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

An Attempt to Probe the Radio Jet Collimation Regions in NGC 4278, NGC 4374 (M84), and NGC 6166

NRAO Very Long Baseline Array (VLBA) observations of NGC 4278, NGC 4374 (M84), NGC 6166, and M87 (NGC 4486) have been made at 43 GHz in an effort to image the jet collimation region. This is the first attempt to image the first three sources at 43 GHz using Very Long Baseline Interferometry (VLBI) techniques. These three sources were chosen because their estimated black hole mass and distance implied a Schwarzschild radius with large angular size, giving hope that the jet collimation regions could be studied. Phase referencing was utilize for the three sources because of their expected low flux densities. M87 was chosen as the calibrator for NGC 4374 because it satisfied the phase referencing requirements: nearby to the source and sufficiently strong. Having observed M87 for a long integration time, we have detected its sub-parsec jet, allowing us to confirm previous high resolution observations made by Junor, Biretta & Livio, who have indicated that a wide opening angle was seen near the base of the jet. Phase referencing successfully improved our image sensitivity, yielding detections and providing accurate positions for NGC 4278, NGC 4374 and NGC 6166. These sources are point dominated, but show suggestions of extended structure in the direction of the large-scale jets. However, higher sensitivity will be required to study their sub-parsec jet structure

Fecal Viral Community Responses to High-Fat Diet in Mice.

Alterations in diet can have significant impact on the host, with high-fat diet (HFD) leading to obesity, diabetes, and inflammation of the gut. Although membership and abundances in gut bacterial communities are strongly influenced by diet, substantially less is known about how viral communities respond to dietary changes. Examining fecal contents of mice as the mice were transitioned from normal chow to HFD, we found significant changes in the relative abundances and the diversity in the gut of bacteria and their viruses. Alpha diversity of the bacterial community was significantly diminished in response to the diet change but did not change significantly in the viral community. However, the diet shift significantly impacted the beta diversity in both the bacterial and viral communities. There was a significant shift away from the relatively abundant Siphoviridae accompanied by increases in bacteriophages from the Microviridae family. The proportion of identified bacteriophage structural genes significantly decreased after the transition to HFD, with a conserved loss of integrase genes in all four experimental groups. In total, this study provides evidence for substantial changes in the intestinal virome disproportionate to bacterial changes, and with alterations in putative viral lifestyles related to chromosomal integration as a result of shift to HFD.IMPORTANCE Prior studies have shown that high-fat diet (HFD) can have profound effects on the gastrointestinal (GI) tract microbiome and also demonstrate that bacteria in the GI tract can affect metabolism and lean/obese phenotypes. We investigated whether the composition of viral communities that also inhabit the GI tract are affected by shifts from normal to HFD. We found significant and reproducible shifts in the content of GI tract viromes after the transition to HFD. The differences observed in virome community membership and their associated gene content suggest that these altered viral communities are populated by viruses that are more virulent toward their host bacteria. Because HFD also are associated with significant shifts in GI tract bacterial communities, we believe that the shifts in the viral community may serve to drive the changes that occur in associated bacterial communities

Foci of Schistosomiasis mekongi, Northern Cambodia: II. Distribution of infection and morbidity.

In the province of Kracheh, in Northern Cambodia, a baseline epidemiological survey on Schistosoma mekongi was conducted along the Mekong River between December 1994 and April 1995. The results of household surveys of highly affected villages of the East and the West bank of the river and of school surveys in 20 primary schools are presented. In household surveys 1396 people were examined. An overall prevalence of infection of 49.3% was detected by a single stool examination with the Kato-Katz technique. The overall intensity of infection was 118.2 eggs per gram of stool (epg). There was no difference between the population of the east and west shore of the Mekong for prevalence (P = 0.3) or intensity (P = 0.9) of infection. Severe morbidity was very frequent. Hepatomegaly of the left lobe was detected in 48.7% of the population. Splenomegaly was seen in 26.8% of the study participants. Visible diverted circulation was found in 7.2% of the population, and ascites in 0.1%. Significantly more hepatomegaly (P = 0.001), splenomegaly (P = 0. 001) and patients with diverted circulation (P = 0.001) were present on the west bank of the Mekong. The age group of 10-14 years was most affected. The prevalence of infection in this group was 71.8% and 71.9% in the population of the West and East of the Mekong, respectively. The intensity of infection was 172.4 and 194.2 epg on the West and the East bank, respectively. In the peak age group hepatomegaly reached a prevalence of 88.1% on the west and 82.8% on the east bank. In the 20 schools 2391 children aged 6-16 years were examined. The overall prevalence of infection was 40.0%, ranging from 7.7% to 72.9% per school. The overalls mean intensity of infection was 110.1 epg (range by school: 26.7-187.5 epg). Both prevalence (P = 0.001) and intensity of infection (P = 0.001) were significantly higher in schools on the east side of the Mekong. Hepatomegaly (55.2%), splenomegaly (23.6%), diverted circulation (4. 1%), ascites (0.5%), reported blood (26.7%) and mucus (24.3%) were very frequent. Hepatomegaly (P = 0.001), splenomegaly (P = 0.001), diverted circulation (P = 0.001) and blood in stool (P = 0.001) were significantly more frequent in schools of the east side of the Mekong. Boys suffered more frequently from splenomegaly (P = 0.05), ascites (P = 0.05) and bloody stools (P = 0.004) than girls. No difference in sex was found for the prevalence and intensity of infection and prevalence of hepatomegaly. On the school level prevalence and intensity of infection were highly associated (r = 0. 93, P = 0.0001). The intensity of infection was significantly associated only with the prevalence of hepatomegaly (r = 0.44, P = 0. 05) and blood in stool (r = 0.40, P = 0.02). This comprehensive epidemiological study documents for the first time the public health importance of schistosomiasis mekongi in the Province of Kracheh, Northern Cambodia and points at key epidemiological features of this schistosome species, in particular the high level of morbidity associated with infection

Effects of COD/N ratio on soluble microbial products in effluent from sequencing batch reactors and subsequent membrane fouling

© 2018 Elsevier Ltd The relative ratios of chemical oxygen demand (COD) to nitrogen (N) in wastewater are known to have profound effects on the characteristics of soluble microbial products (SMP) from activated sludge. In this study, the changes in the SMP characteristics upon different COD/N ratios and the subsequent effects on ultrafiltration (UF) membrane fouling potentials were examined in sequencing batch reactors (SBR) using excitation emission matrix-parallel factor analysis (EEM-PARAFAC) and size exclusion chromatography (SEC). Three unique fluorescent components were identified from the SMP samples in the bioreactors operated at the COD/N ratios of 100/10 (N rich), 100/5 (N medium), and 100/2 (N deficient). The tryptophan-like component (C1) was the most depleted at the N medium condition. Fulvic-like (C2) and humic-like (C3) components were more abundant with N rich wastewater. Greater abundances of large size biopolymer (BP) and low molecular weight neutrals (LMWN) were found under the N deficient and N rich conditions, respectively. SMPs from various COD/N exhibited a greater degree on membrane fouling following the order of 100/2 > 100/10 > 100/5. C1 and C2 had close associations with reversible and irreversible fouling, respectively, while the reversible fouling potential of C3 depended on the COD/N ratios. No significant impact of COD/N ratio was observed on the relative contributions of SMP size fractions to either reversible or irreversible fouling potential. However, the COD/N ratios likely altered the BP foulants' composition with greater contribution of proteinaceous substances to reversible fouling under the N deficient condition than at other N richer conditions. The opposite trend was observed for irreversible fouling. Our results provided further insight into changes in different SMP constitutes and their membrane fouling in response to microbial activities under different COD/N ratios