Statistical Inference for Time-changed Brownian Motion Credit Risk Models

We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent increasing process. Following the approach of Black and Cox, one defines the time of default to be the first passage time for the log-leverage ratio to cross the level zero. Rather than adopt the classical notion of first passage, with its associated numerical challenges, we accept an alternative notion applicable for TCBMs called "first passage of the second kind". We demonstrate how statistical inference can be efficiently implemented in this new class of models. This allows us to compare the performance of two versions of TCBMs, the variance gamma (VG) model and the exponential jump model (EXP), to the Black-Cox model. When applied to a 4.5 year long data set of weekly credit default swap (CDS) quotes for Ford Motor Co, the conclusion is that the two TCBM models, with essentially one extra parameter, can significantly outperform the classic Black-Cox model.Comment: 21 pages, 3 figures, 2 table

Two-factor capital structure models for equity and credit

We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default swaps. In our approach, the two sides of the stylized balance sheet of a firm, namely the asset value and debt value, are assumed to follow a two dimensional Markov process. Amongst models of this type we find examples that lead to derivative pricing formulas that are capable of reproducing the main features of well known equity models such as the variance gamma model, and at the same time reproducing the stylized facts about default stemming from structural models of credit risk. Moreover, in contrast to one-factor structural models, these models allow for much more flexible dependence between equity and credit markets. Two main technical obstacles to efficient implementation of these pricing formulas are overcome in our paper. The first obstacle stems from the barrier condition implied by the non-default of the firm, and is overcome by the idea of time-changing Brownian motion in a way that preserves the reflection principle for Brownian motion. The second obstacle is the difficulty of computing spread options: this is overcome by using results in recent papers that make efficient use of the two dimensional Fast Fourier Transform.Comment: 26 pages, 9 figures, 2 table

PyPop7: A Pure-Python Library for Population-Based Black-Box Optimization

In this paper, we present a pure-Python open-source library, called PyPop7, for black-box optimization (BBO). It provides a unified and modular interface for more than 60 versions and variants of different black-box optimization algorithms, particularly population-based optimizers, which can be classified into 12 popular families: Evolution Strategies (ES), Natural Evolution Strategies (NES), Estimation of Distribution Algorithms (EDA), Cross-Entropy Method (CEM), Differential Evolution (DE), Particle Swarm Optimizer (PSO), Cooperative Coevolution (CC), Simulated Annealing (SA), Genetic Algorithms (GA), Evolutionary Programming (EP), Pattern Search (PS), and Random Search (RS). It also provides many examples, interesting tutorials, and full-fledged API documentations. Through this new library, we expect to provide a well-designed platform for benchmarking of optimizers and promote their real-world applications, especially for large-scale BBO. Its source code and documentations are available at https://github.com/Evolutionary-Intelligence/pypop and https://pypop.readthedocs.io/en/latest, respectively.Comment: 5 page

Ultrasound hyperthermia induces apoptosis in head and neck squamous cell carcinoma : an in vitro study

Hyperthermia is considered an efficient complement in the treatment of head and neck squamous cell carcinoma (HNSCC). Hyperthermia induces cell apoptosis in a temperature- and time-dependent manner. However, the molecular mechanism of hyperthermia remains unclear. The aim of this study was to investigate the mechanism of apoptosis induced by ultrasound hyperthermia in HNSCC cell lines HN-30 and HN-13. We examined the dynamic changes of early apoptosis and secondary necrosis in HN-30 and HN-13 cells treated by hyperthermia at 42°C for 10 min. We further examined mitochondrial membrane potential in vitro by ultrasound hyperthermia for different heating temperatures (38-44°C, 10 min) and heating times (42°C, 10-50 min). After heating by ultrasound at 42°C for 10 min, the apoptosis index achieved its highest level at 8 h after treatment, decreased rapidly and remained constant at a reduced level at 12 h. The level of secondary necrosis increased with the level of early apoptosis but remained at a higher level until 14 h. The level of secondary necrosis correlated with the level of early apoptosis (HN-13: r=0.7523, P=0.0030; HN-30: r=0.6510, P=0.016). The fractions of cells with low mitochondrial membrane potential (??) in the heating-temperature grads group and heating-time grads group decreased significantly over time. Therefore, HN-30 and HN-13 cells developed apoptosis after ultrasound hyperthermia treatment with decreases in the mitochondrial transmembrane potential level. Ultrasound hyperthermia induces apoptosis in HN-30 and HN-13 cells, possibly via the mitochondrial caspase pathway

CircCA12 Promotes Malignant Process via Sponging miR-1184 and Upregulating RAS Family in Bladder Cancer

Circular RNAs (circRNAs) are a panel of non-coding RNAs that mediate the regulation of gene expression, as well as pathological responses. Nonetheless, the function and expression pattern of circRNAs in urinary bladder cancer (UBC) remain unclear. Herein, we examined the function of circCA12 in UBC development. qRT-PCR results demonstrated remarkable circCA12 upregulation in UBC cell lines, as well as tissues. CCK-8, colony formation, and xenograft assays were employed to determine the effect of circCA12 on UBC. Our data illustrated silencing circCA12 repressed the proliferation along with the colony-formation capability of UBC cells. The migration and metastasis potential of UBC cells were remarkably abated in vivo, as well as in vitro after transfection with si-cirCA12 or sh-circCA12. Moreover, luciferase reporter and RIP assays indicated that circCA12 binds to miRNA-1184 through sponging miRNA, thereby up-regulating the expression of RAS family genes (NRAS, KRAS, and HRAS). In conclusion, the circCA12/miRNA-1184/RAS family was identified as a regulatory axis in UBC progression

Decreased expression of dual-specificity phosphatase 9 is associated with poor prognosis in clear cell renal cell carcinoma

Background: The molecular mechanisms involved in the development and progression of clear cell renal cell carcinomas (ccRCCs) are poorly understood. The objective of this study was to analyze the expression of dual-specificity phosphatase 9 (DUSP-9) and determine its clinical significance in human ccRCCs. Methods: The expression of DUSP-9 mRNA was determined in 46 paired samples of ccRCCs and adjacent normal tissues by using real-time qPCR. The expression of the DUSP-9 was determined in 211 samples of ccRCCs and 107 paired samples of adjacent normal tissues by immunohistochemical analysis. Statistical analysis was performed to define the relationship between the expression of DUSP-9 and the clinical features of ccRCC. Results: The mRNA level of DUSP-9, which was determined by real-time RT-PCR, was found to be significantly lower in tumorous tissues than in the adjacent non-tumorous tissues (p < 0.001). An immunohistochemical analysis of 107 paired tissue specimens showed that the DUSP-9 expression was lower in tumorous tissues than in the adjacent non-tumorous tissues (p < 0.001). Moreover, there was a significant correlation between the DUSP-9 expression in ccRCCs and gender (p = 0.031), tumor size (p = 0.001), pathologic stage (p = 0.001), Fuhrman grade (p = 0.002), T stage (p = 0.001), N classification (p = 0.012), metastasis (p = 0.005), and recurrence (p < 0.001). Patients with lower DUSP-9 expression had shorter overall survival time than those with higher DUSP-9 expression (p < 0.001). Multivariate analysis indicated that low expression of the DUSP-9 was an independent predictor for poor survival of ccRCC patients. Conclusion: To our knowledge, this is the first study that determines the relationship between DUSP-9 expression and prognosis in ccRCC. We found that decreased expression of DUSP-9 is associated with poor prognosis in ccRCC. DUSP-9 may represent a novel and useful prognostic marker for ccRCC

Highlights of the 2nd International Symposium on Tribbles and Diseases: Tribbles tremble in therapeutics for immunity, metabolism, fundamental cell biology and cancer

The Tribbles (TRIB) family of pseudokinase proteins has been shown to play key roles in cell cycle, metabolic diseases, chronic inflammatory disease, and cancer development. A better understanding of the mechanisms of TRIB pseudokinases could provide new insights for disease development and help promote TRIB proteins as novel therapeutic targets for drug discovery. At the 2nd International Symposium on Tribbles and Diseases held on May 7‒9, 2018 in Beijing, China, a group of leading Tribbles scientists reported their findings and ongoing studies about the effects of the different TRIB proteins in the areas of immunity, metabolism, fundamental cell biology and cancer. Here, we summarize important and insightful overviews from 4 keynote lectures, 13 plenary lectures and 8 short talks that took place during this meeting. These findings may offer new insights for the understanding of the roles of TRIB pseudokinases in the development of various diseases