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It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment s * can be obtained by solving (numerically) a simple equation. This yields a leading order expansion for the implied volatility at large strikes: σBS(k, T) 2 T ∼ Ψ(s * − 1) × k (Roger Lee's moment formula). Motivated by recent " tail-wing "(More)
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE characterizing buyer's and seller's XVA in a framework that allows for asymmetries in funding, repo and collateral rates, as well as for early contract termination due to counterparty credit risk. We show the existence of a unique classical solution to the PDE by(More)
We develop a framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive a nonlinear backward stochastic differential equation (BSDE) associated with the replicating portfolios of long and short positions in the(More)
We consider the terminal wealth utility maximization problem from the point of view of a portfolio manager who is paid by an incentive scheme, which is given as a convex function g of the terminal wealth. The manager's own utility function U is assumed to be smooth and strictly concave, however the resulting utility function U • g fails to be concave. As a(More)
BACKGROUND Biochemical and physical characteristics of extracellular environment play a key role in assisting cell behavior over different molecular pathways. In this study, we investigated how the presence of chemical binding sites, the pore network and the stiffness of designed scaffolds affected prostate cancer cells. METHODS A blend of poly(More)
A procedure is described for the efficient transfer of fractionated bacterial lipopolysaccharide (LPS) from SDS-polyacrylamide gels to nitrocellulose filters, and its subsequent display by a peroxidase-linked antibody. The method is sensitive, and reveals and resolves high molecular weight LPS molecules having side chain lengths of up to and greater than 30(More)
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