19 research outputs found
Pricing multi-asset options with sparse grids
No full textMulti-asset options are based on more than one underlying asset, in contrast to standard vanilla options. A very significant problem within the pricing techniques for multi-asset options is the curse of dimensionality. This curse of dimensionality is the exponential growth of the complexity of the problem when the dimensionality increases, because the number of unknowns to solve simultaneously grows exponentially. Modern computer systems cannot handle this huge amount of data. In order to handle the multi-dimensional option pricing problem, the curse of dimensionality has to be dealt with. The sparse grid solution technique is one of the key techniques to do this. The sparse grid technique divides the original problem into many smaller sized sub-problems, which can be handled efficiently on a modern computer system. Because every sub-problem is independent of all others, this technique is parallelisable at a high efficiency rate. This means, that every sub-problem can be solved simultaneously. However, because of the dimensionality, the size of the sub-problems may remain too large to solve and should be parallelised further. The main restriction to the application of the sparse grid method is that the mixed derivative of the solution of a multi-dimensional option pricing problem has to be bounded. Because of the typical non-differentiability of the final condition of the option pricing problem, this restrictions has to be taken seriously. In the first part of this thesis, it is shown, experimentally, that indeed the sparse grid technique does not lead to a satisfactory accuracy without the use of advanced techniques. If a coordinate transformation is used, the accuracy increases significantly. This transformation aligns the non-differentiability along a grid line. Coordinate transformations are not applicable to any type of multi-asset option, which seriously restricts the sparse grid solution technique for real life financial applications. Sometimes, however, it is not necessary to use it, because the non-differentiability is already aligned with grid line. These types of options are the options based on the best or worst performing underlying asset. The boundary conditions of these contracts are unknown en henceforth these options are computed and analysed with a second alternative method in this thesis. This method arises from the risk-neutral expectation valuation of the final condition which can be written as a multi-dimensional integral over the transition density. By use of a discrete Fourier transform, we can solve this integral efficiently. The fast Fourier transform is a fast algorithm to compute the discrete Fourier transform. This algorithm serves as the basis for a sophisticated algorithm to parallelise the computation of the discrete Fourier transform, by dividing the transform in several parts. In this thesis, a complete parallel algorithm which does not require communication between the sub-problems is developed, which subdivides the problem in a sophisticated way. In combination with the sparse grid technique, the numerical results have a satisfactory accuracy.Electrical Engineering, Mathematics and Computer Scienc
Multi-asset option pricing using a parallel Fourier-based technique
No full textElectrical Engineering, Mathematics and Computer Scienc
On coordinate transformation and grid stretching for sparse grid pricing of basket options
No full textWe evaluate two coordinate transformation techniques in combination with a coordinate stretching for pricing basket options in a sparse grid setting. The sparse grid technique is a basic technique for solving a high-dimensional partial differential equation. By creating a small hypercube sub-grid in the 'composite' sparse grid we can also determine hedge parameters accurately. We evaluate these techniques for multi-asset examples with up to five underlying assets in the basket.Electrical Engineering, Mathematics and Computer Scienc
Globale en lokale hydrodynamica van een air-lift-loop
No full textAir-lift-loops zijn reactoren die veel gebruikt worden in de biotechnologie. De reactoren worden gebruikt om reacties met zuurstof te laten plaatsvinden. De meest belangrijke eigenschap van een dergelijke reactor, is het circulerende karakter op gang gebracht en gehouden door de gastoevoer. Als de stroming eenmaal ingesteld is, zijn de versnellingen verdwenen en blijven dichtheidsverschillen en energiedissipatie in de vorm van frictie over. Met de overgebleven energiedissipatie en dichtheidsverchillen in een mechanische energiebalans en een empirisch model van Richardson & Zaki kunnen de globale grootheden, namelijk de gemiddelde snelheid en gasfractie, in de gehele opstelling goed in kaart worden gebracht, waarbij de enige in te stellen parameter, het gasdebiet, een belangrijke rol speelt. De lokale grootheden in de opstelling, zoals de radiële profielen van gasfractie en belsnelheid, zijn bepaald met glasvezelprobes. Dergelijke probes bestaan uit vier glazen tips, die op grond van breking onderscheid kunnen maken tussen gas en fluïdum, zijn in staat, naast het determineren van gasfractie, ook snelheden en helgroottes waar te nemen. De snelheden en gasfractie zijn langs een lijn in de kolom en op twee hoogtes bepaald, namelijk vlakbij en ver van de begasser vandaan. De begasser van de opstelling bepaalt de mate van uniformiteit in de gasverdeling in de opstelling. Niet-uniformiteit is onmiddellijk terug te zien in de profielen vlakbij de begasser, terwijl de verstoringen verdwijnen in hoger gelegen delen, hoewel daar de verdeling dan niet symmetrisch wordt. Lokale variaties in begassing veroorzaken extra interne vloeistofcirculaties, maar de globale grootheden, bepaald uit gemeten gemiddelde vloeistof snelheid, hebben hier geen last van, zodat voor de globale metingen van een ééndimensionale stroming kan worden uitgegaan. Ook de vloeistofcirculatie in het hoger gelegen gedeelte, heeft geen invloed op de globale metingen. De gemiddelden van de lokale grootheden zijn in overeenstemming met de globale grootheden, mits de lokale grootheden op voldoende plaatsen bepaald kunnen worden. Vanwege de grotere stabiliteit in het hoger gelegen deel van de opstelling is het gemiddelde van de lokale grootheden in overeenstemming met de globale metingen. Dit geldt minder voor de gemiddelde lokale grootheden in het gedeelte van de opstelling vlak bij de begassing.Kramers Laboratorium voor Fysische TechnologieApplied Science
Análise de viabilidade econômica da produção de poli(3-hidroxibutirato) por cupriavidus necator a partir de melaço cítrico
No full textDissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Tecnológico, Programa de Pós-Graduação em Engenharia de Alimentos, Florianópolis, 2015.O poli(3-hidroxibutirato) (P(3HB)) é um biopolímero sintetizado por bactérias e acumulado intracelularmente como material de reserva energética. Esse poliéster é biodegradável e biocompatível e possui propriedades mecânicas próximas ao do polipropileno. Entretanto seu alto custo de produção em relação ao dos polímeros de origem petroquímica torna esses biopolímeros comercialmente pouco atraentes, o que levou ao desenvolvimento de estratégias de cultivo e extração do polímero, assim como a utilização de substratos de baixo custo, visando tornar o P(3HB) mais competitivo. Desse modo, o principal objetivo desse trabalho foi realizar um estudo econômico do processo de produção de P(3HB) por Cupriavidus necator, empregando carbonato de propileno como solvente e métodos mecânicos de extração, e utilizando melaço cítrico como substrato. Quatro diferentes rotas de extração foram avaliadas: tratamento térmico da biomassa seguido por extração com solvente, tratamento utilizando equipamento ultrasonificação e extração com solvente, tratamento utilizando alta pressão e extração com solvente, e somente o uso de solvente na extração do biopolímero. Foram efetuadas simulações utilizando o software comercial Aspen Plus de todas as etapas que compõem o processo para todas as alternativas avaliadas, obteve-se assim, os balanços de massa e energia e possibilitando estimar sobre o investimento em capital necessário e consumo de matérias-primas e utilidades, realizando, posteriormente a análise econômica comparativa das alternativas. Os resultados indicam vantagem das alternativas que utilizam o tratamento a alta pressão e térmico da biomassa, apresentando menores custos de produção (US 7,51 por quilo de biopolímero, respectivamente) e melhores indicadores econômicos. Observou-se que a capacidade de extração do método não é determinante na seleção da melhor alternativa, de modo que deve haver uma análise conjunta da capacidade de extração e desembolsos com equipamentos e utilidades no tratamento da biomassa. A análise de sensibilidade para a melhor alternativa (alta pressão) mostrou que o aumento da capacidade de produção da planta e aumento da concentração final de biomassa no biorreator causa significativa redução do preço do produto e no investimento específico.Abstract : Poly(3-hydroxybutyrate) (P(3HB)) is a biopolymer synthesized by bacterias and intracellularly accumulated as energy reserve. This polyester is biocompatible and biodegradable and has mechanical properties comparable to polypropylene. However its high production cost in compare to the petroleum polymers makes these biopolymers commercially unattractive, which led to the development of strategies of fermentation and extraction of the polymer as well as the use of low cost substrates, in order to make P(3HB) more competitive. Thus, the aim of this study was to conduct an economic assessment of the P(3HB) production process by Cupriavidus necator, using propylene carbonate as solvent coupled with mechanical methods of extraction, and using citric molasses as substrate. Four different extraction routes have been assessed: heat treatment of the biomass followed by solvent extraction; treatment using ultrasonication equipment and solvent extraction; treatment using high pressure followed by solvent extraction; and the fourth, the use of solvent alone. Simulations were performed using the commercial software Aspen Plus, all the steps that comprise the process for all the four alternatives were evaluated, obtaining, mass and energy balances allowinga the estimation on the capital investment and consumption of raw materials and utilities, then, performing the comparative economic analysis of alternatives. The results indicate advantage of the alternative that make use of high pressure and heat to treat the biomass, showing lower production costs (US 7.51 per pound biopolymer, respectively) and better economic indicators. It was observed that the methods extraction capacity is not decisive in selecting the best alternative, so that there must be the a simultaneous analysis of extractability capacity and expenditures in equipment and utilities in treating the biomass. The sensitivity analysis for the best alternative (high pressure treatment) showed that the increase of the plant's production capacity and final biomass concentration in the bioreactor leads to a significant reduction in the cost of the product and in the specific investment
Differences in clinical presentation of primary open-angle glaucoma between African and European populations
No full textContains fulltext :
243957.pdf (Publisher’s version ) (Open Access)PURPOSE: Primary open-angle glaucoma (POAG) has been reported to occur more frequently in Africans, and to follow a more severe course compared to Europeans. We aimed to describe characteristics of POAG presentation and treatment across three ethnic groups from Africa and one from Europe. METHODS: We ascertained 151 POAG patients from South African Coloured (SAC) and 94 South African Black (SAB) ethnicity from a university hospital in South Africa. In Tanzania, 310 patients were recruited from a university hospital and a referral hospital. In the Netherlands, 241 patients of European ancestry were included. All patients were over 35 years old and had undergone an extensive ophthalmic examination. Patients were diagnosed according to the ISGEO criteria. A biogeographic ancestry analysis was performed to estimate the proportion of genetic African ancestry (GAA). RESULTS: The biogeographic ancestry analysis showed that the median proportion of GAA was 97.6% in Tanzanian, 100% in SAB, 34.2% in SAC and 1.5% in Dutch participants. Clinical characteristics at presentation for Tanzanians, SAB, SAC and Dutch participants, respectively: mean age: 63, 57, 66, 70 years (p < 0.001); visual acuity in the worse eye: 1.78, 1.78, 0.3, 0.3 LogMAR (p < 0.001); maximum intraocular pressure of both eyes: 36, 34, 29, 29 mmHg (p(anova) < 0.001); maximum vertical cup to disc ratio (VCDR) of both eyes: 0.90, 0.90, 0.84, 0.83 (p < 0.001); mean central corneal thickness: 506, 487, 511, 528 μm (p < 0.001). Fourteen percent of Tanzanian patients presented with blindness (<3/60 Snellen) in the better eye in contrast to only 1% in the Dutch. CONCLUSION: In this multi-ethnic comparative study, Sub-Saharan Africans present at a younger age with lower visual acuity, higher IOP, larger VCDR, than SAC and Dutch participants. This indicates the more progressive and destructive course in Sub-Saharan Africans
GenNet framework: interpretable deep learning for predicting phenotypes from genetic data
No full textApplying deep learning in population genomics is challenging because of computational issues and lack of interpretable models. Here, we propose GenNet, a novel open-source deep learning framework for predicting phenotypes from genetic variants. In this framework, interpretable and memory-efficient neural network architectures are constructed by embedding biologically knowledge from public databases, resulting in neural networks that contain only biologically plausible connections. We applied the framework to seventeen phenotypes and found well-replicated genes such as HERC2 and OCA2 for hair and eye color, and novel genes such as ZNF773 and PCNT for schizophrenia. Additionally, the framework identified ubiquitin mediated proteolysis, endocrine system and viral infectious diseases as most predictive biological pathways for schizophrenia. GenNet is a freely available, end-to-end deep learning framework that allows researchers to develop and use interpretable neural networks to obtain novel insights into the genetic architecture of complex traits and diseases.ImPhys/Computational ImagingImPhys/Medical Imagin
Virtue and democracy in Plato's late dialogues
No full textBoth Plato's theory of virtue and his attitude towards
democracy -the two being correspondent- change significantly as we
move from the middle to the late dialogues. The Republic is a
substantially authoritarian work which expresses an unmitigated
rejection of democracy. Its authoritarianism is deeply rooted in
the fact that its ethical and political assertions are justified
on a metaphysical basis. Plato suggests that virtue and
metaphysical knowledge legitimize political power, but both virtue
and knowledge are so defined as to be attainable only by a tiny
minority. In the Politicus Plato reasserts the superiority of a
complete virtue grounded on philosophical knowledge, but seriously
questions the attainability of this ideal. In the closing part of
this dialogue Plato demonstrates an interest in history and in
this respect the Politicus anticipates the Laws, where political
theory is not justified by metaphysics, but is informed by
historical experience. More specifically, Plato attempts to
reproduce on a theoretical level a legislation similar to the
actual historical legislation of Solon and he underlines the need
for a moderate state involving elements from different
constitutions. Because Plato adopts a historical perspective in
the Laws, his earlier authoritarianism is severely curtailed
(though not completely abandoned). So, despite still holding a low
opinion of democracy, Plato does use some democratic elements in
his Magnesian constitution and the predominant conception of moral
virtue put forward in the Laws is not the highly exclusive virtue
of the Republict but a virtue falling within the capacities of the
ordinary citizen. In comparison to the state of the Republic the
city of the Laws is for Plato only a "second best". Even so,
however, the latter dialogue with its moderation, its rejection of
absolutism and its surprisingly modern emphasis on the
accountability of all officials constitutes a contribution of
lasting interest to Western political thinking
Prediction of age-related macular degeneration in the general population: The three continent AMD consortium
No full textPurpose Prediction models for age-related macular degeneration (AMD) based on case-control studies have a tendency to overestimate risks. The aim of this study is to develop a prediction model for late AMD based on data from population-based studies. Design Three population-based studies: the Rotterdam Study (RS), the Beaver Dam Eye Study (BDES), and the Blue Mountains Eye Study (BMES) from the Three Continent AMD Consortium (3CC). Participants People (n = 10 106) with gradable fundus photographs, genotype data, and follow-up data without late AMD at baseline. Methods Features of AMD were graded on fundus photographs using the 3CC AMD severity scale. Associations with known genetic and environmental AMD risk factors were tested using Cox proportional hazard analysis. In the RS, the prediction of AMD was estimated for multivariate models by area under receiver operating characteristic curves (AUCs). The best model was validated in the BDES and BMES, and associations of variables were re-estimated in the pooled data set. Beta coefficients were used to construct a risk score, and risk of incident late AMD was calculated using Cox proportional hazard analysis. Cumulative incident risks were estimated using Kaplan-Meier product-limit analysis. Main Outcome Measures Incident late AMD determined per visit during a median follow-up period of 11.1 years with a total of 4 to 5 visits. Results Overall, 363 participants developed incident late AMD, 3378 participants developed early AMD, and 6365 participants remained free of any AMD. The highest AUC was achieved with a model including age, sex, 26 single nucleotide polymorphisms in AMD risk genes, smoking, body mass index, and baseline AMD phenotype. The AUC of this model was 0.88 in the RS, 0.85 in the BDES and BMES at validation, and 0.87 in the pooled analysis. Individuals with low-risk scores had a hazard ratio (HR) of 0.02 (95% confidence interval [CI], 0.01-0.04) to develop late AMD, and individuals with high-risk scores had an HR of 22.0 (95% CI, 15.2-31.8). Cumulative risk of incident late AMD ranged from virtually 0 to more than 65% for those with the highest risk scores. Conclusions Our prediction model is robust and distinguishes well between those who will develop late AMD and those who will not. Estimated risks were lower in these population-based studies than in previous case-control studies. Financial Disclosure(s) The author(s) have no proprietary or commercial interest in any materials discussed in this article
Differences in clinical presentation of primary open-angle glaucoma between African and European populations
No full textPurpose: Primary open-angle glaucoma (POAG) has been reported to occur more frequently in Africans, and to follow a more severe course compared to Europeans. We aimed to describe characteristics of POAG presentation and treatment across three ethnic groups from Africa and one from Europe. Methods: We ascertained 151 POAG patients from South African Coloured (SAC) and 94 South African Black (SAB) ethnicity from a university hospital in South Africa. In Tanzania, 310 patients were recruited from a university hospital and a referral hospital. In the Netherlands, 241 patients of European ancestry were included. All patients were over 35 years old and had undergone an extensive ophthalmic examination. Patients were diagnosed according to the ISGEO criteria. A biogeographic ancestry analysis was performed to estimate the proportion of genetic African ancestry (GAA). Results: The biogeographic ancestry analysis showed that the median proportion of GAA was 97.6% in Tanzanian, 100% in SAB, 34.2% in SAC and 1.5% in Dutch participants. Clinical characteristics at presentation for Tanzanians, SAB, SAC and Dutch participants, respectively: mean age: 63, 57, 66, 70 years (p < 0.001); visual acuity in the worse eye: 1.78, 1.78, 0.3, 0.3 LogMAR (p < 0.001); maximum intraocular pressure of both eyes: 36, 34, 29, 29 mmHg (panova < 0.001); maximum vertical cup to disc ratio (VCDR) of both eyes: 0.90, 0.90, 0.84, 0.83 (p < 0.001); mean central corneal thickness: 506, 487, 511, 528 μm (p < 0.001). Fourteen percent of Tanzanian patients presented with blindness (<3/60 Snellen) in the better eye in contrast to only 1% in the Dutch. Conclusion: In this multi-ethnic comparative study, Sub-Saharan Africans present at a younger age with lower visual acuity, higher IOP, larger VCDR, than SAC and Dutch participants. This indicates the more progressive and destructive course in Sub-Saharan Africans
