Pricing Inflation and Interest Rates Derivatives with Macroeconomic Foundations

I develop a model to price inflation and interest rates derivatives using continuous-time dynamics linked to monetary macroeconomic models: in this approach the reaction function of the central bank, the bond market liquidity, and expectations play an important role. The model explains the effects of non-standard monetary policies (like quantitative easing or its tapering) on derivatives pricing. A first adaptation of the discrete-time macroeconomic DSGE model is proposed, and some changes are made to use it for pricing: this is respectful of the original model, but it soon becomes clear that moving to continuous time brings significant benefits. The continuous-time model is built with no-arbitrage assumptions and economic hypotheses that are inspired by the DSGE model. Interestingly, in the proposed model the short rates dynamics follow a time-varying Hull-White model, which simplifies the calibration. This result is significant from a theoretical perspective as it links the new theory proposed to a well-established model. Further, I obtain closed forms for zero-coupon and year-on-year inflation payoffs. The calibration process is fully separable, which means that it is carried out in many simple steps that do not require intensive computation. The advantages of this approach become apparent when doing risk analysis on inflation derivatives: because the model explicitly takes into account economic variables, a trader can assess the impact of a change in central bank policy on a complex book of fixed income instruments, which is not straightforward when using standard models. The analytical tractability of the model makes it a candidate to tackle more complex problems, like inflation skew and counterparty/funding valuation adjustments (known by practitioners as XVA): both problems are interesting from a theoretical and an applied point of view, and, given their computational complexity, benefit from a tractable model. In both cases the results are promising.Open Acces

A novel approach for the purification and proteomic analysis of pathogenic immunglobulin free light chains from serum

An excess of circulating monoclonal free immunoglobulin light chains (FLC) is common in plasma cell disorders. A subset of FLC, as amyloidogenic ones, possess intrinsic pathogenicity. Because of their complex purification, little is known on the biochemical features of serum FLC, possibly related to their pathogenic spectrum. We developed an immunopurification approach to isolate serum FLC from patients with monoclonal gammopathies, followed by proteomic characterization. Serum monoclonal FLC were detected and quantified by immunofixation and immunonephelometry. Immunoprecipitation was performed by serum incubation with agarose beads covalently linked to polyclonal anti-κ or λ FLC antibodies. Isolated FLC were analyzed by SDS-PAGE, 2D-PAGE, immunoblotting, mass spectrometry (MS). Serum FLC were immunoprecipitated from 15 patients with ALλ amyloidosis (serum λ FLC range: 98-2350mg/L), 5 with ALκ amyloidosis and 1 with κ light chain (LC) myeloma (κ FLC range: 266-2660mg/L), and 3 controls. Monoclonal FLC were the prevalent eluted species in patients. On 2D-PAGE, both λ and κ FLC originated discrete spots with multiple pI isoforms. The nature of eluted FLC and coincidence with the LC sequence from the bone marrow clone was confirmed by MS, which also detected post-translational modifications, including truncation, tryptophan oxidation, cysteinylation, peptide dimerization. Serum FLC were purified in soluble form and adequate amounts for proteomics, which allowed studying primary sequence and detecting post-translational modifications. This method is a novel instrument for studying the molecular bases of FLC pathogenicity, allowing for the first time the punctual biochemical description of the circulating forms

The combination of high-sensitivity cardiac troponin T (hs-cTnT) at presentation and changes in N-terminal natriuretic peptide type B (NT-proBNP) after chemotherapy best predicts survival in AL amyloidosis

In light-chain (AL) amyloidosis, prognosis is dictated by cardiac dysfunction. N-terminal natriuretic peptide type B (NT-proBNP) and cardiac troponins (cTn) are used to assess the severity of cardiac damage. We evaluated the prognostic relevance of a high-sensitivity (hs) cTnT assay, NT-proBNP, and cardiac troponin I in 171 consecutive patients with AL amyloidosis at presentation and 6 months after treatment. Response and progression of NT-proBNP were defined as more than 30% and more than 300 ng/L changes. All 3 markers predicted survival, but the best multivariable model included hs-cTnT. The hs-cTnT prognostic cutoff was 77 ng/L (median survival 10.6 months for patients with hs-cTnT above the cutoff). After treatment, response and progression of NT-proBNP and a more than 75% increase of hs-cTnT were independent prognostic determinant. In AL amyloidosis, hs-cTnT is the best baseline prognostic marker. Therapy should be aimed at preventing progression of cardiac biomarkers, whereas NT-proBNP response confers an additional survival benefit