Theory and Calibration of Swap Market Models

This paper introduces a general framework for market models, named Market Model Approach, through the concept of admissible sets of for-ward swap rates spanning a given tenor structure. We relate this concept to results in graph theory by showing that a set is admissible if and only if the associated graph is a tree. This connection enables us to enumerate all admissible models for a given tenor structure. Three main classes are identified within this framework, and correspond to the co-terminal, co-initial, and co-sliding model. We prove that the LIBOR market model is the only admissible model of a co-sliding type. By focusing on the co-terminal model in a lognormal setting, we develop and compare several approximating analytical formulae for caplets, while swaptions can be priced by a simple Black-type formula. A novel calibration technique is introduced to allow simultaneous calibration to caplet and swaption prices. Empirical calibration of the co-terminal model is shown to be faster, more robust and more efficient than the same procedure applied to the LIBOR market model. We then argue that the co-terminal approach is the simplest and most convenient market model for pricing and hedging a large variety of exotic interest-rate derivatives.Swap Market Model, Cap, Swaption, Calibration, Graph Theory

High-Resolution Structure of the N-Terminal Endonuclease Domain of the Lassa Virus L Polymerase in Complex with Magnesium Ions

Lassa virus (LASV) causes deadly hemorrhagic fever disease for which there are no vaccines and limited treatments. LASV-encoded L polymerase is required for viral RNA replication and transcription. The functional domains of L–a large protein of 2218 amino acid residues–are largely undefined, except for the centrally located RNA-dependent RNA polymerase (RdRP) motif. Recent structural and functional analyses of the N-terminal region of the L protein from lymphocytic choriomeningitis virus (LCMV), which is in the same Arenaviridae family as LASV, have identified an endonuclease domain that presumably cleaves the cap structures of host mRNAs in order to initiate viral transcription. Here we present a high-resolution crystal structure of the N-terminal 173-aa region of the LASV L protein (LASV L173) in complex with magnesium ions at 1.72 Å. The structure is highly homologous to other known viral endonucleases of arena- (LCMV NL1), orthomyxo- (influenza virus PA), and bunyaviruses (La Crosse virus NL1). Although the catalytic residues (D89, E102 and K122) are highly conserved among the known viral endonucleases, LASV L endonuclease structure shows some notable differences. Our data collected from in vitro endonuclease assays and a reporter-based LASV minigenome transcriptional assay in mammalian cells confirm structural prediction of LASV L173 as an active endonuclease. The high-resolution structure of the LASV L endonuclease domain in complex with magnesium ions should aid the development of antivirals against lethal Lassa hemorrhagic fever

Current situation analysis of the government invested project management

2004-2005 > Academic research: refereed > Publication in refereed journalVersion of RecordPublishe

Melatonin reduced volume of cerebral infarct induced by photothrombosis in wild-type mice, not in Cyclooxygenase-1 gene knockout mice

Cyclooxygenase (COX) is crucial in inflammation and plays important role in cerebral ischemia. Anti-inflammatory effects of melatonin have been verified in previous studies. In this study, cerebral blood flow (CBF) was monitored during operation, infarct volume (IFV) was determined with 5-triphenyltetrazolium chloride (TTC) staining and MR image, and neurological functions were evaluated with turn in an alley and fall pole test in both COX-1-gene knockout and wide-type mice with or without melatonin administration 3 days after photothrombosis. CBF reduction, IFV and neurological deficits were not significantly different in COX-1 wild-type and COX-1 knockout mice. Melatonin (15 mg/kg) intraperitoneal injection decreased the CBF reduction, IFV and the latency to turn in an alley in COX-1 wide-type mice, whereas the neuroprotective effect of melatonin was attenuated in COX-1 knockout mice. We concluded that melatonin reduced susceptibility to photothrombotic stroke. COX-1 gene knockout does not alter the susceptibility to cerebral ischemia caused by photothrombosis. COX-1 plays an important role in the pathway of the protection of melatonin.published_or_final_versio

Cell death caused by single-stranded oligodeoxynucleotide-mediated targeted genomic sequence modification

Targeted gene repair directed by single-stranded oligodeoxynucleotides (ssODNs) offers a promising tool for biotechnology and gene therapy. However, the methodology is currently limited by its low frequency of repair events, variability, and low viability of "corrected" cells. In this study, we showed that during ssODN-mediated gene repair reaction, a significant population of corrected cells failed to divide, and were much more prone to undergo apoptosis, as marked by processing of caspases and PARP-1. In addition, we found that apoptotic cell death triggered by ssODN-mediated gene repair was largely independent of the ATM/ATR kinase. Furthermore, we examined the potential involvement of the mismatch repair (MMR) proteins in this "correction reaction-induced" cell death. Result showed that while defective MMR greatly enhanced the efficiency of gene correction, compromising the MMR system did not yield any viable corrected clone, indicating that the MMR machinery, although plays a critical role in determining ssODN-directed repair, was not involved in the observed cellular genotoxic responses. © 2009. Mary Ann Liebert, Inc.published_or_final_versio

Beat-to-beat ambulatory blood pressure estimation based on random forest

Ambulatory blood pressure is critical in predicting some major cardiovascular events; therefore, cuff-less and noninvasive beat-to-beat ambulatory blood pressure measure-ment is of great significance. Machine-learning methods have shown the potential to derive the relationship between physio-logical signal features and ABP. In this paper, we apply random forest method to systematically explorer the inherent connections between photoplethysmography signal, electrocardiogram signal and ambulatory blood pressure. To archive this goal, 18 features were extracted from PPG and ECG signals. Several models with most significant features as inputs and beat-to-beat ABP as outputs were trained and tested on data from the Multi-Parameter Intelligent Monitoring in Intensive Care II database. Results indicate that compared with the common pulse transit time method, the RF method gives a better performance for one-hour continuous estimation of diastolic blood pressure and systolic blood pressure under both the Association for the Advancement of Medical Instrumentation and British Hyper-tension Society standard

Biofuel trigeneration with energy storage for heating, cooling and power on farms

The drive towards net-zero carbon emissions has prompted many industries to alter the way they operate. The agriculture industry is responsible for a large proportion of the UK’s greenhouse gas emissions. Thus, the feasibility of implementing an anaerobic digestion (AD) system supplying biogas to a trigeneration system with energy storage for the provision of heating, cooling and power has been investigated in the context of a medium-scale arable farm. Two configurations – one supplied with wheat straw only, and the other supplied with wheat straw, barley straw and manure – were identified to meet the energy demands of the farm. Technical feasibility was investigated via simulations run in ECLIPSE, with the two configurations returning overall system efficiencies of 66.8% and 67.1%, respectively. Economic analyses indicated simple payback periods of 9.4 and 11 years, which fall within the expected 20-year lifetime of the project. Furthermore, the potential reduction in CO2 emissions for each scenario was determined to be 42,764 kg and 43,956 kg per year

Cerebellar defects in Pdss2 conditional knockout mice during embryonic development and in adulthood

PDSS2 is a gene that encodes one of the two subunits of trans-prenyl diphosphate synthase that is essential for ubiquinone biosynthesis. It is known that mutations in PDSS2 can cause primary ubiquinone deficiency in humans and a similar disease in mice. Cerebellum is the most often affected organ in ubiquinone deficiency, and cerebellar atrophy has been diagnosed in many infants with this disease. In this study, two Pdss2 conditional knockout mouse lines directed by Pax2-cre and Pcp2-cre were generated to investigate the effect of ubiquinone deficiency on cerebellum during embryonic development and in adulthood, respectively. The Pdss2 f/-; Pax2-cre mouse recapitulates some symptoms of ubiquinone deficiency in infants, including severe cerebellum hypoplasia and lipid accumulation in skeletal muscles at birth. During early cerebellum development (E12.5-14.5), Pdss2 knockout initially causes the delay of radial glial cell growth and neuron progenitor migration, so the growth of mutant cerebellum is retarded. During later development (E15.5-P0), increased ectopic apoptosis of neuroblasts and impaired cell proliferation result in the progression of cerebellum hypoplasia in the mutant. Thus, the mutant cerebellum contains fewer neurons at birth, and the cells are disorganized. The developmental defect of mutant cerebellum does not result from reduced Fgf8 expression before E12.5. Electron microscopy reveals mitochondrial defects and increased autophagic-like vacuolization that may arise in response to abnormal mitochondria in the mutant cerebellum. Nevertheless, the mutant mice die soon after birth probably due to cleft palate and micrognathia, which may result from Pdss2 knockout caused by ectopic Pax2-cre expression in the first branchial arch. On the other hand, the Pdss2 f/-; Pcp2-cre mouse is healthy at birth but gradually loses cerebellar Purkinje cells and develops ataxia-like symptoms at 9.5months; thus this conditional knockout mouse may serve as a model for ubiquinone deficiency in adult patients. In conclusion, this study provides two mouse models of Pdss2 based ubiquinone deficiency. During cerebellum development, Pdss2 knockout results in severe cerebellum hypoplasia by impairing cell migration and eliciting ectopic apoptosis, whereas Pdss2 knockout in Purkinje cells at postnatal stages leads to the development of cerebellar ataxia. © 2011 Elsevier Inc.postprin

Rapid detection of adulterated drugs in herbal dietary supplements by wooden-tip electrospray ionization mass spectrometry

Version of RecordPublishe

Encoding of physics concepts: Concreteness and presentation modality reflected by human brain dynamics

Previous research into working memory has focused on activations in different brain areas accompanying either different presentation modalities (verbal vs. non-verbal) or concreteness (abstract vs. concrete) of non-science concepts. Less research has been conducted investigating how scientific concepts are learned and further processed in working memory. To bridge this gap, the present study investigated human brain dynamics associated with encoding of physics concepts, taking both presentation modality and concreteness into account. Results of this study revealed greater theta and low-beta synchronization in the anterior cingulate cortex (ACC) during encoding of concrete pictures as compared to the encoding of both high and low imageable words. In visual brain areas, greater theta activity accompanying stimulus onsets was observed for words as compared to pictures while stronger alpha suppression was observed in responses to pictures as compared to words. In general, the EEG oscillation patterns for encoding words of different levels of abstractness were comparable but differed significantly from encoding of pictures. These results provide insights into the effects of modality of presentation on human encoding of scientific concepts and thus might help in developing new ways to better teach scientific concepts in class. © 2012 Lai et al