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.

Impact of glycosylation on stability, structure and unfolding of soybean agglutinin (SBA): an insight from thermal perturbation molecular dynamics simulations

Glycosylation has been recognized as one of the most prevalent and complex post-translational modifications of proteins involving numerous enzymes and substrates. Its effect on the protein conformational transitions is not clearly understood yet. In this study, we have examined the effect of glycosylation on protein stability using molecular dynamics simulation of legume lectin soybean agglutinin (SBA). Its glycosylated moiety consists of high mannose type N-linked glycan (Man(9)GlcNAc(2)). To unveil the structural perturbations during thermal unfolding of these two forms, we have studied and compared them to the experimental results. From the perspective of dynamics, our simulations revealed that the nonglycosylated monomeric form is less stable than corresponding glycosylated form at normal and elevated temperatures. Moreover, at elevated temperature thermal destabilization is more prominent in solvent exposed loops, turns and ends of distinct beta sheets. SBA maintains it folded structure due to some important saltbridges, hydrogen bonds and hydrophobic interactions within the protein. The reducing terminal GlcNAc residues interact with the protein residues VAL161, PRO182 and SER225 via hydrophobic and via hydrogen bonding with ASN 9 and ASN 75. Our simulations also revealed that single glycosylation (ASN75) has no significant effect on corresponding cis peptide angle orientation. This atomistic description might have important implications for understanding the functionality and stability of Soybean agglutinin.

Folivory as a Constraint on Social Behaviour of Langurs in South India

Folivory, being a dietary constraint, can affect the social time of colobines. In the present study, we compared food items and activity budgets of two closely related species of colobines inhabiting South India, i.e. the Hanuman langur (Semnopithecus hypoleucos) and Nilgiri langur (Semnopithecus johnii), to determine whether folivory had an impact on social time in these species. Our study established that Nilgiri langurs were more folivorous than Hanuman langurs. Nilgiri langurs spent much less time on social activities, but more time on resting, although the social organization of S. hypoleucos was similar to that of the Nilgiri langur. The enforced resting time for fermentation of leafy food items may have reduced the time available for social interactions, which in turn affected the social time in Nilgiri langurs. By comparing the data from previous studies on other Hanuman langur species, we found that S. hypoleucos spent a similar amount of time on social activities as Semnopithecus entellus. Hence, the social behaviour of S. entellus and S. hypoleucos is phylogenetically highly conservative. (C) 2015 S. Karger AG, Basel

Campaigning in Heterogeneous Social Networks: Optimal Control of SI Information Epidemics

We study the optimal control problem of maximizing the spread of an information epidemic on a social network. Information propagation is modeled as a susceptible-infected (SI) process, and the campaign budget is fixed. Direct recruitment and word-of-mouth incentives are the two strategies to accelerate information spreading (controls). We allow for multiple controls depending on the degree of the nodes/individuals. The solution optimally allocates the scarce resource over the campaign duration and the degree class groups. We study the impact of the degree distribution of the network on the controls and present results for Erdos-Renyi and scale-free networks. Results show that more resource is allocated to high-degree nodes in the case of scale-free networks, but medium-degree nodes in the case of Erdos-Renyi networks. We study the effects of various model parameters on the optimal strategy and quantify the improvement offered by the optimal strategy over the static and bang-bang control strategies. The effect of the time-varying spreading rate on the controls is explored as the interest level of the population in the subject of the campaign may change over time. We show the existence of a solution to the formulated optimal control problem, which has nonlinear isoperimetric constraints, using novel techniques that is general and can be used in other similar optimal control problems. This work may be of interest to political, social awareness, or crowdfunding campaigners and product marketing managers, and with some modifications may be used for mitigating biological epidemics.