pwc-archive/papers-with-abstracts huggingface dataset:
A pricing formula for delayed claims: Appreciating the past to value the future
Authors: Enrico Biffis, Beniamin Goldys, Cecilia Prosdocimi, Margherita Zanella
Date: 2015-05-19 00:00:00

We consider the valuation of contingent claims with delayed dynamics in a Black&Scholes complete market model. We find a pricing formula that can be decomposed into terms reflecting the market values of the past and the present, showing how the valuation of future cashflows cannot abstract away from the contribution of the past. As a practical application, we provide an explicit expression for the market value of human capital in a setting with wage rigidity. The formula we derive has successfully been used to explicitly solve the infinite dimensional stochastic control problems addressed in different settings.
Ergodicity and diffusivity of Markovian order book models: a general framework
Date: 2015-05-19 00:00:00

We present a general Markovian framework for order book modeling. Through our
approach, we aim at providing a tool enabling to get a better understanding of
the price formation process and of the link between microscopic and macroscopic
features of financial assets. To do so, we propose a new method of order book
representation, and decompose the problem of order book modeling into two
sub-problems: dynamics of a continuous-time double auction system with a fixed
reference price; interactions between the double auction system and the
reference price movements. State dependency is included in our framework by
allowing the order flow intensities to depend on the order book state.
Furthermore, contrary to most existing models, the impact of the order book
updates on the reference price dynamics is not assumed to be instantaneous. We
first prove that under general assumptions, our system is ergodic. Then we
deduce the convergence towards a Brownian motion of the rescaled price process.
Evolutionary Dynamics for Persistent Cooperation in Structured Populations
Date: 2015-05-19 00:00:00

The emergence and maintenance of cooperative behavior is a fascinating topic
in evolutionary biology and social science. The public goods game (PGG) is a
paradigm for exploring cooperative behavior. In PGG, the total resulting payoff
is divided equally among all participants. This feature still leads to the
dominance of defection without substantially magnifying the public good by a
multiplying factor. Much effort has been made to explain the evolution of
cooperative strategies, including a recent model in which only a portion of the
total benefit is shared by all the players through introducing a new strategy
named persistent cooperation. A persistent cooperator is a contributor who is
willing to pay a second cost to retrieve the remaining portion of the payoff
contributed by themselves. In a previous study, this model was analyzed in the
framework of well-mixed populations. This paper focuses on discussing the
persistent cooperation in lattice-structured populations. The evolutionary
dynamics of the structured populations consisting of three types of competing
players (pure cooperators, defectors and persistent cooperators) are revealed
by theoretical analysis and numerical simulations. In particular, the
approximate expressions of fixation probabilities for strategies are derived on
one-dimensional lattices. The phase diagrams of stationary states, the
evolution of frequencies and spatial patterns for strategies are illustrated on
both one-dimensional and square lattices by simulations. Our results are
consistent with the general observation that, at least in most situations, a
structured population facilitates the evolution of cooperation. Specifically,
here we find that the existence of persistent cooperators greatly suppresses
the spreading of defectors under more relaxed conditions in structured
populations compared to that obtained in well-mixed population.
American Options with Asymmetric Information and Reflected BSDE
Date: 2017-08-26 00:00:00

We consider an American contingent claim on a financial market where the
buyer has additional information. Both agents (seller and buyer) observe the
same prices, while the information available to them may differ due to some
extra exogenous knowledge the buyer has. The buyer's information flow is
modeled by an initial enlargement of the reference filtration. It seems natural
to investigate the value of the American contingent claim with asymmetric
information. We provide a representation for the cost of the additional
information relying on some results on reflected backward stochastic
differential equations (RBSDE). This is done by using an interpretation of
prices of American contingent claims with extra information for the buyer by
solutions of appropriate RBSDE.
CEI: a new indicator measuring City Commercial Credit Risk initiated in China
Date: 2015-05-17 00:00:00

Aiming at quantifying and evaluating the regional commercial environment
along with the level of economic development among cities in mainland China,
the concept of China City Commercial Environment Credit Index(CEI) was first
introduced and established in 2010. In this manuscript, a historical review and
detailed introduction of CEI is included, followed by statistical studies. In
particular, an independent statistical cross-check for the existing CEI-2012 is
performed and significant factors that play the most in influential roles are
discussed.
Capturing protein multiscale thermal fluctuations
Date: 2015-05-20 00:00:00

Existing elastic network models are typically parametrized at a given cutoff
distance and often fail to properly predict the thermal fluctuation of many
macromolecules that involve multiple characteristic length scales. We introduce
a multiscale flexibility-rigidity index (mFRI) method to resolve this problem.
The proposed mFRI utilizes two or three correlation kernels parametrized at
different length scales to capture protein interactions at corresponding
scales. It is about 20% more accurate than the Gaussian network model (GNM) in
the B-factor prediction of a set of 364 proteins. Additionally, the present
method is able to delivery accurate predictions for multiscale macromolecules
that fail GNM. Finally, or a protein of $N$ residues, mFRI is of linear scaling
(O(N)) in computational complexity, in contrast to the order of O(N^3) for GNM.
Productivity of pre-modern agriculture in the Cucuteni-Trypillia area
Date: 2015-05-19 00:00:00
Tasks: Unity

(Abridged) We present palaeoeconomy reconstructions for pre-modern
agriculture, with the Cucuteni-Trypillia Cultural unity (5,400-2,700 BC, modern
Ukraine, Moldova and Romania) as example. The starting point of our analysis is
the palaeodiet structure suggested by archaeological data, stable isotope
analyses of human remains, and palynology. We allow for the archeologically
attested contributions of domesticated and wild animal products to the diet,
develop plausible estimates of the yield of ancient cereal varieties cultivated
with ancient techniques, and quantify the yield dependence on the time after
initial planting and on rainfall (as a climate proxy). Our conclusions involve
analysis of the labour costs of the agricultural cycle of both an individual
and a farmer's family. Finally, we put our results into the context of the
exploitation territory and catchment analysis. The simplest economic complex
based on cereals, domestic and wild animal products, with fallow cropping,
appears to be capable of supporting an isolated, relatively small farming
community of 50-300 people (2-10 ha). Our results strongly suggest that dairy
products played a significant role in the dietary and labour balance. The
smaller settlements are typical of the earliest Trypillia A but remain
predominant at the later stages. A larger settlement of several hundred people
could function in isolation only with technological innovations, such as manure
fertiliser and ard tillage. Very large settlements of a few hundred hectares
could function only if supported by satellite farming villages and stable
exchange networks. We also discuss, quantify and assess some strategies to
mitigate the risks of arable agriculture associated with strong temporal
fluctuations in the cereal yield, such as manure fertilisation, increased
fraction of cereals in the diet combined with producing grain surplus for
emergency storage.
A Table-Binning Approach for Visualizing the Past
Authors: Turenne Nicolas
Date: 2015-04-27 00:00:00

Large amounts of data are available due to low-cost and high-capacity data
storage equipments. We propose a data exploration/visualization method for
tabular multi-dimensional, time-varying datasets to present selected items in
their global context. The approach is simple and uses a rank-based
visualization and a pattern matching functionality based on temporal profiles.
Ranking categories can be specified in a flexible way and are used instead of
actual values (value reduction into bins) and plotting it over time in an
unevenly quantized representation. Patterns that emerge are matched against a
set of eight predefined temporal profiles. The graphical summarization of
large-scale temporal data is proposed and applicability is tested qualitatively
on about eight data sets and the approach is compared to classic line plots and
SAX representation
Market Fragility, Systemic Risk, and Ricci Curvature
Date: 2015-05-19 00:00:00

Measuring systemic risk or fragility of financial systems is a ubiquitous
task of fundamental importance in analyzing market efficiency, portfolio
allocation, and containment of financial contagions. Recent attempts have shown
that representing such systems as a weighted graph characterizing the complex
web of interacting agents over some information flow (e.g., debt, stock
returns, shareholder ownership) may provide certain keen insights. Here, we
show that fragility, or the ability of system to be prone to failures in the
face of random perturbations, is negatively correlated with geometric notion of
Ricci curvature. The key ingredient relating fragility and curvature is
entropy. As a proof of concept, we examine returns from a set of stocks
comprising the S\&P 500 over a 15 year span to show that financial crashes are
more robust compared to normal "business as usual" fragile market behavior -
i.e., Ricci curvature is a "crash hallmark." Perhaps more importantly, this
work lays the foundation of understanding of how to design systems and policy
regulations in a manner that can combat financial instabilities exposed during
the 2007-2008 crisis.
Techniques for Deep Query Understanding
Authors: Prakash Abhay, Patel Dhaval
Date: 2015-05-19 00:00:00

Query Understanding concerns about inferring the precise intent of search by
the user with his formulated query, which is challenging because the queries
are often very short and ambiguous. The report discusses the various kind of
queries that can be put to a Search Engine and illustrates the Role of Query
Understanding for return of relevant results. With different advances in
techniques for deep understanding of queries as well as documents, the Search
Technology has witnessed three major era. A lot of interesting real world
examples have been used to illustrate the role of Query Understanding in each
of them. The Query Understanding Module is responsible to correct the mistakes
done by user in the query, to guide him in formulation of query with precise
intent, and to precisely infer the intent of the user query. The report
describes the complete architecture to handle aforementioned three tasks, and
then discusses basic as well as recent advanced techniques for each of the
component, through appropriate papers from reputed conferences and journals.
Small-time asymptotics for Gaussian self-similar stochastic volatility models
Date: 2016-03-15 00:00:00

We consider the class of self-similar Gaussian stochastic volatility models,
and compute the small-time (near-maturity) asymptotics for the corresponding
asset price density, the call and put pricing functions, and the implied
volatilities. Unlike the well-known model-free behavior for extreme-strike
asymptotics, small-time behaviors of the above depend heavily on the model, and
require a control of the asset price density which is uniform with respect to
the asset price variable, in order to translate into results for call prices
and implied volatilities. Away from the money, we express the asymptotics
explicitly using the volatility process' self-similarity parameter $H$, its
first Karhunen-Loeve eigenvalue at time 1, and the latter's multiplicity.
Several model-free estimators for $H$ result. At the money, a separate study is
required: the asymptotics for small time depend instead on the integrated
variance's moments of orders 1/2 and 3/2, and the estimator for $H$ sees an
affine adjustment, while remaining model-free.
Methods for protein complex prediction and their contributions towards understanding the organization, function and dynamics of complexes
Date: 2015-05-20 00:00:00
Tasks: Protein complex prediction

Complexes of physically interacting proteins constitute fundamental
functional units responsible for driving biological processes within cells. A
faithful reconstruction of the entire set of complexes is therefore essential
to understand the functional organization of cells. In this review, we discuss
the key contributions of computational methods developed till date
(approximately between 2003 and 2015) for identifying complexes from the
network of interacting proteins (PPI network). We evaluate in depth the
performance of these methods on PPI datasets from yeast, and highlight
challenges faced by these methods, in particular detection of sparse and small
or sub- complexes and discerning of overlapping complexes. We describe methods
for integrating diverse information including expression profiles and 3D
structures of proteins with PPI networks to understand the dynamics of complex
formation, for instance, of time-based assembly of complex subunits and
formation of fuzzy complexes from intrinsically disordered proteins. Finally,
we discuss methods for identifying dysfunctional complexes in human diseases,
an application that is proving invaluable to understand disease mechanisms and
to discover novel therapeutic targets. We hope this review aptly commemorates a
decade of research on computational prediction of complexes and constitutes a
valuable reference for further advancements in this exciting area.
Accurate encoding and decoding by single cells: amplitude versus frequency modulation
Date: 2015-05-20 00:00:00

Cells sense external concentrations and, via biochemical signaling, respond
by regulating the expression of target proteins. Both in signaling networks and
gene regulation there are two main mechanisms by which the concentration can be
encoded internally: amplitude modulation (AM), where the absolute concentration
of an internal signaling molecule encodes the stimulus, and frequency
modulation (FM), where the period between successive bursts represents the
stimulus. Although both mechanisms have been observed in biological systems,
the question of when it is beneficial for cells to use either AM or FM is
largely unanswered. Here, we first consider a simple model for a single
receptor (or ion channel), which can either signal continuously whenever a
ligand is bound, or produce a burst in signaling molecule upon receptor
binding. We find that bursty signaling is more accurate than continuous
signaling only for sufficiently fast dynamics. This suggests that modulation
based on bursts may be more common in signaling networks than in gene
regulation. We then extend our model to multiple receptors, where continuous
and bursty signaling are equivalent to AM and FM respectively, finding that AM
is always more accurate. This implies that the reason some cells use FM is
related to factors other than accuracy, such as the ability to coordinate
expression of multiple genes or to implement threshold crossing mechanisms.
Portfolio Optimization
Authors: Aizhan Issagali, Damira Alshimbayeva, Aidana Zhalgas
Date: 2015-05-19 00:00:00
Tasks: Portfolio Optimization

In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a portfolio is chosen on the efficient frontier were calculated. In addition, the Portfolio with minimum variance, tangency portfolio and optimal Markowitz portfolio are presented.
Duplex formation and secondary structure of {\gamma}-PNA observed by NMR and CD
Date: 2015-10-10 00:00:00

Peptide Nucleic Acids (PNA) are non-natural oligonucleotides mimics.
{\gamma}-PNA backbone are formed by standard nucleic acids nucleobases
connected by a neutral N-(2-aminoethyl)glycine backbone linked by a peptide
bond. In this study, we use Nuclear Magnetic Resonance (NMR) and Circular
Dichroism (CD) to explore the properties of the supramolecular duplexes formed
by these species. We show that standard Watson-Crick base pair as well as
non-standard ones are formed in solution. The duplexes thus formed present
marked melting transition temperatures substantially higher than their nucleic
acid homologs. Moreover, the presence of a chiral group on the
{\gamma}-peptidic backbone increases further more this transition temperature,
leading to very stable duplexes.
Modelling the combined effects of land use and climatic changes: coupling bioclimatic modelling with markov-chain cellular automata in a case study in Cyprus
Date: 2015-05-21 00:00:00

Two endemic plant species in the Mediterranean island of Cyprus, Crocus
cyprius and Ophrys kotschyi, were used as a case study. We have coupled climate
change scenarios, and land use change models with species distribution models.
Future land use scenarios were modelled by initially calculating the rate of
current land use changes between two time snapshots (2000 and 2006) on the
island, and based on these transition probabilities markov-chain cellular
automata were used to generate future land use changes for 2050. Climate change
scenarios A1B, A2, B1 and B2A were derived from the IPCC reports. Species
climatic preferences were derived from their current distributions using
classification trees while habitats preferences were derived from the Red Data
Book of the Flora of Cyprus. A bioclimatic model for Crocus cyprius was built
using mean temperature of wettest quarter, max temperature of warmest month and
precipitation seasonality, while for Ophrys kotchyi the bioclimatic model was
built using precipitation of wettest month, mean temperature of warmest
quarter, isothermality, precipitation of coldest quarter, and annual
precipitation. Sequentially, simulation scenarios were performed regarding
future species distributions by accounting climate alone and both climate and
land use changes. The distribution of the two species resulting from the
bioclimatic models was then filtered by future land use changes, providing the
species projected potential distribution. The species projected potential
distribution varies depending on the type and scenario used, but many of both
species current sites/locations are projected to be outside their future
potential distribution. Our results demonstrate the importance of including
both land use and climatic changes in predictive species modeling.
Optimal forest rotation age under efficient climate change mitigation
Date: 2015-10-30 00:00:00

This paper considers the optimal rotation of forests when the carbon flows of
forest growth and harvest are priced with an increasing price. Such an
evolution of carbon price is generally associated with economically efficient
climate change mitigation, and would provide incentives for the land-owner for
enhanced carbon sequestration. With an infinitely long sequence of even-aged
forest rotations, the optimal harvest age changes with subsequent rotations due
to the changing carbon price. The first-order optimality conditions therefore
also involve an infinite chain of lengths for consecutive forest rotations, and
allow the approximation of the infinite-time problem with a truncated series of
forest rotations.
  Illustrative numerical calculations show that when starting from bare land,
the initial carbon price and its growth rate both primarily increase the length
of the first rotation. With some combinations of the carbon pricing parameters,
the optimal harvest age can be several hundred years if the forest carbon is
released to the atmosphere upon harvest. This effect is not, however, entirely
monotonous. Consequently, the currently optimal harvest ages are generally
lower with higher rates of carbon price increase. This creates an interesting
temporal aspect, suggesting that the supply of wood and carbon sequestration by
forests can change considerably during subsequent rotations under an increasing
price on carbon.
A Conformational Search Method for Protein Systems Using Genetic Crossover and Metropolis Criterion
Date: 2015-05-21 00:00:00

Many proteins carry out their biological functions by forming the
characteristic tertiary structures. Therefore, the search of the stable states
of proteins by molecular simulations is important to understand their functions
and stabilities. However, getting the stable state by conformational search is
difficult, because the energy landscape of the system is characterized by many
local minima separated by high energy barriers. In order to overcome this
difficulty, various sampling and optimization methods for conformations of
proteins have been proposed. In this study, we propose a new conformational
search method for proteins by using genetic crossover and Metropolis criterion.
We applied this method to an $\alpha$-helical protein. The conformations
obtained from the simulations are in good agreement with the experimental
results.
Dynamics of Wolbachia pipientis gene expression across the Drosophila melanogaster life cycle
Date: 2015-06-16 00:00:00

Symbiotic interactions between microbes and their multicellular hosts have
manifold impacts on molecular, cellular and organismal biology. To identify
candidate bacterial genes involved in maintaining endosymbiotic associations
with insect hosts, we analyzed genome-wide patterns of gene expression in the
alpha-proteobacteria Wolbachia pipientis across the life cycle of Drosophila
melanogaster using public data from the modENCODE project that was generated in
a Wolbachia-infected version of the ISO1 reference strain. We find that the
majority of Wolbachia genes are expressed at detectable levels in D.
melanogaster across the entire life cycle, but that only 7.8% of 1195 Wolbachia
genes exhibit robust stage- or sex-specific expression differences when studied
in the "holo-organism" context. Wolbachia genes that are differentially
expressed during development are typically up-regulated after D. melanogaster
embryogenesis, and include many bacterial membrane, secretion system and
ankyrin-repeat containing proteins. Sex-biased genes are often organised as
small operons of uncharacterised genes and are mainly up-regulated in adult
males D. melanogaster in an age-dependent manner suggesting a potential role in
cytoplasmic incompatibility. Our results indicate that large changes in
Wolbachia gene expression across the Drosophila life-cycle are relatively rare
when assayed across all host tissues, but that candidate genes to understand
host-microbe interaction in facultative endosymbionts can be successfully
identified using holo-organism expression profiling. Our work also shows that
mining public gene expression data in D. melanogaster provides a rich set of
resources to probe the functional basis of the Wolbachia-Drosophila symbiosis
and annotate the transcriptional outputs of the Wolbachia genome.