Option pricing and hedging with minimum local expected shortfall

We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk criterion (chosen here to be the expected shortfall), for a large class of stochastic processes, and in the presence of transaction costs. We illustrate the method on plain vanilla options when the price returns follow a Student-t distribution. We show that in the presence of fat-tails, our strategy allows to significantly reduce extreme risks, and generically leads to low Gamma hedging. Similarly, the inclusion of transaction costs reduces the Gamma of the optimal strategy.Comment: 23 pages, 7 figures, 8 table

Carbohydrate Metabolism Is Essential for the Colonization of Streptococcus thermophilus in the Digestive Tract of Gnotobiotic Rats

Streptococcus thermophilus is the archetype of lactose-adapted bacterium and so far, its sugar metabolism has been mainly investigated in vitro. The objective of this work was to study the impact of lactose and lactose permease on S. thermophilus physiology in the gastrointestinal tract (GIT) of gnotobiotic rats. We used rats mono-associated with LMD-9 strain and receiving 4.5% lactose. This model allowed the analysis of colonization curves of LMD-9, its metabolic profile, its production of lactate and its interaction with the colon epithelium. Lactose induced a rapid and high level of S. thermophilus in the GIT, where its activity led to 49 mM of intra-luminal L-lactate that was related to the induction of mono-carboxylic transporter mRNAs (SLC16A1 and SLC5A8) and p27Kip1 cell cycle arrest protein in epithelial cells. In the presence of a continuous lactose supply, S. thermophilus recruited proteins involved in glycolysis and induced the metabolism of alternative sugars as sucrose, galactose, and glycogen. Moreover, inactivation of the lactose transporter, LacS, delayed S. thermophilus colonization. Our results show i/that lactose constitutes a limiting factor for colonization of S. thermophilus, ii/that activation of enzymes involved in carbohydrate metabolism constitutes the metabolic signature of S. thermophilus in the GIT, iii/that the production of lactate settles the dialogue with colon epithelium. We propose a metabolic model of management of carbohydrate resources by S. thermophilus in the GIT. Our results are in accord with the rationale that nutritional allegation via consumption of yogurt alleviates the symptoms of lactose intolerance

Maturation de la flore intestinale chez l'enfant

PARIS-CNAM (751032301) / SudocSudocFranceF

Microflore bactérienne associée à la muqueuse intestinale et inflammation

PARIS-CNAM (751032301) / SudocSudocFranceF

Caractérisation et quantification des bioaérosols associés à la collecte des ordures ménagères résiduelles et des biodechets des ménages

PARIS-CNAM (751032301) / SudocSudocFranceF

Reconnaissance de variants d'un épitope viral par des lymphocytes T CD8+ induits par la vaccination de singes rhésus

La diversité génétique du virus de l'immunodéficience humaine, le VIH-1 responsable de la pandémie du SIDA, représente un challenge dans le développement d'un vaccin qui doit conférer une protection contre différentes formes du virus pour être efficace. L'identification de populations de lymphocytes T CD8+ (CTL) capables de reconnaître des variants peptidiques d'un épitope est donc une étape importante. Dans le modèle singes rhésus, j'ai montré en utilisant des tétramères spécifiques de 9 variants peptidiques d'un épitope qu'une même population de CTL générés par la vaccination, peut reconnaître l'épitope relatif à l'immunogène et un certain nombre de ses variants provenant de diverses formes du VIH-1. Ces études ont également permis de caractériser les populations de CTL spécifiques de chaque variant de cet épitope en analysant l'expression des différents gènes codant pour la chaîne variable b du TCR (Vb répertoire) et par un large séquençage des régions complémentaires déterminantes 3 (CDR3) du TCRb. Ces travaux ont montré qu'une vaccination utilisant la séquence du clade C de l'enveloppe du VIH-1 conduit à des réponses divergentes chez 2 singes rhésus Mamu-A*01+. De plus, ces résultats ont mis en évidence que l'usage de certainbes nVe permet pas de déterminer le potentiel cross-réactif des CTL. Par ailleurs, une immunisation utilisant des séquences de l'enveloppe du clade B du VIH-1 peut générer des CTL capables de reconnaître un large nombre de variants de l'épitope testé. L'analyse de 8112 séquences CDR3 du TCRb a permis de les caractériser. Cependant, les tests fonctionnels ont démontré que bon nombre de ces variants peptidiques stimulent une production suboptimale de cytokines par les CTL générés après vaccination. Ces résultats démontrent que la reconnaissance de variant peptidiques d'un épitope est nécessaire mais pas suffisante pour protéger contre différentes formes du VIH-1 exprimant ces séquences. L'identification de variants peptidiques capables d'induire une réponse fonctionnelle des CTL pourrait contribuer au développement d'un vaccin efficace contre le VIH-1.The sequence diversity of HIV-1 presents a challenge for the development of an effective vaccine, since such a vaccine must confer protection against diverse forms of the virus. Identifying CD8+ T lymphocytes (CTL) recognizing variants of an epitope sequence is an important step. In the rhesus monkey model, I showed by tetramer binding assays, that the same vaccine elicited CD8+ T lymphocyte populations comparably recognize the epitope relative to the immunogen and a number of variant epitope peptides from diverse forms of HIV-1. During my thesis, I also characterized populations of CD8+ T ymphocytes specific for each variant of the tested epitope by studying their Vb repertoire and by a large sequencing of the complementarity determining region (CDR3) of the TCRb. These studies showed that a single clade C env immunization generate CTL with differences in the ability to cross-react to variant epitope in monkeys sharing the same MHC class-Imolecule. Moreover, the data showed that Vb employed by CTL can not predict the capacity of these CTL to recognize epitopes from diverse HIV-1 isolates. Additionally, I showed that clade B Env immunizations generate populations of CTLrecognizing wild type and a number of variant epitope peptides. However, functional assays demonstrate that many of them stimulate suboptimal cytokine production by the vaccineelicited CTL. These finding demonstrate that the recognition of variant epitope peptides is necessary but not sufficient to protect against different forms of HIV-1. Identifying variant epitopesinducing functional responses of CTL should contribute to the development of an effective vaccine.PARIS-CNAM (751032301) / SudocSudocFranceF

Option pricing and hedging with minimum local expected shortfall

We propose a versatile Monte-Carlo method for pricing and hedging options when the market is incomplete, for an arbitrary risk critcrion (chosen here to be the expected shortfall), for a large class of stochastic processes, and in the presence of transaction costs. We illustrate the method on plain vanilla options when the price returns follow a Student -t distribution. We show that in the presence of fat-tails, our strategy allows us to significantly reduce extreme risks, and generically loads to low Gamma hedging. He also find that using an asymmetric risk function generates option skews, even when the underlying dynamics is unskewed. Finally, we show the proper accounting of transaction costs leads to an optimal strategy with reduced Gamma, which is found to outperform Leland's hedge.