Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Epithelial-mesenchymal transition in oral squamous carcinoma cells

In epithelial-mesenchymal transition (EMT), epithelial cells acquire traits typical for mesenchymal cells, dissociate their cell-cell junctions and gain the ability to migrate. EMT is essential during embryogenesis, but may also mediate cancer progression. Basement membranes are sheets of extracellular matrix that support epithelial cells. They have a major role in maintaining the epithelial phenotype and, in cancer, preventing cell migration, invasion and metastasis. Laminins are the main components of basement membranes and may actively contribute to malignancy. We first evaluated the differences between cell lines obtained from oral squamous cell carcinoma and its recurrence. As the results indicated a change from epithelial to fibroblastoid morphology, E-cadherin to N-cadherin switch, and change in expression of cytokeratins to vimentin intermediate filaments, we concluded that these cells had undergone EMT. We further induced EMT in primary tumour cells to gain knowledge of the effects of transcription factor Snail in this cell model. The E-cadherin repressors responsible for the EMT in these cells were ZEB-1, ZEB-2 and Snail, and ectopic expression of Snail was able to augment the levels of ZEB-1 and ZEB-2. We produced and characterized two monoclonal antibodies that specifically recognized Snail in cell lines and patient samples. By immunohistochemistry, Snail protein was found in mesenchymal tissues during mouse embryonal development, in fibroblastoid cells of healing skin wounds and in fibromatosis and sarcoma specimens. Furthermore, Snail localized to the stroma and borders of tumour cell islands in colon adenocarcinoma, and in laryngeal and cervical squamous cell carcinomas. Immunofluorescence labellings, immunoprecipitations and Northern and Western blots showed that EMT induced a progressive downregulation of laminin-332 and laminin-511 and, on the other hand, an induction of mesenchymal laminin-411. Chromatin immunoprecipitation revealed that Snail could directly bind upstream to the transcription start sites of both laminin α5 and α4 chain genes, thus regulating their expression. The levels of integrin α6β4, a receptor for laminin-332, as well as the hemidesmosomal complex proteins HD1/plectin and BP180 were downregulated in EMT-experienced cells. The expression of Lutheran glycoprotein, a specific receptor for laminin-511, was diminished, whereas the levels of integrins α6β1 and α1β1 and integrin-linked kinase were increased. In quantitative cell adhesion assays, the cells adhered potently to laminin-511 and fibronectin, but only marginally to laminin-411. Western blots and immunoprecipitations indicated that laminin-411 bound to fibronectin and could compromise cell adhesion to fibronectin in a dose-dependent manner. EMT induced a highly migratory and invasive tendency in oral squamous carcinoma cells. Actin-based adhesion and invasion structures, podosomes and invadopodia, were detected in the basal cell membranes of primary tumour and spontaneously transformed cancer cells, respectively. Immunofluorescence labellings showed marked differences in their morphology, as podosomes organized a ring structure with HD1/plectin, αII-spectrin, talin, focal adhesion kinase and pacsin 2 around the core filled with actin, cortactin, vinculin and filamin A. Invadopodia had no division between ring and core and failed to organize the ring proteins, but instead assembled tail-like, narrow actin cables that showed a talin-tensin switch. Time-lapse live-cell imaging indicated that both podosomes and invadopodia were long-lived entities, but the tails of invadopodia vigorously propelled in the cytoplasm and were occasionally released from the cell membrane. Invadopodia could also be externalized outside the cytoplasm, where they still retained the ability to degrade matrix. In 3D confocal imaging combined with in situ gelatin zymography, the podosomes of primary tumour cells were large, cylindrical structures that increased in time, whereas the invadopodia in EMT-driven cells were smaller, but more numerous and degraded the underlying matrix in significantly larger amounts. Fluorescence recovery after photobleaching revealed that the substructures of podosomes were replenished more rapidly with new molecules than those of invadopodia. Overall, our results indicate that EMT has a major effect on the transcription and synthesis of both intra- and extracellular proteins, including laminins and their receptors, and on the structure and dynamics of oral squamous carcinoma cells.

LFA-1 Integrin beta2 Chain Phosphorylation Regulates Protein Interactions and Mediates Signals in T Cells

Integrins are heterodimeric transmembrane adhesion receptors composed of alpha- and beta-subunits and they are vital for the function of multicellular organisms. Integrin-mediated adhesion is a complex process involving both affinity regulation and coupling to the actin cytoskeleton. Integrins also function as bidirectional signaling devices, regulating cell adhesion and migration after inside-out signaling, but also signal into the cell to regulate growth, differentiation and apoptosis after ligand binding. The LFA-1 integrin is exclusively expressed in leukocytes and is of fundamental importance for the function of the immune system. The LFA-1 integrins have short intracellular tails, which are devoid of catalytic activity. These cytoplasmic domains are important for integrin regulation and both the alpha and beta chain become phosphorylated. The alpha chain is constitutively phosphorylated, but the beta chain becomes phosphorylated on serine and functionally important threonine residues only after cell activation. The cytoplasmic tails of LFA-1 bind to many cytoskeletal and signaling proteins regulating numerous cell functions. However, the molecular mechanisms behind these interactions have been poorly understood. Phosphorylation of the cytoplasmic tails of the LFA-1 integrin could provide a mechanism to regulate integrin-mediated cytoskeletal interactions and take part in T cell signaling. In this study, the effects of phosphorylation of LFA-1 integrin cytoplasmic tails on different cellular functions were examined. Site-specific phosphorylation of both the alpha- and beta-chains of the LFA-1 was shown to have a role in the regulation of the LFA-1 integrin.Alpha-chain Ser1140 is needed for integrin conformational changes after chemokine- or integrin ligand-induced activation or after activation induced by active Rap1, whereas beta-chain binds to 14-3-3 proteins through the phosphorylated Thr758 and mediates cytoskeletal reorganization. Thr758 phosphorylation also acts as a molecular switch to inhibit filamin binding and allows 14-3-3 protein binding to integrin cytoplasmic domain, and it was also shown to lead to T cell adhesion, Rac-1/Cdc42 activation and expression of the T cell activation marker CD69, indicating a signaling function for Thr758 phosphorylation in T cells. Thus, phosphorylation of the cytoplasmic tails of LFA-1 plays an important role in different functions of the LFA-1 integrin in T cells. It is of vital importance to study the mechanisms and components of integrin regulation since leukocyte adhesion is involved in many functions of the immune system and defects in the regulation of LFA-1 contributes to auto-immune diseases and fundamental defects in the immune system.

Structure and Dynamics of Coil-like Molecules by Residual Dipolar Couplings

Nuclear magnetic resonance (NMR) spectroscopy provides us with many means to study biological macromolecules in solution. Proteins in particular are the most intriguing targets for NMR studies. Protein functions are usually ascribed to specific three-dimensional structures but more recently tails, long loops and non-structural polypeptides have also been shown to be biologically active. Examples include prions, -synuclein, amylin and the NEF HIV-protein. However, conformational preferences in coil-like molecules are difficult to study by traditional methods. Residual dipolar couplings (RDCs) have opened up new opportunities; however their analysis is not trivial. Here we show how to interpret RDCs from these weakly structured molecules. The most notable residual dipolar couplings arise from steric obstruction effects. In dilute liquid crystalline media as well as in anisotropic gels polypeptides encounter nematogens. The shape of a polypeptide conformation limits the encounter with the nematogen. The most elongated conformations may come closest whereas the most compact remain furthest away. As a result there is slightly more room in the solution for the extended than for the compact conformations. This conformation-dependent concentration effect leads to a bias in the measured data. The measured values are not arithmetic averages but essentially weighted averages over conformations. The overall effect can be calculated for random flight chains and simulated for more realistic molecular models. Earlier there was an implicit thought that weakly structured or non-structural molecules would not yield to any observable residual dipolar couplings. However, in the pioneering study by Shortle and Ackerman RDCs were clearly observed. We repeated the study for urea-denatured protein at high temperature and also observed indisputably RDCs. This was very convincing to us but we could not possibly accept the proposed reason for the non-zero RDCs, namely that there would be some residual structure left in the protein that to our understanding was fully denatured. We proceeded to gain understanding via simulations and elementary experiments. In measurements we used simple homopolymers with only two labelled residues and we simulated the data to learn more about the origin of RDCs. We realized that RDCs depend on the position of the residue as well as on the length of the polypeptide. Investigations resulted in a theoretical model for RDCs from coil-like molecules. Later we extended the studies by molecular dynamics. Somewhat surprisingly the effects are small for non-structured molecules whereas the bias may be large for a small compact protein. All in all the work gave clear and unambiguous results on how to interpret RDCs as structural and dynamic parameters of weakly structured proteins.

An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Hantavirus infection: Insights into entry, assembly and pathogenesis

Hantaviruses (family Bunyaviridae, genus Hantavirus) are enveloped viruses incorporating a segmented, negative-sense RNA genome. Each hantavirus is carried by its specific host, either a rodent or an insectivore (shrew), in which the infection is asymptomatic and persistent. In humans, hantaviruses cause Hemorrhagic fever with renal syndrome (HFRS) in Eurasia and Hantavirus cardiopulmonary syndrome (HCPS) in the Americas. In Finland, Puumala virus (genus Hantavirus) is the causative agent of NE, a mild form of HFRS. The HFRS-type diseases are often associated with renal failure and proteinuria that might be mechanistically explained by infected kidney tubular cell degeneration in patients. Previously, it has been shown that non-pathogenic hantavirus, Tula virus (TULV), could cause programmed cell death, apoptosis, in cell cultures. This suggested that the infected kidney tubular degeneration could be caused directly by virus replication. In the first paper of this thesis the molecular mechanisms involved in TULV-induced apoptosis was further elucidated. A virus replication-dependent down-regulation of ERK1/2, concomitantly with the induced apoptosis, was identified. In addition, this phenomenon was not restricted to TULV or to non-pathogenic hantaviruses in general since also a pathogenic hantavirus, Seoul virus, could inhibit ERK1/2 activity. Hantaviruses consist of membrane-spanning glycoproteins Gn and Gc, RNA-dependent RNA polymerase (L protein) and nucleocapsid protein N, which encapsidates the viral genome, and thus forms the ribonucleoprotein (RNP). Interaction between the cytoplasmic tails of viral glycoproteins and RNP is assumed to be the only means how viral genetic material is incorporated into infectious virions. In the second paper of this thesis, it was shown by immunoprecipitation that viral glycoproteins and RNP interact in the purified virions. It was further shown that peptides derived from the cytoplasmic tails (CTs) of both Gn and Gc could bind RNP and recombinant N protein. In the fourth paper the cytoplamic tail of Gn but not Gc was shown to interact with genomic RNA. This interaction was probably rather unspecific since binding of Gn-CT with unrelated RNA and even single-stranded DNA were also observed. However, since the RNP consists of both N protein and N protein-encapsidated genomic RNA, it is possible that the viral genome plays a role in packaging of RNPs into virions. On the other hand, the nucleic acid-binding activity of Gn may have importance in the synthesis of viral RNA. Binding sites of Gn-CT with N protein or nucleic acids were also determined by peptide arrays, and they were largely found to overlap. The Gn-CT of hantaviruses contain a conserved zinc finger (ZF) domain with an unknown function. Some viruses need ZFs in entry or post-entry steps of the viral life cycle. Cysteine residues are required for the folding of ZFs by coordinating zinc-ions, and alkylation of these residues can affect virus infectivity. In the third paper, it was shown that purified hantavirions could be inactivated by treatment with cysteine-alkylating reagents, especially N-ethyl maleimide. However, the effect could not be pin-pointed to the ZF of Gn-CT since also other viral proteins reacted with maleimides, and it was, therefore, impossible to exclude the possibility that other cysteines besides those that were essential in the formation of ZF are required for hantavirus infectivity.