Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

Feasibility study of the measurement of Higgs pair creation at a photon linear collider

We studied the feasibility of the measurement of Higgs pair creation at a photon linear collider. From the sensitivity to the anomalous self-coupling of the Higgs boson, the optimum gamma gamma collision energy was found to be around 270 GeV for a Higgs mass of 120 GeV/c(2). We found that large backgrounds such as gamma gamma -> W+W-, ZZ, and b (b) over barb (b) over bar can be suppressed if correct assignment of tracks to parent partons is achieved and Higgs pair events can be observed with a statistical significance of similar to 5 sigma by operating the photon linear collider for 5 years.

Feasibility of laser-induced breakdown spectroscopy for the study of the temporal distribution of trace elements trapped in snow collected from greater himalayan range

The potential merit of laser-induced breakdown spectroscopy (LIBS) has been demonstrated for detection and quantification of trace pollutants trapped in snow/ice samples. In this technique, a high-power pulsed laser beam from Nd:YAG Laser (Model no. Surelite III-10, Continuum, Santa Clara, CA, USA) is focused on the surface of the target to generate plasma. The characteristic emissions from laser-generated plasma are collected and recorded by a fiber-coupled LIBS 2000+ (Ocean Optics, Santa Clara, CA, USA) spectrometer. The fingerprint of the constituents present in the sample is obtained by analyzing the spectral lines by using OOI LIBS software. Reliable detection of several elements like Zn, Al, Mg, Fe, Ca, C, N, H, and O in snow/ice samples collected from different locations (elevation) of Manali and several snow samples collected from the Greater Himalayan region (from a cold lab in Manali, India) in different months has been demonstrated. The calibration curve approach has been adopted for the quantitative analysis of these elements like Zn, Al, Fe, and Mg. Our results clearly demonstrate that the level of contamination is higher in those samples that were collected in the month of January in comparison to those collected in February and March.

Interdependent cache analyses for better precision and safety

One of the challenges for accurately estimating Worst Case Execu-tion Time(WCET) of executables is to accurately predict their cache behaviour. Various techniques have been developed to predict the cache contents at different program points to estimate the execution time of memory-accessing instructions. One of the most widely used techniques is Abstract Interpretation based Must Analysis, which de-termines the cache blocks guaranteed to be present in the cache, and hence provides safe estimation of cache hits and misses. However,Must Analysis is highly imprecise, and platforms using Must Analysis have been known to produce blown-up WCET estimates. In our work, we propose to use May Analysis to assist the Must Analysis cache up-date and make it more precise. We prove the safety of our approach as well as provide examples where our Improved Must Analysis provides better precision. Further, we also detect a serious flaw in the original Persistence Analysis, and use Must and May Analysis to assist the Persistence Analysis cache update, to make it safe and more precise than the known solutions to the problem.

On the feasibility of network alignment for three-source three-destination Multiple Unicast networks with delays

A transform approach to network coding was in-troduced by Bavirisetti et al. (arXiv:1103.3882v3 [cs.IT]) as a tool to view wireline networks with delays as k-instantaneous networks (for some large k). When the local encoding kernels (LEKs) of the network are varied with every time block of length k >1, the network is said to use block time varying LEKs. In this work, we propose a Precoding Based Network Alignment (PBNA) scheme based on transform approach and block time varying LEKs for three-source three-destination multiple unicast network with delays (3-S3-D MUN-D). In a recent work, Menget al. (arXiv:1202.3405v1 [cs.IT]) reduced the infinite set of sufficient conditions for feasibility of PBNA in a three-source three-destination instantaneous multiple unicast network as given by Das et al. (arXiv:1008.0235v1 [cs.IT]) to a finite set and also showed that the conditions are necessary. We show that the conditions of Meng et al. are also necessary and sufficient conditions for feasibility of PBNA based on transform approach and block time varying LEKs for 3-S3-D MUN-D.

A feasibility study of a post-buckled beam for actuating helicopter trailing edge flap

Active trailing edge flaps (TEFs) are one of the most promising devices for helicopter vibration reduction. Smart actuators such as the piezoelectric stack actuators (PEAs) are used for TEF actuation. PEAs possess high energy density and have large force in dynamic condition but are limited to small displacements. In this investigation, we study a linear to rotary motion amplification mechanism (AM-2) based on a pinned-pinned post-buckled beam to actuate trailing edge flaps. A linear motion amplification mechanism is developed and coupled with AM-2 to amplify angular flap deflections. Experiments are conducted on bench top-test setup, and maximum flap angle deflections of the order of 12A degrees are achieved in the static case. An aeroelastic analysis is performed and 91 % reduction in helicopter vibration is obtained with multiharmonic control inputs.

Interactome analyses of Salmonella pathogenicity islands reveal SicA indispensable for virulence

Background: Serovars of Salmonella enterica, namely Typhi and Typhimurium, reportedly, are the bacterial pathogens causing systemic infections like gastroenteritis and typhoid fever. To elucidate the role and importance in such infection, the proteins of the Type III secretion system of Salmonella pathogenicity islands and two component signal transduction systems, have been mainly focused. However, the most indispensable of these virulent ones and their hierarchical role has not yet been studied extensively. Results: We have adopted a theoretical approach to build an interactome comprising the proteins from the Salmonella pathogeneicity islands (SPI) and two component signal transduction systems. This interactome was then analyzed by using network parameters like centrality and k-core measures. An initial step to capture the fingerprint of the core network resulted in a set of proteins which are involved in the process of invasion and colonization, thereby becoming more important in the process of infection. These proteins pertained to the Inv, Org, Prg, Sip, Spa, Ssa and Sse operons along with chaperone protein SicA. Amongst them, SicA was figured out to be the most indispensable protein from different network parametric analyses. Subsequently, the gene expression levels of all these theoretically identified important proteins were confirmed by microarray data analysis. Finally, we have proposed a hierarchy of the proteins involved in the total infection process. This theoretical approach is the first of its kind to figure out potential virulence determinants encoded by SPI for therapeutic targets for enteric infection. Conclusions: A set of responsible virulent proteins was identified and the expression level of their genes was validated by using independent, published microarray data. The result was a targeted set of proteins that could serve as sensitive predictors and form the foundation for a series of trials in the wet-lab setting. Understanding these regulatory and virulent proteins would provide insight into conditions which are encountered by this intracellular enteric pathogen during the course of infection. This would further contribute in identifying novel targets for antimicrobial agents. (C) 2014 Elsevier Ltd. All rights reserved.

Trace Driven Dynamic Deadlock Detection and Reproduction

Dynamic analysis techniques have been proposed to detect potential deadlocks. Analyzing and comprehending each potential deadlock to determine whether the deadlock is feasible in a real execution requires significant programmer effort. Moreover, empirical evidence shows that existing analyses are quite imprecise. This imprecision of the analyses further void the manual effort invested in reasoning about non-existent defects. In this paper, we address the problems of imprecision of existing analyses and the subsequent manual effort necessary to reason about deadlocks. We propose a novel approach for deadlock detection by designing a dynamic analysis that intelligently leverages execution traces. To reduce the manual effort, we replay the program by making the execution follow a schedule derived based on the observed trace. For a real deadlock, its feasibility is automatically verified if the replay causes the execution to deadlock. We have implemented our approach as part of WOLF and have analyzed many large (upto 160KLoC) Java programs. Our experimental results show that we are able to identify 74% of the reported defects as true (or false) positives automatically leaving very few defects for manual analysis. The overhead of our approach is negligible making it a compelling tool for practical adoption.

Evolutionary and structural analyses of heterodimeric proteins composed of subunits with same fold

Heterodimeric proteins with homologous subunits of same fold are involved in various biological processes. The objective of this study is to understand the evolution of structural and functional features of such heterodimers. Using a non-redundant dataset of 70 such heterodimers of known 3D structure and an independent dataset of 173 heterodimers from yeast, we note that the mean sequence identity between interacting homologous subunits is only 23-24% suggesting that, generally, highly diverged paralogues assemble to form such a heterodimer. We also note that the functional roles of interacting subunits/domains are generally quite different. This suggests that, though the interacting subunits/domains are homologous, the high evolutionary divergence characterize their high functional divergence which contributes to a gross function for the heterodimer considered as a whole. The inverse relationship between sequence identity and RMSD of interacting homologues in heterodimers is not followed. We also addressed the question of formation of homodimers of the subunits of heterodimers by generating models of fictitious homodimers on the basis of the 3D structures of the heterodimers. Interaction energies associated with these homodimers suggests that, in overwhelming majority of the cases, such homodimers are unlikely to be stable. Majority of the homologues of heterodimers of known structures form heterodimers (51.8%) and a small proportion (14.6%) form homodimers. Comparison of 3D structures of heterodimers with homologous homodimers suggests that interfacial nature of residues is not well conserved. In over 90% of the cases we note that the interacting subunits of heterodimers are co-localized in the cell. Proteins 2015; 83:1766-1786. (c) 2015 Wiley Periodicals, Inc.

Comparative sequence analyses of genome and transcriptome reveal novel transcripts and variants in the Asian elephant Elephas maximus

The Asian elephant Elephas maximus and the African elephant Loxodonta africana that diverged 5-7 million years ago exhibit differences in their physiology, behaviour and morphology. A comparative genomics approach would be useful and necessary for evolutionary and functional genetic studies of elephants. We performed sequencing of E. maximus and map to L. africana at similar to 15X coverage. Through comparative sequence analyses, we have identified Asian elephant specific homozygous, non-synonymous single nucleotide variants (SNVs) that map to 1514 protein coding genes, many of which are involved in olfaction. We also present the first report of a high-coverage transcriptome sequence in E. maximus from peripheral blood lymphocytes. We have identified 103 novel protein coding transcripts and 66-long non-coding (lnc)RNAs. We also report the presence of 181 protein domains unique to elephants when compared to other Afrotheria species. Each of these findings can be further investigated to gain a better understanding of functional differences unique to elephant species, as well as those unique to elephantids in comparison with other mammals. This work therefore provides a valuable resource to explore the immense research potential of comparative analyses of transcriptome and genome sequences in the Asian elephant.