Basket Default Swaps Pricing Based on the Normal Inverse Gaussian Distribution

Abstract In this paper, a normal inverse Gaussian factor model is developed to describe the fat-tailed feature of the default distribution of reference entities in order to study basket default swaps pricing. Based on this model, the explicit formula for the distribution of the kth default time is accurately obtained by making use of order statistics, and the closed forms of the price of BDS at the kth default and m out of n default entities are calculated using the risk-neutral pricing principle. Mathematics Subject Classification: 91B28, 91G1

Deep Supervised Hashing using Symmetric Relative Entropy

By virtue of their simplicity and efficiency, hashing algorithms have achieved significant success on large-scale approximate nearest neighbor search. Recently, many deep neural network based hashing methods have been proposed to improve the search accuracy by simultaneously learning both the feature representation and the binary hash functions. Most deep hashing methods depend on supervised semantic label information for preserving the distance or similarity between local structures, which unfortunately ignores the global distribution of the learned hash codes. We propose a novel deep supervised hashing method that aims to minimize the information loss generated during the embedding process. Specifically, the information loss is measured by the Jensen-Shannon divergence to ensure that compact hash codes have a similar distribution with those from the original images. Experimental results show that our method outperforms current state-of-the-art approaches on two benchmark datasets

A unified mechanism for intron and exon definition and back-splicing.

The molecular mechanisms of exon definition and back-splicing are fundamental unanswered questions in pre-mRNA splicing. Here we report cryo-electron microscopy structures of the yeast spliceosomal E complex assembled on introns, providing a view of the earliest event in the splicing cycle that commits pre-mRNAs to splicing. The E complex architecture suggests that the same spliceosome can assemble across an exon, and that it either remodels to span an intron for canonical linear splicing (typically on short exons) or catalyses back-splicing to generate circular RNA (on long exons). The model is supported by our experiments, which show that an E complex assembled on the middle exon of yeast EFM5 or HMRA1 can be chased into circular RNA when the exon is sufficiently long. This simple model unifies intron definition, exon definition, and back-splicing through the same spliceosome in all eukaryotes and should inspire experiments in many other systems to understand the mechanism and regulation of these processes

Rapamycin directly activates lysosomal mucolipin TRP channels independent of mTOR

Rapamycin (Rap) and its derivatives, called rapalogs, are being explored in clinical trials targeting cancer and neurodegeneration. The underlying mechanisms of Rap actions, however, are not well understood. Mechanistic target of rapamycin (mTOR), a lysosomelocalized protein kinase that acts as a critical regulator of cellular growth, is believed to mediate most Rap actions. Here, we identified mucolipin 1 (transient receptor potential channel mucolipin 1 [TRPML1], also known as MCOLN1), the principle Ca2+ release channel in the lysosome, as another direct target of Rap. Patch-clamping of isolated lysosomal membranes showed that micromolar concentrations of Rap and some rapalogs activated lysosomal TRPML1 directly and specifically. Pharmacological inhibition or genetic inactivation of mTOR failed to mimic the Rap effect. In vitro binding assays revealed that Rap bound directly to purified TRPML1 proteins with a micromolar affinity. In both healthy and disease human fibroblasts, Rap and rapalogs induced autophagic flux via nuclear translocation of transcription factor EB (TFEB). However, such effects were abolished in TRPML1-deficient cells or by TRPML1 inhibitors. Hence, Rap and rapalogs promote autophagy via a TRPML1-dependent mechanism. Given the demonstrated roles of TRPML1 and TFEB in cellular clearance, we propose that lysosomal TRPML1 may contribute a significant portion to the in vivo neuroprotective and anti-aging effects of Rap via an augmentation of autophagy and lysosomal biogenesis

Author Correction: CryoEM structure of Saccharomyces cerevisiae U1 snRNP offers insight into alternative splicing.

The originally published version of this Article contained several errors in Figure 2, panel a: the basepair register in SL3-4 of yeast U1 snRNA was depicted incorrectly; the basepair for A287-U295 in yeast U1 snRNA was erroneously present; basepairs for U84-G119, G309-U532, A288-U295 and U289-A294 in yeast U1 snRNA were missing; the bulging nucleotide in SL3 of human U1 snRNA was depicted as G instead of C; and the dashed boxes defining the 5' ss binding site and Sm site in both human and yeast snRNAs were not drawn accurately. These have now been corrected in both the PDF and HTML versions of the Article

Study on temporal and spatial evolution characteristics of water accumulation in coal mining subsidence area with high groundwater level: taking Anhui Province Mining Area as an example

In recent years, with the large-scale and high-intensity mining of coal resources, the problem of water accumulation in mining areas with high groundwater levels has become particularly prominent, which has had a serious impact on the surrounding ecological environment. In order to provide scientific basis for the restoration of the ecological environment, the study on the temporal and spatial evolution characteristics and influencing factors of the coal mining subsidence area with high groundwater level were carried out. Taking the whole mining area of Anhui Province as the research subject, based on Landsat TM/OLI remote sensing data, the NDWI and visual interpretation method were used to conduct surveys on the water accumulation area in the subsidence area from 1995 to 2020 (22 periods ) and 12 months in 2020 (12 periods) and the spatial information of waterlogging in the coal mining subsidence area in Anhui Province in recent 25 years was obtained. Combined with hydrological and rainfall data, the factors affecting the spatio-temporal evolution of waterlogging in the subsidence area were analyzed and discussed. The results show that: ① In the past 25 years, the area of accumulated water in the coal mining subsidence area in Anhui Province has been growing in three stages: slow, fast and stable. During the study period, the average stagnant area increased by about 6 times, from 18.95 km2 to 118.09 km2, with an average annual increase of 3.97 km2. ② From the time scale, the evolution of accumulation area in the subsidence area can be divided into three stages: the first stage (1995—2005), due to the fact that most of the accumulation water has not yet stabilized initially, the growth rate is relatively slow, with an average annual growth rate of 4.65%; In the second stage (2005—2013), based on the rapid growth of coal mining, the area of accumulation water has also entered a period of rapid growth, with an average annual growth rate of 6.64%; In the third stage (2013—2020), the growth rate has begun to decrease, and the accumulation water has gradually stabilized, with an average annual growth rate of 3.42%. From the spatial scale, the accumulation water is mainly concentrated in Huainan and Huaibei cities, accounting for about 70% of the total accumulated water area. ③The long-term factor for the change of the water accumulation is coal mining volume, while the main influencing factor in short time scale is atmospheric rainfall. ④The logistic regression curve was used to establish a prediction model for the water accumulation area of coal mining subsidence in Anhui Province. It is predicted that the coal mining subsidence water area in Anhui Province will still be in a low-speed growth stage in the future. By 2030, the accumulation area in the dry season will reach about 130 km2. The high-precision water accumulation information in the subsidence area was obtained, and its temporal and spatial evolution laws and influencing factors were analyzed, which can provide a scientific basis for the treatment of water accumulation in the coal mining subsidence area with high groundwater level and the ecological restoration of the subsidence area

The Probability Density Evolution Method for Flood Frequency Analysis: A Case Study of the Nen River in China

A new approach for flood frequency analysis based on the probability density evolution method (PDEM) is proposed. It can avoid the problem of linear limitation for flood frequency analysis in a parametric method and avoid the complex process for choosing the kernel function and window width in the nonparametric method. Based on the annual maximum peak discharge (AMPD) in 54 years from the Dalai hydrologic station which is located on the downstream of Nen River in Heilongjiang Province of China, a joint probability density function (PDF) model about AMPD is built by the PDEM. Then, the numerical simulation results of the joint PDF model are given by adopting the one-sided difference scheme which has the property of direction self-adaptive. After that, according to the relationship between the marginal function and joint PDF, the PDF of AMPD can be obtained. Finally, the PDF is integrated and the frequency curve could be achieved. The results indicate that the flood frequency curve obtained by the PDEM has a better agreement with the empirical frequency than that of the parametric method widely used at present. The method based on PDEM is an effective way for hydrologic frequency analysis

Sintering Behavior and Mechanical Properties of Mullite Fibers/Hydroxyapatite Ceramic

The effect of fiber content and sintering temperature on sintering behavior and mechanical properties of mullite fibers/hydroxyapatite composites was studied. The composites were fabricated by hydrothermal synthesis and pressureless sintering. The amount of fibers was varied from 5 wt % to 15 wt % through hydrothermal synthesis, mullite fibers and hydroxyapatite composite powders were subsequently sintered at temperatures of 1150, 1250, and 1350 °C. The composites presented a more perturbed structure by increasing fiber content. Moreover, the composites experienced pore coalescence and exhibited a dense microstructure at elevated temperature. X-ray diffraction indicated that the composites underwent various chemical reactions and generated silicate glasses. The generation of silicate glasses increased the driving force of particle rearrangement and decreased the number of pores, which promoted densification of the composites. Densification typically leads to increased hardness and bending strength. The study proposes a densification mechanism and opens new insights into the sintering properties of these materials