Foreign currency options: An empirical analysis

The objective of this thesis is to study the pricing of foreign currency options by using transaction data. It is to investigate empirically the hypothesis of option markets efficiency on the Philadelphia Stock Exchange (PHLX) between August 1987 and October 1994 It uses daily trade-to-trade transaction for the studies on (1) European put-call parity, (2) American put-call pricing relationship, (3) the early- exercise premium of the American options, (4) the volatility smile and risk-neutral distribution of the American options, (5) models for predicting option prices with yesterday’s market volatility smile, and (6) the difference between volatility smiles on the over-the-counter (OTC) and PHLX markets. The first three tests employ both non-transaction-cost and full-transaction-cost scenarios. The put-call party does not hold and the results provide evidence of arbitrage profit opportunities for investors (i.e., an investor might be able to earn risk-free profit). It is not possible to reject (with confidence) the hypothesis that PHLX currency option market is inefficient. Deutsche Mark options are the most heavily traded options on the PHLX and they have therefore been used for sections (4) to (6). The fourth test confirms that the volatility smiles of calls and puts are asymmetrical, both calls and puts are skewed from the right to the left. The smile has an average positive (+1.2%) volatility skewness. The calls also have higher volatility than the puts in general. However, the OTC options in section (6) give a different result. The OTC and exchange markets have different volatility smiles and the OTC options’ volatility smile is negatively skewed. Although the observed options’ volatilities have a smile, the predicting of tomorrow’s option prices in the section (5) with today’s market volatility smile gives larger errors than assuming no smile at all. The PHLX options in section (6) have an irregular wave-shaped volatility smile across strike prices and observed period. It reflects that prediction of option’s volatility required a more powerful deterministic volatility function. In section (6), PHLX options have higher volatility than OTC options. Moreover, both PHLX and OTC markets have different volatility skewness, it allows investors with low transaction costs to obtain risk-free arbitrages. In summary, the six tests have showed that the options' markets are not perfectly efficient

IKKβ regulates essential functions of the vascular endothelium through kinase-dependent and -independent pathways

Vascular endothelium provides a selective barrier between the blood and tissues, participates in wound healing and angiogenesis, and regulates tissue recruitment of inflammatory cells. Nuclear factor (NF)-κB transcription factors are pivotal regulators of survival and inflammation, and have been suggested as potential therapeutic targets in cancer and inflammatory diseases. Here we show that mice lacking IKKβ, the primary kinase mediating NF-κB activation, are smaller than littermates and born at less than the expected Mendelian frequency in association with hypotrophic and hypovascular placentae. IKKβ-deleted endothelium manifests increased vascular permeability and reduced migration. Surprisingly, we find that these defects result from loss of kinase-independent effects of IKKβ on activation of the serine-threonine kinase, Akt. Together, these data demonstrate essential roles for IKKβ in regulating endothelial permeability and migration, as well as an unanticipated connection between IKKβ and Akt signalling

Hydrodynamic interactions in colloidal ferrofluids: A lattice Boltzmann study

We use lattice Boltzmann simulations, in conjunction with Ewald summation methods, to investigate the role of hydrodynamic interactions in colloidal suspensions of dipolar particles, such as ferrofluids. Our work addresses volume fractions $\phi$ of up to 0.20 and dimensionless dipolar interaction parameters $\lambda$ of up to 8. We compare quantitatively with Brownian dynamics simulations, in which many-body hydrodynamic interactions are absent. Monte Carlo data are also used to check the accuracy of static properties measured with the lattice Boltzmann technique. At equilibrium, hydrodynamic interactions slow down both the long-time and the short-time decays of the intermediate scattering function $S(q,t)$, for wavevectors close to the peak of the static structure factor $S(q)$, by a factor of roughly two. The long-time slowing is diminished at high interaction strengths whereas the short-time slowing (quantified via the hydrodynamic factor $H(q)$) is less affected by the dipolar interactions, despite their strong effect on the pair distribution function arising from cluster formation. Cluster formation is also studied in transient data following a quench from $\lambda = 0$; hydrodynamic interactions slow the formation rate, again by a factor of roughly two

Redox proteomics of the inflammatory secretome identifies a common set of redoxins and other glutathionylated proteins released in inflammation, influenza virus infection and oxidative stress

Protein cysteines can form transient disulfides with glutathione (GSH), resulting in the production of glutathionylated proteins, and this process is regarded as a mechanism by which the redox state of the cell can regulate protein function. Most studies on redox regulation of immunity have focused on intracellular proteins. In this study we have used redox proteomics to identify those proteins released in glutathionylated form by macrophages stimulated with lipopolysaccharide (LPS) after pre-loading the cells with biotinylated GSH. Of the several proteins identified in the redox secretome, we have selected a number for validation. Proteomic analysis indicated that LPS stimulated the release of peroxiredoxin (PRDX) 1, PRDX2, vimentin (VIM), profilin1 (PFN1) and thioredoxin 1 (TXN1). For PRDX1 and TXN1, we were able to confirm that the released protein is glutathionylated. PRDX1, PRDX2 and TXN1 were also released by the human pulmonary epithelial cell line, A549, infected with influenza virus. The release of the proteins identified was inhibited by the anti-inflammatory glucocorticoid, dexamethasone (DEX), which also inhibited tumor necrosis factor (TNF)-α release, and by thiol antioxidants (N-butanoyl GSH derivative, GSH-C4, and N-acetylcysteine (NAC), which did not affect TNF-α production. The proteins identified could be useful as biomarkers of oxidative stress associated with inflammation, and further studies will be required to investigate if the extracellular forms of these proteins has immunoregulatory functions

aPKC controls endothelial growth by modulating c-Myc via FoxO1 DNA-binding ability

Strict regulation of proliferation is vital for development, whereas unregulated cell proliferation is a fundamental characteristic of cancer. The polarity protein atypical protein kinase C lambda/iota (aPKCλ) is associated with cell proliferation through unknown mechanisms. In endothelial cells, suppression of aPKCλ impairs proliferation despite hyperactivated mitogenic signaling. Here we show that aPKCλ phosphorylates the DNA binding domain of forkhead box O1 (FoxO1) transcription factor, a gatekeeper of endothelial growth. Although mitogenic signaling excludes FoxO1 from the nucleus, consequently increasing c-Myc abundance and proliferation, aPKCλ controls c-Myc expression via FoxO1/miR-34c signaling without affecting its localization. We find this pathway is strongly activated in the malignant vascular sarcoma, angiosarcoma, and aPKC inhibition reduces c-Myc expression and proliferation of angiosarcoma cells. Moreover, FoxO1 phosphorylation at Ser218 and aPKC expression correlates with poor patient prognosis. Our findings may provide a potential therapeutic strategy for treatment of malignant cancers, like angiosarcoma

First Observation of Self-Amplified Spontaneous Emission in a Free-Electron Laser at 109 nm Wavelength

We present the first observation of Self-Amplified Spontaneous Emission (SASE) in a free-electron laser (FEL) in the Vacuum Ultraviolet regime at 109 nm wavelength (11 eV). The observed free-electron laser gain (approx. 3000) and the radiation characteristics, such as dependency on bunch charge, angular distribution, spectral width and intensity fluctuations all corroborate the existing models for SASE FELs.Comment: 6 pages including 6 figures; e-mail: [email protected]

Vertical stratification of the air microbiome in the lower troposphere

The troposphere constitutes the final frontier of global ecosystem research due to technical challenges arising from its size, low biomass, and gaseous state. Using a vertical testing array comprising a meteorological tower and a research aircraft, we conducted synchronized measurements of meteorological parameters and airborne biomass (n = 480) in the vertical air column up to 3,500 m. The taxonomic analysis of metagenomic data revealed differing patterns of airborne microbial community composition with respect to time of day and height above ground. The temporal and spatial resolution of our study demonstrated that the diel cycle of airborne microorganisms is a ground-based phenomenon that is entirely absent at heights >1,000 m. In an integrated analysis combining meteorological and biological data, we demonstrate that atmospheric turbulence, identified by potential temperature and high-frequency three-component wind measurements, is the key driver of bioaerosol dynamics in the lower troposphere. Multivariate regression analysis shows that at least 50% of identified airborne microbial taxa (n = ∼10,000) are associated with either ground or height, allowing for an understanding of dispersal patterns of microbial taxa in the vertical air column. Due to the interconnectedness of atmospheric turbulence and temperature, the dynamics of microbial dispersal are likely to be impacted by rising global temperatures, thereby also affecting ecosystems on the planetary surface

Insulin-Stimulated Degradation of Apolipoprotein B100: Roles of Class II Phosphatidylinositol-3-Kinase and Autophagy

Both in humans and animal models, an acute increase in plasma insulin levels, typically following meals, leads to transient depression of hepatic secretion of very low density lipoproteins (VLDL). One contributing mechanism for the decrease in VLDL secretion is enhanced degradation of apolipoprotein B100 (apoB100), which is required for VLDL formation. Unlike the degradation of nascent apoB100, which occurs in the endoplasmic reticulum (ER), insulin-stimulated apoB100 degradation occurs post-ER and is inhibited by pan-phosphatidylinositol (PI)3-kinase inhibitors. It is unclear, however, which of the three classes of PI3-kinases is required for insulin-stimulated apoB100 degradation, as well as the proteolytic machinery underlying this response. Class III PI3-kinase is not activated by insulin, but the other two classes are. By using a class I-specific inhibitor and siRNA to the major class II isoform in liver, we now show that it is class II PI3-kinase that is required for insulin-stimulated apoB100 degradation in primary mouse hepatocytes. Because the insulin-stimulated process resembles other examples of apoB100 post-ER proteolysis mediated by autophagy, we hypothesized that the effects of insulin in autophagy-deficient mouse primary hepatocytes would be attenuated. Indeed, apoB100 degradation in response to insulin was significantly impaired in two types of autophagy-deficient hepatocytes. Together, our data demonstrate that insulin-stimulated apoB100 degradation in the liver requires both class II PI3-kinase activity and autophagy. © 2013 Andreo et al

The OpenMolcas Web: A Community-Driven Approach to Advancing Computational Chemistry

The developments of the open-source OpenMolcas chemistry software environment since spring 2020 are described, with a focus on novel functionalities accessible in the stable branch of the package or via interfaces with other packages. These developments span a wide range of topics in computational chemistry and are presented in thematic sections: electronic structure theory, electronic spectroscopy simulations, analytic gradients and molecular structure optimizations, ab initio molecular dynamics, and other new features. This report offers an overview of the chemical phenomena and processes OpenMolcas can address, while showing that OpenMolcas is an attractive platform for state-of-the-art atomistic computer simulations