reading performance is tracked.

A clairvoyant site allocation policy based on service demands of jobs in a computational grid

In the present paper we evaluate the performance of three different site allocation policies in a 2-level computational grid with heterogeneous sites. We examine the case where service demands of jobs show high variability, and we consider that schedulers are aware of the service times. A simulation model is used to evaluate performance in terms of the average response time and slowdown, under medium and high load. The impact of the various input parameters on performance is also taken into account. Simulation results show that one policy outperforms the other two that are examined, especially at high load. Furthermore, no performance degradation is observed when estimations are used instead of exact knowledge about job service times.     

Numerical modeling of an ITER type Cryopump

The present article is focused on the computational investigation of a 2D axisymmetric complex geometry of a model cryopump by the Direct Simulation Monte Carlo (DSMC) method. Since the flow close to the cryopanels can be assumed free molecular due to low pressures, the capture coefficient of the cryopanels can be estimated by applying the Test Particle Monte Carlo method. Then, this information can be used as input data to the corresponding DSMC simulations. The macroscopic parameters of practical interest as the bulk velocity, the pressure and the temperature in the whole flow field have been calculated as functions of the incoming gas throughput and of the pump inlet valve position. The importance of these calculations is based on the fact that it can provide information for quantities which are not accessible for measurement during pump operation and that it can be used for prediction of the pump behavior. This paper describes a post-operational investigation of a built pump and is thought as a proof-of-principle test to include this approach in the design process of a future pump development. Finally, the presented code could be further developed and benchmarked towards the control of the final pump as installed in ITER.     

Evaluation of polyesters from renewable resources as alternatives to the current fossil-based polymers. Phase transitions of poly(butylene 2,5-furan-dicarboxylate)

Poly(butylene 2,5-furan dicarboxylate) (PBF) is an alipharomatic polyester that can be prepared using monomers derived from renewable resources such as 2,5-furan dicarboxylic acid and 1,4-butanediol. In the present work the thermal behavior of PBF was studied. Multiple melting was observed during heating traces of samples isothermally crystallized from the melt using differential scanning calorimetry (DSC). The wide angle X-ray diffraction (WAXD) patterns did not reveal the presence of a second crystal population, or a crystal transition upon heating. DSC study showed that the phenomena are closely related to recrystallization. Temperature modulated DSC (TMDSC) tests indeed evidenced enhanced recrystallization. The equilibrium melting point was estimated to be 184.5 °C using the linear Hoffman–Weeks extrapolation. The heat of fusion of the pure crystalline polymer was found equal to 129 J/g or (27.35 kJ/mol), a little lower than that of PBT. The Lauritzen–Hoffman secondary nucleation theory was used and the surface energy values and the work of chain folding were found to be comparable to those of PBT, but quite lower than those of poly(ethylene terephthalate) (PET). The non-isothermal crystallization on cooling and the cold-crystallization of quenched samples were also studied. Condensed spherulites were observed on isothermal crystallization under large supercoolings by using polarized optical microscopy (POM), while the spherulites turned to ring-banded morphology at higher temperatures. In every case the nucleation density was high.     

Ein Modell zur Berechnung des Verformungsverhaltens von horizontal hochzyklisch beanspruchten Pfählen

A model for the behavior of horizontally high‐cycle loaded piles For the prediction of the deformation for long or intermediate long piles under lateral high cycle load, embedded in non‐cohesive soil, a simplified engineering model for drained conditions is developed based on the high cycle accumulation (HCA) model of Niemunis , Wichtmann and Triantafyllidis [1]. The monotonic soil deformation under static load is approximated by elastic springs, placed around the pile, whereas the accumulation of soil deformations under cyclic loading is modelled by viscous dashpots (cyclic creep) according to the HCA model. In most instances this contemplation is physically validated by element tests. In conjunction with the pile the spring‐dashpot elements represent an elastically embedded beam system. Two versions of the model with a two‐sided arrangement of springs and dashpots on the Lee‐ and Luv‐side and a one‐sided arrangement only on the Lee‐side will be presented. The pile displacement prediction of the model is compared with the results obtained by existing engineering models already known in the literature and the solution of a 3‐D‐finite element simulation with the HCA model.     

Interferon Lambda Regulates Cellular and Humoral Immunity in Pristane-Induced Lupus

A pivotal role of type I interferons in systemic lupus erythematosus (SLE) is widely accepted. Type III interferons (IFN-λ) however, the most recently discovered cytokines grouped within the interferon family, have not been extensively studied in lupus disease models yet. Growing evidence suggests a role for IFN-λ in regulating both innate and adaptive immune responses, and increased serum concentrations have been described in multiple autoimmune diseases including SLE. Using the pristane-induced lupus model, we found that mice with defective IFN-λ receptors (Ifnlr1^−/−) showed increased survival rates, decreased lipogranuloma formation and reduced anti-dsDNA autoantibody titers in the early phase of autoimmunity development compared to pristane-treated wild-type mice. Moreover, Ifnlr1^−/− mice treated with pristane had reduced numbers of inflammatory mononuclear phagocytes and cNK cells in their kidneys, resembling untreated control mice. Systemically, circulating B cells and monocytes (CD115⁺Ly6C⁺) were reduced in pristane-treated Ifnlr1^−/− mice. The present study supports a significant role for type III interferons in the pathogenesis of pristane-induced murine autoimmunity as well as in systemic and renal inflammation. Although the absence of type III interferon receptors does not completely prevent the development of autoantibodies, type III interferon signaling accelerates the development of autoimmunity and promotes a pro-inflammatory environment in autoimmune-prone hosts.     

Pituitary–Adrenal Responses and Glucocorticoid Receptor Expression in Critically Ill Patients with COVID-19

The hypothalamus–pituitary–adrenal (HPA) axis was described as the principal component of the stress response 85 years ago, along with the acute-phase reaction, and the defense response at the tissue level. The orchestration of these processes is essential since systemic inflammation is a double-edged sword; whereas inflammation that is timely and of appropriate magnitude is beneficial, exuberant systemic inflammation incites tissue damage with potentially devastating consequences. Apart from its beneficial cardiovascular and metabolic effects, cortisol exerts a significant immunoregulatory role, a major attribute being that it restrains the excessive inflammatory reaction, thereby preventing unwanted tissue damage. In this review, we will discuss the role of the HPA axis in the normal stress response and in critical illness, especially in critically ill patients with coronavirus disease 2019 (COVID-19). Finally, a chapter will be dedicated to the findings from clinical studies in critical illness and COVID-19 on the expression of the mediator of glucocorticoid actions, the glucocorticoid receptor (GCR).