Scenario analysis for derivatives portfolios via dynamic factor models

A classic approach to financial risk management is the use of scenario analysis to stress test portfolios. In the case of an S&P 500 options portfolio, for example, a scenario analysis might report a P&L of −1m in the event the S&P 500 falls 5% and its implied volatility surface increases by 3 percentage points. But how accurate is this reported value of −1m? Such a number is typically computed under the (implicit) assumption that all other risk factors are set to zero. But this assumption is generally not justified as it ignores the often substantial statistical dependence among the risk factors. In particular, the expected values of the non-stressed factors conditional on the values of the stressed factors are generally non-zero. Moreover, even if the non-stressed factors were set to their conditional expected values rather than zero, the reported P&L might still be inaccurate due to convexity effects, particularly in the case of derivatives portfolios. A further weakness of this standard approach to scenario analysis is that the reported P&L numbers are generally not back-tested so their accuracy is not subjected to any statistical tests. There are many reasons for this but perhaps the main one is that scenario analysis for derivatives portfolios is typically conducted without having a probabilistic model for the underlying dynamics of the risk factors under the physical measure P. In this paper we address these weaknesses by embedding the scenario analysis within a dynamic factor model for the underlying risk factors. Such an approach typically requires multivariate state-space models that can model the real-world behavior of financial markets where risk factors are often latent, and that are sufficiently tractable so that we can compute (or simulate from) the conditional distribution of unstressed risk factors. We demonstrate how this can be done for observable as well as latent risk factors in examples drawn from options and fixed income markets. We show how the two forms of scenario analysis can lead to dramatically different results particularly in the case of portfolios that have been designed to be neutral to a subset of the risk factors

The effect of dehydrothermal treatment on the mechanical and structural properties of collagen-GAG scaffolds.

The mechanical properties of tissue engineering scaffolds are critical for preserving the structural integrity and functionality during both in vivo implantation and long-term performance. In addition, the mechanical and structural properties of the scaffold can direct cellular activity within a tissue-engineered construct. In this context, the aim of this study was to investigate the effects of dehydrothermal (DHT) treatment on the mechanical and structural properties of collagen-glycosaminoglycan (CG) scaffolds. Temperature (105-180 degrees C) and exposure period (24-120 h) of DHT treatment were varied to determine their effect on the mechanical properties, crosslinking density, and denaturation of CG scaffolds. As expected, increasing the temperature and duration of DHT treatment resulted in an increase in the mechanical properties. Compressive properties increased up to twofold, while tensile properties increased up to 3.8-fold. Crosslink density was found to increase with DHT temperature but not exposure period. Denaturation also increased with DHT temperature and exposure period, ranging from 25% to 60% denaturation. Crosslink density was found to be correlated with compressive modulus, whilst denaturation was found to correlate with tensile modulus. Taken together, these results indicate that DHT treatment is a viable technique for altering the mechanical properties of CG scaffolds. The enhanced mechanical properties of DHT-treated CG scaffolds improve their suitability for use both in vitro and in vivo. In addition, this work facilitates the investigation of the effects of mechanical properties and denaturation on cell activity in a 3D environment

Novel freeze-drying methods to produce a range of collagen-glycosaminoglycan scaffolds with tailored mean pore sizes.

The pore structure of three-dimensional scaffolds used in tissue engineering has been shown to significantly influence cellular activity. As the optimal pore size is dependant on the specifics of the tissue engineering application, the ability to alter the pore size over a wide range is essential for a particular scaffold to be suitable for multiple applications. With this in mind, the aim of this study was to develop methodologies to produce a range of collagen-glycosaminoglycan (CG) scaffolds with tailored mean pore sizes. The pore size of CG scaffolds is established during the freeze-drying fabrication process. In this study, freezing temperature was varied (−10 degrees C to −70 degrees C) and an annealing step was introduced to the process to determine their effects on pore size. Annealing is an additional step in the freeze-drying cycle that involves raising the temperature of the frozen suspension to increase the rate of ice crystal growth. The results show that the pore size of the scaffolds decreased as the freezing temperature was reduced. Additionally, the introduction of an annealing step during freeze-drying was found to result in a significant increase (40%) in pore size. Taken together, these results demonstrate that the methodologies developed in this study can be used to produce a range of CG scaffolds with mean pore sizes from 85 to 325 microm. This is a substantial improvement on the range of pore sizes that were possible to produce previously (96-150 microm). The methods developed in this study provide a basis for the investigation of the effects of pore size on both in vitro and in vivo performance and for the determination of the optimal pore structure for specific tissue engineering applications

Crosslinking and Mechanical Properties Significantly Influence Cell Attachment, Proliferation, and Migration Within Collagen Glycosaminoglycan Scaffolds.

Crosslinking and the resultant changes in mechanical properties have been shown to influence cellular activity within collagen biomaterials. With this in mind, we sought to determine the effects of crosslinking on both the compressive modulus of collagen-glycosaminoglycan scaffolds and the activity of osteoblasts seeded within them. Dehydrothermal, 1-ethyl-3-3-dimethyl aminopropyl carbodiimide and glutaraldehyde crosslinking treatments were first investigated for their effect on the compressive modulus of the scaffolds. After this, the most promising treatments were used to study the effects of crosslinking on cellular attachment, proliferation, and infiltration. Our experiments have demonstrated that a wide range of scaffold compressive moduli can be attained by varying the parameters of the crosslinking treatments. 1-Ethyl-3-3-dimethyl aminopropyl carbodiimide and glutaraldehyde treatments produced the stiffest scaffolds (fourfold increase when compared to dehydrothermal crosslinking). When cells were seeded onto the scaffolds, the stiffest scaffolds also showed increased cell number and enhanced cellular distribution when compared to the other groups. Taken together, these results indicate that crosslinking can be used to produce collagen-glycosaminoglycan scaffolds with a range of compressive moduli, and that increased stiffness enhances cellular activity within the scaffolds

The effects of collagen concentration and crosslink density on the biological, structural and mechanical properties of collagen-GAG scaffolds for bone tissue engineering.

In this study, we examined the effects of varying collagen concentration and crosslink density on the biological, structural and mechanical properties of collagen-GAG scaffolds for bone tissue engineering. Three different collagen contents (0.25%, 0.5% and 1% collagen) and two different dehydrothermal (DHT) crosslinking processes [1] 105 degrees C for 24 h and [2] 150 degrees C for 48 h were investigated. These scaffolds were assessed for (1) pore size, (2) permeability (3) compressive strength and (4) cell viability. The largest pore size, permeability rate, compressive modulus, cell number and cell metabolic activity was all found to occur on the 1% collagen scaffold due to its increased collagen composition and the DHT treatment at 150 degrees C was found to significantly improve the mechanical properties and not to affect cellular number or metabolic activity. These results indicate that doubling the collagen content to 1% and dehydrothermally crosslinking the scaffold at 150 degrees C for 48 h has enhanced mechanical and biological properties of the scaffold making it highly attractive for use in bone tissue engineering

Gene expression by marrow stromal cells in a porous collagen-glycosaminoglycan scaffold is affected by pore size and mechanical stimulation.

Marrow stromal cell (MSC) populations, which are a potential source of undifferentiated mesenchymal cells, and culture scaffolds that mimic natural extracellular matrix are attractive options for orthopaedic tissue engineering. A type I collagen-glycosaminoglycan (CG) scaffold that has previously been used clinically for skin regeneration was recently shown to support expression of bone-associated proteins and mineralisation by MSCs cultured in the presence of osteogenic supplements. Here we follow RNA markers of osteogenic differentiation in this scaffold. We demonstrate that transcripts of the late stage markers bone sialoprotein and osteocalcin are present at higher levels in scaffold constructs than in two-dimensional culture, and that considerable gene induction can occur in this scaffold even in the absence of soluble osteogenic supplements. We also find that bone-related gene expression is affected by pore size, mechanical constraint, and uniaxial cyclic strain of the CG scaffold. The data presented here further establish the CG scaffold as a potentially valuable substrate for orthopaedic tissue engineering and for research on the mechanical interactions between cells and their environment, and suggest that a more freely-contracting scaffold with larger pore size may provide an environment more conducive to osteogenesis than constrained scaffolds with smaller pore sizes

J. Edwin Campbell: African American Poet, Educator and Activist

This session will introduce participants to James Edwin Campbell of Pomeroy, Ohio - a teacher, a poet, and an early advocate for the advancement of African-Americans in the late 19th century – through several of his selected literary works. Campbell’s life, though tragically short, was immensely productive and will be considered from an historical as well as an academic perspective. Campbell was an Appalachian African-American poet who celebrated an experience that was particular to the blacks of the river towns of Pomeroy, Ohio, Gallipolis, Ohio and Point Pleasant, WV. Campbell’s work stands in unique contrast to his contemporaries’ plaintive longings for the ante-bellum south. Campbell sings the praises of the “aunties and uncles” who spent their days in the salt works and coal mines and who retained the language forms, traditional songs and dances, and cultural mores of African Americans who were, at the same time, Appalachian. Most of Campbell’s compositions employ musical themes, and metaphoric dances and songs illustrate the role of both in everyday life. Campbell composed in both Standard English and in Appalachian and Black English dialects. Presenters will explore both literary and linguistic components of Campbell’s work as well as identify the particular traditional mountain music and dance themes he employed. The biographical manuscript currently in development will tell the full story of this little-known pioneer in the field of poetry, dialect representation and community activism. Note: Campbell is also featured in Our Town: Pomeroy, Ohio (screening of this film is being proposed for a separate session)

Early post-metamorphic, Carboniferous blastoid reveals the evolution and development of the digestive system in echinoderms

Inferring the development of the earliest echinoderms is critical to uncovering the evolutionary assembly of the phylum-level body plan but has long proven problematic because early ontogenetic stages are rarely preserved as fossils. Here, we use synchrotron tomography to describe a new early post-metamorphic blastoid echinoderm from the Carboniferous (approx. 323 Ma) of China. The resulting three-dimensional reconstruction reveals a U-shaped tubular structure in the fossil interior, which is interpreted as the digestive tract. Comparisons with the developing gut of modern crinoids demonstrate that crinoids are an imperfect analogue for many extinct groups. Furthermore, consideration of our findings in a phylogenetic context allows us to reconstruct the evolution and development of the digestive system in echinoderms more broadly; there was a transition from a straight to a simple curved gut early in the phylum's evolution, but additional loops and coils of the digestive tract (as seen in crinoids) were not acquired until much later

Melanoma cells break down LPA to establish local gradients that drive chemotactic dispersal.

The high mortality of melanoma is caused by rapid spread of cancer cells, which occurs unusually early in tumour evolution. Unlike most solid tumours, thickness rather than cytological markers or differentiation is the best guide to metastatic potential. Multiple stimuli that drive melanoma cell migration have been described, but it is not clear which are responsible for invasion, nor if chemotactic gradients exist in real tumours. In a chamber-based assay for melanoma dispersal, we find that cells migrate efficiently away from one another, even in initially homogeneous medium. This dispersal is driven by positive chemotaxis rather than chemorepulsion or contact inhibition. The principal chemoattractant, unexpectedly active across all tumour stages, is the lipid agonist lysophosphatidic acid (LPA) acting through the LPA receptor LPAR1. LPA induces chemotaxis of remarkable accuracy, and is both necessary and sufficient for chemotaxis and invasion in 2-D and 3-D assays. Growth factors, often described as tumour attractants, cause negligible chemotaxis themselves, but potentiate chemotaxis to LPA. Cells rapidly break down LPA present at substantial levels in culture medium and normal skin to generate outward-facing gradients. We measure LPA gradients across the margins of melanomas in vivo, confirming the physiological importance of our results. We conclude that LPA chemotaxis provides a strong drive for melanoma cells to invade outwards. Cells create their own gradients by acting as a sink, breaking down locally present LPA, and thus forming a gradient that is low in the tumour and high in the surrounding areas. The key step is not acquisition of sensitivity to the chemoattractant, but rather the tumour growing to break down enough LPA to form a gradient. Thus the stimulus that drives cell dispersal is not the presence of LPA itself, but the self-generated, outward-directed gradient

Ten Years In: Implementing Strategic Approaches to Cyberspace

This book represents a look beyond theories and analogies to examine the challenges of strategy implementation. In the essays that follow, practitioners who are building cyberspace forces at-scale join scholars who study power and force in this new domain to collectively offer a unique perspective on the evolution and future of cyber strategy and operations.https://digital-commons.usnwc.edu/usnwc-newport-papers/1044/thumbnail.jp