Pricing and Hedging GLWB in the Heston and in the Black-Scholes with Stochastic Interest Rate Models

Valuing Guaranteed Lifelong Withdrawal Benefit (GLWB) has attracted significant attention from both the academic field and real world financial markets. As remarked by Forsyth and Vetzal the Black and Scholes framework seems to be inappropriate for such long maturity products. They propose to use a regime switching model. Alternatively, we propose here to use a stochastic volatility model (Heston model) and a Black Scholes model with stochastic interest rate (Hull White model). For this purpose we present four numerical methods for pricing GLWB variables annuities: a hybrid tree-finite difference method and a hybrid Monte Carlo method, an ADI finite difference scheme, and a standard Monte Carlo method. These methods are used to determine the no-arbitrage fee for the most popular versions of the GLWB contract, and to calculate the Greeks used in hedging. Both constant withdrawal and optimal withdrawal (including lapsation) strategies are considered. Numerical results are presented which demonstrate the sensitivity of the no-arbitrage fee to economic, contractual and longevity assumptions

Relation protéolyse calcium-dépendante/caveolae au cours de la différenciation de la cellule musculaire

Les recherches effectuées ont pour but de comprendre les mécanismes d'action et de régulation des voies protéolytiques dans la cellule musculaire. Les calpaïnes qui sont des cystéines protéases calcium-dépendantes interviennent dans les phénomènes de fusion et de différenciation des myoblastes. Les caveolae qui sont des invaginations vésiculaires de la membrane plasmiques interviendraient dans les mêmes phénomènes. Caveolae et calpaïnes interviennent dans les mêmes maladies (diabète, maladie d'Alzheimer, dystrophies musculaires...). La PKC qui est un substrat privilégié des calpaïnes lors de la fusion est fortement représentée au niveau de ces vésicules. Nous nous sommes donc intéressés aux relations entre ces trois protagonistes

Bioinformatics Tools and Databases to Assess the Pathogenicity of Mitochondrial DNA Variants in the Field of Next Generation Sequencing

The development of next generation sequencing (NGS) has greatly enhanced the diagnosis of mitochondrial disorders, with a systematic analysis of the whole mitochondrial DNA (mtDNA) sequence and better detection sensitivity. However, the exponential growth of sequencing data renders complex the interpretation of the identified variants, thereby posing new challenges for the molecular diagnosis of mitochondrial diseases. Indeed, mtDNA sequencing by NGS requires specific bioinformatics tools and the adaptation of those developed for nuclear DNA, for the detection and quantification of mtDNA variants from sequence alignment to the calling steps, in order to manage the specific features of the mitochondrial genome including heteroplasmy, i.e., coexistence of mutant and wildtype mtDNA copies. The prioritization of mtDNA variants remains difficult, relying on a limited number of specific resources: population and clinical databases, and in silico tools providing a prediction of the variant pathogenicity. An evaluation of the most prominent bioinformatics tools showed that their ability to predict the pathogenicity was highly variable indicating that special efforts should be directed at developing new bioinformatics tools dedicated to the mitochondrial genome. In addition, massive parallel sequencing raised several issues related to the interpretation of very low mtDNA mutational loads, discovery of variants of unknown significance, and mutations unrelated to patient phenotype or the co-occurrence of mtDNA variants. This review provides an overview of the current strategies and bioinformatics tools for accurate annotation, prioritization and reporting of mtDNA variations from NGS data, in order to carry out accurate genetic counseling in individuals with primary mitochondrial diseases

Identification of new homologs of PD-(D/E)XK nucleases by support vector machines trained on data derived from profile–profile alignments

PD-(D/E)XK nucleases, initially represented by only Type II restriction enzymes, now comprise a large and extremely diverse superfamily of proteins. They participate in many different nucleic acids transactions including DNA degradation, recombination, repair and RNA processing. Different PD-(D/E)XK families, although sharing a structurally conserved core, typically display little or no detectable sequence similarity except for the active site motifs. This makes the identification of new superfamily members using standard homology search techniques challenging. To tackle this problem, we developed a method for the detection of PD-(D/E)XK families based on the binary classification of profile–profile alignments using support vector machines (SVMs). Using a number of both superfamily-specific and general features, SVMs were trained to identify true positive alignments of PD-(D/E)XK representatives. With this method we identified several PFAM families of uncharacterized proteins as putative new members of the PD-(D/E)XK superfamily. In addition, we assigned several unclassified restriction enzymes to the PD-(D/E)XK type. Results show that the new method is able to make confident assignments even for alignments that have statistically insignificant scores. We also implemented the method as a freely accessible web server at http://www.ibt.lt/bioinformatics/software/pdexk/

Eccentric Exercise Facilitates Mesenchymal Stem Cell Appearance in Skeletal Muscle

Eccentric, or lengthening, contractions result in injury and subsequently stimulate the activation and proliferation of satellite stem cells which are important for skeletal muscle regeneration. The discovery of alternative myogenic progenitors in skeletal muscle raises the question as to whether stem cells other than satellite cells accumulate in muscle in response to exercise and contribute to post-exercise repair and/or growth. In this study, stem cell antigen-1 (Sca-1) positive, non-hematopoetic (CD45-) cells were evaluated in wild type (WT) and α7 integrin transgenic (α7Tg) mouse muscle, which is resistant to injury yet liable to strain, 24 hr following a single bout of eccentric exercise. Sca-1+CD45− stem cells were increased 2-fold in WT muscle post-exercise. The α7 integrin regulated the presence of Sca-1+ cells, with expansion occurring in α7Tg muscle and minimal cells present in muscle lacking the α7 integrin. Sca-1+CD45− cells isolated from α7Tg muscle following exercise were characterized as mesenchymal-like stem cells (mMSCs), predominantly pericytes. In vitro multiaxial strain upregulated mMSC stem cells markers in the presence of laminin, but not gelatin, identifying a potential mechanistic basis for the accumulation of these cells in muscle following exercise. Transplantation of DiI-labeled mMSCs into WT muscle increased Pax7+ cells and facilitated formation of eMHC+DiI− fibers. This study provides the first demonstration that mMSCs rapidly appear in skeletal muscle in an α7 integrin dependent manner post-exercise, revealing an early event that may be necessary for effective repair and/or growth following exercise. The results from this study also support a role for the α7 integrin and/or mMSCs in molecular- and cellular-based therapeutic strategies that can effectively combat disuse muscle atrophy

Comparative Analyses by Sequencing of Transcriptomes during Skeletal Muscle Development between Pig Breeds Differing in Muscle Growth Rate and Fatness

Understanding the dynamics of muscle transcriptome during development and between breeds differing in muscle growth is necessary to uncover the complex mechanism underlying muscle development. Herein, we present the first transcriptome-wide longissimus dorsi muscle development research concerning Lantang (LT, obese) and Landrace (LR, lean) pig breeds during 10 time-points from 35 days-post-coitus (dpc) to 180 days-post-natum (dpn) using Solexa/Illumina's Genome Analyzer. The data demonstrated that myogenesis was almost completed before 77 dpc, but the muscle phenotypes were still changed from 77 dpc to 28 dpn. Comparative analysis of the two breeds suggested that myogenesis started earlier but progressed more slowly in LT than in LR, the stages ranging from 49 dpc to 77 dpc are critical for formation of different muscle phenotypes. 595 differentially expressed myogenesis genes were identified, and their roles in myogenesis were discussed. Furthermore, GSK3B, IKBKB, ACVR1, ITGA and STMN1 might contribute to later myogenesis and more muscle fibers in LR than LT. Some myogenesis inhibitors (ID1, ID2, CABIN1, MSTN, SMAD4, CTNNA1, NOTCH2, GPC3 and HMOX1) were higher expressed in LT than in LR, which might contribute to more slow muscle differentiation in LT than in LR. We also identified several genes which might contribute to intramuscular adipose differentiation. Most important, we further proposed a novel model in which MyoD and MEF2A controls the balance between intramuscular adipogenesis and myogenesis by regulating CEBP family; Myf5 and MEF2C are essential during the whole myogenesis process while MEF2D affects muscle growth and maturation. The MRFs and MEF2 families are also critical for the phenotypic differences between the two pig breeds. Overall, this study contributes to elucidating the mechanism underlying muscle development, which could provide valuable information for pig meat quality improvement

Treating Pediatric Neuromuscular Disorders: The future is now

Pediatric neuromuscular diseases encompass all disorders with onset in childhood and where the primary area of pathology is in the peripheral nervous system. These conditions are largely genetic in etiology, and only those with a genetic underpinning will be presented in this review. This includes disorders of the anterior horn cell (e.g., spinal muscular atrophy), peripheral nerve (e.g., Charcot-Marie-Tooth disease), the neuromuscular junction (e.g., congenital myasthenic syndrome), and the muscle (myopathies and muscular dystrophies). Historically, pediatric neuromuscular disorders have uniformly been considered to be without treatment possibilities and to have dire prognoses. This perception has gradually changed, starting in part with the discovery and widespread application of corticosteroids for Duchenne muscular dystrophy. At present, several exciting therapeutic avenues are under investigation for a range of conditions, offering the potential for significant improvements in patient morbidities and mortality and, in some cases, curative intervention. In this review, we will present the current state of treatment for the most common pediatric neuromuscular conditions, and detail the treatment strategies with the greatest potential for helping with these devastating diseases

Relation protéolyse calcium-dépendante/caveolae au cours de la différenciation de la cellule musculaire

Soutenue le 9 juin 2006 Diplôme : Dr. d'Universit

Development of flow optimization models in reverse logistics : Application to refillable containers

Dans un monde industriel marqué par un contexte économique difficile, les entreprises se doivent d’étudier toutes les possibilités de réduction de coûts et d’optimisation de leur chaîne logistique. Un des champs récents d’optimisation développé dans la littérature concerne le concept de logistique inverse. Cette logistique représente la gestion des flux traversant une chaîne logistique dans le sens inverse des flux traditionnels. On y retrouve des activités liées au recyclage, à la réparation ou encore à la réutilisation de produits. Au sein de la Chaire Supply Chain, nous nous sommes donc intéressés à l’optimisation de la gestion de ces flux de retours, avec les contenants réutilisables comme objet d’étude intéressant pour nos différents partenaires. Dans ce sens, après avoir passé en revue la littérature sur le concept général de la logistique inverse, nous développons un ensemble de modèles recouvrant les combinaisons mono ou multi niveaux, mono ou multi périodes et mono ou multi contenants afin d’optimiser ces retours au sein de chaînes logistiques déjà définies. Ces modèles sont par la suite appliqués, soit fictivement pour un des modèles mono-période résolu grâce à une heuristique de décomposition développée pour des réseaux logistiques de grande taille, soit réellement chez nos partenaires pour les modèles multi-périodes résolus de façon exacte. Le but de ces applications étant d’utiliser ces modèles théoriques dans un contexte réel d’entreprise et d’en dégager les possibles bénéfices économiques mais également environnementaux grâce à la prise en compte des émissions liées au transport et au cycle de vie de ces contenants.In an industrial world touched by a complicated economic environment, companies need to explore all opportunities for cost reduction and supply chain optimization. A recent optimization field developed in the literature concerns the concept of reverse logistics. This concept deals with the flows management through a supply chain in the opposite direction to the traditional one. It includes activities related to recycling, repair or products reuse. In partnership with the industrial of the “Chaire Supply Chain”, we are interested in optimizing these reverse flows by focusing more particularly on reusable containers. For that, we propose a literature review on the general concept of reverse logistics and develop a set of models covering combinations between single and multi-levels, single and multi-periods and single and multi-containers problems in order to optimize this type of returns within already defined supply chains. These models are then applied, either in a fictive way for a single-period one solved by a decomposition heuristic proposed for large logistics networks, or in a real way for multi-period models solved exactly and applied to our partners problematic. The purpose of these applications is to use these theoretical models in a real business in order to identify economic benefits but also environmental ones by taking into account emissions from these containers transportation and manufacturing

Développement de modèles d'optimisation de flux en logistique inverse (Applications aux contenants réutilisables)

Dans un monde industriel marqué par un contexte économique difficile, les entreprises se doivent d étudier toutes les possibilités de réduction de coûts et d optimisation de leur chaîne logistique. Un des champs récents d optimisation développé dans la littérature concerne le concept de logistique inverse. Cette logistique représente la gestion des flux traversant une chaîne logistique dans le sens inverse des flux traditionnels. On y retrouve des activités liées au recyclage, à la réparation ou encore à la réutilisation de produits. Au sein de la Chaire Supply Chain, nous nous sommes donc intéressés à l optimisation de la gestion de ces flux de retours, avec les contenants réutilisables comme objet d étude intéressant pour nos différents partenaires. Dans ce sens, après avoir passé en revue la littérature sur le concept général de la logistique inverse, nous développons un ensemble de modèles recouvrant les combinaisons mono ou multi niveaux, mono ou multi périodes et mono ou multi contenants afin d optimiser ces retours au sein de chaînes logistiques déjà définies. Ces modèles sont par la suite appliqués, soit fictivement pour un des modèles mono-période résolu grâce à une heuristique de décomposition développée pour des réseaux logistiques de grande taille, soit réellement chez nos partenaires pour les modèles multi-périodes résolus de façon exacte. Le but de ces applications étant d utiliser ces modèles théoriques dans un contexte réel d entreprise et d en dégager les possibles bénéfices économiques mais également environnementaux grâce à la prise en compte des émissions liées au transport et au cycle de vie de ces contenants.In an industrial world touched by a complicated economic environment, companies need to explore all opportunities for cost reduction and supply chain optimization. A recent optimization field developed in the literature concerns the concept of reverse logistics. This concept deals with the flows management through a supply chain in the opposite direction to the traditional one. It includes activities related to recycling, repair or products reuse. In partnership with the industrial of the Chaire Supply Chain , we are interested in optimizing these reverse flows by focusing more particularly on reusable containers. For that, we propose a literature review on the general concept of reverse logistics and develop a set of models covering combinations between single and multi-levels, single and multi-periods and single and multi-containers problems in order to optimize this type of returns within already defined supply chains. These models are then applied, either in a fictive way for a single-period one solved by a decomposition heuristic proposed for large logistics networks, or in a real way for multi-period models solved exactly and applied to our partners problematic. The purpose of these applications is to use these theoretical models in a real business in order to identify economic benefits but also environmental ones by taking into account emissions from these containers transportation and manufacturing.CHATENAY MALABRY-Ecole centrale (920192301) / SudocSudocFranceF