On pricing risky loans and collateralized fund obligations

Loan spreads are analyzed for two types of loans. The first type takes losses at maturity only; the second follows the formulation of collateralized fund obligations, with losses registered over the lifetime of the contract. In both cases, the implementation requires the choice of a process for the underlying asset value and the identification of the parameters. The parameters of the process are inferred from the option volatility surface by treating equity options as compound options with equity itself being viewed as an option on the asset value with a strike set at the debt level following Merton. Using data on the stock of General Motors during 2002-3, we show that the use of spectrally negative Lévy processes is capable of delivering realistic spreads without inflating debt levels, deflating debt maturities or deviating from the estimated probability laws

History-based action selection bias in posterior parietal cortex.

Making decisions based on choice-outcome history is a crucial, adaptive ability in life. However, the neural circuit mechanisms underlying history-dependent decision-making are poorly understood. In particular, history-related signals have been found in many brain areas during various decision-making tasks, but the causal involvement of these signals in guiding behavior is unclear. Here we addressed this issue utilizing behavioral modeling, two-photon calcium imaging, and optogenetic inactivation in mice. We report that a subset of neurons in the posterior parietal cortex (PPC) closely reflect the choice-outcome history and history-dependent decision biases, and PPC inactivation diminishes the history dependency of choice. Specifically, many PPC neurons show history- and bias-tuning during the inter-trial intervals (ITI), and history dependency of choice is affected by PPC inactivation during ITI and not during trial. These results indicate that PPC is a critical region mediating the subjective use of history in biasing action selection

Disengagement of motor cortex from movement control during long-term learning.

Motor learning involves reorganization of the primary motor cortex (M1). However, it remains unclear how the involvement of M1 in movement control changes during long-term learning. To address this, we trained mice in a forelimb-based motor task over months and performed optogenetic inactivation and two-photon calcium imaging in M1 during the long-term training. We found that M1 inactivation impaired the forelimb movements in the early and middle stages, but not in the late stage, indicating that the movements that initially required M1 became independent of M1. As previously shown, M1 population activity became more consistent across trials from the early to middle stage while task performance rapidly improved. However, from the middle to late stage, M1 population activity became again variable despite consistent expert behaviors. This later decline in activity consistency suggests dissociation between M1 and movements. These findings suggest that long-term motor learning can disengage M1 from movement control

meV resolution in laser-assisted energy-filtered transmission electron microscopy

The electronic, optical, and magnetic properties of quantum solids are determined by their low-energy (< 100 meV) many-body excitations. Dynamical characterization and manipulation of such excitations relies on tools that combine nm-spatial, fs-temporal, and meV-spectral resolution. Currently, phonons and collective plasmon resonances can be imaged in nanostructures with sub-nm and 10s meV space/energy resolution using state-of-the-art energy-filtered transmission electron microscopy (TEM), but only under static conditions, while fs-resolved measurements are common but lack spatial or energy resolution. Here, we demonstrate a new method of spectrally resolved photon-induced near-field electron microscopy (SRPINEM) that allows us to obtain nm-fs-resolved maps of nanoparticle plasmons with an energy resolution determined by the laser linewidth (20 meV in this work), and not limited by electron beam and spectrometer energy spreading. This technique can be extended to any optically-accessible low-energy mode, thus pushing TEM to a previously inaccessible spectral domain with an unprecedented combination of space, energy and temporal resolution.Comment: 19 pages, 7 figure

Can mapping algorithms based on raw scores overestimate QALYs gained by treatment? A comparison of mappings between the Roland–Morris Disability Questionnaire and the EQ-5D-3L based on raw and Differenced Score Data

Introduction Mapping algorithms are increasingly being used to predict health-utility values based on responses or scores from non-preference-based measures, thereby informing economic evaluations. Objectives We explored whether predictions in the EuroQol 5-dimension 3-level instrument (EQ-5D-3L) health-utility gains from mapping algorithms might differ if estimated using differenced versus raw scores, using the Roland–Morris Disability Questionnaire (RMQ), a widely used health status measure for low back pain, as an example. Methods We estimated algorithms mapping within-person changes in RMQ scores to changes in EQ-5D-3L health utilities using data from two clinical trials with repeated observations. We also used logistic regression models to estimate response mapping algorithms from these data to predict within-person changes in responses to each EQ-5D-3L dimension from changes in RMQ scores. Predicted health-utility gains from these mappings were compared with predictions based on raw RMQ data. Results Using differenced scores reduced the predicted health-utility gain from a unit decrease in RMQ score from 0.037 (standard error [SE] 0.001) to 0.020 (SE 0.002). Analysis of response mapping data suggests that the use of differenced data reduces the predicted impact of reducing RMQ scores across EQ-5D-3L dimensions and that patients can experience health-utility gains on the EQ-5D-3L ‘usual activity’ dimension independent from improvements captured by the RMQ. Conclusion Mappings based on raw RMQ data overestimate the EQ-5D-3L health utility gains from interventions that reduce RMQ scores. Where possible, mapping algorithms should reflect within-person changes in health outcome and be estimated from datasets containing repeated observations if they are to be used to estimate incremental health-utility gains

Economic evaluation protocol of a short, all-oral bedaquiline-containing regimen for the treatment of rifampicin-resistant tuberculosis from the STREAM trial

Introduction: A December 2019 WHO rapid communication recommended the use of 9-month all-oral regimens for treating multidrug-resistant tuberculosis (MDR-TB). Besides the clinical benefits, they are thought to be less costly than the injectable-containing regimens, for both the patient and the health system. STREAM is the first randomised controlled trial with an economical evaluation to compare all-oral and injectable-containing 9–11-month MDR-TB treatment regimens. Methods and analysis: Health system costs of delivering a 9-month injectable-containing regimen and a 9-month all-oral bedaquiline-containing regimen will be collected in Ethiopia, India, Moldova and Uganda, using ‘bottom-up’ and ‘top-down’ costing approaches. Patient costs will be collected using questionnaires that have been developed based on the STOP-TB questionnaire. The primary objective of the study is to estimate the cost utility of the two regimens, from a health system perspective. Secondary objectives: include estimating the cost utility from a societal perspective as well as evaluating the cost-effectiveness of the regimens, using both health system and societal perspectives. The effect measure for the cost–utility analysis will be the quality-adjusted life years (QALY), while the effect measure for the cost-effectiveness analysis will be the efficacy outcome from the clinical trial. Ethics and dissemination: The study has been evaluated and approved by the Ethics Advisory Group of the International Union Against Tuberculosis and Lung Disease and also approved by ethics committees in all participating countries. All participants have provided written informed consent. The results of the economic evaluation will be published in a peer-reviewed journal

Disengagement of Motor Cortex during Long-Term Learning Tracks the Performance Level of Learned Movements

Not all movements require the motor cortex for execution. Intriguingly, dependence on motor cortex of a given movement is not fixed, but instead can dynamically change over the course of long-term learning. For instance, rodent forelimb movements that initially require motor cortex can become independent of the motor cortex after an extended period of training. However, it remains unclear whether long-term neural changes rendering the motor cortex dispensable are a simple function of the training length. To address this issue, we trained mice (both male and female) to perform two distinct forelimb movements, forward versus downward reaches with a joystick, concomitantly over several weeks, and then compared the involvement of the motor cortex between the two movements. Most mice achieved different levels of motor performance between the two movements after long-term training. Of the two movements, the one that achieved higher trial-to-trial consistency (i.e., consistent-direction movement) was significantly less affected by inactivation of motor cortex than the other (i.e., variable-direction movement). Two-photon calcium imaging of motor cortical neurons revealed that the consistent-direction movement activates fewer neurons, producing weaker and less consistent population activity than the variable-direction movement. Together, the motor cortex was less engaged and less necessary for learned movements that achieved higher levels of consistency. Thus, the long-term reorganization of neural circuits that frees the motor cortex from the learned movement is not a mere function of training length. Rather, this reorganization tracks the level of motor performance that the animal achieves during training.SIGNIFICANCE STATEMENT Long-term training of a movement reshapes motor circuits, disengaging motor cortex potentially for automatized execution of the learned movement. Acquiring new motor skills often involves learning of multiple movements (e.g., forehand and backhand strokes when learning tennis), but different movements do not always improve at the same time nor reach the same level of proficiency. Here we showed that the involvement of motor cortex after long-term training differs between similar yet distinct movements that reached different levels of expertise. Motor cortex was less engaged and less necessary for the more proficient movement. Thus, disengagement of motor cortex is not a simple function of training time, but instead tracks the level of expertise of a learned movement

Explaining Unfair Offers in Ultimatum Games and their Effects on Trust: An Experimental Approach

Unfair offers in bargaining may have disruptive effects because they may reduce interpersonal trust. In such situations future trust may be strongly affected by social accounts (i.e., apologies vs. denials). In the current paper we investigate when people are most likely to demand social accounts for the unfair offer (Experiment 1), and when social accounts will have the highest impact (Experiment 2). We hypothesized that the need for and impact of social accounts will be highest when the intentions of the other party are uncertain. The results provided support for this reasoning

Using Theory to Develop Healthy Choices in Motion, a Comprehensive, Experiential Physical Activity Curriculum.

Background: Research has shown that engaging in regular physical activity supports physiologic, metabolic, and immunologic processes, as well as quality of life. However, few youth in the United States meet the U.S. Department of Health and Human Services recommendation of 60 min of moderate-to-vigorous physical activity every day. School-based programs can be an effective avenue for engaging youth in physical activity, particularly when the design of the health education is based on theory, research, and practice. The purpose of this study was to design, implement, and evaluate a theory-driven physical activity curriculum for the Shaping Healthy Choices Program (SHCP) using a systematic approach. Methods: The experiential, inquiry-based physical activity curriculum, Healthy Choices in Motion (HCIM), was developed with an optional technology enhancement using Backward Design. A questionnaire to assess the curriculum's effect on physical activity knowledge was developed and assessed for content validity, internal consistency (α = 0.84), and test-retest reliability (r = 0.73). The curriculum was piloted in two phases among upper elementary-aged youth: to ensure the learning goals were met (Pilot I) and to determine the curriculum's impact on physical activity knowledge, behavior, and self-efficacy (Pilot II). Pilot II was implemented among eight 4th and 5th-grade classrooms participating in the UC CalFresh Nutrition Education Program: (1) Comparison (no intervention) (n = 25); (2) SHCP only (n = 22); (3) SHCP + HCIM (n = 42); (4) SHCP + HCIM with technology enhancement (n = 47). Analyses included unadjusted ANOVA and Bonferroni for multiple comparisons and paired t-test (p &lt; 0.05). Results: Through the use of a methodical design approach, a comprehensive physical activity curriculum, called HCIM, was developed. Youth participating in HCIM improved physical activity knowledge compared to youth receiving no intervention (+2.8 points, p = 0.009) and youth only in the SHCP (+3.0 points, p = 0.007). Youth participating in HCIM with technology enhancement demonstrated improvements compared to youth only in the SHCP (+2.3 points, p = 0.05). Conclusion: Improvements in physical activity knowledge in youth participating in HCIM may contribute to improvements in physical activity and should be further explored in conjunction with behavioral measurements

On Markovian solutions to Markov Chain BSDEs

We study (backward) stochastic differential equations with noise coming from a finite state Markov chain. We show that, for the solutions of these equations to be `Markovian', in the sense that they are deterministic functions of the state of the underlying chain, the integrand must be of a specific form. This allows us to connect these equations to coupled systems of ODEs, and hence to give fast numerical methods for the evaluation of Markov-Chain BSDEs