Asset liability management using stochastic programming

This chapter sets out to explain an important financial planning model called asset liability management (ALM); in particular, it discusses why in practice, optimum planning models are used. The ability to build an integrated approach that combines liability models with that of asset allocation decisions has proved to be desirable and more efficient in that it can lead to better ALM decisions. The role of uncertainty and quantification of risk in these planning models is considered

Software tools for stochastic programming: A Stochastic Programming Integrated Environment (SPInE)

SP models combine the paradigm of dynamic linear programming with modelling of random parameters, providing optimal decisions which hedge against future uncertainties. Advances in hardware as well as software techniques and solution methods have made SP a viable optimisation tool. We identify a growing need for modelling systems which support the creation and investigation of SP problems. Our SPInE system integrates a number of components which include a flexible modelling tool (based on stochastic extensions of the algebraic modelling languages AMPL and MPL), stochastic solvers, as well as special purpose scenario generators and database tools. We introduce an asset/liability management model and illustrate how SPInE can be used to create and process this model as a multistage SP application

A review of portfolio planning: Models and systems

In this chapter, we first provide an overview of a number of portfolio planning models which have been proposed and investigated over the last forty years. We revisit the mean-variance (M-V) model of Markowitz and the construction of the risk-return efficient frontier. A piecewise linear approximation of the problem through a reformulation involving diagonalisation of the quadratic form into a variable separable function is also considered. A few other models, such as, the Mean Absolute Deviation (MAD), the Weighted Goal Programming (WGP) and the Minimax (MM) model which use alternative metrics for risk are also introduced, compared and contrasted. Recently asymmetric measures of risk have gained in importance; we consider a generic representation and a number of alternative symmetric and asymmetric measures of risk which find use in the evaluation of portfolios. There are a number of modelling and computational considerations which have been introduced into practical portfolio planning problems. These include: (a) buy-in thresholds for assets, (b) restriction on the number of assets (cardinality constraints), (c) transaction roundlot restrictions. Practical portfolio models may also include (d) dedication of cashflow streams, and, (e) immunization which involves duration matching and convexity constraints. The modelling issues in respect of these features are discussed. Many of these features lead to discrete restrictions involving zero-one and general integer variables which make the resulting model a quadratic mixed-integer programming model (QMIP). The QMIP is a NP-hard problem; the algorithms and solution methods for this class of problems are also discussed. The issues of preparing the analytic data (financial datamarts) for this family of portfolio planning problems are examined. We finally present computational results which provide some indication of the state-of-the-art in the solution of portfolio optimisation problems

Three-dimensional numerical simulations of free convection in a layered porous enclosure

Three-dimensional numerical simulations are carried out for the study of free convection in a layered porous enclosure heated from below and cooled from the top. The system is defined as a cubic porous enclosure comprising three layers, of which the external ones share constant physical properties and the internal layer is allowed to vary in both permeability and thermal conductivity. The model is based on Darcy's law and the Boussinesq approximation. A parametric study to evaluate the sensitivity of the Nusselt number to a decrease in the permeability of the internal layer shows that strong permeability contrasts are required to observe an appreciable drop in the Nusselt number. If additionally the thickness of the internal layer is increased, a further decrease in the Nusselt number is observed as long as the convective modes remain the same, if the convective modes change the Nusselt number may increase. Decreasing the thermal conductivity of the middle layer causes first an increment in the Nusselt number and then a drop. On the other hand, the Nusselt number decreases in an approximately linear trend when the thermal conductivity of the layer is increased

Women active in the middle ages: (Of women knight, regents and political leaders)

[Δε διατίθεται περίληψη / no abstract available][Δε διατίθεται περίληψη / no abstract available

Modulation of autocrine TNF-α-stimulated matrix metalloproteinase 9 (MMP-9) expression by mitogenactivated protein kinases in THP-1 monocytic cells

Matrix metalloproteinase 9 (MMP-9) is implicated in various physiological processes by its ability to degrade the extracellular matrix (ECM) and process multiple regulatory proteins. Normally, MMP-9 expression is tightly controlled in cells. Sustained or enhanced MMP-9 secretion, however, has been demonstrated to contribute to the pathophysiology of numerous diseases, including arthritis and tumor progression, rendering this enzyme a major target for clinical interventions. Here we show that constitutive MMP-9 secretion was abrogated in THP-1 monocytic leukemia cells by addition of neutralizing antibodies against tumor necrosis factor alpha (TNF-α) or TNF receptor type 1 (TNF-R1), as well as by inhibition of TNF-α converting enzyme (TACE). This indicates that MMP-9 production in these cells is maintained by autocrine stimulation, with TNF-α acting via TNF-R1. To investigate the intracellular signaling routes involved in MMP-9 gene transcription, cells were treated with different inhibitors of major mitogen-activated protein kinase (MAPK) pathways. Interruption of the extracellular signal-regulated kinase pathway 1/2 (ERK1/2) using PD98059 significantly downregulated constitutive MMP-9 release. In contrast, blockage of p38 kinase activity by addition of SB203580 or SB202190, as well as inhibition of c-Jun N-terminal kinase (JNK) using L-JNK-I1, clearly augmented MMP-9 expression and secretion by an upregulation of ERK1/2 phosphorylation. Moreover, exogenously added TNF-α augmented MMP-9 synthesis and secretion in THP-1 cells via enhancement of ERK1/2 activity. Taken together, our results indicate that ERK1/2 activity plays a pivotal role in TNF-α-induced MMP-9 production and demonstrate its negative modulation by p38 and JNK activity. These findings suggest ERK1/2 rather than p38 and JNK as a reasonable target to specifically block MMP-9 expression using MAPK inhibitors in therapeutic applications

Scalable domain decomposition methods for time-harmonic wave propagation problems

The construction of efficient solvers for non self-adjoint problems, like Helmholtz equations is a challenging task. After the discretisation of the PDE by a finite element method, the resulting linear systems are large and because of their spectral properties, difficult to analyse theoretically and to solve by iterative methods. Domain decomposition methods are hybrid methods, as they use an iterative coupling of smaller problems which are solved in turn by direct methods. They rely on dividing the global problem into local subproblems on smaller subdomains. These methods can be used as iterative solvers but also as preconditioners in a Krylov method. Robustness with respect of the number of subdomains is important as this is related to the notion of scalability. We focus here on a configuration where scalability is achieved without the addition of a coarse-space correction. However, convergence can still be improved by modifying the transmission conditions imposed between the subdomains. In this manuscript, we start by giving an overview of the basic domain decomposition methods and their use as preconditioners. Then we consider these methods from an iterative point of view and we perform a study of convergence analysis of overlapping Schwarz methods with Dirichlet, Robin, zeroth and second order transmission conditions for many subdomains. We also present more sophisticated methods, which implement more effective transmission conditions depending on some optimised parameters. In our analysis, we focus on the Helmholtz problem and the magnetotelluric approximation of Maxwell’s equation for stripwise decompositions into many domains. Our theoretical findings are being demonstrated by the appropriate numerical evidence.The construction of efficient solvers for non self-adjoint problems, like Helmholtz equations is a challenging task. After the discretisation of the PDE by a finite element method, the resulting linear systems are large and because of their spectral properties, difficult to analyse theoretically and to solve by iterative methods. Domain decomposition methods are hybrid methods, as they use an iterative coupling of smaller problems which are solved in turn by direct methods. They rely on dividing the global problem into local subproblems on smaller subdomains. These methods can be used as iterative solvers but also as preconditioners in a Krylov method. Robustness with respect of the number of subdomains is important as this is related to the notion of scalability. We focus here on a configuration where scalability is achieved without the addition of a coarse-space correction. However, convergence can still be improved by modifying the transmission conditions imposed between the subdomains. In this manuscript, we start by giving an overview of the basic domain decomposition methods and their use as preconditioners. Then we consider these methods from an iterative point of view and we perform a study of convergence analysis of overlapping Schwarz methods with Dirichlet, Robin, zeroth and second order transmission conditions for many subdomains. We also present more sophisticated methods, which implement more effective transmission conditions depending on some optimised parameters. In our analysis, we focus on the Helmholtz problem and the magnetotelluric approximation of Maxwell’s equation for stripwise decompositions into many domains. Our theoretical findings are being demonstrated by the appropriate numerical evidence

Microwave-assisted synthesis of a MK2 inhibitor by Suzuki-Miyaura coupling for study in Werner syndrome cells

Microwave-assisted Suzuki-Miyaura cross-coupling reactions have been employed towards the synthesis of three different MAPKAPK2 (MK2) inhibitors to study accelerated aging in Werner syndrome (WS) cells, including the cross-coupling of a 2-chloroquinoline with a 3-pyridinylboronic acid, the coupling of an aryl bromide with an indolylboronic acid and the reaction of a 3-amino-4-bromopyrazole with 4-carbamoylphenylboronic acid. In all of these processes, the Suzuki-Miyaura reaction was fast and relatively efficient using a palladium catalyst under microwave irradiation. The process was incorporated into a rapid 3-step microwave-assisted method for the synthesis of a MK2 inhibitor involving 3-aminopyrazole formation, pyrazole C-4 bromination using N-bromosuccinimide (NBS), and Suzuki-Miyaura cross-coupling of the pyrazolyl bromide with 4-carbamoylphenylboronic acid to give the target 4-arylpyrazole in 35% overall yield, suitable for study in WS cells