Pricing tranched credit products with generalized multifactor models

The market for tranched credit products (CDOs, Itraxx tranches) is one of the fastest growing segments in the credit derivatives industry. However, some assumptions underlying the standard Gaussian onefactor pricing model (homogeneity, single factor, Normality), which is the pricing standard widely used in the industry, are probably too restrictive. In this paper we generalize the standard model by means of a two by two model (two factors and two asset classes). We assume two driving factors (business cycle and industry) with independent tStudent distributions, respectively, and we allow the model to distinguish among portfolio assets classes. In order to illustrate the estimation of the parameters of the model, an empirical application with Moody's data is also included

Quantum Entanglement in (d−1)(d-1)-Spherium

There are very few systems of interacting particles (with continuous variables) for which the entanglement of the concomitant eigenfunctions can be computed in an exact, analytical way. Here we present analytical calculations of the amount of entanglement exhibited by $s$-states of \emph{spherium}. This is a system of two particles (electrons) interacting via a Coulomb potential and confined to a $(d-1)$-sphere (that is, to the surface of a $d$-dimensional ball). We investigate the dependence of entanglement on the radius $R$ of the system, on the spatial dimensionality $d$, and on energy. We find that entanglement increases monotonically with $R$, decreases with $d$, and also tends to increase with the energy of the eigenstates. These trends are discussed and compared with those observed in other two-electron atomic-like models where entanglement has been investigated.Comment: 14 pages, 6 figures. J. Phys. A (2015). Accepte

Information theory of quantum systems with some hydrogenic applications

The information-theoretic representation of quantum systems, which complements the familiar energy description of the density-functional and wave-function-based theories, is here discussed. According to it, the internal disorder of the quantum-mechanical non-relativistic systems can be quantified by various single (Fisher information, Shannon entropy) and composite (e.g. Cramer-Rao, LMC shape and Fisher-Shannon complexity) functionals of the Schr\"odinger probability density. First, we examine these concepts and its application to quantum systems with central potentials. Then, we calculate these measures for hydrogenic systems, emphasizing their predictive power for various physical phenomena. Finally, some recent open problems are pointed out.Comment: 9 pages, 3 figure

Anti-inflammatory, pro-proliferative and antimicrobial potential of the compounds isolated from Daemonorops draco (Willd.) Blume

Ethno-pharmacological relevance: Daemonorops draco (D. draco) commonly known as “Dragon's blood” is one of the most used plants by Momok, Anak Dalam and Talang Mamak tribes from Indonesia as a remedy for wound healing. Aim of the study: This study aimed to identify the extract, fractions and compounds responsible for the anti-inflammatory and pro-proliferative activities of the D. draco resin. Additionally, the antimicrobial activity against two bacteria and one yeast species was analysed. Materials and methods: Bio-guided isolation of compounds with anti-inflammatory, pro-proliferative and antimicrobial activities from the D. draco resin was carried out by measuring: the inhibition of NF-κB and activation of Nrf2 in THP-1, HaCaT, NIH-3T3 cells; cell proliferation in NIH-3T3 and HaCaT cells; and the antimicrobial effect on E. coli, S. aureus and C. albicans. Results: Guided isolation by bioassay gave rise to the isolation and characterisation by nuclear magnetic resonance and mass spectrometry of three compounds: 1 (Bexarotene), 2 (Taspine) and 3 (2-hydroxy-1-naphthaldehyde isonicotinoyl hydrazone). All compounds showed NF-κB inhibitory activity with IC50 values of 0.10–0.13, 0.22–0.24 and 3.75–4.78 μM, respectively, while the positive control, Celastrol, had an IC50 of 7.96 μM. Likewise, all compounds showed an activating effect of Nrf2 with EC50 values of 5.34–5.43, 163.20–169.20 and 300.82–315.56 nM, respectively, while the positive control, CDDO-Me, had an EC50 of 0.11 nM. In addition, concerning the pro-proliferative activity, compound 1 (IC50 = 8.62–8.71 nM) showed a capacity of 100%, compound 2 (IC50 = 166–171 nM) showed a capacity of 75%, and compound 3 (IC50 = 469–486 nM) showed a capacity of 65%, while FSB 10% (positive control) had a pro-proliferative activity of 100% in the NIH3T3 cell lines (fibroblasts) and HaCaT (keratinocytes). Finally, all the compounds showed antimicrobial activity with MIC values of 0.12–0.16, 0.31–0.39 and 3.96–3.99 μM, respectively, in S. aureus, E. coli and C. albicans strains, while the positive control, Ofloxacin, had a MIC of 27.65 μM. Conclusion: This study managed to isolate, for the first time, three compounds (Bexarotene, Taspine and 2-hydroxy-1-naphthaldehyde isonicotinoyl hydrazone) from the resin of D. draco, with anti-inflammatory, and pro-proliferative as well as antimicrobial activitie

Corrigendum: Museomics Unveil the Phylogeny and Biogeography of the Neglected Juan Fernandez Archipelago Megalachne and Podophorus Endemic Grasses and Their Connection With Relict Pampean-Ventanian Fescues

In the original article, there was amistake in Table 1, Figures 2A, 2B, 3A, 3B and 5, Supplementary Figures 1A, 1B, 1C, 1D, 2A, 2B, 2C and 3, and Supplementary Tables 1 and 2A as published. The name and authorship of Festuca fontqueri St-Yves were misspelled as Festuca fontqueriana (St-Yves) Romo. In addition, the GenBank accession codes of ITS, trnLF and trnTL DNA sequences of Avena fatua, Oryza sativa, Poa alpina, Secale cereale and Triticum aestivum were wrong in Supplementary Table 1. The corrected Table 1, Figures 2A, 2B, 3A, 3B and 5 appear below and corrected Supplementary Figures 1A, 1B, 1C, 1D, 2A, 2B, 2C and 3, and Supplementary Tables 1 and 2A are published. The authors apologize for this error and state that this does not change the scientific conclusions of the article in any way. The original article has been updated. © 2021 Moreno-Aguilar, Arnelas, Sánchez-Rodríguez, Viruel and Catalán

Museomics Unveil the Phylogeny and Biogeography of the Neglected Juan Fernandez Archipelago Megalachne and Podophorus Endemic Grasses and Their Connection With Relict Pampean-Ventanian Fescues

Oceanic islands constitute natural laboratories to study plant speciation and biogeographic patterns of island endemics. Juan Fernandez is a southern Pacific archipelago consisting of three small oceanic islands located 600–700 km west of the Chilean coastline. Exposed to current cold seasonal oceanic climate, these 5.8–1 Ma old islands harbor a remarkable endemic flora. All known Fernandezian endemic grass species belong to two genera, Megalachne and Podophorus, of uncertain taxonomic adscription. Classical and modern classifications have placed them either in Bromeae (Bromus), Duthieinae, Aveneae/Poeae, or Loliinae (fine-leaved Festuca); however, none of them have clarified their evolutionary relationships with respect to their closest Festuca relatives. Megalachne includes four species, which are endemic to Masatierra (Robinson Crusoe island) (M. berteroniana and M. robinsoniana) and to Masafuera (Alejandro Selkirk island) (M. masafuerana and M. dantonii). The monotypic Podophorus bromoides is a rare endemic species to Masatierra which is only known from its type locality and is currently considered extinct. We have used museomic approaches to uncover the challenging evolutionary history of these endemic grasses and to infer the divergence and dispersal patterns from their ancestors. Genome skimming data were produced from herbarium samples of M. berteroniana and M. masafuerana, and the 164 years old type specimen of P. bromoides, as well as for a collection of 33 species representing the main broad- and fine-leaved Loliinae lineages. Paired-end reads were successfully mapped to plastomes and nuclear ribosomal cistrons of reference Festuca species and used to reconstruct phylogenetic trees. Filtered ITS and trnTLF sequences from these genomes were further combined with our large Loliinae data sets for accurate biogeographic reconstruction. Nuclear and plastome data recovered a strongly supported fine-leaved Fernandezian clade where Podophorus was resolved as sister to Megalachne. Bayesian divergence dating and dispersal-extinction-cladogenesis range evolution analyses estimated the split of the Fernandezian clade from its ancestral southern American Pampas-Ventanian Loliinae lineage in the Miocene-Pliocene transition, following a long distance dispersal from the continent to the uplifted volcanic palaeo-island of Santa Clara-Masatierra. Consecutive Pliocene-Pleistocene splits and a Masatierra-to-Masafuera dispersal paved the way for in situ speciation of Podophorus and Megalachne taxa