American Step-Up and Step-Down Default Swaps under Levy Models

This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The pricing problem is formulated under a structural credit risk model based on Levy processes. This leads to the analytic and numerical studies of several optimal stopping problems subject to early termination due to default. In a general spectrally negative Levy model, we rigorously derive the optimal exercise strategy. This allows for instant computation of the credit spread under various specifications. Numerical examples are provided to examine the impacts of default risk and contractual features on the credit spread and exercise strategy.Comment: 35 pages, 5 figure

In silico transcriptional regulation and functional analysis of dengue shock syndrome associated SNPs in PLCE1 and MICB genes

YesSingle nucleotide polymorphisms (SNPs) in PLCE1 and MICB genes increase risk for the development of dengue shock syndrome (DSS). We used Bioinformatics tools to predict alterations at the transcriptional and posttranslational levels driven by PLCE1 and MICB SNPs associated with DSS. Functional and phenotypic analysis conducted to determine deleterious SNPs and impact of amino acid substitution on the structure and function of proteins identified rs2274223 (H1619R) as deleterious to protein coding as it induces structural change in the C2 domain of PLCε, with the mutant residue more positively charged than the wild-type residue (RMSD score, 1.75 Å).Moreover, rs2274223 condenses the chromatinrepressing PLCε expression in DSS. Briefly, this study presents the impact of a single nucleotide transition at SNPs associated with DSS on differential protein binding patterns with PLCE1 and MICB genes and on protein structure modification and their possible role in the pathogenesis of DSS

A High Resolution Genetic Map Anchoring Scaffolds of the Sequenced Watermelon Genome

As part of our ongoing efforts to sequence and map the watermelon (Citrullus spp.) genome, we have constructed a high density genetic linkage map. The map positioned 234 watermelon genome sequence scaffolds (an average size of 1.41 Mb) that cover about 330 Mb and account for 93.5% of the 353 Mb of the assembled genomic sequences of the elite Chinese watermelon line 97103 (Citrullus lanatus var. lanatus). The genetic map was constructed using an F8 population of 103 recombinant inbred lines (RILs). The RILs are derived from a cross between the line 97103 and the United States Plant Introduction (PI) 296341-FR (C. lanatus var. citroides) that contains resistance to fusarium wilt (races 0, 1, and 2). The genetic map consists of eleven linkage groups that include 698 simple sequence repeat (SSR), 219 insertion-deletion (InDel) and 36 structure variation (SV) markers and spans ∼800 cM with a mean marker interval of 0.8 cM. Using fluorescent in situ hybridization (FISH) with 11 BACs that produced chromosome-specifc signals, we have depicted watermelon chromosomes that correspond to the eleven linkage groups constructed in this study. The high resolution genetic map developed here should be a useful platform for the assembly of the watermelon genome, for the development of sequence-based markers used in breeding programs, and for the identification of genes associated with important agricultural traits

Global existence of solutions for a fractional Caputo nonlocal thermistor problem

We begin by proving a local existence result for a fractional Caputo nonlocal thermistor problem. Then additional existence and continuation theorems are obtained, ensuring global existence of solutions

A922 Sequential measurement of 1 hour creatinine clearance (1-CRCL) in critically ill patients at risk of acute kidney injury (AKI)

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