Affine term structure models : a time-changed approach with perfect fit to market curves

We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or Cox-Ingersoll-Ross (possibly coupled with compounded Poisson jumps, JCIR), are tractable processes but have limited flexibility; they fail to replicate actual market curves. The deterministic shift extension of the latter (Hull-White or JCIR++) is a simple but yet efficient solution that is widely used by both academics and practitioners. However, the shift approach is often not appropriate when positivity is required, which is a common constraint when dealing with credit spreads or default intensities. In this paper, we tackle this problem by adopting a time change approach. On the top of providing an elegant solution to the calibration problem under positivity constraint, our model features additional interesting properties in terms of implied volatilities. It is compared to the shift extension on various credit risk applications such as credit default swap, credit default swaption and credit valuation adjustment under wrong-way risk. The time change approach is able to generate much larger volatility and covariance effects under the positivity constraint. Our model offers an appealing alternative to the shift in such cases.Comment: 44 pages, figures and table

Znf202 Affects High Density Lipoprotein Cholesterol Levels and Promotes Hepatosteatosis in Hyperlipidemic Mice

Background: The zinc finger protein Znf202 is a transcriptional suppressor of lipid related genes and has been linked to hypoalphalipoproteinemia. A functional role of Znf202 in lipid metabolism in vivo still remains to be established. Methodology and Principal Findings: We generated mouse Znf202 expression vectors, the functionality of which was established in several in vitro systems. Next, effects of adenoviral znf202 overexpression in vivo were determined in normo- as well as hyperlipidemic mouse models. Znf202 overexpression in mouse hepatoma cells mhAT3F2 resulted in downregulation of members of the Apoe/c1/c2 and Apoa1/c3/a4 gene cluster. The repressive activity of Znf202 was firmly confirmed in an apoE reporter assay and Znf202 responsive elements within the ApoE promoter were identified. Adenoviral Znf202 transfer to Ldlr-/- mice resulted in downregulation of apoe, apoc1, apoa1, and apoc3 within 24 h after gene transfer. Interestingly, key genes in bile flux (abcg5/8 and bsep) and in bile acid synthesis (cyp7a1) were also downregulated. At 5 days post-infection, the expression of the aforementioned genes was normalized, but mice had developed severe hepatosteatosis accompanied by hypercholesterolemia and hypoalphalipoproteinemia. A much milder phenotype was observed in wildtype mice after 5 days of hepatic Znf202 overexpression. Interestingly and similar to Ldl-/- mice, HDL-cholesterol levels in wildtype mice were lowered after hepatic Znf202 overexpression. Conclusion/Significance: Znf202 overexpression in vivo reveals an important role of this transcriptional regulator in liver lipid homeostasis, while firmly establishing the proposed key role in the control of HDL levels

Filtering-Free Blind Separation of Correlated Images

When using ICA for image separation, a well-known problem is that most often a large correlation exists between the sources