On the Deterministic-Shift Extended CIR Model in a Negative Interest Rate Framework

In this paper, we propose a new exogenous model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox–Ingersoll–Ross (CIR) model with a perfect fit to the observed term-structure. We use the difference between two independent CIR processes and apply the deterministic-shift extension technique. To allow for a fast calibration to the market swaption surface, we apply the Gram–Charlier expansion to calculate the swaption prices in our model. We run several numerical tests to demonstrate the strengths of this model by using Monte-Carlo techniques. In particular, the model produces close Bermudan swaption prices compared to Bloomberg’s Hull–White one-factor model. Moreover, it finds constant maturity swap (CMS) rates very close to Bloomberg’s CMS rates

How to handle negative interest rates in a CIR framework

In this paper, we propose a new model to address the problem of negative interest rates that preserves the analytical tractability of the original Cox–Ingersoll–Ross (CIR) model without introducing a shift to the market interest rates, because it is defined as the difference of two independent CIR processes. The strength of our model lies within the fact that it is very simple and can be calibrated to the market zero yield curve using an analytical formula. We run several numerical experiments at two different dates, once with a partially sub-zero interest rate and once with a fully negative interest rate. In both cases, we obtain good results in the sense that the model reproduces the market term structures very well. We then simulate the model using the Euler–Maruyama scheme and examine the mean, variance and distribution of the model. The latter agrees with the skewness and fat tail seen in the original CIR model. In addition, we compare the model’s zero coupon prices with market prices at different future points in time. Finally, we test the market consistency of the model by evaluating swaptions with different tenors and maturities

Numerical solution of kinetic SPDEs via stochastic Magnus expansion

In this paper, we show how the Itô-stochastic Magnus expansion can be used to efficiently solve stochastic partial differential equations (SPDE) with two space variables numerically. To this end, we will first discretize the SPDE in space only by utilizing finite difference methods and vectorize the resulting equation exploiting its sparsity. As a benchmark, we will apply it to the case of the stochastic Langevin equation with constant coefficients, where an explicit solution is available, and compare the Magnus scheme with the Euler–Maruyama scheme. We will see that the Magnus expansion is superior in terms of both accuracy and especially computational time by using a single GPU and verify it in a variable coefficient case. Notably, we will see speed-ups of order ranging form 20 to 200 compared to the Euler–Maruyama scheme, depending on the accuracy target and the spatial resolution

Gender equality in marine sciences in Kiel, Germany: how project-funded measures can urge institutions to act

In Kiel, in the north of Germany, marine research is rooted in a lively research community hosted mainly at Kiel University and the GEOMAR Helmholtz Centre. While the ratio of women and men is more or less balanced on all qualification levels with mainly nonpermanent junior positions, women are generally underrepresented in leading research positions. The problem of gender imbalance and inequality has been well-known for a long time. Especially in the last decade, however, manifold efforts were initiated to improve gender equality on a political and institutional level as well as within the research community itself. In our article we focus on the gender equality activities of the two large externally funded marine sciences research alliances: the Cluster of Excellence “The Future Ocean” and the Collaborative Research Centre 754 “Climate–Biogeochemistry Interactions in the Tropical Ocean”. For about a decade they offered both financial provisions and a structural framework to tackle the problem of women's underrepresentation in science and came up with innovative measures. In the following case study, we not only introduce the situation of women in marine sciences in Kiel and the structural arrangement to improve gender equality in general, but we also discuss three specific measures developed within the two collaborative research projects in detail: (i) the mentoring program via:mento_ocean for female postdocs, (ii) hiring policies integrating a gender quota for recruiting postdoctoral researchers and (iii) a code of conduct. Based on these best-practice examples we can show that progress towards gender equality has been made despite some obstacles faced when implementing the measures. This was especially the case for attracting female researchers to work in Kiel marine sciences and bringing the relevance of the topic to the surface of debates within the community. Looking at gender equality activities from a managerial point of view, we conclude from the situation in Kiel, where external funding for both research alliances ended in 2019, that even time-bound activities can initiate change. Initiatives developed by the marine sciences community were taken up by other research groups and inspired new activities at the level of the institution

Tumor cell migration in complex microenvironments

Tumor cell migration is essential for invasion and dissemination from primary solid tumors and for the establishment of lethal secondary metastases at distant organs. In vivo and in vitro models enabled identification of different factors in the tumor microenvironment that regulate tumor progression and metastasis. However, the mechanisms by which tumor cells integrate these chemical and mechanical signals from multiple sources to navigate the complex microenvironment remain poorly understood. In this review, we discuss the factors that influence tumor cell migration with a focus on the migration of transformed carcinoma cells. We provide an overview of the experimental and computational methods that allow the investigation of tumor cell migration, and we highlight the benefits and shortcomings of the various assays. We emphasize that the chemical and mechanical stimulus paradigms are not independent and that crosstalk between them motivates the development of new assays capable of applying multiple, simultaneous stimuli and imaging the cellular migratory response in real-time. These next-generation assays will more closely mimic the in vivo microenvironment to provide new insights into tumor progression, inform techniques to control tumor cell migration, and render cancer more treatable.National Science Foundation (U.S.) (Graduate Research Fellowship)Charles Stark Draper Laboratory (Research and Development Program (N.DL-H-550151))National Cancer Institute (U.S.) (R21CA140096

In Vitro Model of Tumor Cell Extravasation

Tumor cells that disseminate from the primary tumor and survive the vascular system can eventually extravasate across the endothelium to metastasize at a secondary site. In this study, we developed a microfluidic system to mimic tumor cell extravasation where cancer cells can transmigrate across an endothelial monolayer into a hydrogel that models the extracellular space. The experimental protocol is optimized to ensure the formation of an intact endothelium prior to the introduction of tumor cells and also to observe tumor cell extravasation by having a suitable tumor seeding density. Extravasation is observed for 38.8% of the tumor cells in contact with the endothelium within 1 day after their introduction. Permeability of the EC monolayer as measured by the diffusion of fluorescently-labeled dextran across the monolayer increased 3.8 fold 24 hours after introducing tumor cells, suggesting that the presence of tumor cells increases endothelial permeability. The percent of tumor cells extravasated remained nearly constant from1 to 3 days after tumor seeding, indicating extravasation in our system generally occurs within the first 24 hours of tumor cell contact with the endothelium

Randomised trial of once- or twice-daily MMX mesalazine for maintenance of remission in ulcerative colitis

AIM: Maintenance treatment in ulcerative colitis should be as convenient as possible, to increase the chance of compliance. MMX mesalazine is a once-daily, high-strength (1.2 g/tablet) formulation of 5-aminosalicylic acid. This study evaluated the safety and efficacy of MMX mesalazine dosed once or twice daily as maintenance therapy in patients with ulcerative colitis. METHODS: This multicentre, randomised, open-label trial enrolled patients with strictly defined clinical and endoscopic remission, immediately following an episode of mild to moderate ulcerative colitis. Patients were randomised to MMX mesalazine 2.4 g/day as a single (2x1.2 g tablet) or divided dose (1x1.2 g tablet twice daily) for 12 months. RESULTS: 174 patients (37.9%; safety population n = 459) experienced 384 adverse events, the majority of which were mild or moderate in intensity. Eighteen patients (3.9%), nine in each group, experienced a total of 22 serious adverse events (10 in the once-daily and 12 in the twice-daily group). Most serious adverse events were gastrointestinal, experienced by 5 patients in the once-daily and 4 in the twice-daily group. At month 12, 64.4% (efficacy population, n = 451) of patients in the once-daily and 68.5% of patients in the twice-daily group were in clinical and endoscopic remission (p = 0.351). At month 12, 88.9% and 93.2% in each group, respectively, had maintained clinical remission (were relapse free). CONCLUSIONS: MMX mesalazine 2.4 g/day administered as a single or divided dose demonstrated a good safety profile, was well tolerated and was effective as maintenance treatment. High clinical and endoscopic remission rates can be achieved with once-daily dosing. TRIAL REGISTRATION NUMBER: NCT00151944

A novel microfluidic platform for high-resolution imaging of a three-dimensional cell culture under a controlled hypoxic environment

Low oxygen tensions experienced in various pathological and physiological conditions are a major stimulus for angiogenesis. Hypoxic conditions play a critical role in regulating cellular behaviour including migration, proliferation and differentiation. This study introduces the use of a microfluidic device that allows for the control of oxygen tension for the study of different three-dimensional (3D) cell cultures for various applications. The device has a central 3D gel region acting as an external cellular matrix, flanked by media channels. On each side, there is a peripheral gas channel through which suitable gas mixtures are supplied to establish a uniform oxygen tension or gradient within the device. The effects of various parameters, such as gas and media flow rates, device thickness, and diffusion coefficients of oxygen were examined using numerical simulations to determine the characteristics of the microfluidic device. A polycarbonate (PC) film with a low oxygen diffusion coefficient was embedded in the device in proximity above the channels to prevent oxygen diffusion from the incubator environment into the polydimethylsiloxane (PDMS) device. The oxygen tension in the device was then validated experimentally using a ruthenium-coated (Ru-coated) oxygen-sensing glass cover slip which confirmed the establishment of low uniform oxygen tensions (<3%) or an oxygen gradient across the gel region. To demonstrate the utility of the microfluidic device for cellular experiments under hypoxic conditions, migratory studies of MDA-MB-231 human breast cancer cells were performed. The microfluidic device allowed for imaging cellular migration with high-resolution, exhibiting an enhanced migration in hypoxia in comparison to normoxia. This microfluidic device presents itself as a promising platform for the investigation of cellular behaviour in a 3D gel scaffold under varying hypoxic conditions

Post-Collision Interaction with Wannier electrons

A theory of the Post-Collision Interaction (PCI) is developed for the case when an electron atom impact results in creation of two low-energy Wannier electrons and an ion excited into an autoionizing state. The following autoionization decay exposes the Wannier pair to the influence of PCI resulting in variation of the shape of the line in the autoionization spectrum. An explicit dependence of the autoionization profile on the wave function of the Wannier pair is found. PCI provides an opportunity to study this wave function for a wide area of distancesComment: 33 pages, Latex, IOP style, and 3 figures fig1.ps, fig2.ps, fig3.p