Accounting for risk of non linear portfolios: a novel Fourier approach

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.

Template-Directed Ligation of Tethered Mononucleotides by T4 DNA Ligase for Kinase Ribozyme Selection

Background: In vitro selection of kinase ribozymes for small molecule metabolites, such as free nucleosides, will require partition systems that discriminate active from inactive RNA species. While nucleic acid catalysis of phosphoryl transfer is well established for phosphorylation of 59 or 29 OH of oligonucleotide substrates, phosphorylation of diffusible small molecules has not been demonstrated. Methodology/Principal Findings: This study demonstrates the ability of T4 DNA ligase to capture RNA strands in which a tethered monodeoxynucleoside has acquired a 59 phosphate. The ligation reaction therefore mimics the partition step of a selection for nucleoside kinase (deoxy)ribozymes. Ligation with tethered substrates was considerably slower than with nicked, fully duplex DNA, even though the deoxynucleotides at the ligation junction were Watson-Crick base paired in the tethered substrate. Ligation increased markedly when the bridging template strand contained unpaired spacer nucleotides across from the flexible tether, according to the trends: A2.A1.A3.A4.A0.A6.A8.A10 and T2.T3.T4.T6<T1.T8.T10. Bridging T’s generally gave higher yield of ligated product than bridging A’s. ATP concentrations above 33 mM accumulated adenylated intermediate and decreased yields of the gap-sealed product, likely due to re-adenylation of dissociated enzyme. Under optimized conditions, T4 DNA ligase efficiently (.90%) joined a correctly paired, or T:G wobble-paired, substrate on the 39 side of the ligation junction while discriminating approximately 100-fold against most mispaire

Computing Highly Correlated Positions Using Mutual Information and Graph Theory for G Protein-Coupled Receptors

G protein-coupled receptors (GPCRs) are a superfamily of seven transmembrane-spanning proteins involved in a wide array of physiological functions and are the most common targets of pharmaceuticals. This study aims to identify a cohort or clique of positions that share high mutual information. Using a multiple sequence alignment of the transmembrane (TM) domains, we calculated the mutual information between all inter-TM pairs of aligned positions and ranked the pairs by mutual information. A mutual information graph was constructed with vertices that corresponded to TM positions and edges between vertices were drawn if the mutual information exceeded a threshold of statistical significance. Positions with high degree (i.e. had significant mutual information with a large number of other positions) were found to line a well defined inter-TM ligand binding cavity for class A as well as class C GPCRs. Although the natural ligands of class C receptors bind to their extracellular N-terminal domains, the possibility of modulating their activity through ligands that bind to their helical bundle has been reported. Such positions were not found for class B GPCRs, in agreement with the observation that there are not known ligands that bind within their TM helical bundle. All identified key positions formed a clique within the MI graph of interest. For a subset of class A receptors we also considered the alignment of a portion of the second extracellular loop, and found that the two positions adjacent to the conserved Cys that bridges the loop with the TM3 qualified as key positions. Our algorithm may be useful for localizing topologically conserved regions in other protein families

Structural and functional characterization of the human NBC3 sodium/bicarbonate co-transporter carboxyl-terminal cytoplasmic domain

The sodium bicarbonate co-transporter, NBC3, is expressed in a range of tissues including heart, skeletal muscle and kidney, where it modulates intracellular pH and bicarbonate levels. NBC3 has a three-domain structure: 67 kDa N-terminal cytoplasmic domain, 57 kDa membrane domain and an 11 kDa C-terminal cytoplasmic domain (NBC3Ct). The role of C-terminal domains as important regulatory regions is an emerging theme in bicarbonate transporter physiology. This study determined the functional role of human NBC3Ct and characterized its structure using biochemical techniques. The NBC3 C-terminal domain deletion mutant (NBC3ΔCt) had only 12±5% of wild-type transport activity. This low activity is attributable to low steady-state levels of NBC3ΔCt and almost complete retention inside the cell, as assessed by immunoblots and confocal microscopy, suggesting a role of NBC3Ct in cell surface processing. To characterize the structure of NBC3Ct, amino acids 1127–1214 of NBC3 were expressed as a GST fusion protein (GST.NBC3Ct). GST.NBC3Ct was cleaved with PreScission Proteasᵀᴹ and native NBC3Ct could be purified to 94% homogeneity. Gel permeation chromatography and sedimentation velocity ultracentrifugation of NBC3Ct indicated a Stokes radius of 26 and 30 Å, respectively. Shape modelling revealed NBC3Ct as a prolate shape with long and short axes of 19 and 2 nm, respectively. The circular dichroism spectra of NBC3Ct did not change over the pH 6.2–7.8 range, which rules out a large change of secondary structure as a component of pH sensor function. Proteolysis with trypsin and chymotrypsin identified two proteolytically sensitive regions, R1129 and K1183-K1186, which could form protein interaction sites.11 page(s

Cyclosilazanes and borazines: polymer precursors to silicon- and boron-containing ceramics

The chemistry of cyclosilazanes and borazines is a topic of current interest in view of preceramic polymers which yield on pyrolysis various useful ceramic materials, e.g. silicon and boron carbide, silicon and boron nitride, and ternary or quaternary mixtures of these materials. These materials are hard and have high oxidative and thermal stability. Other useful properties are resistance to corrosion, thermal shock and creep, low electrical conductivity and low coefficient of thermal expansion. One of the best application prospects is the use of the preceramic polymers as protective coating material for carbon fibres

Allosterically activated Diels-Alder catalysis by a ribozyme

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