Application of Elzaki Transform Method to Market Volatility Using the Black-Scholes Model

Black-Scholes Model (B-SM) simulates the dynamics of financial market and contains instruments such as options and puts which are major indices requiring solution. B-SM is known to estimate the correct prices of European Stock options and establish the theoretical foundation for Option pricing. Therefore, this paper evaluates the Black-Schole model in simulating the European call in a cash flow in the dependent drift and focuses on obtaining analytic and then approximate solution for the model. The work also examines Fokker Planck Equation (FPE) and extracts the link between FPE and B-SM for non equilibrium systems. The B-SM is then solved via the Elzaki transform method (ETM). The computational procedures were obtained using MAPLE 18 with the solution provided in the form of convergent series.

GENERAL BLACK-SCHOLES MODEL OF SECURITY VALUATION

This paper studies the multi-dimensional Black-Scholes model of security valnation. The extension of the Black-Scholes model implies; the partial differential equation derived from an absence of arbitrage which the authors solve by using the Feynmeu-Kac Formula. Then they compute its special example by solving the multi-variable partial differential equation.

基于Black-Scholes模型可转债定价的研究

可转换债券具有债券性、股权性和可交换性,因此其定价问题也受到很多投资者所青睐。文章在Black-Scholes模型的基础上,利用整体定价法,将可转债的路径进行分解,得到了可转债的定价模型,并推导了定价公式。在实证分析中,以塞力转债为例,对可转债的价格进行了研究。结果表明,股票价格、波动率均与可转债价格成正相关关系,并且可转债的理论价格高于实际价格。

Black-Scholes模型下亚式期权定价的一种快速傅里叶算法

针对几何平均亚式期权,利用快速傅里叶变换方法得到含特征函数的表达式,从而更快速求解亚式期权.对期权价格进行傅里叶变换,得到表达式可以用标的资产价格对数的特征函数来表示,该表达式可以输出期权价格的结果.对其进行离散化处理,再利用快速傅里叶变换来求解,以输出结果.对Black-Scholes模型下的几何亚式期权定价的表达式进行计算,得出其期权定价模型的特征函数,便可以带入快速求解出相应的期权价值.利用Black-Scholes模型在该方法求解的几何平均亚式期权价值与Black-Scholes模型下原始期权价值的数据进行对比,验证了该方法的有效性和高效性.

On discrete time hedging errors in a fractional Black-Scholes model

In this paper we investigate asymptotic behavior of error of a discrete time hedging strategy in a fractional Black-Scholes model in the sense of Wick-ItS-Skorohod integration. The rate of convergence of the hedging error due to discrete-time trading when the true strategy is known for the trader, is investigated. The result provides new statistical tools to study and detect the effect of the long-memory and the Hurst parameter for the error of discrete time hedging.

Black-Scholes Option Pricing Model Modified to Admit a Miniscule Drift Can Reproduce the Volatility Smile

This paper develops a closed-form solution to an extended Black-Scholes (EBS) pricing formula which admits an implied drift parameter alongside the standard implied volatility. The market volatility smiles for vanilla call options on the S&P 500 index are recreated fitting the best volatility-drift combination in this new EBS. Using a likelihood ratio test, the implied drift parameter is seen to be quite significant in explaining volatility smiles. The implied drift parameter is sufficiently small to be undetectable via historical pricing analysis, suggesting that drift is best considered as an implied parameter rather than a historically-fit one. An overview of option-pricing models is provided as background.

Option Pricing beyond Black-Scholes Model:Quantum Mechanics Approach

Based on the analog between the stochastic dynamics and quantum harmonic oscillator,we propose a market force driving model to generalize the Black-Scholes model in finance market.We give new schemes of option pricing,in which we can take various unexpected market behaviors into account to modify the option pricing.As examples,we present several market forces to analyze their effects on the option pricing.These results provide us two practical applications.One is to be used as a new scheme of option pricing when we can predict some hidden market forces or behaviors emerging.The other implies the existence of some risk premium when some unexpected forces emerge.

NEW METHOD TO OPTION PRICING FOR THE GENERAL BLACK-SCHOLES MODEL-AN ACTUARIAL APPROACH

Using physical probability measure of price process and the principle of fair premium, the results of Mogens Bladt and Hina Hviid Rydberg are generalized. In two cases of paying intermediate divisends and no intermediate dividends, the Black_Scholes model is generalized to the case where the risk_less asset (bond or bank account) earns a time_dependent interest rate and risk asset (stock) has time_dependent the continuously compounding expected rate of return, volatility. In these cases the accurate pricing formula and put_call parity of European option are obtained. The general approach of option pricing is given for the general Black_Scholes of the risk asset (stock) has the continuously compounding expected rate of return, volatility. The accurate pricing formula and put_call parity of European option on a stock whose price process is driven by general Ornstein_Uhlenback (O_U) process are given by actuarial approach.

Aquaporin-4-IgG-seropositive neuromyelitis optica spectrum disorders:progress of experimental models based on disease pathogenesis

Neuromyelitis optica spectrum disorders are neuroinflammatory demyelinating disorders that lead to permanent visual loss and motor dysfunction.To date,no effective treatment exists as the exact causative mechanism remains unknown.Therefore,experimental models of neuromyelitis optica spectrum disorders are essential for exploring its pathogenesis and in screening for therapeutic targets.Since most patients with neuromyelitis optica spectrum disorders are seropositive for IgG autoantibodies against aquaporin-4,which is highly expressed on the membrane of astrocyte endfeet,most current experimental models are based on aquaporin-4-IgG that initially targets astrocytes.These experimental models have successfully simulated many pathological features of neuromyelitis optica spectrum disorders,such as aquaporin-4 loss,astrocytopathy,granulocyte and macrophage infiltration,complement activation,demyelination,and neuronal loss;however,they do not fully capture the pathological process of human neuromyelitis optica spectrum disorders.In this review,we summarize the currently known pathogenic mechanisms and the development of associated experimental models in vitro,ex vivo,and in vivo for neuromyelitis optica spectrum disorders,suggest potential pathogenic mechanisms for further investigation,and provide guidance on experimental model choices.In addition,this review summarizes the latest information on pathologies and therapies for neuromyelitis optica spectrum disorders based on experimental models of aquaporin-4-IgG-seropositive neuromyelitis optica spectrum disorders,offering further therapeutic targets and a theoretical basis for clinical trials.

SIMPLEST DIFFERENTIAL EQUATION OF STOCK PRICE,ITS SOLUTION AND RELATION TO ASSUMPTION OF BLACK-SCHOLES MODEL

Two kinds of mathematical expressions of stock price, one of which based on certain description is the solution of the simplest differential equation (S.D.E.) obtained by method similar to that used in solid mechanics,the other based on uncertain description (i.e., the statistic theory)is the assumption of Black_Scholes's model (A.B_S.M.) in which the density function of stock price obeys logarithmic normal distribution, can be shown to be completely the same under certain equivalence relation of coefficients. The range of the solution of S.D.E. has been shown to be suited only for normal cases (no profit, or lost profit news, etc.) of stock market, so the same range is suited for A.B_ S.M. as well.

Landslide Susceptibility Mapping Using RBFN-Based Ensemble Machine Learning Models

This study was aimed to prepare landslide susceptibility maps for the Pithoragarh district in Uttarakhand,India,using advanced ensemble models that combined Radial Basis Function Networks(RBFN)with three ensemble learning techniques:DAGGING(DG),MULTIBOOST(MB),and ADABOOST(AB).This combination resulted in three distinct ensemble models:DG-RBFN,MB-RBFN,and AB-RBFN.Additionally,a traditional weighted method,Information Value(IV),and a benchmark machine learning(ML)model,Multilayer Perceptron Neural Network(MLP),were employed for comparison and validation.The models were developed using ten landslide conditioning factors,which included slope,aspect,elevation,curvature,land cover,geomorphology,overburden depth,lithology,distance to rivers and distance to roads.These factors were instrumental in predicting the output variable,which was the probability of landslide occurrence.Statistical analysis of the models’performance indicated that the DG-RBFN model,with an Area Under ROC Curve(AUC)of 0.931,outperformed the other models.The AB-RBFN model achieved an AUC of 0.929,the MB-RBFN model had an AUC of 0.913,and the MLP model recorded an AUC of 0.926.These results suggest that the advanced ensemble ML model DG-RBFN was more accurate than traditional statistical model,single MLP model,and other ensemble models in preparing trustworthy landslide susceptibility maps,thereby enhancing land use planning and decision-making.

Global Piecewise Analysis of HIV Model with Bi-Infectious Categories under Ordinary Derivative and Non-Singular Operator with Neural Network Approach

This study directs the discussion of HIV disease with a novel kind of complex dynamical generalized and piecewise operator in the sense of classical and Atangana Baleanu(AB)derivatives having arbitrary order.The HIV infection model has a susceptible class,a recovered class,along with a case of infection divided into three sub-different levels or categories and the recovered class.The total time interval is converted into two,which are further investigated for ordinary and fractional order operators of the AB derivative,respectively.The proposed model is tested separately for unique solutions and existence on bi intervals.The numerical solution of the proposed model is treated by the piece-wise numerical iterative scheme of Newtons Polynomial.The proposed method is established for piece-wise derivatives under natural order and non-singular Mittag-Leffler Law.The cross-over or bending characteristics in the dynamical system of HIV are easily examined by the aspect of this research having a memory effect for controlling the said disease.This study uses the neural network(NN)technique to obtain a better set of weights with low residual errors,and the epochs number is considered 1000.The obtained figures represent the approximate solution and absolute error which are tested with NN to train the data accurately.

Prognostic model for esophagogastric variceal rebleeding after endoscopic treatment in liver cirrhosis: A Chinese multicenter study

BACKGROUND Rebleeding after recovery from esophagogastric variceal bleeding(EGVB)is a severe complication that is associated with high rates of both incidence and mortality.Despite its clinical importance,recognized prognostic models that can effectively predict esophagogastric variceal rebleeding in patients with liver cirrhosis are lacking.AIM To construct and externally validate a reliable prognostic model for predicting the occurrence of esophagogastric variceal rebleeding.METHODS This study included 477 EGVB patients across 2 cohorts:The derivation cohort(n=322)and the validation cohort(n=155).The primary outcome was rebleeding events within 1 year.The least absolute shrinkage and selection operator was applied for predictor selection,and multivariate Cox regression analysis was used to construct the prognostic model.Internal validation was performed with bootstrap resampling.We assessed the discrimination,calibration and accuracy of the model,and performed patient risk stratification.RESULTS Six predictors,including albumin and aspartate aminotransferase concentrations,white blood cell count,and the presence of ascites,portal vein thrombosis,and bleeding signs,were selected for the rebleeding event prediction following endoscopic treatment(REPET)model.In predicting rebleeding within 1 year,the REPET model ex-hibited a concordance index of 0.775 and a Brier score of 0.143 in the derivation cohort,alongside 0.862 and 0.127 in the validation cohort.Furthermore,the REPET model revealed a significant difference in rebleeding rates(P<0.01)between low-risk patients and intermediate-to high-risk patients in both cohorts.CONCLUSION We constructed and validated a new prognostic model for variceal rebleeding with excellent predictive per-formance,which will improve the clinical management of rebleeding in EGVB patients.

Exploiting fly models to investigate rare human neurological disorders

Rare neurological diseases,while individually are rare,collectively impact millions globally,leading to diverse and often severe neurological symptoms.Often attributed to genetic mutations that disrupt protein function or structure,understanding their genetic basis is crucial for accurate diagnosis and targeted therapies.To investigate the underlying pathogenesis of these conditions,researchers often use non-mammalian model organisms,such as Drosophila(fruit flies),which is valued for their genetic manipulability,cost-efficiency,and preservation of genes and biological functions across evolutionary time.Genetic tools available in Drosophila,including CRISPR-Cas9,offer a means to manipulate gene expression,allowing for a deep exploration of the genetic underpinnings of rare neurological diseases.Drosophila boasts a versatile genetic toolkit,rapid generation turnover,and ease of large-scale experimentation,making it an invaluable resource for identifying potential drug candidates.Researchers can expose flies carrying disease-associated mutations to various compounds,rapidly pinpointing promising therapeutic agents for further investigation in mammalian models and,ultimately,clinical trials.In this comprehensive review,we explore rare neurological diseases where fly research has significantly contributed to our understanding of their genetic basis,pathophysiology,and potential therapeutic implications.We discuss rare diseases associated with both neuron-expressed and glial-expressed genes.Specific cases include mutations in CDK19 resulting in epilepsy and developmental delay,mutations in TIAM1 leading to a neurodevelopmental disorder with seizures and language delay,and mutations in IRF2BPL causing seizures,a neurodevelopmental disorder with regression,loss of speech,and abnormal movements.And we explore mutations in EMC1 related to cerebellar atrophy,visual impairment,psychomotor retardation,and gain-of-function mutations in ACOX1 causing Mitchell syndrome.Loss-of-function mutations in ACOX1 result in ACOX1 deficiency,characterized by very-long-chain fatty acid accumulation and glial degeneration.Notably,this review highlights how modeling these diseases in Drosophila has provided valuable insights into their pathophysiology,offering a platform for the rapid identification of potential therapeutic interventions.Rare neurological diseases involve a wide range of expression systems,and sometimes common phenotypes can be found among different genes that cause abnormalities in neurons or glia.Furthermore,mutations within the same gene may result in varying functional outcomes,such as complete loss of function,partial loss of function,or gain-of-function mutations.The phenotypes observed in patients can differ significantly,underscoring the complexity of these conditions.In conclusion,Drosophila represents an indispensable and cost-effective tool for investigating rare neurological diseases.By facilitating the modeling of these conditions,Drosophila contributes to a deeper understanding of their genetic basis,pathophysiology,and potential therapies.This approach accelerates the discovery of promising drug candidates,ultimately benefiting patients affected by these complex and understudied diseases.

A promising approach for quantifying focal stroke modeling and assessing stroke progression:optical resolution photoacoustic microscopy photothrombosis

To investigate the mechanisms underlying the onset and progression of ischemic stroke,some methods have been proposed that can simultaneously monitor and create embolisms in the animal cerebral cortex.However,these methods often require complex systems and the effect of age on cerebral embolism has not been adequately studied,although ischemic stroke is strongly age-related.In this study,we propose an optical-resolution photoacoustic microscopy-based visualized photothrombosis methodology to create and monitor ischemic stroke in mice simultaneously using a 532 nm pulsed laser.We observed the molding process in mice of different ages and presented age-dependent vascular embolism differentiation.Moreover,we integrated optical coherence tomography angiography to investigate age-associated trends in cerebrovascular variability following a stroke.Our imaging data and quantitative analyses underscore the differential cerebrovascular responses to stroke in mice of different ages,thereby highlighting the technique's potential for evaluating cerebrovascular health and unraveling age-related mechanisms involved in ischemic strokes.

LoRa Sense:Sensing and Optimization of LoRa Link Behavior Using Path-Loss Models in Open-Cast Mines

The Internet of Things(IoT)has orchestrated various domains in numerous applications,contributing significantly to the growth of the smart world,even in regions with low literacy rates,boosting socio-economic development.This study provides valuable insights into optimizing wireless communication,paving the way for a more connected and productive future in the mining industry.The IoT revolution is advancing across industries,but harsh geometric environments,including open-pit mines,pose unique challenges for reliable communication.The advent of IoT in the mining industry has significantly improved communication for critical operations through the use of Radio Frequency(RF)protocols such as Bluetooth,Wi-Fi,GSM/GPRS,Narrow Band(NB)-IoT,SigFox,ZigBee,and Long Range Wireless Area Network(LoRaWAN).This study addresses the optimization of network implementations by comparing two leading free-spreading IoT-based RF protocols such as ZigBee and LoRaWAN.Intensive field tests are conducted in various opencast mines to investigate coverage potential and signal attenuation.ZigBee is tested in the Tadicherla open-cast coal mine in India.Similarly,LoRaWAN field tests are conducted at one of the associated cement companies(ACC)in the limestone mine in Bargarh,India,covering both Indoor-toOutdoor(I2O)and Outdoor-to-Outdoor(O2O)environments.A robust framework of path-loss models,referred to as Free space,Egli,Okumura-Hata,Cost231-Hata and Ericsson models,combined with key performance metrics,is employed to evaluate the patterns of signal attenuation.Extensive field testing and careful data analysis revealed that the Egli model is the most consistent path-loss model for the ZigBee protocol in an I2O environment,with a coefficient of determination(R^(2))of 0.907,balanced error metrics such as Normalized Root Mean Square Error(NRMSE)of 0.030,Mean Square Error(MSE)of 4.950,Mean Absolute Percentage Error(MAPE)of 0.249 and Scatter Index(SI)of 2.723.In the O2O scenario,the Ericsson model showed superior performance,with the highest R^(2)value of 0.959,supported by strong correlation metrics:NRMSE of 0.026,MSE of 8.685,MAPE of 0.685,Mean Absolute Deviation(MAD)of 20.839 and SI of 2.194.For the LoRaWAN protocol,the Cost-231 model achieved the highest R^(2)value of 0.921 in the I2O scenario,complemented by the lowest metrics:NRMSE of 0.018,MSE of 1.324,MAPE of 0.217,MAD of 9.218 and SI of 1.238.In the O2O environment,the Okumura-Hata model achieved the highest R^(2)value of 0.978,indicating a strong fit with metrics NRMSE of 0.047,MSE of 27.807,MAPE of 27.494,MAD of 37.287 and SI of 3.927.This advancement in reliable communication networks promises to transform the opencast landscape into networked signal attenuation.These results support decision-making for mining needs and ensure reliable communications even in the face of formidable obstacles.

Reduced mesencephalic astrocyte-derived neurotrophic factor expression by mutant androgen receptor contributes to neurodegeneration in a model of spinal and bulbar muscular atrophy pathology

Spinal and bulbar muscular atrophy is a neurodegenerative disease caused by extended CAG trinucleotide repeats in the androgen receptor gene,which encodes a ligand-dependent transcription facto r.The mutant androgen receptor protein,characterized by polyglutamine expansion,is prone to misfolding and forms aggregates in both the nucleus and cytoplasm in the brain in spinal and bulbar muscular atrophy patients.These aggregates alter protein-protein interactions and compromise transcriptional activity.In this study,we reported that in both cultured N2a cells and mouse brain,mutant androgen receptor with polyglutamine expansion causes reduced expression of mesencephalic astrocyte-de rived neurotrophic factor.Overexpressio n of mesencephalic astrocyte-derived neurotrophic factor amelio rated the neurotoxicity of mutant androgen receptor through the inhibition of mutant androgen receptor aggregation.Conversely.knocking down endogenous mesencephalic astrocyte-derived neurotrophic factor in the mouse brain exacerbated neuronal damage and mutant androgen receptor aggregation.Our findings suggest that inhibition of mesencephalic astrocyte-derived neurotrophic factor expression by mutant androgen receptor is a potential mechanism underlying neurodegeneration in spinal and bulbar muscular atrophy.

Physiology and health assessment,risk balance,and model for endstage liver disease scores:Postoperative outcome of liver transplantation

BACKGROUND Liver transplantation aims to increase the survival of patients with end-stage liver diseases and improve their quality of life.The number of organs available for transplantation is lower than the demand.To provide fair organ distribution,predictive mortality scores have been developed.AIM To compare the Acute Physiology and Chronic Health Evaluation IV(APACHE IV),balance of risk(BAR),and model for end-stage liver disease(MELD)scores as predictors of mortality.METHODS Retrospective cohort study,which included 283 adult patients in the postoperative period of deceased donor liver transplantation from 2014 to 2018.RESULTS The transplant recipients were mainly male,with a mean age of 58.1 years.Donors were mostly male,with a mean age of 41.6 years.The median cold ischemia time was 3.1 hours,and the median intensive care unit stay was 5 days.For APACHE IV,a mean of 59.6 was found,BAR 10.7,and MELD 24.2.The 28-day mortality rate was 9.5%,and at 90 days,it was 3.5%.The 28-day mortality prediction for APACHE IV was very good[area under the curve(AUC):0.85,P<0.001,95%CI:0.76-0.94],P<0.001,BAR(AUC:0.70,P<0.001,95%CI:0.58–0.81),and MELD(AUC:0.66,P<0.006,95%CI:0.55-0.78),P<0.008.At 90 days,the data for APACHE IV were very good(AUC:0.80,P<0.001,95%CI:0.71–0.90)and moderate for BAR and MELD,respectively,(AUC:0.66,P<0.004,95%CI:0.55–0.77),(AUC:0.62,P<0.026,95%CI:0.51–0.72).All showed good discrimination between deaths and survivors.As for the best value for liver transplantation,it was significant only for APACHE IV(P<0.001).CONCLUSION The APACHE IV assessment score was more accurate than BAR and MELD in predicting mortality in deceased donor liver transplant recipients.

Modeling and Comprehensive Review of Signaling Storms in 3GPP-Based Mobile Broadband Networks:Causes,Solutions,and Countermeasures

Control signaling is mandatory for the operation and management of all types of communication networks,including the Third Generation Partnership Project(3GPP)mobile broadband networks.However,they consume important and scarce network resources such as bandwidth and processing power.There have been several reports of these control signaling turning into signaling storms halting network operations and causing the respective Telecom companies big financial losses.This paper draws its motivation from such real network disaster incidents attributed to signaling storms.In this paper,we present a thorough survey of the causes,of the signaling storm problems in 3GPP-based mobile broadband networks and discuss in detail their possible solutions and countermeasures.We provide relevant analytical models to help quantify the effect of the potential causes and benefits of their corresponding solutions.Another important contribution of this paper is the comparison of the possible causes and solutions/countermeasures,concerning their effect on several important network aspects such as architecture,additional signaling,fidelity,etc.,in the form of a table.This paper presents an update and an extension of our earlier conference publication.To our knowledge,no similar survey study exists on the subject.

广义Black-Scholes模型期权定价新方法——保险精算方法

利用公平保费原则和价格过程的实际概率测度推广了MogensBladt和TinaHviidRydberg的结果· 在无中间红利和有中间红利两种情况下,把Black＿Scholes模型推广到无风险资产(债券或银行存款)具有时间相依的利率和风险资产(股票)也具有时间相依的连续复利预期收益率和波动率的情况,在此情况下获得了欧式期权的精确定价公式以及买权与卖权之间的平价关系· 给出了风险资产(股票)