Pascal Spreading of Short-Term Interest Rate Contracts

This paper examines the spreading and pricing of short-term interest rate futures contracts and shows how traditional types of calendar spread positions can emerge as explicit arbitrage solutions. A specific set of intuitive spreading structures – “Pascal’s Spreading Triangle” – arises when the underlying daily risk factors are identified as the stochastic coefficients of a high-ordered polynomial approximation to the yield curve. No empirically estimated hedge ratios are required for these arbitrage strategies. Application of this Pascal Spreads framework to pricing and trading the LIFFE’s Short Sterling deposit futures market over the 1989 to 1998 sample period reveals that the LIFFE’s Short Sterling arbitrage sector’s efficiency has improved markedly over time. The improvement over the decade coincides with the dramatic declines in futures trading transactions costs. As a byproduct, the framework extracts and measures the quantitative impact of the Y2K millennium-turn pricing distortion on the December 1999 Short Sterling futures contract

Crisis Dynamics of Implied Default Recovery Ratios: Evidence From Russia and Argentina

The Russian GKO default crisis provides a unique window into the impact of changing default probabilities and recovery ratio assumptions on credit-sensitive sovereign bond prices. This paper introduces a joint implied parameter approach to extract both the expected recovery ratio and the default probability term structure. The methodology is applied to both Russian Federation and Republic of Argentina US dollar-denominated Eurobonds before and after the GKO crisis. For the Russian bonds, the sample paths suggest a two-phase revaluation. Shifts in default probabilities account for most of the initial price collapse. Marked decreases in the projected default recovery ratio dominate the continued Russian bond price declines. The "contagion effect" impact of the default crisis on the Argentine Eurobond market actually resembles the Russian case much more than the raw price data indicate. The crucial Argentine distinction is that investors never cut recovery value assumptions

The experience of children with disabilities and their families during the COVID-19 pandemic; what lessons can we learn?

COVID-19 has had serious, negative impacts on children’s health and development. But the impacts have not been felt equally; disabled children and their families have been hit particularly hard. In this paper we summarise UK legislation to limit the spread of the virus and describe how services to disabled children changed as a result. We discuss the long-term deleterious impacts of changes in service provision on the health and wellbeing of disabled children and the parent carers supporting them. We close with lessons learned for resetting services to support the ongoing recovery of children and their families and recommendations for delivering services better in future emergencies to ensure that disabled children’s health and wellbeing is maintained

Rocaglates induce gain-of-function alterations to eIF4A and eIF4F

Rocaglates are a diverse family of biologically active molecules that have gained tremendous interest in recent years due to their promising activities in pre-clinical cancer studies. As a result, this family of compounds has been significantly expanded through the development of efficient synthetic schemes. However, it is unknown whether all of the members of the rocaglate family act through similar mechanisms of action. Here, we present a comprehensive study comparing the biological activities of >200 rocaglates to better understand how the presence of different chemical entities influences their biological activities. Through this, we find that most rocaglates preferentially repress the translation of mRNAs containing purine-rich 5' leaders, but certain rocaglates lack this bias in translation repression. We also uncover an aspect of rocaglate mechanism of action in which the pool of translationally active eIF4F is diminished due to the sequestration of the complex onto RNA.P50 GM067041 - NIGMS NIH HHS; R24 GM111625 - NIGMS NIH HHS; R35 GM118173 - NIGMS NIH HHSPublished versio