35 research outputs found
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
Activation and modulation of antiviral and apoptotic genes in pigs infected with classical swine fever viruses of high, moderate or low virulence
The immune response to CSFV and the strategies of this virus to evade and suppress the pigs’ immune system are still poorly understood. Therefore, we investigated the transcriptional response in the tonsils, median retropharyngeal lymph node (MRLN), and spleen of pigs infected with CSFV strains of similar origin with high, moderate, and low virulence. Using a porcine spleen/intestinal cDNA microarray, expression levels in RNA pools prepared from infected tissue at 3 dpi (three pigs per virus strain) were compared to levels in pools prepared from uninfected homologue tissues (nine pigs). A total of 44 genes were found to be differentially expressed. The genes were functionally clustered in six groups: innate and adaptive immune response, interferon-regulated genes, apoptosis, ubiquitin-mediated proteolysis, oxidative phosphorylation and cytoskeleton. Significant up-regulation of three IFN-γ-induced genes in the MRLNs of pigs infected with the low virulence strain was the only clear qualitative difference in gene expression observed between the strains with high, moderate and low virulence. Real-time PCR analysis of four response genes in all individual samples largely confirmed the microarray data at 3 dpi. Additional PCR analysis of infected tonsil, MRLN, and spleen samples collected at 7 and 10 dpi indicated that the strong induction of expression of the antiviral response genes chemokine CXCL10 and 2′–5′ oligoadenylate synthetase 2, and of the TNF-related apoptosis-inducing ligand (TRAIL) gene at 3 dpi, decreased to lower levels at 7 and 10 dpi. For the highly and moderately virulent strains, this decrease in antiviral and apoptotic gene expression coincided with higher levels of virus in these immune tissues