Is the gamma risk of options insurable?

In this article we analyze the risk associated with hedging written call options. We introduce a way to isolate the gamma risk from other risk types and present its loss distribution, which has heavy tails. Moving to an insurance point of view, we define a loss ratio that we find to be well behaved with a slightly negative correlation to traditional lines of insurance business, offering diversification opportunities. The tails of the loss distribution are shown to be much fatter than those of the underlying stock returns. We also show that badly estimated volatility, in the Black-Scholes model, leads to considerably biased values for the replicating portfolio. Operational risk is defined as caused by imperfect delta hedging and is found to be limited in today's markets where the autocorrelation of stock returns is small.Option; Insurance; Risk

Preserving Value in the Post-BAPCPA Era — An Empirical Study

Through the use of a multivariate regression model, this article studies the effect on debtor reorganization values of the shortened reorganization timeframe imposed by the Bankruptcy Abuse Prevention and Consumer Protection Act (“BAPCPA”). The study shows that BAPCPA is positively correlated at a statistically significant level with higher reorganization recoveries. This result is attributed to the increased proportion of prepackaged and prenegotiated bankruptcies observed in the post-2005 era, as these “fast-track” bankruptcy cases entail lower costs and better preserve the firm’s value

Lumbar spinal stenosis: Assessment of cauda equina involvement by electrophysiological recordings

The objective of this study was to investigate the relationship between electrophysiological recordings and clinical as well as radiological findings in patients suggestive to suffer from a lumbar spinal stenosis (LSS). We hypothesise that the electrophysiological recordings, especially SSEP, indicate a lumbar nerve involvement that is complementary to the neurological examination and can provide confirmatory information in less obvious clinical cases. In a prospective cohort study, 54 patients scheduled for surgery due to LSS were enrolled in an unmasked, uncontrolled trial. All patients were assessed by neurological examination, electrophysiological recordings, and magnetic resonance imaging (MRI) of the lumbar spine. The electrophysiological recordings focused on spinal lumbar nerve involvement. Results: About 88% suffered from a multisegmental LSS and 91% of patients respectively complained of chronic lower back pain and/or leg pain for more than 3 months, combined with a restriction in walking distance. The neurological examination revealed only a few patients with sensory and/or motor deficits while 87% of patients showed pathological electrophysiological recordings (abnormal tibial SSEP in 78% of patients, abnormal H-reflex in 52% of patients). Conclusions: Whereas the clinical examination, even in severe LSS, showed no specific sensory-motor deficit, the electrophysiological recordings indicated that the majority of patients had a neurogenic disorder within the lumbar spine. By the pattern of bilateral pathological tibial SSEP and pathological reflexes associated with normal peripheral nerve conduction, LSS can be separated from a demyelinating polyneuropathy and mono-radiculopathy. The applied electrophysiological recordings, especially SSEP, can confirm a neurogenic claudication due to cauda equina involvement and help to differentiate neurogenic from vascular claudication or musculo-skeletal disorders of the lower limbs. Therefore, electro-physiological recordings provide additional information to the neurological examination when the clinical relevance of a radiologically-suspected LSS needs to be confirme

Predicting the transition from acute to persistent low back pain

Background Most people experience low back pain (LBP) at least once in their lifetime. Only a minority of them go on to develop persistent LBP. However, the socioeconomic costs of persistent LBP significantly exceed the costs of the initial acute LBP episode. Aims To identify factors that influence the progression of acute LBP to the persistent state at an early stage. Methods Prospective inception cohort study of patients attending a health practitioner for their first episode of acute LBP or recurrent LBP after a pain free period of at least 6 months. Patients were assessed at baseline addressing occupational and psychological factors as well as pain, disability, quality of life and physical activity and followed up at 3, 6, 12 weeks and 6 months. Variables were combined to the three indices ‘working condition', ‘depression and maladaptive cognitions' and ‘pain and quality of life'. Results The index ‘depression and maladaptive cognitions' was found to be a significant baseline predictor for persistent LBP up to 6 months (OR 5.1; 95% CI: 1.04-25.1). Overall predictive accuracy of the model was 81%. Conclusions In this study of patients with acute LBP in a primary care setting psychological factors at baseline correlated with a progression to persistent LBP up to 6 months. The benefit of including factors such as ‘depression and maladaptive cognition' in screening tools is that these factors can be addressed in primary and secondary preventio

Microfluidic platform for electrophysiological studies on Xenopus laevis oocytes under varying gravity levels

Voltage clamp measurements reveal important insights into the activity of membrane ion channels. While conventional voltage clamp systems are available for laboratory studies, these instruments are generally unsuitable for more rugged operating environments. In this study, we present a non-invasive microfluidic voltage clamp system developed for the use under varying gravity levels. The core component is a multilayer microfluidic device that provides an immobilisation site for Xenopus laevis oocytes on an intermediate layer, and fluid and electrical connections from either side of the cell. The configuration that we term the asymmetrical transoocyte voltage clamp (ATOVC) also permits electrical access to the cytosol of the oocyte without physical introduction of electrodes by permeabilisation of a large region of the oocyte membrane so that a defined membrane patch can be voltage clamped. The constant low level air pressure applied to the oocyte ensures stable immobilisation, which is essential for keeping the leak resistance constant even under varying gravitational forces. The ease of oocyte mounting and immobilisation combined with the robustness and complete enclosure of the fluidics system allow the use of the ATOVC under extreme environmental conditions, without the need for intervention by a human operator. Results for oocytes over-expressing the epithelial sodium channel (ENaC) obtained under laboratory conditions as well as under conditions of micro- and hypergravity demonstrate the high reproducibility and stability of the ATOVC system under distinct mechanical scenarios

Unexpected origins of the enhanced pairing affinity of 2 \u27-fluoro-modified RNA

Various chemical modifications are currently being evaluated for improving the efficacy of short interfering RNA (siRNA) duplexes as antisense agents for gene silencing in vivo. Among the 2\u27-ribose modifications assessed to date, 2\u27deoxy-2\u27-fluoro-RNA (2\u27-F-RNA) has unique properties for RNA interference (RNAi) applications. Thus, 2\u27-F-modified nucleotides are well tolerated in the guide (antisense) and passenger (sense) siRNA strands and the corresponding duplexes lack immunostimulatory effects, enhance nuclease resistance and display improved efficacy in vitro and in vivo compared with unmodified siRNAs. To identify potential origins of the distinct behaviors of RNA and 2\u27-F-RNA we carried out thermodynamic and X-ray crystallographic analyses of fully and partially 2\u27-F-modified RNAs. Surprisingly, we found that the increased pairing affinity of 2\u27-F-RNA relative to RNA is not, as commonly assumed, the result of a favorable entropic contribution (\u27conformational preorganization\u27), but instead primarily based on enthalpy. Crystal structures at high resolution and osmotic stress demonstrate that the 2\u27-F-RNA duplex is less hydrated than the RNA duplex. The enthalpy-driven, higher stability of the former hints at the possibility that the 2\u27-substituent, in addition to its important function in sculpting RNA conformation, plays an underappreciated role in modulating Watson-Crick base pairing strength and potentially pi-pi stacking interactions

Human metapneumovirus infection after allogeneic hematopoietic stem cell transplantation

Background: The clinical characteristics of human metapneumovirus (hMPV)-associated lower respiratory tract infection (LRTI) after allogeneic hematopoietic stem cell transplantation (HSCT) is not well described. We describe the clinical course in eight HSCT recipients suffering from hMPV infection. Methods: We prospectively included all patients with hMPV-associated LRTI after allogeneic HSCT during a period of 1year. hMPV was diagnosed by multiplex polymerase chain reaction (PCR) from bronchoalveolar lavage (BAL). Results: Eight patients with hMPV-associated LRTI were identified from 93 BAL samples. Three of the eight patients had co-infections with other pathogens. The median age of the patients was 45years [interquartile range (IQR) 36.8-53.5], the median time posttransplant was 473days (IQR 251-1,165), 5/8 patients had chronic graft-versus-host disease (cGvHD), and 6/8 patients received immunosuppression. Chest computed tomography (CT) scanning showed a ground-glass pattern in 7/8 patients. Seven of eight patients required hospitalization due to severe symptoms and hypoxemia. All were treated with intravenous immunoglobulin (IVIG), which was combined with oral ribavirin in six patients. The mortality rate was 12.5% (1/8). Conclusions: hMPV-associated LRTI in allogeneic HSCT recipients are not uncommon and present with unspecific respiratory symptoms, ground-glass pattern in CT scanning, and co-infectio

Rituximab-EPOCH, an effective salvage therapy for relapsed, refractory or transformed B-cell lymphomas: results of a phase II study

Background: Relapsed or refractory diffuse large B-cell and mantle-cell lymphoma have a poor prognosis. The EPOCH regimen and rituximab monotherapy have demonstrated activity as salvage therapies. Because of their non-overlapping toxicity, we evaluated their combination as salvage therapy in a phase II study. Patients and methods: Patients with relapsed or refractory CD20-positive large B-cell and mantle-cell lymphoma were offered treatment with rituximab 375 mg/m2 intravenously (i.v.) on day 1, doxorubicin 15 mg/m2 as a continuous i.v. infusion on days 2-4, etoposide 65 mg/m2 as a continuous i.v. infusion on days 2-4, vincristine 0.5 mg as a continuous i.v. infusion on days 2-4, cyclophosphamide 750 mg/m2 i.v. on day 5 and prednisone 60 mg/m2 orally on days 1-14. Results: Fifty patients, with a median age of 56 years (range 23-72), entered the study. Twenty-five had primary diffuse large B-cell lymphoma, 18 transformed large B-cell lymphoma and seven mantle-cell lymphoma. The median number of prior chemotherapy regimens was 1.7 (range one to four). The median number of treatment cycles was four (range one to six). Possible treatment-related death occurred in two patients. Objective responses were obtained in 68% of patients (28% complete responses, 40% partial responses). Nineteen patients received consolidating high-dose chemotherapy with autologous stem-cell transplantation. The median follow-up was 33 months. Three patients developed a secondary myelodysplastic syndrome. The median overall survival was 17.9 months; the projected overall survival at 1, 2 and 3 years was 66, 42 and 35%, respectively. The median event-free survival was 11.8 months; the projected event-free survival at 1, 2 and 3 years was 50, 30 and 26%, respectively. Conclusion: The rituximab-EPOCH regimen is effective and well tolerated, even in extensively pretreated patients with relapsed or refractory large B-cell lymphoma and mantle-cell lymphom