Dynamic Hedging Strategies Based on Changing the Pricing Parameters for Compound Ratchets

Equity-Indexed Annuity products (EIAs) are becoming increasingly popular as they are tax-deferred accumulation vehicles that offer participation in the equity market growth while keeping the initial capital protected. This thesis focuses in particular on a special type of EIAs; the Compound Ratchet (CR). Sellers of this product, such as insurance companies and banks, retain the right to change one of the pricing parameters on each contract anniversary date, while promising not to cross a certain predetermined threshold. Changing these parameters can sometimes have an impact on the value of the EIA, which makes them interesting to study, especially when the issuer's changing policy is not clear. In order to reproduce the pattern of these changing parameters, a new approach of dynamically hedging the CR EIA and simultaneously protecting the issuer from hedging risk is proposed and tested. Assuming the Black-Scholes Financial framework and in the absence of mortality risk, closed-form solutions for the price and value of the CR EIA at any time throughout the contract term are obtained and then used to find the Greeks, which are in turn used build the hedging strategies. In reality, trading can only be done in discrete time, which produces hedging errors. A detailed numerical example shows that the Gamma-hedging strategy outperforms the Delta-hedging strategy by reducing the magnitude of these errors. However hedging risk still exists, therefore, the new approach is applied to transfer the errors from the issuer to the buyer by dynamically changing the pricing parameters. Additionally in the numerical example, the distribution of these parameters is extracted and analyzed, as well as the resulting reduction in the hedging errors, which represent the reduced cost for the issuer

Potential Application of Tregitopes as Immunomodulating Agents in Multiple Sclerosis

The induction of immunologic tolerance is an important clinical goal in autoimmunity. CD4+ regulatory T (Treg) cells, defined by the expression of the transcription factor forkhead box P3 (FoxP3), play a central role in the control of autoimmune responses. Quantitative and qualitative defects of Tregs have been postulated to contribute to failed immune regulation in multiple sclerosis (MS) and other autoimmune diseases. This paper highlights the potential uses of T regulatory cell epitopes (Tregitopes), natural Treg epitopes found to be contained in human immunoglobulins, as immunomodulating agents in MS. Tregitopes expand Treg cells and induce “adaptive Tregs” resulting in immunosuppression and, therefore, are being considered as a potential therapy for autoimmune diseases. We will compare Tregitopes versus intravenous immunoglobulin (IVIg) in the treatment of EAE with emphasis on the potential applications of Tregitope for the treatment of MS

Effect of Natalizumab Treatment on Circulating Plasmacytoid Dendritic Cells: A Cross-Sectional Observational Study in Patients with Multiple Sclerosis

Objectives: Dendritic cells (DCs) serve a critical role both in promoting and inhibiting adaptive immunity. The goal of this study was to investigate the effect of natalizumab (NTZ) treatment on DC numbers, phenotype, and function in patients with multiple sclerosis (MS). Methods: Frequency and phenotype of myeloid and plasmacytoid DCs (MDCs and PDCs, respectively) were analyzed in blood from two separate cohorts of untreated, interferon-treated, or NTZ-treated MS patients. In addition, PDCs were stimulated with CpG-containing oligonucleotides or co-cultured with homologous T cells in the presence or absence of NTZ in vitro to determine functional effects of NTZ treatment. Results: We observed that NTZ treatment was associated with a 25–50% reduction in PDC frequency in peripheral blood as compared to untreated MS patients, while the frequency of MDCs was unchanged. PDCs in NTZ-treated patients displayed a mature, activated phenotype with increased expression of HLA-DR, TLR9, CCR7, IL-6 and IL-12. In contrast, in vitro treatment with NTZ did not increase markers of PDC activation or their ability to induce T cell differentiation. Conclusion: Our study shows that NTZ treatment is associated with a reduced frequency of PDCs in the peripheral circulation, but that PDCs in NTZ-treated individuals display an activated phenotype. Taken together the data suggests that transmigration of activated PDCs is preferentially affected by blockade of integrin α4 leading to an increased frequency of activated PDCs in blood

Stat1 is an inducible transcriptional repressor of neural stem cells self-renewal program during neuroinflammation

A central issue in regenerative medicine is understanding the mechanisms that regulate the self-renewal of endogenous stem cells in response to injury and disease. Interferons increase hematopoietic stem cells during infection by activating STAT1, but the mechanisms by which STAT1 regulates intrinsic programs in neural stem cells (NSCs) during neuroinflammation is less known. Here we explored the role of STAT1 on NSC self-renewal. We show that overexpressing Stat1 in NSCs derived from the subventricular zone (SVZ) decreases NSC self-renewal capacity while Stat1 deletion increases NSC self-renewal, neurogenesis, and oligodendrogenesis in isolated NSCs. Importantly, we find upregulation of STAT1 in NSCs in a mouse model of multiple sclerosis (MS) and an increase in pathological T cells expressing IFN-γ rather than interleukin 17 (IL-17) in the cerebrospinal fluid of affected mice. We find IFN-γ is superior to IL-17 in reducing proliferation and precipitating an abnormal NSC phenotype featuring increased STAT1 phosphorylation and Stat1 and p16ink4a gene expression. Notably, Stat1–/– NSCs were resistant to the effect of IFN-γ. Lastly, we identified a Stat1-dependent gene expression profile associated with an increase in the Sox9 transcription factor, a regulator of self-renewal. Stat1 binds and transcriptionally represses Sox9 in a transcriptional luciferase assay. We conclude that Stat1 serves as an inducible checkpoint for NSC self-renewal that is upregulated during chronic brain inflammation leading to decreased self-renewal. As such, Stat1 may be a potential target to modulate for next generation therapies to prevent progression and loss of repair function in NSCs/neural progenitors in MS

No sex-specific difference in disease trajectory in multiple sclerosis patients before and after age 50

Background: The disease course in multiple sclerosis (MS) is influenced by many factors, including age, sex, and sex hormones. Little is known about sex-specific changes in disease course around age 50, which may represent a key biological transition period for reproductive aging. Methods: Male and female subjects with no prior chemotherapy exposure were selected from a prospective MS cohort to form groups representing the years before (38–46 years, N=351) and after (54–62 years, N=200)age 50. Primary analysis assessed for interaction between effects of sex and age on clinical (Expanded Disability Status Scale, EDSS; relapse rate) and radiologic (T2 lesion volume, T2LV; brain parenchymal fraction, BPF) outcomes. Secondarily, we explored patient-reported outcomes (PROs). Results: As expected, there were age- and sex- related changes with male and older cohorts showing worse disease severity (EDSS), brain atrophy (BPF), and more progressive course. There was no interaction between age and sex on cross-sectional adjusted clinical (EDSS, relapse rate) or radiologic (BPF, T2LV) measures, or on 2-year trajectories of decline. There was a significant interaction between age and sex for a physical functioning PRO (SF-36): the older female cohort reported lower physical functioning than men (p=0.002). There were no differences in depression (Center for Epidemiological Study – Depression, CES-D) or fatigue (Modified Fatigue Impact Scale, MFIS) scores. Conclusions: There was no interaction between age and sex suggestive of an effect of reproductive aging on clinical or radiologic progression. Prospective analyses across the menopausal transition are needed

Identification of MS-specific serum miRNAs in an international multicenter study.

ObjectiveTo identify circulating microRNAs (miRNAs) linked to disease, disease stage, and disability in MS across cohorts.MethodsSamples were obtained from the Comprehensive Longitudinal Investigation of Multiple Sclerosis (CLIMB, Boston, MA), EPIC (San Francisco, CA), AMIR (Beirut, Lebanon) as part of the SUMMIT consortium, and Stockholm Prospective Assessment of Multiple Sclerosis (Stockholm, Sweden) cohorts. Serum miRNA expression was measured using locked nucleic acid-based quantitative PCR. Four groups were compared: (1) MS vs healthy control (HC), (2) relapsing-remitting (RR) vs HC, (3) secondary progressive (SP) vs HC, and (4) RR vs SP. A Wilcoxon rank-sum test was used for the comparisons. The association between each miRNA and the Expanded Disability Status Scale (EDSS) score was assessed using the Spearman correlation coefficient. For each comparison, the p values were corrected for multiple comparisons using the approach of Benjamini and Hochberg to control the false discovery rate.ResultsIn the CLIMB cohort, 5 miRNAs (hsa-miR-484, hsa-miR-140-5p, hsa-miR-320a, hsa-miR-486-5p, and hsa-miR-320c) showed a significant difference between patients with MS and healthy individuals; among these, miR-484 remained significant after accounting for multiple comparisons (p = 0.01). When comparing RRMS with HCs, hsa-miR-484 showed a significant difference (p = 0.004) between the groups after accounting for multiple group comparisons. When SP and HC were compared, 6 miRNAs (hsa-miR-484, hsa-miR-140-5p, hsa-miR-142-5p, hsa-miR-320a, hsa-miR-320b, and hsa-miR-320c) remained significantly different after accounting for multiple comparisons. Disability correlation analysis with miRNA provided 4 miRNAs (hsa-miR-320a, hsa-miR-337-3p, hsa-miR-199a-5p, and hsa-miR-142-5p) that correlated with the EDSS during the internal reproducibility phase. Among these, hsa-miR-337-3p was the most statistically significant miRNA that negatively correlated with the EDSS in three of the MS cohorts tested.ConclusionsThese findings further confirm the use of circulating serum miRNAs as biomarkers to diagnose and monitor disease status in MS.Classification of evidenceThis study provides Class III evidence that levels of circulating miRNAs identify patients with MS

Critical Role of the Programmed Death-1 (PD-1) Pathway in Regulation of Experimental Autoimmune Encephalomyelitis

Experimental autoimmune encephalomyelitis (EAE) is mediated by autoantigen-specific T cells dependent on critical costimulatory signals for their full activation and regulation. We report that the programmed death-1 (PD-1) costimulatory pathway plays a critical role in regulating peripheral tolerance in murine EAE and appears to be a major contributor to the resistance of disease induction in CD28-deficient mice. After immunization with myelin oligodendrocyte glycoprotein (MOG) there was a progressive increase in expression of PD-1 and its ligand PD-L1 but not PD-L2 within the central nervous system (CNS) of mice with EAE, peaking after 3 wk. In both wild-type (WT) and CD28-deficient mice, PD-1 blockade resulted in accelerated and more severe disease with increased CNS lymphocyte infiltration. Worsening of disease after PD-1 blockade was associated with a heightened autoimmune response to MOG, manifested by increased frequency of interferon γ–producing T cells, increased delayed-type hypersensitivity responses, and higher serum levels of anti-MOG antibody. In vivo blockade of PD-1 resulted in increased antigen-specific T cell expansion, activation, and cytokine production. Interestingly, PD-L2 but not PD-L1 blockade in WT animals also resulted in disease augmentation. Our data are the first demonstration that the PD-1 pathway plays a critical role in regulating EAE

Increased leptin and A-FABP levels in relapsing and progressive forms of MS

BACKGROUND: Leptin and adipocyte-fatty acid binding protein (A-FABP) are produced by white adipose tissue and may play a role in chronic inflammation in Multiple Sclerosis (MS). To assess leptin and A-FABP in relapsing and progressive forms of MS. METHODS: Adipokine levels were measured in untreated adult relapsing-remitting MS (RRMS), secondary progressive MS (SPMS), primary progressive MS (PPMS) and Healthy control (HC). Pediatric-onset MS (POMS) and pediatric healthy controls (PHC) were also assessed. Leptin and A-FABP levels were measured in serum by ELISA. Groups were compared using linear mixed-effects model. RESULTS: Excluding two patients with Body Mass Index (BMI) > 50, a significant difference in leptin level was found between RRMS and HC controlling for age (p = 0.007), SPMS and HC controlling for age alone (p = 0.002), or age and BMI (p = 0.007). A-FABP levels were higher in SPMS than HC (p = 0.007), controlling for age and BMI. Differences in A-FABP levels between POMS and PHC was observed after controlling for age (p = 0.019), but not when BMI was added to the model (p = 0.081). CONCLUSION: Leptin and A-FABP levels are highest in SPMS compared to HC, suggesting a role in pathogenesis of this disease subtype. A-FABP levels are increased in POMS patients and may play a role in the early stages of disease

The Impact of Lesion In-Painting and Registration Methods on Voxel-Based Morphometry in Detecting Regional Cerebral Gray Matter Atrophy in Multiple Sclerosis

Background and Purpose: VBM has been widely used to study GM atrophy in MS. MS lesions lead to segmentation and registration errors that may affect the reliability of VBM results. Improved segmentation and registration have been demonstrated by WM LI before segmentation. DARTEL appears to improve registration versus the USM. Our aim was to compare the performance of VBM-DARTEL versus VBM-USM and the effect of LI in the regional analysis of GM atrophy in MS. Materials and Methods: 3T T1 MR imaging scans were acquired from 26 patients with RRMS and 28 age-matched NC. LI replaced WM lesions with normal-appearing WM intensities before image segmentation. VBM analysis was performed in SPM8 by using DARTEL and USM with and without LI, allowing the comparison of 4 VBM methods (DARTEL + LI, DARTEL − LI, USM + LI, and USM − LI). Accuracy of VBM was assessed by using NMI, CC, and a simulation analysis. Results: Overall, DARTEL + LI yielded the most accurate GM maps among the 4 methods (highest NMI and CC, P < .001). DARTEL + LI showed significant GM loss in the bilateral thalami and caudate nuclei in patients with RRMS versus NC. The other 3 methods overestimated the number of regions of GM loss in RRMS versus NC. LI improved the accuracy of both VBM methods. Simulated data suggested the accuracy of the results provided from patient MR imaging analysis. Conclusions: We introduce a pipeline that shows promise in limiting segmentation and registration errors in VBM analysis in MS

Defects in CD4+ T cell LFA‐1 integrin‐dependent adhesion and proliferation protect Cd47−/− mice from EAE

Peer Reviewedhttps://deepblue.lib.umich.edu/bitstream/2027.42/141316/1/jlb0493.pd