On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals

In the setting proposed by Hughston & Rafailidis (2005) we consider general interest rate models in the case of a Brownian market information filtration $(\mathcal{F}_t)_{t\geq0}$. Let $X$ be a square-integrable $\mathcal{F}_\infty$-measurable random variable, and assume the non-degeneracy condition that for all $t<\infty$ the random variable $X$ is not $\mathcal{F}_t$-measurable. Let ${\sigma_t}$ denote the integrand appearing in the representation of $X$ as a stochastic integral, write $\pi_t$ for the conditional variance of $X$ at time $t$, and set $r_t = \sigma^2_t / \pi_t$. Then $\pi_t$ is a potential, and as such can act as a model for a pricing kernel (or state price density), where $r_t$ is the associated interest rate. Under the stated assumptions, we prove the following: (a) that the money market account process defined by $B_t = \exp (\int_0^t r_s \,ds)$ is finite almost surely at all finite times; and (b) that the product of the money-market account and the pricing kernel is a local martingale, and is a martingale provided a certain integrability condition is satisfied. The fact that a martingale is thus obtained shows that from any non-degenerate element of Wiener space satisfying the integrability condition we can construct an associated interest-rate model. The model thereby constructed is valid over an infinite time horizon, with strictly positive interest, and satisfies the relevant intertemporal relations associated with the absence of arbitrage. The results thus stated pave the way for the use of Wiener chaos methods in interest rate modelling, since any such square-integrable Wiener functional admits a chaos expansion, the individual terms of which can be regarded as parametric degrees of freedom in the associated interest rate model to be fixed by calibration to appropriately liquid sectors of the interest rate derivatives markets.Comment: 17 page

Investigating bias in semantic similarity measures for analysis of protein interactions

Protein interactions are fundamental blocks of almost all cellular processes, so the study of the set of protein interactions in a single organism (also referred to as Protein Interaction Networks - PIN) is an important step in the comprehension of mechanism at molecular level. Recently, the possibility to annotate such data using Gene Ontology and the consequent use of ontology-based analysis has been exploited, e.g. the use of semantic similarity (SS) measures. Whereas, SS measures present many challenges and different issues that have to be faced. In particular SS measures are affected from three main biases: i) annotation length, ii) evidence codes, and iii) shallow annotation. The common cause of such biases are the structure of GO and the corpora of annotations (GOA). Consequently, the impact of this variability has to be considered when developing novel algorithms for protein interactions analysis. Although the criticality of these aspects, there is a lack in the systematic analysis of the bias. Few works dealt with the three sources of bias most affecting SS measures. This paper demonstrates the existence of the bias that affect main SS on a set of well-known yeast complexes. It also provides some evidences about the variability of the bias effects over the proteome

Entrainment and Control of Bacterial Populations: An in Silico Study over a Spatially Extended Agent Based Model

This is the author accepted manuscript. The final version is available from American Chemical Society via the DOI in this record.We extend a spatially explicit agent based model (ABM) developed previously to investigate entrainment and control of the emergent behavior of a population of synchronized oscillating cells in a microfluidic chamber. Unlike most of the work in models of control of cellular systems which focus on temporal changes, we model individual cells with spatial dependencies which may contribute to certain behavioral responses. We use the model to investigate the response of both open loop and closed loop strategies, such as proportional control (P-control), proportional-integral control (PI-control) and proportional-integral-derivative control (PID-control), to heterogeinities and growth in the cell population, variations of the control parameters and spatial effects such as diffusion in the spatially explicit setting of a microfluidic chamber setup. We show that, as expected from the theory of phase locking in dynamical systems, open loop control can only entrain the cell population in a subset of forcing periods, with a wide variety of dynamical behaviors obtained outside these regions of entrainment. Closed-loop control is shown instead to guarantee entrainment in a much wider region of control parameter space although presenting limitations when the population size increases over a certain threshold. In silico tracking experiments are also performed to validate the ability of classical control approaches to achieve other reference behaviors such as a desired constant output or a linearly varying one. All simulations are carried out in BSim, an advanced agent-based simulator of microbial population which is here extended ad hoc to include the effects of control strategies acting onto the population.The authors declare no competing interests. We thank Dr. Nigel J. Savery at the University of Bristol for useful discussions around the subject of GRNs and for his help in developing the original ABM model. We also wish to thank Dr Gianfranco Fiore at the University of Bristol and the anonymous reviewers for reading the revised manuscript carefully and providing insightful comments that led to a consistent revision of the original manuscript. P.M. was supported by EPSRC Grant EP/E501214/1 and K.T.-A. by EPSRC Grant EP/I018638/1. The funders had no role in study design, data collection, and analysis, decision to publish, or preparation of the manuscript. This work was carried out using the computational facilities of the Advanced Computing Research Centre, University of Bristol, http://www.bris.ac.uk/acrc/

Everybody needs sphingolipids, right!:Mining for new drug targets in protozoan sphingolipid biosynthesis

Sphingolipids (SLs) are an integral part of all eukaryotic cellular membranes. In addition, they have indispensable functions as signalling molecules controlling a myriad of cellular events. Disruption of either the de novo synthesis or the degradation pathways has been shown to have detrimental effects. The earlier identification of selective inhibitors of fungal SL biosynthesis promised potent broad-spectrum anti-fungal agents, which later encouraged testing some of those agents against protozoan parasites. In this review we focus on the key enzymes of the SL de novo biosynthetic pathway in protozoan parasites of the Apicomplexa and Kinetoplastidae, outlining the divergence and interconnection between host and pathogen metabolism. The druggability of the SL biosynthesis is considered, alongside recent technology advances that will enable the dissection and analyses of this pathway in the parasitic protozoa. The future impact of these advances for the development of new therapeutics for both globally threatening and neglected infectious diseases is potentially profound.<br/

Biological activity of glucosinolate derived compounds isolated from seed meal of Brassica crops and evaluated as plant and food protection agents

Glucosinolates are amino acid derived allelochemicals characteristic of plants of the order Capparales. These compounds are present in seeds of agriculturally common Brassica crops in varying quantities depending on the species (ref). The use of the remaining seed cake after oil extraction has traditionally been limited by the concentration of these compounds. However, the extraction of glucosinolates from seed meal is nowadays possible and it further contributes to an increased quality of the seed meal for feed (Sørensen et al., this conference). Glucosinolates are hydrolysed by endogenous enzymes (myrosinases; EC 3.2.1.147) and a number of compounds are produced depending on the parent glucosinolate and the environmental conditions.1 Among these compounds, oxazolidine-2-thiones are known for their antinutritional effects on monogastric animals, whereas isothiocyanates are fungicidal, nematocidal and herbicidal.2,3 The possibility for using glucosinolates as precursors for environmental friendly biocides therefore exists, which could contribute to increase the value of the Brassica seed meal

Towards a Solution for the Ca II Triplet Puzzle : Results from Dwarf Elliptical Galaxies

We present new estimates of ages and metallicities, based on FORS/VLT optical (4400-5500A) spectroscopy, of 16 dwarf elliptical galaxies (dE's) in the Fornax Cluster and in Southern Groups. These dE's are more metal-rich and younger than previous estimates based on narrow-band photometry and low-resolution spectroscopy. For our sample we find a mean metallicity [Z/H] = -0.33 dex and mean age 3.5 Gyr, consistent with similar samples of dE's in other environments (Local Group, Virgo). Three dE's in our sample show emission lines and very young ages. This suggests that some dE's formed stars until a very recent epoch and were self-enriched by a long star formation history. Previous observations of large near-infrared (~8500A) Ca II absorption strengths in these dE's are in good agreement with the new metallicity estimates, solving part of the so-called Calcium puzzle.Comment: ApJ Letters accepted, 5 pages emulateapj, 2 figure

Biodiversity monitoring in wastewater oxidation ponds

In order to study the relationship between Wastewater Oxidation Ponds efficiency and maturation ponds ecological communities, two AGERE systems from Braga neighbouring villages were selected: Cabreiros, CAB and Tebosa, TEB. Every two weeks sampling campaigns were realized (March - July 2007) to gather wastewater simple samples at the systems inflow and outflow. Determinations of Biochemical and Chemical Oxygen Demand and Total Suspended Solids (BOD5, COD and TSS mg/L), Recovered Heterotrophics and Total and Fecal Coliforms (RH, TC and FC, CFU ml/L) were performed at UM-Biology Lab. The removal efficiencies were 10% higher at CAB for BOD5 and COD and 10% higher at TEB for TSS. RH removal was mostly higher than 95%, but on CAB 6 and 9 samples, was respectively null and weak. During almost all the sampling period TC and FC removal were about 100% at both systems, but on samples 6 and 9, TC and FC CFU/ml were higher at CAB outflow than at inflow. Samples from maturation ponds were also gathered and maintained in the lab for a month, as microcosms. The daily microscopic analysis showed that in CAB maturation pond Euglena, Scenedesmus and diatoms are generally predominant whereas in TEB maturation pond the constant presence of Lemna was concomitant with a lesser density and diversity of algae. The samples 6 and 9 from CAB maturation pond, showed an absence of eucaryotic heterotrophics probably associated with the weak or even null removal of TC and FC