The Intensity Model for Pricing Credit Securities with Jump Diffusion and Counterparty Risk

We present an intensity-based model with counterparty risk. We assume the default intensity of firm depends on the stochastic interest rate driven by the jump-diffusion process and the default states of counterparty firms. Furthermore, we make use of the techniques in Park (2008) to compute the conditional distribution of default times and derive the explicit prices of bond and CDS. These are extensions of the models in Jarrow and Yu (2001)

The Dynamic Spread of the Forward CDS with General Random Loss

We assume that the filtration F is generated by a d-dimensional Brownian motion W=(W1,…,Wd)′ as well as an integer-valued random measure μ(du,dy). The random variable τ~ is the default time and L is the default loss. Let G={Gt;t≥0} be the progressive enlargement of F by (τ~,L); that is, G is the smallest filtration including F such that τ~ is a G-stopping time and L is Gτ~-measurable. We mainly consider the forward CDS with loss in the framework of stochastic interest rates whose term structures are modeled by the Heath-Jarrow-Morton approach with jumps under the general conditional density hypothesis. We describe the dynamics of the defaultable bond in G and the forward CDS with random loss explicitly by the BSDEs method

Genetic Variants in Inflammation-Related Genes Are Associated with Radiation-Induced Toxicity Following Treatment for Non-Small Cell Lung Cancer

Treatment of non-small cell lung cancer (NSCLC) with radiotherapy or chemoradiotherapy is often accompanied by the development of esophagitis and pneumonitis. Identifying patients who might be at increased risk for normal tissue toxicity would help in determination of the optimal radiation dose to avoid these events. We profiled 59 single nucleotide polymorphisms (SNPs) from 37 inflammation-related genes in 173 NSCLC patients with stage IIIA/IIIB (dry) disease who were treated with definitive radiation or chemoradiation. For esophagitis risk, nine SNPs were associated with a 1.5- to 4-fold increase in risk, including three PTGS2 (COX2) variants: rs20417 (HR:1.93, 95% CI:1.10–3.39), rs5275 (HR:1.58, 95% CI:1.09–2.27), and rs689470 (HR:3.38, 95% CI:1.09–10.49). Significantly increased risk of pneumonitis was observed for patients with genetic variation in the proinflammatory genes IL1A, IL8, TNF, TNFRSF1B, and MIF. In contrast, NOS3:rs1799983 displayed a protective effect with a 45% reduction in pneumonitis risk (HR:0.55, 95% CI:0.31–0.96). Pneumonitis risk was also modulated by polymorphisms in anti-inflammatory genes, including genetic variation in IL13. rs20541 and rs180925 each resulted in increased risk (HR:2.95, 95% CI:1.14–7.63 and HR:3.23, 95% CI:1.03–10.18, respectively). The cumulative effect of these SNPs on risk was dose-dependent, as evidenced by a significantly increased risk of either toxicity with an increasing number of risk genotypes (P<0.001). These results suggest that genetic variations among inflammation pathway genes may modulate the development of radiation-induced toxicity and, ultimately, help in identifying patients who are at an increased likelihood for such events

Development of graphitic carbon nitride quantum dots-based oxygen self-sufficient platforms for enhanced corneal crosslinking

Keratoconus, a disorder characterized by corneal thinning and weakening, results in vision loss. Corneal crosslinking (CXL) can halt the progression of keratoconus. The development of accelerated corneal crosslinking (A-CXL) protocols to shorten the treatment time has been hampered by the rapid depletion of stromal oxygen when higher UVA intensities are used, resulting in a reduced cross-linking effect. It is therefore imperative to develop better methods to increase the oxygen concentration within the corneal stroma during the A-CXL process. Photocatalytic oxygen-generating nanomaterials are promising candidates to solve the hypoxia problem during A-CXL. Biocompatible graphitic carbon nitride (g-C3N4) quantum dots (QDs)-based oxygen self-sufficient platforms including g-C3N4 QDs and riboflavin/g-C3N4 QDs composites (RF@g-C3N4 QDs) have been developed in this study. Both display excellent photocatalytic oxygen generation ability, high reactive oxygen species (ROS) yield, and excellent biosafety. More importantly, the A-CXL effect of the g-C3N4 QDs or RF@g-C3N4 QDs composite on male New Zealand white rabbits is better than that of the riboflavin 5’-phosphate sodium (RF) A-CXL protocol under the same conditions, indicating excellent strengthening of the cornea after A-CXL treatments. These lead us to suggest the potential application of g-C3N4 QDs in A-CXL for corneal ectasias and other corneal diseases

Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities

We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the system. Using the “total hazard” approach, default times can be generated and the joint density function is obtained. We represent the pricing method of defaultable bonds and obtain the closed-form pricing formulas. By the approach of “change of measure,” analytical solutions of CDS swap rate (swap premuim) are derived in the continuous time framework and the discrete time framework, respectively