Multifactor valuation models of energy futures and options on futures.

The intent of this dissertation is to investigate continuous time pricing models for commodity derivative contracts that consider mean reversion. The motivation for pricing commodity futures and option on futures contracts leads to improved practical risk management techniques in markets where uncertainty is increasing. In the dissertation closed-form solutions to mean reverting one-factor, two-factor, three-factor Brownian motions are developed for futures contracts. These solutions are obtained through risk neutral pricing methods that yield tractable expressions for futures prices, which are linear in the state variables, hence making them attractive for estimation. These functions, however, are expressed in terms of latent variables (i.e. spot prices, convenience yield) which complicate the estimation of the futures pricing equation. To address this complication a discussion on Dynamic factor analysis is given. This procedure documents latent variables using a Kalman filter and illustrations show how this technique may be used for the analysis. In addition, to the futures contracts closed form solutions for two option models are obtained. Solutions to the one- and two-factor models are tailored solutions of the Black-Scholes pricing model. Furthermore, since these contracts are written on the futures contracts, they too are influenced by the same underlying parameters of the state variables used to price the futures contracts. To conclude, the analysis finishes with an investigation of commodity futures options that incorporate random discrete jumps

A Simplified Approach to Understanding the Kalman Filter Technique

The Kalman filter is a time series estimation algorithm that is applied extensively in the field of engineering and recently (relative to engineering) in the field of finance and economics. However, presentations of the technique are somewhat intimidating despite the relative ease of generating the algorithm. This article presents the Kalman filter in a simplified manner and produces an example of an application of the algorithm in Excel. This scaled-down version of the Kalman filter can be introduced in the (advanced) undergraduate classroom as well as the graduate classroom

Taxonomy of the order Mononegavirales : update 2016

In 2016, the order Mononegavirales was emended through the addition of two new families (Mymonaviridae and Sunviridae), the elevation of the paramyxoviral subfamily Pneumovirinae to family status (Pneumoviridae), the addition of five free-floating genera (Anphevirus, Arlivirus, Chengtivirus, Crustavirus, and Wastrivirus), and several other changes at the genus and species levels. This article presents the updated taxonomy of the order Mononegavirales as now accepted by the International Committee on Taxonomy of Viruses (ICTV)

Genetic association analysis identifies variants associated with disease progression in primary sclerosing cholangitis

Objective Primary sclerosing cholangitis (PSC) is a genetically complex, inflammatory bile duct disease of largely unknown aetiology often leading to liver transplantation or death. Little is known about the genetic contribution to the severity and progression of PSC. The aim of this study is to identify genetic variants associated with PSC disease progression and development of complications. Design We collected standardised PSC subphenotypes in a large cohort of 3402 patients with PSC. After quality control, we combined 130 422 single nucleotide polymorphisms of all patients-obtained using the Illumina immunochip-with their disease subphenotypes. Using logistic regression and Cox proportional hazards models, we identified genetic variants associated with binary and time-to-event PSC subphenotypes. Results We identified genetic variant rs853974 to be associated with liver transplant-free survival (p=6.07x10(-9)). Kaplan-Meier survival analysis showed a 50.9% (95% CI 41.5% to 59.5%) transplant-free survival for homozygous AA allele carriers of rs853974 compared with 72.8% (95% CI 69.6% to 75.7%) for GG carriers at 10 years after PSC diagnosis. For the candidate gene in the region, RSPO3, we demonstrated expression in key liver-resident effector cells, such as human and murine cholangiocytes and human hepatic stellate cells. Conclusion We present a large international PSC cohort, and report genetic loci associated with PSC disease progression. For liver transplant-free survival, we identified a genome-wide significant signal and demonstrated expression of the candidate gene RSPO3 in key liver-resident effector cells. This warrants further assessments of the role of this potential key PSC modifier gene.Peer reviewe

2021 Taxonomic update of phylum Negarnaviricota (Riboviria: Orthornavirae), including the large orders Bunyavirales and Mononegavirales.

Correction to: 2021 Taxonomic update of phylum Negarnaviricota (Riboviria: Orthornavirae), including the large orders Bunyavirales and Mononegavirales. Archives of Virology (2021) 166:3567–3579. https://doi.org/10.1007/s00705-021-05266-wIn March 2021, following the annual International Committee on Taxonomy of Viruses (ICTV) ratification vote on newly proposed taxa, the phylum Negarnaviricota was amended and emended. The phylum was expanded by four families (Aliusviridae, Crepuscuviridae, Myriaviridae, and Natareviridae), three subfamilies (Alpharhabdovirinae, Betarhabdovirinae, and Gammarhabdovirinae), 42 genera, and 200 species. Thirty-nine species were renamed and/or moved and seven species were abolished. This article presents the updated taxonomy of Negarnaviricota as now accepted by the ICTV.This work was supported in part through Laulima Government Solutions, LLC prime contract with the US National Institute of Allergy and Infectious Diseases (NIAID) under Contract No. HHSN272201800013C. J.H.K. performed this work as an employee of Tunnell Government Services (TGS), a subcontractor of Laulima Government Solutions, LLC under Contract No. HHSN272201800013C. This work was also supported in part with federal funds from the National Cancer Institute (NCI), National Institutes of Health (NIH), under Contract No. 75N91019D00024, Task Order No. 75N91019F00130 to I.C., who was supported by the Clinical Monitoring Research Program Directorate, Frederick National Lab for Cancer Research. This work was also funded in part by Contract No. HSHQDC-15-C-00064 awarded by DHS S&T for the management and operation of The National Biodefense Analysis and Countermeasures Center, a federally funded research and development center operated by the Battelle National Biodefense Institute (V.W.); and NIH contract HHSN272201000040I/HHSN27200004/D04 and grant R24AI120942 (N.V., R.B.T.). S.S. acknowledges partial support from the Special Research Initiative of Mississippi Agricultural and Forestry Experiment Station (MAFES), Mississippi State University, and the National Institute of Food and Agriculture, US Department of Agriculture, Hatch Project 1021494. Part of this work was supported by the Francis Crick Institute which receives its core funding from Cancer Research UK (FC001030), the UK Medical Research Council (FC001030), and the Wellcome Trust (FC001030).S

Taxonomy of the order Mononegavirales: second update 2018.

In October 2018, the order Mononegavirales was amended by the establishment of three new families and three new genera, abolishment of two genera, and creation of 28 novel species. This article presents the updated taxonomy of the order Mononegavirales as now accepted by the International Committee on Taxonomy of Viruses (ICTV)

Taxonomy of the order Mononegavirales: update 2019.

In February 2019, following the annual taxon ratification vote, the order Mononegavirales was amended by the addition of four new subfamilies and 12 new genera and the creation of 28 novel species. This article presents the updated taxonomy of the order Mononegavirales as now accepted by the International Committee on Taxonomy of Viruses (ICTV)

2021 Taxonomic update of phylum Negarnaviricota (Riboviria: Orthornavirae), including the large orders Bunyavirales and Mononegavirales.

In March 2021, following the annual International Committee on Taxonomy of Viruses (ICTV) ratification vote on newly proposed taxa, the phylum Negarnaviricota was amended and emended. The phylum was expanded by four families (Aliusviridae, Crepuscuviridae, Myriaviridae, and Natareviridae), three subfamilies (Alpharhabdovirinae, Betarhabdovirinae, and Gammarhabdovirinae), 42 genera, and 200 species. Thirty-nine species were renamed and/or moved and seven species were abolished. This article presents the updated taxonomy of Negarnaviricota as now accepted by the ICTV

2020 taxonomic update for phylum Negarnaviricota (Riboviria: Orthornavirae), including the large orders Bunyavirales and Mononegavirales.

In March 2020, following the annual International Committee on Taxonomy of Viruses (ICTV) ratification vote on newly proposed taxa, the phylum Negarnaviricota was amended and emended. At the genus rank, 20 new genera were added, two were deleted, one was moved, and three were renamed. At the species rank, 160 species were added, four were deleted, ten were moved and renamed, and 30 species were renamed. This article presents the updated taxonomy of Negarnaviricota as now accepted by the ICTV