Optimal Variance Swaps Portfolios and Estimating Greeks for Variance-Gamma

In this dissertation, we investigate two problems: constructing optimal variance swaps portfolios and estimating Greeks for options with underlying assets following a Variance Gamma process. By modeling the dependent non-Gaussian residual in a linear regression model through a L'evy Mixture (LM) model and a Variance Gamma Correlated (VGC) model, and running some optimizations, we construct an optimal variance swap portfolio. By implementing gradient estimation techniques, we estimate the Greeks for a series of basket options called Mountain Range options. Constructing an optimal variance swap portfolio consists of two steps: evaluations and optimization. Each variance swap has two legs: a fixed leg (also called the variance strike) and a floating leg (also called the realized variance). The value of a variance swap is the discounted difference between the realized variance and the variance strike. For the latter, one can use an option surface calibration to evaluate. For the former, the procedure is complicated due to the non-negligible residuals from a linear regression model. Through LM and VGC, we can estimate the realized variance on different sample paths and obtain the payoff of a variance swap numerically. Based on these numerical results, we can apply the optimization method to construct an optimal portfolio. In the second part of this dissertation, we consider gradient estimation for Mountain Range options including Everest options, Atlas options, Altiplano/Annapurna options and Himalayan options. Assuming the underlying assets follow a Variance-Gamma (VG) process, we derive estimators for sensitivities such as Greeks through Monte Carlo simulation. We implement and compare using numerical experiments several gradient estimation approaches: finite difference methods (forward difference), infinitesimal perturbation analysis (IPA), and likelihood ratio (LR) method using either the density function or the characteristic function

Effects of different dietary energy and protein levels and sex on growth performance, carcass characteristics and meat quality of F1 Angus × Chinese Xiangxi yellow cattle

BACKGROUND: The experiment evaluated the effect of nutrition levels and sex on the growth performance, carcass characteristics and meat quality of F1 Angus × Chinese Xiangxi yellow cattle. METHODS: During the background period of 184 d,23 steers and 24 heifers were fed the same ration,then put into a 2 × 2 × 2 factorial arrangement under two levels of - dietary energy (TDN: 70/80% DM), protein (CP: 11.9/14.3% DM) and sex (S: male/female) during the finishing phase of 146 d. The treatments were - (1) high energy/low protein (HELP), (2) high energy/high protein (HEHP), (3) low energy/low protein (LELP) and (4) low energy/high protein (LEHP). Each treatment used 6 steers and 6 heifers, except for HELP- 5 steers and 6 heifers. RESULTS: Growth rate and final carcass weight were unaffected by dietary energy and protein levels or by sex. Compared with the LE diet group, the HE group had significantly lower dry matter intake (DMI, 6.76 vs. 7.48 kg DM/d), greater chest girth increments (46.1 vs. 36.8 cm), higher carcass fat (19.9 vs.16.3%) and intramuscular fat content (29.9 vs. 22.8% DM). The HE group also had improved yields of top and medium top grade commercial meat cuts (39.9 vs.36.5%). The dressing percentage was higher for the HP group than the LP group (53.4 vs. 54.9%). Steers had a greater length increment (9.0 vs. 8.3 cm), but lower carcass fat content (16.8 vs. 19.4%) than heifers. The meat quality traits (shear force value, drip loss, cooking loss and water holding capacity) were not affected by treatments or sex, averaging 3.14 kg, 2.5, 31.5 and 52.9%, respectively. The nutritive profiles (both fatty and amino acid composition) were not influenced by the energy or protein levels or by sex. CONCLUSIONS: The dietary energy and protein levels and sex significantly influenced the carcass characteristics and chemical composition of meat but not thegrowth performance, meat quality traits and nutritive profiles

Rho GTPase Signaling Activates Microtubule Severing to Promote Microtubule Ordering in Arabidopsis

SummaryBackgroundOrdered cortical microtubule (MT) arrays play a critical role in the spatial control of cell division and expansion and are essential for plant growth, morphogenesis, and development. Various developmental, hormonal, and mechanical signals and a large number of MT-associated proteins are known to impact cortical MT organization, but the underlying mechanisms remain poorly understood. Our previous studies show that auxin signaling, which is mediated by the ROP6 Rho GTPase and its effector RIC1, promotes the ordering of cortical MTs in pavement cells, but it is unknown how RIC1 controls the organization of cortical MTs into well-ordered arrays.ResultsOur genetic screens identified the conserved MT-severing protein katanin (KTN1) as a downstream component of the ROP6-RIC1 signaling pathway leading to well-ordered arrangement of cortical MTs. KTN1 and RIC1 proteins displayed overlapping localization. In vivo and in vitro studies showed that RIC1 physically interacts with and promotes the MT-severing activity of KTN1. Live-cell imaging reveals a role for RIC1 in promoting detachment of branched MTs that is known to rely on KTN1.ConclusionWe have demonstrated that a Rho GTPase signaling pathway regulates katanin-mediated MT severing in plant cells and uncovered an explicit regulatory mechanism underpinning the alignment and ordering of cortical MTs in plants. Our findings provide new insights into regulatory mechanisms underlying growth stimuli such as auxin promote the organization of cortical MTs into parallel arrays in plants

A ROP GTPase-Dependent Auxin Signaling Pathway Regulates the Subcellular Distribution of PIN2 in Arabidopsis Roots

SummaryPIN-FORMED (PIN) protein-mediated auxin polar transport is critically important for development, pattern formation, and morphogenesis in plants. Auxin has been implicated in the regulation of polar auxin transport by inhibiting PIN endocytosis [1, 2], but how auxin regulates this process is poorly understood. Our genetic screen identified the Arabidopsis SPIKE1 (SPK1) gene whose loss-of-function mutations increased lateral root density and retarded gravitropic responses, as do pin2 knockout mutations [3]. SPK1 belongs to the conserved DHR2-Dock family of Rho guanine nucleotide exchange factors [4–6]. The spk1 mutations induced PIN2 internalization that was not suppressed by auxin, as did the loss-of-function mutations for Rho-like GTPase from Plants 6 (ROP6)-GTPase or its effector RIC1. Furthermore, SPK1 was required for auxin induction of ROP6 activation. Our results have established a Rho GTPase-based auxin signaling pathway that maintains PIN2 polar distribution to the plasma membrane via inhibition of its internalization in Arabidopsis roots. Our findings provide new insights into signaling mechanisms that underlie the regulation of the dynamic trafficking of PINs required for long-distance auxin transport and that link auxin signaling to PIN-mediated pattern formation and morphogenesis

Highly time-resolved chemical characterization and implications of regional transport for submicron aerosols in the North China Plain

To investigate the regional transport and formation mechanisms of submicron aerosols in the North China Plan (NCP), for the first time, we conducted simultaneous combined observations of the non-refractory submicron aerosols (NR-PM1) chemical compositions using aerosol mass spectrometer at urban Beijing (BJ) and at regional background area of the NCP (XL), from November 2018 to January 2019. During the observation period, average mass concentrations of PM1 in BJ and XL were 26.6 +/- 31.7 and 16.0 +/- 18.7 mu g m(-3) respectively. The aerosol composition in XL showed a lower contribution of organic aerosol (33% vs. 43%) and higher fractions of nitrate (35% vs. 30%), ammonium (16% vs. 13%), and chlorine (2% vs. 1%) than in BJ. Additionally, a higher contribution of secondary organic aerosol (SOA) was also observed in XL, suggesting low primary emissions and highly oxidized OA in the background area. Nitrate displayed a significantly enhanced contribution with the aggravation of aerosol pollution in both BJ and XL, which was completely neutralized by excess ammonium at both sites, that the abundant ammonia emissions in the NCP favor nitrate formation on a regional scale. In addition, a higher proportion of nitrate in XL can be attributed to the more neutral and higher oxidation capacity of the background atmosphere. Heterogeneous aqueous reaction plays an important role in sulfate and SOA formation, and is more efficient in BJ which can be attributed to the higher aerosol surface areas at urban site. Regional transport from the southwestern regions of NCP showed a significant impact on the formation of haze episodes. Beside the invasion of transported pollutants, the abundant water vapor associated with the air mass to the downwind background area further enhanced local secondary transformation and expanded the regional scope of the haze pollution in the NCP. (C) 2019 Elsevier B.V. All rights reserved.Peer reviewe

Lipid Signaling Requires ROS Production to Elicit Actin Cytoskeleton Remodeling during Plant Innate Immunity

In terrestrial plants a basal innate immune system, pattern-triggered immunity (PTI), has evolved to limit infection by diverse microbes. The remodeling of actin cytoskeletal arrays is now recognized as a key hallmark event during the rapid host cellular responses to pathogen attack. Several actin binding proteins have been demonstrated to fine tune the dynamics of actin filaments during this process. However, the upstream signals that stimulate actin remodeling during PTI signaling remain poorly characterized. Two second messengers, reactive oxygen species (ROS) and phosphatidic acid (PA), are elevated following pathogen perception or microbe-associated molecular pattern (MAMP) treatment, and the timing of signaling fluxes roughly correlates with actin cytoskeletal rearrangements. Here, we combined genetic analysis, chemical complementation experiments, and quantitative live-cell imaging experiments to test the role of these second messengers in actin remodeling and to order the signaling events during plant immunity. We demonstrated that PHOSPHOLIPASE Dβ (PLDβ) isoforms are necessary to elicit actin accumulation in response to flg22-associated PTI. Further, bacterial growth experiments and MAMP-induced apoplastic ROS production measurements revealed that PLDβ-generated PA acts upstream of ROS signaling to trigger actin remodeling through inhibition of CAPPING PROTEIN (CP) activity. Collectively, our results provide compelling evidence that PLDβ/PA functions upstream of RBOHD-mediated ROS production to elicit actin rearrangements during the innate immune response in Arabidopsis

Carrier trapping anisotropy in ambipolar SnO thin-film transistors

The anisotropic carrier trapping behaviors was demonstrated for ambipolar tin monoxide (SnO) thin-film transistors (TFTs). On one hand, the TFTs exhibited good stability with almost no changes in transfer characteristics under negative gate-bias stress (NGBS). On the other, under positive gate-bias stress (PGBS), the transfer curves presented parallel and positive shift with no degradation in field-effect mobility and subthreshold voltage swing. The stress-time evolution of the turn-on voltage shift, induced by different positive stress voltages and temperatures, could be described by the stretched exponential model. The relaxation time was extracted to be 1.6 X 10(4) s at room temperature with activation energy of 0.43 eV, indicating that the ambipolar SnO TFTs under PGBS approach the stability of amorphous indium-gallium-zinc oxide based TFTs. (C) 2017 Elsevier Ltd. All rights reserved