Accumulator pricing

Accumulator is a highly path dependant derivative structure that has been introduced as a retail financial product in recent years and becomes very popular in some Asian cities with its speculative nature. Despite its popularity, its pricing formula is not well known especially when there is a barrier structure. When the barrier in an accumulator contract is applied continuously, this paper obtains exact analytic pricing formulae for immediate settlement and for delay settlement. For discrete barrier, we also obtain analytic formulae which can approximate the fair price of an accumulator under both settlement methods. Through Monte Carlo simulation, we show that the approximation is highly satisfactory. With price formulae in close forms, this paper further explains how to price the product fairly to fit into its zero-cost structure. The analytic formulae also help in computing the Greeks of an accumulator which are documented in this paper. An asymmetry can be observed here that when the buyer is suffering a loss, risk characteristics like delta and vega are substantially larger than when the buyer is enjoying a profit. This means that losing buyers will be more vulnerable to price changes and volatility changes than winning buyers. This is consistent with another observation in the paper that the value at risk for the buyer can be several times larger than that of the seller. © 2009 IEEE.published_or_final_versionThe IEEE Symposium on Computational Intelligence for Financial Engineering (CIFEr) 2009, Nashville, TN., 30 March-2 April 2009. In Proceedings of the CIFEr, 2009, p. 72-7

Machine learning prediction of methionine and tryptophan photooxidation susceptibility

Photooxidation of methionine (Met) and tryptophan (Trp) residues is common and includes major degradation pathways that often pose a serious threat to the success of therapeutic proteins. Oxidation impacts all steps of protein production, manufacturing, and shelf life. Prediction of oxidation liability as early as possible in development is important because many more candidate drugs are discovered than can be tested experimentally. Undetected oxidation liabilities necessitate expensive and time-consuming remediation strategies in development and may lead to good drugs reaching patients slowly. Conversely, sites mischaracterized as oxidation liabilities could result in overengineering and lead to good drugs never reaching patients. To our knowledge, no predictive model for photooxidation of Met or Trp is currently available. We applied the random forest machine learning algorithm to in-house liquid chromatography-tandem mass spectrometry (LC-MS/MS) datasets (Met, n = 421; Trp, n = 342) of tryptic therapeutic protein peptides to create computational models for Met and Trp photooxidation. We show that our machine learning models predict Met and Trp photooxidation likelihood with 0.926 and 0.860 area under the curve (AUC), respectively, and Met photooxidation rate with a correlation coefficient (Q2) of 0.511 and root-mean-square error (RMSE) of 10.9%. We further identify important physical, chemical, and formulation parameters that influence photooxidation. Improvement of biopharmaceutical liability predictions will result in better, more stable drugs, increasing development throughput, product quality, and likelihood of clinical success

Structure and Function of Neisseria gonorrhoeae MtrF Illuminates a Class of Antimetabolite Efflux Pumps

Neisseria gonorrhoeae is an obligate human pathogen and the causative agent of the sexually transmitted disease gonorrhea. The control of this disease has been compromised by the increasing proportion of infections due to antibiotic-resistant strains, which are growing at an alarming rate. N. gonorrhoeae MtrF is an integral membrane protein that belongs to the AbgT family of transporters for which no structural information is available. Here, we describe the crystal structure of MtrF, revealing a dimeric molecule with architecture distinct from all other families of transporters. MtrF is a bowl-shaped dimer with a solvent-filled basin extending from the cytoplasm to halfway across the membrane bilayer. Each subunit of the transporter contains nine transmembrane helices and two hairpins, posing a plausible pathway for substrate transport. A combination of the crystal structure and biochemical functional assays suggests that MtrF is an antibiotic efflux pump mediating bacterial resistance to sulfonamide antimetabolite drugs

Crystal Structure of the Open State of the <i>Neisseria gonorrhoeae</i> MtrE Outer Membrane Channel

<div><p>Active efflux of antimicrobial agents is one of the most important strategies used by bacteria to defend against antimicrobial factors present in their environment. Mediating many cases of antibiotic resistance are transmembrane efflux pumps, composed of one or more proteins. The <i>Neisseria gonorrhoeae</i> MtrCDE tripartite multidrug efflux pump, belonging to the hydrophobic and amphiphilic efflux resistance-nodulation-cell division (HAE-RND) family, spans both the inner and outer membranes of <i>N. gonorrhoeae</i> and confers resistance to a variety of antibiotics and toxic compounds. We here describe the crystal structure of <i>N. gonorrhoeae</i> MtrE, the outer membrane component of the MtrCDE tripartite multidrug efflux system. This trimeric MtrE channel forms a vertical tunnel extending down contiguously from the outer membrane surface to the periplasmic end, indicating that our structure of MtrE depicts an open conformational state of this channel.</p></div

Stereo view of the composite omit electron density map of the MtrE channel protein at a resolution of 3.29 Å.

<p>(a) The composite omit map contoured at 1.2 σ is in blue. The Cα traces of MtrE are in red. (b) Representative section of the electron density at the interface between H2 and H3 of the periplasmic domain of MtrE. The electron density (colored white) is contoured at the 1.2 σ level and superimposed with the final refined model (green, carbon; red, oxygen; blue, nitrogen).</p

Structure of the <i>N. gonorrhoeae</i> MtrD efflux pump.

<p>(a) Ribbon diagram of a protomer of MtrD viewed in the membrane plane. The molecule is colored using a rainbow gradient from the N-terminus (blue) to the C-terminus (red). Sub-domains DN, DC, PN2, PC1 and PC2 are labeled. The location of PN1 is behind PN2, PC1 and PC2. (b) Ribbon diagram of the MtrD trimer viewed in the membrane plane. Each subunit of MtrD is labeled with a different color. Residues 917–927 (only found in MtrD) forming the upper portion of TM9 and the loop connecting TM9 and TM10 are in blue color.</p

Ion pairs in the transmembrane domain viewed from the cytoplasmic side.

<p>Residues D405 and D406 of TM4 and K948 of TM10 that form ion pairs, which may play an important role in proton translocation, are in green sticks.</p

Surface representations of the trimeric MtrE channel.

<p>The views from both the (a) extracellular and (b) periplasmic sides suggest that the MtrE channel is in its open form.</p