One numerical procedure for two risk factors modeling

We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross Rubinstein (CRR, 1979) binomial model under a stochastic risk free rate, whose dynamics evolves over time accordingly to the Black, Derman and Toy (BDT, 1990) one-factor model. To this aim, we set the hypothesis that the instantaneous correlation between the trajectories of the future stock price (conditional on the current value of the short rate) and of the future short rate is zero. We then apply the resulting stock price dynamics to evaluate the price of a simple contract, i.e. of a stock option. Finally, we compare the derived price to the price of the same option under different pricing models, as the traditional Black and Scholes (1973) model. We expect that, the difference in the two prices is not sensibly large. We conclude showing in which cases it should be helpful to adopt the described model for pricing purposes.option pricing; stochastic short rate model; binomial tree

Crises in the financial regulation of finance-led capitalism: a minskyan analysis

sem informaçãoFinancial markets are subject to more developed regulatory mechanisms than those of other sectors of the economy. This can be explained by the nature of financial transactions and by the extremely harmful consequences of financial crises for the entire ec6114sem informaçãosem informaçãosem informaçã

Design, synthesis and pharmacological studies of structural analogues modeled on bioactive natural products

2009 - 2010Microsomal prostaglandin E2 synthase-1 (mPGES-1) is the enzyme responsible for the conversion of the cyclooxygenase (COX)-derived prostaglandins (PG)H2 into PGE2. This enzyme is deeply involved in different pathologies; in fact it is over-expressed in several inflammatory disorders[1] as well as in some human tumours.[2;3] Hence, the inhibition of mPGES-1 has been proposed as a promising approach for the development of safer drugs in inflammatory disorders, devoid of classical NSAID side effects.[4] Indeed, this enzyme is responsible for the biosynthesis of inducible PGE2 as a response to inflammatory stimuli[5] whereas it doesn’t affect constitutive PGE2 involved in crucial physiological functions. Today two are the main approaches employed in the inhibition of mPGES-1 activity.[6] The first consists in the negative modulation of its expression, while the second one concerns the direct and selective inhibition of the enzyme. In order to identify novel molecules able to block mPGES-1, in the first part of this project we focused our attention on the design and synthesis of molecules able to inhibit the expression of our target enzyme. Specifically, as first task we decided to undertake the structural optimization of a γ-hydroxybutenolide related to petrosaspongiolide M (PM) 5, compound 6, that showed to be a potent negative modulator of mPGES-1 expression (IC50 = 1.80 μM).[7;8] In the course of our investigation we identified two new hits that revealed an increased activity compared to the parent molecule 6, compounds 30 (IC50 = 0.79 μM) and 31e (IC50 = 0.85 μM).[9] Encouraged by these results, in order to amplify the chemical diversity of the γ-hydroxybutenolide scaffold and identify new lead structures able to inhibit mPGES-1 expression, we decided to develop a new collection of PM-derivatives featuring amido-aromatic portions linked to the γ-hydroxybutenolide scaffold. These compounds are currently under biological investigations whose outcomes could suggest new guidelines useful in the discovery of more effective agents. As second task, we concentrated our efforts on the development of molecules able to directly interfere with mPGES-1. Owing to the lack of its crystallographic structure in protein data bank (PDB), we decided to choose, as model for our investigations, microsomal glutathione transferase 1 (MGST-1), an enzyme belonging to membrane associated proteins in eicosanoid and gluthatione metabolism (MAPEG) family and showing a high homology sequence with our selected target.[10] On the basis of virtual screening outcomes, we designed and synthesized a collection of potential mPGES-1 inhibitors based on 1,4-disubstituted triazole moiety, a scaffold extensively employed in drug discovery that can be obtained through click chemistry approach, a powerful tool for the rapid exploration of the chemical universe based on practical and reliable chemical reactions. The biological evaluation of these compounds allowed us to individuate three new potential anti-inflammatory agents: (I) compound 54 displaying selectivity for mPGES-1 with an IC50 value of 3.2 μM, (II) compound 70 that dually inhibits 5-lipoxygenase (5-LO) and mPGES-1 and (III) compound 57 acting as 5-lipoxygenase-activating protein (FLAP) inhibitor (IC50 = 0.4 μM).[11] On the basis of these results, as last task of this project, we directed our attention on the new hit 54, emerged as a selective inhibitor of mPGES-1. In more details, on the basis of the suggestions coming from both the biological screening and the 3D model of interaction with MGST-1, aiming at improving its biological activity, we decided to rely on some well-reasoned structural changes of the basic molecule in order to enhance the binding affinity for the target enzyme. In this perspective, a new collection of triazole derivatives has been efficiently synthesized and their biological profile is currently under investigation. [edited by author]IX n.s

A INFLUÊNCIA DO APEGO NA RECOMENDAÇÃO DE UMA IES NA ÓTICA DE ALUNOS DE UMA UNIVERSIDADE PÚBLICA FEDERAL NO BRASIL

Apego emocional e a recomendação da marca são dois assuntos explorados no marketing, entretanto, poucos trabalhos buscaram medir esta relação, em especial no contexto educacional. Buscando suprir esta carência, o presente artigo buscou analisar a influência do apego por uma instituição de ensino superior pública na recomendação dela por parte dos alunos. Para tanto, realizou-se uma survey descritiva e quantitativa com a participação de 87 alunos de um curso superior de uma universidade pública do sul do Brasil entre janeiro e abril de 2014. Os dados foram tabulados e tratados via equação estrutural, sendo que o resultado da modelagem, revelou haver uma forte influência do apego emocional na recomendação. Neste caso, conclui-se que o apego emocional é um forte componente para gerar a recomendação, mesmo em IES públicas federais

Banking-system transformations after the crisis and their impacts on regulation

sem informaçãoThe serious financial crisis, which started in 2007 in the heart of capitalism, and became widespread throughout the world in 2008, is still unfolding with important structural repercussion and transformations. Such transformations are already taking plac44277111sem informaçãosem informaçãosem informaçã

Water renewal mechanisms of the Bay of Algeciras in the Strait of Gibraltar

The Bay of Algeciras (BA) is a marine environment subject to high levels of anthropogenic pressure. Here we analyze observations collected at the Bay and the results of an ocean circulation model to investigate its circulation and variability. Special attention is paid to the identification of the mechanisms enhancing the exchange of water with the adjacent Strait of Gibraltar and therefore contributing to maintain satisfactory levels of water quality.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

New insights into Chlamydiae persistence: an energy metabolism strategy?

Chlamydiaceae is a family of obligate intracellular bacteria generally considered energy parasites. Several studies have suggested that Chlamydiae are capable of independently producing energy and, more importantly, several genes involved in the energy metabolism are up-regulated during the persistent state. Thus, it has been suggested that chlamydial persistence could be a complex and flexible metabolic strategy designed to favor a lengthy survival in the host cell by evading the immune response. In conclusion, more detailed studies on the shift in the chlamydial energy metabolism, from the active to the persistent form, may be helpful in future to determine whether chlamydial persistence observed in vitro does occur in vivo and whether chronic sequelae of chlamydial diseases may be related to the persistence

One numerical procedure for two risk factors modeling

We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross Rubinstein (CRR, 1979) binomial model under a stochastic risk free rate, whose dynamics evolves over time accordingly to the Black, Derman and Toy (BDT, 1990) one-factor model. To this aim, we set the hypothesis that the instantaneous correlation between the trajectories of the future stock price (conditional on the current value of the short rate) and of the future short rate is zero. We then apply the resulting stock price dynamics to evaluate the price of a simple contract, i.e. of a stock option. Finally, we compare the derived price to the price of the same option under different pricing models, as the traditional Black and Scholes (1973) model. We expect that, the difference in the two prices is not sensibly large. We conclude showing in which cases it should be helpful to adopt the described model for pricing purposes

One numerical procedure for two risk factors modeling

We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross Rubinstein (CRR, 1979) binomial model under a stochastic risk free rate, whose dynamics evolves over time accordingly to the Black, Derman and Toy (BDT, 1990) one-factor model. To this aim, we set the hypothesis that the instantaneous correlation between the trajectories of the future stock price (conditional on the current value of the short rate) and of the future short rate is zero. We then apply the resulting stock price dynamics to evaluate the price of a simple contract, i.e. of a stock option. Finally, we compare the derived price to the price of the same option under different pricing models, as the traditional Black and Scholes (1973) model. We expect that, the difference in the two prices is not sensibly large. We conclude showing in which cases it should be helpful to adopt the described model for pricing purposes

One numerical procedure for two risk factors modeling

We propose a numerical procedure for the pricing of financial contracts whose contingent claims are exposed to two sources of risk: the stock price and the short interest rate. More precisely, in our pricing framework we assume that the stock price dynamics is described by the Cox, Ross Rubinstein (CRR, 1979) binomial model under a stochastic risk free rate, whose dynamics evolves over time accordingly to the Black, Derman and Toy (BDT, 1990) one-factor model. To this aim, we set the hypothesis that the instantaneous correlation between the trajectories of the future stock price (conditional on the current value of the short rate) and of the future short rate is zero. We then apply the resulting stock price dynamics to evaluate the price of a simple contract, i.e. of a stock option. Finally, we compare the derived price to the price of the same option under different pricing models, as the traditional Black and Scholes (1973) model. We expect that, the difference in the two prices is not sensibly large. We conclude showing in which cases it should be helpful to adopt the described model for pricing purposes