Pricing tranched credit products with generalized multifactor models

The market for tranched credit products (CDOs, Itraxx tranches) is one of the fastest growing segments in the credit derivatives industry. However, some assumptions underlying the standard Gaussian onefactor pricing model (homogeneity, single factor, Normality), which is the pricing standard widely used in the industry, are probably too restrictive. In this paper we generalize the standard model by means of a two by two model (two factors and two asset classes). We assume two driving factors (business cycle and industry) with independent tStudent distributions, respectively, and we allow the model to distinguish among portfolio assets classes. In order to illustrate the estimation of the parameters of the model, an empirical application with Moody's data is also included

Geomatic methods applied to the change study of the la Paúl Rock Glacier, Spanish Pyrenees

Producción CientíficaRock glaciers are one of the most important features of the mountain permafrost in the Pyrenees. La Paúl is an active rock glacier located in the north face of the Posets massif in the La Paúl glacier cirque (Spanish Pyrenees). This study presents the preliminary results of the La Paúl rock glacier monitoring works carried out through two geomatic technologies since 2013: Global Navigation Satellite System (GNSS) receivers and Terrestrial Laser Scanning (TLS) devices. Displacements measured on the rock glacier surface have demonstrated both the activity of the rock glacier and the utility of this equipment for the rock glaciers dynamic analysis. The glacier has exhibited the fastest displacements on its west side (over 35 cm yr-1), affected by the Little Ice Age, and frontal area (over 25 cm yr-1). As an indicator of permafrost in marginal environments and its peculiar morphology, La Paúl rock glacier encourages a more prolonged study and to the application of more geomatic techniques for its detailed analysis.Ministerio de Economía, Industria y Competitividad - Fondo Europeo de Desarrollo Regional (project CGL2015-68144-R)Junta de Extremadura - Fondo Europeo de Desarrollo Regional (project GR10071

Estudio sobre las propiedades del árido reciclado mixto para la fabricación de hormigón no estructural

El objetivo principal de este trabajo de investigación es estudiar las posibilidades de utilización del árido reciclado mixto para la fabricación de hormigón reciclado en aplicaciones no estructurales. Para llevar a cabo esta tarea, se ha realizado primero un estudio bibliográfico extenso para conocer el estado actual del conocimiento sobre las propiedades del árido reciclado mixto y la normativa internacional asociada. En una segunda parte, se ha realizado la caracterización completa de ocho áridos reciclados mixtos gruesos de distinta calidad, procedentes de tres plantas de tratamiento diferentes, comparándose con las tendencias obtenidas en el estudio bibliográfico. En particular, se ha analizado la composición, la densidad y absorción, la granulometría, el coeficiente de Los Ángeles, el índice de lajas, el contenido de finos, las partículas ligeras y el contenido de sulfatos. Se estudian también las correlaciones que existen entre las diferentes propiedades, con el fin de encontrar criterios de calidad de un árido reciclado mixto para un hormigón reciclado no estructural. A raíz de este estudio experimental, se han determinado las propiedades más restrictivas en el empleo de un árido reciclado mixto, siendo éstas el elevado contenido de sulfatos y la elevada absorción

Use of Viscera Extract from Surubim (Pseudoplatystoma corruscans) for the production of Casein Hydrolysate

Protein hydrolysates are mixtures of polypeptides, oligopeptides and amino acids that are manufactured from protein sources using partial hydrolysis. The method of preference is enzymatic hydrolysis since is easily controllable, quick, specific and it´s an affordable technology to produce high value-added products. This method is widely applied, not only to upgrade the functional and nutritional properties of proteins in the food industry, but also is used in other areas of biotechnology such as by providing specialized media for microorganisms grown in the laboratory. Today, the preparation of hydrolysates derived from milk proteins and casein has received much attention due to the diversity and unique functional properties. Proteases used to obtain a more selective hydrolysis of milk proteins are from different sources, between them fish viscera generated during the commercial processing. The Northeast of Argentina has native fish species cultivated, and of total aquaculture annual production, above 3300 tons, approximately 74 tons corresponds to surubím (Pseudoplatystoma coruscans). This freshwater fish is carnivorous so the viscera, that constitute the majority waste of processing, is a rich source of proteases. The objective of this work was to study the proteolytic activity of surubim viscera extract on casein. The extract was prepared from tissue that coats the stomach area near duodenum. Previous to proteolytic assays, the thermal stability of enzymatic extract by 2h (0, 8, 25, 37, 45, 50, 55, 60, 75 and 100 °C) and proteases inhibitors (soybean trypsin inhibitor -TBSI-, phenylmethylsulfonyl fluoride -PMSF- and disodium ethylenediaminetetraacetate -EDTA-Na2-) were assayed over Nα-Benzoyl-dl-arginine-p-nitroanilide (BApNA) as substrate. The proteolytic capacity of the extract was evaluated at 0, 1, 5, 15, 30 and 60 min, on casein. The cleavage of casein was analyzed by SDS-PAGE (14%, Coomassie Blue stain). The thermal stability profile of the viscera extract revealed that these fish enzymes were highly stables at temperatures below 55°C and they retained the 50% of their initial activity when they were incubated at 60 °C. In addition, the activity on BApNA was strongly inhibited by TBSI, whereas PMSF and EDTA-Na2 did not exhibit an effect on activity. The 60% of proteolytic activity on casein developed in one hour was achieved during the first 5 min. Simultaneously, the extract showed similar behavior by SDS-PAGE analysis. The typical bands of casein (αs1, β and κ) showed rapid degradation in a short incubation time. The results suggest that trypsin-like enzymes present on surubim viscera extract have high thermal stability. The studies on milk protein demonstrated the ability of the fish viscera extract to produce a casein hydrolysate. In this way, the findings presented in the current work demonstrate that the surubim viscera extract could be considered as a potentially strong candidate for future industrial applications, such as the obtaining of milk peptones for the cultivation of microorganisms.Fil: Van de Velde, Andrea Carolina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Nordeste. Instituto de Química Básica y Aplicada del Nordeste Argentino. Universidad Nacional del Nordeste. Facultad de Ciencias Exactas Naturales y Agrimensura. Instituto de Química Básica y Aplicada del Nordeste Argentino; ArgentinaFil: Lopez, Juan M.. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Nordeste. Instituto de Química Básica y Aplicada del Nordeste Argentino. Universidad Nacional del Nordeste. Facultad de Ciencias Exactas Naturales y Agrimensura. Instituto de Química Básica y Aplicada del Nordeste Argentino; ArgentinaFil: Sánchez, Sebastián. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Nordeste. Instituto de Química Básica y Aplicada del Nordeste Argentino. Universidad Nacional del Nordeste. Facultad de Ciencias Exactas Naturales y Agrimensura. Instituto de Química Básica y Aplicada del Nordeste Argentino; ArgentinaFil: Leiva, Laura Cristina Ana. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Nordeste. Instituto de Química Básica y Aplicada del Nordeste Argentino. Universidad Nacional del Nordeste. Facultad de Ciencias Exactas Naturales y Agrimensura. Instituto de Química Básica y Aplicada del Nordeste Argentino; ArgentinaXX Annual Meeting of the Argentinean Biology Society and VII Meeting of the Uruguayan Society of BiosciencesBuenos AiresArgentinaSociedad Argentina de BiologíaSociedad Uruguaya de Biociencia

Follicular and endocrine dose responses according to anti-Müllerian hormone levels in IVF patients treated with a novel human recombinant FSH (FE 999049)

Objective: To study the association between serum anti-Mullerian hormone (AMH) levels and follicular development and endocrine responses induced by increasing doses (5.2-12.1 mu g/day) of a novel recombinant human FSH (rhFSH, FE 999049) in patients undergoing in vitro fertilization (IVF)/intracytoplasmic sperm injection (ICSI) in a GnRH antagonist protocol. Design: Secondary analysis of a randomized controlled trial with stratified randomization according to AMH (lower stratum: 5.0-14.9 pmol/l; higher stratum: 15.0-44.9 pmol/l). Patients: Infertile women of good prognosis (n = 265). Measurements: Follicular development and endocrine parameters during controlled ovarian stimulation (COS) with rhFSH. Results: Serum FSH levels increased with increasing rhFSH doses and steady-state levels for each dose were similar in both AMH strata. In the whole study population, significant (P = 12 mm, and serum levels of oestradiol, inhibin B, inhibin A and progesterone at end of stimulation. In comparison with the higher AMH stratum, patients in the lower AMH stratum had significantly different slopes of the dose-response curves for these hormones, and no clear dose-related increase was observed for the number of follicles in these patients. Conclusions: Dose-response relationships between rhFSH and follicular development and endocrine parameters are significantly different for IVF/ICSI patients with lower and higher serum AMH levels at start of COS

Autofluorescence of stingray skeletal cartilage: hyperspectral imaging as a tool for histological characterization

Tessellated cartilage is a distinctive composite tissue forming the bulk of the skeleton of cartilaginous fishes (e.g. sharks and rays), built from unmineralized cartilage covered at the surface by a thin layer of mineralized tiles called tesserae. The finescale structure and composition of elasmobranch tessellated cartilage has largely been investigated with electron microscopy, micro-computed tomography and histology, but many aspects of tissue structure and composition remain uncharacterized. In our study, we demonstrate that the tessellated cartilage of a stingray exhibits a strong and diverse autofluorescence, a native property of the tissue which can be harnessed as an effective label-free imaging technique. The autofluorescence signal was excited using a broad range of wavelengths in confocal and light sheet microscopy, comparing several sample preparations (fresh; demineralized and paraffin-embedded; non-demineralized and plastic-embedded) and imaging the tissue at different scales. Autofluorescence varied with sample preparation with the signal in both plastic- and paraffin-embedded samples strong enough to allow visualization of finescale (≥ 1 μm) cellular and matrix structures, such as cell nuclei and current and former mineralization fronts, identifiable by globular mineralized tissue. A defined pericellular matrix (PCM) surrounding chondrocytes was also discernible, described here for the first time in elasmobranchs. The presence of a PCM suggests similarities with mammalian cartilage regarding how chondrocytes interact with their environment, the PCM in mammals acting as a transducer for biomechanical and biochemical signals. A posterior analysis of hyperspectral images by an MCR-ALS unmixing algorithm allowed identification of several distinct fluorescence signatures associated to specific regions in the tissue. Some fluorescence signatures identified could be correlated with collagen type II, the most abundant structural molecule of cartilage. Other fluorescence signatures, however, remained unidentified, spotlighting tissue regions that deserve deeper characterization and suggesting the presence of molecules still unidentified in elasmobranch skeletal cartilage. Our results show that autofluorescence can be a powerful exploratory imaging tool for characterizing less-studied skeletal tissues, such as tessellated cartilage. The images obtained are largely comparable with more commonly used techniques, but without the need for complicated sample preparations or external staining reagents standard in histology and electron microscopy (TEM, SEM)

Transcriptomic profile induced in bone marrow mesenchymal stromal cells after interaction with multiple myeloma cells: implications in myeloma progression and myeloma bone disease

This is an open-access article distributed under the terms of the Creative Commons Attribution License.Despite evidence about the implication of the bone marrow (BM) stromal microenvironment in multiple myeloma (MM) cell growth and survival, little is known about the effects of myelomatous cells on BM stromal cells. Mesenchymal stromal cells (MSCs) from healthy donors (dMSCs) or myeloma patients (pMSCs) were co-cultured with the myeloma cell line MM.1S, and the transcriptomic profile of MSCs induced by this interaction was analyzed. Deregulated genes after co-culture common to both d/pMSCs revealed functional involvement in tumor microenvironment cross-talk, myeloma growth induction and drug resistance, angiogenesis and signals for osteoclast activation and osteoblast inhibition. Additional genes induced by co-culture were exclusively deregulated in pMSCs and predominantly associated to RNA processing, the ubiquitine-proteasome pathway, cell cycle regulation, cellular stress and non-canonical Wnt signaling. The upregulated expression of five genes after co-culture (CXCL1, CXCL5 and CXCL6 in d/pMSCs, and Neuregulin 3 and Norrie disease protein exclusively in pMSCs) was confirmed, and functional in vitro assays revealed putative roles in MM pathophysiology. The transcriptomic profile of pMSCs co-cultured with myeloma cells may better reflect that of MSCs in the BM of myeloma patients, and provides new molecular insights to the contribution of these cells to MM pathophysiology and to myeloma bone disease.This work was supported by grants from the Spanish MINECO-ISCIII (PI12/02591, PI12/00624) and FEDER (European Funds for Regional Development); the Centro en Red for Regenerative Medicine and Cellular Therapy from Castilla y León; the Spanish Health Thematic Network of Cooperative Research in Cancer (RTICC RD12/0056/0058 and RD12/0036/0003), and Spanish FIS (PS09/01897 and PS09/00843). AG-G received support from the Centro en Red for Regenerative Medicine and Cellular Therapy from Castilla y León and from the Spanish Society of Hematology and Hemotherapy (SEHH), and EDR from the Spanish Association for Cancer Research (AECC).Peer Reviewe

Deep ensemble multitask classification of emergency medical call incidents combining multimodal data improves emergency medical dispatch

[EN] The objective of this work was to develop a predictive model to aid non-clinical dispatchers to classify emergency medical call incidents by their life-threatening level (yes/no), admissible response delay (undelayable, minutes, hours, days) and emergency system jurisdiction (emergency system/primary care) in real time. We used a total of 1 244 624 independent incidents from the Valencian emergency medical dispatch service in Spain, compiled in retrospective from 2009 to 2012, including clinical features, demographics, circumstantial factors and free text dispatcher observations. Based on them, we designed and developed DeepEMC2, a deep ensemble multitask model integrating four subnetworks: three specialized to context, clinical and text data, respectively, and another to ensemble the former. The four subnetworks are composed in turn by multi-layer perceptron modules, bidirectional long short-term memory units and a bidirectional encoding representations from transformers module. DeepEMC2 showed a macro F1-score of 0.759 in life-threatening classification, 0.576 in admissible response delay and 0.757 in emergency system jurisdiction. These results show a substantial performance increase of 12.5 %, 17.5 % and 5.1 %, respectively, with respect to the current in-house triage protocol of the Valencian emergency medical dispatch service. Besides, DeepEMC2 significantly outperformed a set of baseline machine learning models, including naive bayes, logistic regression, random forest and gradient boosting (¿ = 0.05). Hence, DeepEMC2 is able to: 1) capture information present in emergency medical calls not considered by the existing triage protocol, and 2) model complex data dependencies not feasible by the tested baseline models. Likewise, our results suggest that most of this unconsidered information is present in the free text dispatcher observations. To our knowledge, this study describes the first deep learning model undertaking emergency medical call incidents classification. Its adoption in medical dispatch centers would potentially improve emergency dispatch processes, resulting in a positive impact in patient wellbeing and health services sustainability.This work has been supported by the Valencian agency for security and emergency response project A1800173041, the Ministry of Science, Innovation and Universities of Spain program FPU18/06441 and the EU Horizon 2020 project InAdvance 825750Ferri-Borredà, P.; Sáez Silvestre, C.; Felix-De Castro, A.; Juan-Albarracín, J.; Blanes-Selva, V.; Sánchez-Cuesta, P.; Garcia-Gomez, JM. (2021). Deep ensemble multitask classification of emergency medical call incidents combining multimodal data improves emergency medical dispatch. Artificial Intelligence in Medicine. 117:1-13. https://doi.org/10.1016/j.artmed.2021.102088S11311