Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

Maturation of lymph node fibroblastic reticular cells from myofibroblastic precursors is critical for antiviral immunity.

The stromal scaffold of the lymph node (LN) paracortex is built by fibroblastic reticular cells (FRCs). Conditional ablation of lymphotoxin-β receptor (LTβR) expression in LN FRCs and their mesenchymal progenitors in developing LNs revealed that LTβR-signaling in these cells was not essential for the formation of LNs. Although T cell zone reticular cells had lost podoplanin expression, they still formed a functional conduit system and showed enhanced expression of myofibroblastic markers. However, essential immune functions of FRCs, including homeostatic chemokine and interleukin-7 expression, were impaired. These changes in T cell zone reticular cell function were associated with increased susceptibility to viral infection. Thus, myofibroblasic FRC precursors are able to generate the basic T cell zone infrastructure, whereas LTβR-dependent maturation of FRCs guarantees full immunocompetence and hence optimal LN function during infection.

The circadian PAR-domain basic leucine zipper transcription factors DBP, TEF, and HLF modulate basal and inducible xenobiotic detoxification.

The PAR-domain basic leucine zipper (PAR bZip) transcription factors DBP, TEF, and HLF accumulate in a highly circadian manner in several peripheral tissues, including liver and kidney. Mice devoid of all three of these proteins are born at expected Mendelian ratios, but are epilepsy prone, age at an accelerated rate, and die prematurely. In the hope of identifying PAR bZip target genes whose altered expression might contribute to the high morbidity and mortality of PAR bZip triple knockout mice, we compared the liver and kidney transcriptomes of these animals to those of wild-type or heterozygous mutant mice. These experiments revealed that PAR bZip proteins control the expression of many enzymes and regulators involved in detoxification and drug metabolism, such as cytochrome P450 enzymes, carboxylesterases, and constitutive androstane receptor (CAR). Indeed, PAR bZip triple knockout mice are hypersensitive to xenobiotic compounds, and the deficiency in detoxification may contribute to their early aging.

Hierarchy of interactive functions in father-mother-baby three-way games

In developmental research, the family has mainly been studied through dyadic interaction. Three-way interactions have received less attention, partly because of their complexity. This difficulty may be overcome by distinguishing between four hierarchically embedded functions in three-way interactions: (1) participation (inclusion of all participants), (2) organization (partners keeping to their roles), (3) focalization (sharing a common focus) and (4) affective contact (being in tune). We document this hierarchical model on a sample of 80 families observed in the Lausanne Trilogue Play situation across four different sites. Hierarchy between functions was demonstrated by means of Guttman scalability coefficient. Given the importance of the child's development in a threesome, the pertinence of this model for family assessment is discussed.

Natural killer cell genes and functions after kidney transplantation

Natural Killer (NK) cells are of special interest in solid organ transplantation (SOT) because classical immunosuppressive drugs could enhance NK cells activity.We studied NK cells after kidney transplantation in three different situations. First, we analysed the peripheral repertoire reconstitution and function of NK cells after a polyclonal rabbit anti-thymocytes globulin (rATG) induction therapy, in 20 patients transplanted with living donor and with a low immunological risk. Second, we analysed the influence of KIR genes on the risk of CMV primo-infection or reactivation in 224 transplanted patients during the first year. Finally, we studied the risk of rejection and graft function during the first 5 years according to the KIR genes. Our study demonstrates that after an intial drop, NK cell reconstitution is fast with a ratio of CD56+/CD3− cells versus CD3+ cells that remains identical. The fraction of NK cells expressing the inhibitory receptor NKG2A significantly increases and the activating receptor NKG2D decreases after transplantation to retrieve the pretransplantation value after one year. The secretion of INF-f × and the cytotoxicity is maintained over time after transplantation. Then, we demonstrated that the presence of 2 KIR missing ligands and a large number of activating KIR gene protected against CMV primo-infection or reactivation during the first year post transplantation. Finally, the KIR genes and their HLA ligands do not influence the long term graft function after univariate and multivariate analysis. Our data suggest that despite the modification of the receptor repertoire, NK cell activity is preserved. NK cells are an important player of the immune response in the first year after transplantation mainly thanks to their anti-infectious activity.

Biological activity of ectodysplasin A is conditioned by its collagen and heparan sulfate proteoglycan-binding domains.

Mutations in the TNF family ligand EDA1 cause X-linked hypohidrotic ectodermal dysplasia (XLHED), a condition characterized by defective development of skin appendages. The EDA1 protein displays a proteolytic processing site responsible for its conversion to a soluble form, a collagen domain, and a trimeric TNF homology domain (THD) that binds the receptor EDAR. In-frame deletions in the collagen domain reduced the thermal stability of EDA1. Removal of the collagen domain decreased its activity about 100-fold, as measured with natural and engineered EDA1-responsive cell lines. The collagen domain could be functionally replaced by multimerization domains or by cross-linking antibodies, suggesting that it functions as an oligomerization unit. Surprisingly, mature soluble EDA1 containing the collagen domain was poorly active when administered in newborn, EDA-deficient (Tabby) mice. This was due to a short stretch of basic amino acids located at the N terminus of the collagen domain that confers EDA1 with proteoglycan binding ability. In contrast to wild-type EDA1, EDA1 with mutations in this basic sequence was a potent inducer of tail hair development in vivo. Thus, the collagen domain activates EDA1 by multimerization, whereas the proteoglycan-binding domain may restrict the distribution of endogeneous EDA1 in vivo.

Characterization of surface functional groups present on laboratory-generated and ambient aerosol particles by means of heterogeneous titration reactions

A Knudsen flow reactor has been used to quantify surface functional groups on aerosols collected in the field. This technique is based on a heterogeneous titration reaction between a probe gas and a specific functional group on the particle surface. In the first part of this work, the reactivity of different probe gases on laboratory-generated aerosols (limonene SOA, Pb(NO3)2, Cd(NO3)2) and diesel reference soot (SRM 2975) has been studied. Five probe gases have been selected for the quantitative determination of important functional groups: N(CH3)3 (for the titration of acidic sites), NH2OH (for carbonyl functions), CF3COOH and HCl (for basic sites of different strength), and O3 (for oxidizable groups). The second part describes a field campaign that has been undertaken in several bus depots in Switzerland, where ambient fine and ultrafine particles were collected on suitable filters and quantitatively investigated using the Knudsen flow reactor. Results point to important differences in the surface reactivity of ambient particles, depending on the sampling site and season. The particle surface appears to be multi-functional, with the simultaneous presence of antagonistic functional groups which do not undergo internal chemical reactions, such as acid-base neutralization. Results also indicate that the surface of ambient particles was characterized by a high density of carbonyl functions (reactivity towards NH2OH probe in the range 0.26-6 formal molecular monolayers) and a low density of acidic sites (reactivity towards N(CH3)3 probe in the range 0.01-0.20 formal molecular monolayer). Kinetic parameters point to fast redox reactions (uptake coefficient ?0>10-3 for O3 probe) and slow acid-base reactions (?0<10-4 for N(CH3)3 probe) on the particle surface. [Authors]

Molecular clock is involved in predictive circadian adjustment of renal function.

Renal excretion of water and major electrolytes exhibits a significant circadian rhythm. This functional periodicity is believed to result, at least in part, from circadian changes in secretion/reabsorption capacities of the distal nephron and collecting ducts. Here, we studied the molecular mechanisms underlying circadian rhythms in the distal nephron segments, i.e., distal convoluted tubule (DCT) and connecting tubule (CNT) and the cortical collecting duct (CCD). Temporal expression analysis performed on microdissected mouse DCT/CNT or CCD revealed a marked circadian rhythmicity in the expression of a large number of genes crucially involved in various homeostatic functions of the kidney. This analysis also revealed that both DCT/CNT and CCD possess an intrinsic circadian timing system characterized by robust oscillations in the expression of circadian core clock genes (clock, bma11, npas2, per, cry, nr1d1) and clock-controlled Par bZip transcriptional factors dbp, hlf, and tef. The clock knockout mice or mice devoid of dbp/hlf/tef (triple knockout) exhibit significant changes in renal expression of several key regulators of water or sodium balance (vasopressin V2 receptor, aquaporin-2, aquaporin-4, alphaENaC). Functionally, the loss of clock leads to a complex phenotype characterized by partial diabetes insipidus, dysregulation of sodium excretion rhythms, and a significant decrease in blood pressure. Collectively, this study uncovers a major role of molecular clock in renal function.

GAP-independent functions of DLC1 in metastasis.

Metastases are responsible for most cancer-related deaths. One of the hallmarks of metastatic cells is increased motility and migration through extracellular matrixes. These processes rely on specific small GTPases, in particular those of the Rho family. Deleted in liver cancer-1 (DLC1) is a tumor suppressor that bears a RhoGAP activity. This protein is lost in most cancers, allowing malignant cells to proliferate and disseminate in a Rho-dependent manner. However, DLC1 is also a scaffold protein involved in alternative pathways leading to tumor and metastasis suppressor activities. Recently, substantial information has been gathered on these mechanisms and this review is aiming at describing the potential and known alternative GAP-independent mechanisms allowing DLC1 to impair migration, invasion, and metastasis formation.

Bridging basic science and clinical research - The EASL Monothematic Conference on Translational Research in Viral Hepatitis.

The EASL Monothematic Conference on Translational Research in Viral Hepatitis brought together a group of leading scientists and clinicians working on both, basic and clinical aspects of viral hepatitis, thereby building bridges from bench to bedside. This report recapitulates the presentations and discussions at the conference held in Lyon, France on November 29-30, 2013. In recent years, great advances have been made in the field of viral hepatitis, particularly in hepatitis C virus (HCV) infection. The identification of IL28B genetic polymorphisms as a major determinant for spontaneous and treatment-induced HCV clearance was a seminal discovery. Currently, hepatologists are at the doorstep of even greater advances, with the advent of a wealth of directly acting antivirals (DAAs) against HCV. Indeed, promising results have accumulated over the last months and few years, showing sustained virological response (SVR) rates of up to 100% with interferon-free DAA combination therapies. Thus, less than 25years after its identification, HCV infection may soon be curable in the vast majority of patients, highlighting the great success of HCV research over the last decades. However, viral hepatitis and its clinical complications such as liver cirrhosis and hepatocellular carcinoma (HCC) remain major global challenges. New therapeutic strategies to tackle hepatitis B virus (HBV) and hepatitis D virus (HDV) infection are needed, as current therapies have undeniable limitations. Nucleoside/nucleotide analogues (NUC) can efficiently control HBV replication and reduce or even reverse liver damage. However, these drugs have to be given for indefinite periods in most patients to maintain virological and biochemical responses. Although sustained responses off treatment can be achieved by treatment with (pegylated) interferon-α, only about 10-30% of patients effectively resolve chronic hepatitis B. It was the goal of this conference to review the progress made over the last years in chronic viral hepatitis research and to identify key questions that need to be addressed in order to close the gap between basic and clinical research and to develop novel preventive and treatment approaches for this most common cause of liver cirrhosis and HCC.

Improvement of cardiovascular risk prediction: time to review current knowledge, debates, and fundamentals on how to assess test characteristics.

Cardiovascular risk assessment might be improved with the addition of emerging, new tests derived from atherosclerosis imaging, laboratory tests or functional tests. This article reviews relative risk, odds ratios, receiver-operating curves, posttest risk calculations based on likelihood ratios, the net reclassification improvement and integrated discrimination. This serves to determine whether a new test has an added clinical value on top of conventional risk testing and how this can be verified statistically. Two clinically meaningful examples serve to illustrate novel approaches. This work serves as a review and basic work for the development of new guidelines on cardiovascular risk prediction, taking into account emerging tests, to be proposed by members of the 'Taskforce on Vascular Risk Prediction' under the auspices of the Working Group 'Swiss Atherosclerosis' of the Swiss Society of Cardiology in the future.

bHLH class transcription factors take centre stage in phytochrome signalling.

The phytochrome family of photoreceptors (there are five phytochromes in Arabidopsis, named phyA to phyE) maximally absorbs red and far-red light and plays important functions throughout the life cycle of plants. Several recent studies have shown that multiple related bHLH (basic helix-loop-helix) class transcription factors play key roles in phytochrome signal transduction. Somewhat surprisingly these transcription factors primarily act as negative regulators of phytochrome signalling. Moreover, in some cases, the phytochromes inhibit those negative regulators.