We consider a mean-variance portfolio selection problem in financial market with contagion risk. The risky assets follow jump-diffusion model, which jumps are driven by multivariate Hawkes process mutual-excitation effect. feature of the captures risk sense that each price jump an asset increases likelihood future not only same but also other assets. apply stochastic maximum principle, backward...

In this paper, we consider the pricing problem for extremum options by constructing a double nonaffine stochastic volatility model. The joint characteristic function of logarithm two asset prices is derived using Feynman–Kac theorem and one-order Taylor approximation expansion. semiclosed analytical formulas European including option on maximum minimum underlying assets are measure change techn...

Aminopeptidases that generate antigenic peptides influence immunodominance and adaptive cytotoxic immune responses. The mechanisms that allow these enzymes to efficiently process a vast number of different long peptide substrates are poorly understood. In this work, we report the structure of insulin-regulated aminopeptidase, an enzyme that prepares antigenic epitopes for cross-presentation in ...

Purpose. To assess the effect of three-dimensional (3D) printed personalized moisture chamber spectacles (PMCS) on the periocular humidity. Methods. Facial computed tomography (CT) scanning was conducted on 10 normal subjects. PMCS was designed based on volume rendered CT images and produced using a 3D printer. Periocular humidity of PMCS and commercially available uniformed moisture chamber sp...

Small round-structured viruses (SRSV) are a group of RNA viruses that can cause gastroenteritis in persons of all ages. To determine the incidence of SRSV-associated gastroenteritis in The Netherlands and to study the genetic variability of outbreak strains, all outbreaks that were reported to the epidemiologists of the regional health services in 1996 were investigated using a standardized pro...

Fresh gas flows of 1-5 l./min containing oxygen concentrations of 25-50% in nitrous oxide were led into a semiclosed circle absorber circuit. The resulting inspired oxygen concentrations were measured under conditions of spontaneous respiration. The lower the fresh gas flow, the greater was the discrepancy between fresh gas and inspired oxygen concentration. No association between minute volume...

The Heston model is appealing as it possesses a stochastic volatility term as well as semiclosed formulas for pricing European options. Unfortunately, few simulation schemes for this model can handle the violation of the Feller Condition. An algorithm based on the exact scheme of Broadie and Kaya to simulate price paths under the Heston model is introduced. In order to increase the speed of the...

In this communication, Moore's result for the normalization constant of a closed queuing network of exponential servers is extended to the case of nondistinct traffic intensities. We then show that this result can be applied to various more general closed and semiclosed queuing networks with a product-form solution. Introduction Substantial progress has been made recently in extending the scope...