An Arbitrage-Free Generalized Nelson-Siegel Term Structure Model

The Svensson generalization of the popular Nelson-Siegel term structure model is widely used by practitioners and central banks. Unfortunately, like the original Nelson-Siegel specification, this generalization, in its dynamic form, does not enforce arbitrage-free consistency over time. Indeed, we show that the factor loadings of the Svensson generalization cannot be obtained in a standard finance arbitrage-free affine term structure representation. Therefore, we introduce a closely related generalized Nelson-Siegel model on which the no-arbitrage condition can be imposed. We estimate this new arbitrage-free generalized Nelson-Siegel model and demonstrate its tractability and good in-sample fit.Yield Curve, Interest Rate, Bond Market, Svensson Model

Extracting deflation probability forecasts from Treasury yields

We construct probability forecasts for episodes of price deflation (i.e., a falling price level) using yields on nominal and real U.S. Treasury bonds. The deflation probability forecasts identify two "deflation scares" during the past decade: a mild one following the 2001 recession, and a more serious one starting in late 2008 with the deepening of the financial crisis. The estimated deflation probabilities are generally consistent with those from macroeconomic models and surveys of professional forecasters, but they also provide highfrequency insight into the views of financial market participants. The probabilities can also be used to price the deflation option embedded in real Treasury bonds.Deflation (Finance)

Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields

Differences between yields on comparable-maturity U.S. Treasury nominal and real debt, the so-called breakeven inflation (BEI) rates, are widely used indicators of inflation expectations. However, better measures of inflation expectations could be obtained by subtracting inflation risk premiums from the BEI rates. We provide such decompositions using an estimated affine arbitrage-free model of the term structure that captures the pricing of both nominal and real Treasury securities. Our empirical results suggest that long-term inflation expectations have been well anchored over the past few years, and inflation risk premiums, although volatile, have been close to zero on average.Inflation (Finance) ; Treasury bonds

The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models

We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.arbitrage, Nelson-Siegel, term structure, factor models, forecast accuracy

Quark Gluon Plasma an Color Glass Condensate at RHIC? The perspective from the BRAHMS experiment

We review the main results obtained by the BRAHMS collaboration on the properties of hot and dense hadronic and partonic matter produced in ultrarelativistic heavy ion collisions at RHIC. A particular focus of this paper is to discuss to what extent the results collected so far by BRAHMS, and by the other three experiments at RHIC, can be taken as evidence for the formation of a state of deconfined partonic matter, the so called quark-gluon-plasma (QGP). We also discuss evidence for a possible precursor state to the QGP, i.e. the proposed Color Glass Condensate.Comment: 32 pages, 18 figure

Infliximab Induces Clonal Expansion of γδ-T Cells in Crohn's Disease: A Predictor of Lymphoma Risk?

BACKGROUND: Concominant with the widespread use of combined immunotherapy in the management of Crohn's disease (CD), the incidence of hepato-splenic gamma-delta (γδ)-T cell lymphoma has increased sharply in CD patients. Malignant transformation of lymphocytes is believed to be a multistep process resulting in the selection of malignant γδ-T cell clones. We hypothesised that repeated infusion of anti-TNF-α agents may induce clonal selection and that concurrent treatment with immunomodulators further predisposes patients to γδ-T cell expansion. METHODOLOGY/PRINCIPAL FINDINGS: We investigated dynamic changes in the γδ-T cells of patient with CD following treatment with infliximab (Remicade®; n=20) or adalimumab (Humira®; n=26) using flow cytometry. In patients with a high γδ-T cell level, the γδ-T cells were assessed for clonality. Of these 46 CD patients, 35 had a γδ-T cells level (mean 1.6%) comparable to healthy individuals (mean 2.2%), and 11 CD patients (24%) exhibited an increased level of γδ-T cells (5-15%). In the 18 patients also receiving thiopurines or methotrexate, the average baseline γδ-T cell level was 4.4%. In three male CD patients with a high baseline value, the γδ-T cell population increased dramatically following infliximab therapy. A fourth male patient also on infliximab monotherapy presented with 20% γδ-T cells, which increased to 25% shortly after treatment and was 36% between infusions. Clonality studies revealed an oligoclonal γδ-T cell pattern with dominant γδ-T cell clones. In support of our clinical findings, in vitro experiments showed a dose-dependent proliferative effect of anti-TNF-α agents on γδ-T cells. CONCLUSION/SIGNIFICANCE: CD patients treated with immunomodulators had constitutively high levels of γδ-T cells. Infliximab exacerbated clonal γδ-T cell expansion in vivo and induced γδ-T cell proliferation in vitro. Overall, young, male CD patients with high baseline γδ-T cell levels may be at an increased risk of developing malignant γδ-T cell lymphomas following treatment with anti-TNF-α agents

Prevalence and Characterization of Motile Salmonella in Commercial Layer Poultry Farms in Bangladesh

Salmonella is a globally widespread food-borne pathogen having major impact on public health. All motile serovars of Salmonella enterica of poultry origin are zoonotic, and contaminated meat and raw eggs are an important source to human infections. Information on the prevalence of Salmonella at farm/holding level, and the zoonotic serovars circulating in layer poultry in the South and South-East Asian countries including Bangladesh, where small-scale commercial farms are predominant, is limited. To investigate the prevalence of Salmonella at layer farm level, and to identify the prevalent serovars we conducted a cross-sectional survey by randomly selecting 500 commercial layer poultry farms in Bangladesh. Faecal samples from the selected farms were collected following standard procedure, and examined for the presence of Salmonella using conventional bacteriological procedures. Thirty isolates were randomly selected, from the ninety obtained from the survey, for serotyping and characterized further by plasmid profiling and pulsed-field gel electrophoresis (PFGE). Results of the survey showed that the prevalence of motile Salmonella at layer farm level was 18% (95% confidence interval 15–21%), and Salmonella Kentucky was identified to be the only serovar circulating in the study population. Plasmid analysis of the S. Kentucky and non-serotyped isolates revealed two distinct profiles with a variation of two different sizes (2.7 and 4.8 kb). PFGE of the 30 S. Kentucky and 30 non-serotyped isolates showed that all of them were clonally related because only one genotype and three subtypes were determined based on the variation in two or three bands. This is also the first report on the presence of any specific serovar of Salmonella enterica in poultry in Bangladesh

Vesicular Stomatitis Virus Infection Promotes Immune Evasion by Preventing NKG2D-Ligand Surface Expression

Vesicular stomatitis virus (VSV) has recently gained attention for its oncolytic ability in cancer treatment. Initially, we hypothesized that VSV infection could increase immune recognition of cancer cells through induction of the immune stimulatory NKG2D-ligands. Here we show that VSV infection leads to a robust induction of MICA mRNA expression, however the subsequent surface expression is potently hindered. Thus, VSV lines up with human cytomegalovirus (HCMV) and adenovirus, which actively subvert the immune system by negatively affecting NKG2D-ligand surface expression. VSV infection caused an active suppression of NKG2D-ligand surface expression, affecting both endogenous and histone deacetylase (HDAC)-inhibitor induced MICA, MICB and ULBP-2 expression. The classical immune escape mechanism of VSV (i.e., the M protein blockade of nucleocytoplasmic mRNA transport) was not involved, as the VSV mutant strain, VSVΔM51, which possess a defective M protein, prevented MICA surface expression similarly to wild-type VSV. The VSV mediated down modulation of NKG2D-ligand expression did not involve apoptosis. Constitutive expression of MICA bypassed the escape mechanism, suggesting that VSV affect NKG2D-ligand expression at an early post-transcriptional level. Our results show that VSV possess an escape mechanism, which could affect the immune recognition of VSV infected cancer cells. This may also have implications for immune recognition of cancer cells after combined treatment with VSV and chemotherapeutic drugs