A generalization of Hull and White formula and applications to option pricing approximation

By means of Malliavin Calculus we see that the classical Hull and White formulafor option pricing can be extended to the case where the noise driving thevolatility process is correlated with the noise driving the stock prices. Thisextension will allow us to construct option pricing approximation formulas.Numerical examples are presented.

The determinants of pricing in pharmaceuticals: Are U.S. prices really higher than those of Canada?

This paper studies price determination in pharmaceutical markets using data for 25 countries, six years and a comprehensive list of products from the MIDAS IMS database. We show that market power and the quality of the product has a significantly positive impact of prices. The nationality of the producer appears to have a small and often insignificant impact on prices, which suggests that countries which regulates prices have relatively little power to do it in a way that advances narrow national interest. We produce a theoretical explanation for this phenomenon based on the fact that low negotiated prices in a country would have a knock-on effect in other markets, and is thus strongly resisted by producers.Another key finding is that the U.S. has prices that are not significantly higher than those of countries with similar income levels. This, together with the former observation on the effect of the nationality of producers casts doubt on the ability of countries to pursue "free-riding" regulation.

Review of the literature on reference pricing

This paper reviews the literature on reference pricing (RP) in pharmaceutical markets. The RP strategy for cost containment of expenditure on drugs is analyzed as part of the procurement mechanism. We review the existing literature and the state-of-the-art regarding RP by focusing on its economic effects. In particular, we consider: (1) the institutional context and problem-related factors which appear to underline the need to implement an RP strategy; i.e., its nature, characteristics and the sort of health care problems commonly addressed; (2) how RP operates in practice; that is, how third party-payers (the insurers/buyers) have established the RP systems existing on the international scene (i.e., information methods, monitoring procedures and legislative provisions); (3)the range of effects resulting from particular RP strategies (including effects on choice of appropriate pharmaceuticals, insurer savings, total drug expenditures, prices of referenced and non-referenced products and dynamic efficiency; (4) the market failures which an RP policy is supposed to address and the main advantages and drawbacks which emerge from an analysis of its effects. Results suggest that RP systems achieve better their postulated goals (1) if cost inflation in pharmaceuticals is due to high prices rather than to the excess of prescription rates, (2) when the larger is the existing difference in prices among equivalent drugs, and (3) more important is the actual market for generics.

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

By means of classical Itô's calculus we decompose option prices asthe sum of the classical Black-Scholes formula with volatility parameterequal to the root-mean-square future average volatility plus a term dueby correlation and a term due to the volatility of the volatility. Thisdecomposition allows us to develop first and second-order approximationformulas for option prices and implied volatilities in the Heston volatilityframework, as well as to study their accuracy. Numerical examples aregiven.

Intralesional adenovirus-mediated interleukin-2 gene transfer for advanced solid cancers and melanoma.

Numerous preclinical and clinical studies have shown that interleukin-2 (IL-2) induces regression of metastatic tumors. We have conducted a phase I/II, multicenter, open-label, dose-escalating study to evaluate the safety, efficacy, and biological effects of repeated intratumoral injections of adenovirus-IL-2 (TG1024) in patients with advanced solid tumors and melanoma. Thirty five patients (twenty-five with metastatic melanoma and ten with other solid tumors) were treated in eight successive cohorts at dose levels ranging from 3 x 10(8) to 3 x 10(11) viral particles (vp). Intratumoral TG1024 injections in combination with dacarbazine (DTIC) were tested in metastatic melanoma in one cohort. No clinical responses were observed at doses below 3 x 10(11) vp. Six local objective responses were recorded in patients receiving 3 x 10(11) vp per treatment [five in metastatic melanoma and one in metastatic squamous cell carcinoma (SCC) of the skin], of which two were complete responses (CRs). Most of the common side effects were injection site reactions and flu-like syndrome. TG1024 dose intensification across cohorts resulted in increased serum IL-2 levels after the injection. Intratumoral TG1024 injection induced pronounced inflammation of the treated lesion, with predominant CD8(+), TIA+ lymphocytic infiltrate. Our results show that intratumoral injections of TG1024 are safe and well tolerated. The clinical activity of TG1024 observed in this study warrants further investigations.

Localized in vivo hyperpolarization transfer sequences.

In vivo localized and fully adiabatic homonuclear and heteronuclear polarization transfer experiments were designed and performed in the rat brain at 9.4 T after infusion of hyperpolarized sodium [1,2-(13)C(2)] and sodium [1-(13)C] acetate. The method presented herein leads to highly enhanced in vivo detection of short-T(1) (13)C as well as attached protons. This indirect detection scheme allows for probing additional molecular sites in hyperpolarized substrates and their metabolites and can thus lead to improved spectral resolution such as in the case of (13)C-acetate metabolism.

Non integrative lentiviral vactors for gene transfer in the retina

Purpose:Lentiviral vectors are among the most efficient gene transfer tools for both dividing and non dividing cells, including pigmented epithelial cells of the retina. One of the latest developments in the field, which represents a significant advance in biosafety, consists in the use of non integrative lentiviral vectors (NILVs). These newly described tools were already shown to be efficient in various tissues, such as the retina. They allow prolonged transgene expression as long as the transduced cells do not divide or divide slowly. However, they were also shown to induce transgene expression less efficiently than their integrative counterparts. Further investigations are thus needed to improve their potential. To this aim, different strategies are under evaluation. In this study, we focused on using different integrase mutations. Methods:We considered different integrase mutations, including modifications in the catalytic site and in the C-terminal domain of the enzyme. Lentiviral vectors bearing these mutant integrases and allowing expression of various transgenes were produced and characterized in vitro and in vivo. In particular, we evaluated their transgene expression capability. Influence of integrase mutation on the residual integration activity was also investigated. Results:In line with the fact that the lentiviral integrase is involved in several steps of the replication cycle of lentiviruses, we observed that integrase mutations can modify lentiviral vector features, resulting in different transduction efficiencies as well as modulation of the integration activity. Conclusions:NILVs appear as suitable tools for gene transfer in the retina, particularly to transduce RPE cells. They can be advantageously used, for instance, to develop neuroprotective strategies aimed at rescuing photoreceptors from death in various retinal diseases.

Encapsulation of packaging cell line results in successful retroviral-mediated transfer of a suicide gene in vivo in an experimental model of glioblastoma.

AIMS: Retroviral-mediated gene therapy has been proposed as a primary or adjuvant treatment for advanced cancer, because retroviruses selectively infect dividing cells. Efficacy of retroviral-mediated gene transfer, however, is limited in vivo. Although packaging cell lines can produce viral vectors continuously, such allo- or xenogeneic cells are normally rejected when used in vivo. Encapsulation using microporous membranes can protect the packaging cells from rejection. In this study, we used an encapsulated murine packaging cell line to test the effects of in situ delivery of a retrovirus bearing the herpes simplex virus thymidine kinase suicide gene in a rat model of orthotopic glioblastoma. MATERIALS AND METHODS: To test gene transfer in vitro, encapsulated murine psi2-VIK packaging cells were co-cultured with baby hamster kidney (BHK) cells, and the percentage of transfected BHK cells was determined. For in vivo experiments, orthotopic C6 glioblastomas were established in Wistar rats. Capsules containing psi2-VIK cells were stereotaxically implanted into these tumours and the animals were treated with ganciclovir (GCV). Tumours were harvested 14 days after initiation of GCV therapy for morphometric analysis. RESULTS: Encapsulation of psi2-VIK cells increased transfection rates of BHK target cells significantly in vitro compared to psi2-VIK conditioned medium (3 x 10(6) vs 2.3 x 10(4) cells; P<0.001). In vivo treatment with encapsulated packaging cells resulted in 3% to 5% of C6 tumour cells transduced and 45% of tumour volume replaced by necrosis after GCV (P<0.01 compared to controls). CONCLUSION: In this experimental model of glioblastoma, encapsulation of a xenogeneic packaging cell line increased half-life and transduction efficacy of retrovirus-mediated gene transfer and caused significant tumour necrosis.

Transfer insensitive labeling technique (TILT): application to multislice functional perfusion imaging.

Cerebral blood flow can be studied in a multislice mode with a recently proposed perfusion sequence using inversion of water spins as an endogenous tracer without magnetization transfer artifacts. The magnetization transfer insensitive labeling technique (TILT) has been used for mapping blood flow changes at a microvascular level under motor activation in a multislice mode. In TILT, perfusion mapping is achieved by subtraction of a perfusion-sensitized image from a control image. Perfusion weighting is accomplished by proximal blood labeling using two 90 degrees radiofrequency excitation pulses. For control preparation the labeling pulses are modified such that they have no net effect on blood water magnetization. The percentage of blood flow change, as well as its spatial extent, has been studied in single and multislice modes with varying delays between labeling and imaging. The average perfusion signal change due to activation was 36.9 +/- 9.1% in the single-slice experiments and 38.1 +/- 7.9% in the multislice experiments. The volume of activated brain areas amounted to 1.51 +/- 0.95 cm3 in the contralateral primary motor (M1) area, 0.90 +/- 0.72 cc in the ipsilateral M1 area, 1.27 +/- 0.39 cm3 in the contralateral and 1.42 +/- 0.75 cm3 in the ipsilateral premotor areas, and 0.71 +/- 0.19 cm3 in the supplementary motor area.

Local transient myocardial liposomal gene transfer of inducible nitric oxide synthase does not aggravate myocardial function and fibrosis and leads to moderate neovascularization in chronic myocardial ischemia in pigs.

Microcirculation (2010) 17, 69-78. doi: 10.1111/j.1549-8719.2010.00002.x Abstract Background: This study was designed to explore the effect of transient inducible nitric oxide synthase (iNOS) overexpression via cationic liposome-mediated gene transfer on cardiac function, fibrosis, and microvascular perfusion in a porcine model of chronic ischemia. Methods and Results: Chronic myocardial ischemia was induced using a minimally invasive model in 23 landrace pigs. Upon demonstration of heart failure, 10 animals were treated with liposome-mediated iNOS-gene-transfer by local intramyocardial injection and 13 animals received a sham procedure to serve as control. The efficacy of this iNOS-gene-transfer was demonstrated for up to 7 days by reverse transcriptase-polymerase chain reaction in preliminary studies. Four weeks after iNOS transfer, magnetic resonance imaging showed no effect of iNOS overexpression on cardiac contractility at rest and during dobutamine stress (resting ejection fraction: control 27%, iNOS 26%; P = ns). Late enhancement, infarct size, and the amount of fibrosis were similar between groups. Although perfusion and perfusion reserve in response to adenosine and dobutamine were not significantly modified by iNOS-transfer, both vessel number and diameter were significantly increased in the ischemic area in the iNOS-treated group versus control (point score: control 15.3, iNOS 34.7; P < 0.05). Conclusions: Our findings demonstrate that transient iNOS overexpression does not aggravate cardiac dysfunction or postischemic fibrosis, while potentially contributing to neovascularization in the chronically ischemic heart.

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Executive Summary The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds. Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one. Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered. Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.

Improved segmentation of deep brain grey matter structures using magnetization transfer (MT) parameter maps.

Basal ganglia and brain stem nuclei are involved in the pathophysiology of various neurological and neuropsychiatric disorders. Currently available structural T1-weighted (T1w) magnetic resonance images do not provide sufficient contrast for reliable automated segmentation of various subcortical grey matter structures. We use a novel, semi-quantitative magnetization transfer (MT) imaging protocol that overcomes limitations in T1w images, which are mainly due to their sensitivity to the high iron content in subcortical grey matter. We demonstrate improved automated segmentation of putamen, pallidum, pulvinar and substantia nigra using MT images. A comparison with segmentation of high-quality T1w images was performed in 49 healthy subjects. Our results show that MT maps are highly suitable for automated segmentation, and so for multi-subject morphometric studies with a focus on subcortical structures.

Modified Sheet Pile Abutments for Low-Volume Road Bridges: Tech Transfer Summary, January 2012

Iowa has about 22,936 bridges on low-volume roads (LVRs). Based on the National Bridge Inventory data, 22 percent of the LVR bridges in Iowa are structurally deficient, while 5 percent of them are functionally obsolete. The substructure components (abutment and foundation elements) are known to be contributing factors for some of these poor ratings. Steel sheet piling was identified as a possible long-term option for LVR bridge substructures; but, due to lack of experience, Iowa needed investigation with regard to vertical and lateral load resistance, construction methods, design methodology, and load test performance. This project was initiated in January 2007 to investigate use of sheet pile abutments. *************Tech Transfer Summary. For full report see: http://publications.iowa.gov/id/eprint/14832*************

Measuring Salt Retention: Tech Transfer Summary, 2013.

This research developed and completed a field evaluation of salt distribution equipment. The evaluation provides a direct comparison of three different types of salt spreaders at three different truck speeds and brine rates. A rubber mat was divided into eight sample areas to measure the salt distribution across the lane by each variable combination. A total of 264 samples were processed and measured. These results will support future efforts to target areas of efficiencies specific to salt and brine delivery methods. These results support Iowa Department of Transportation efforts to progress winter maintenance efficiencies and ultimately motorist safety.

Gene transfer of programmed death ligand-1.Ig prolongs cardiac allograft survival.

BACKGROUND: The CD28 homologue programmed death-1 (PD-1) and its ligands, PD-L1 and PD-L2 (which are homologous to B7), constitute an inhibitory pathway of T cell costimulation. The PD-1 pathway is of interest for immune-mediated diseases given that PD-1-deficient mice develop autoimmune diseases. We have evaluated the effect of local overexpression of a PD-L1.Ig fusion protein on cardiac allograft survival. METHODS: Adenovirus-mediated PD-L1.Ig gene transfer was performed in F344 rat donor hearts placed in the abdominal position in Lewis recipients. Inflammatory cell infiltrates in the grafts were assessed by immunohistochemistry. RESULTS: Allografts transduced with the PD-L1.Ig gene survived for longer periods of time compared with those receiving noncoding adenovirus or virus dilution buffer alone: median survival time (MST), 17 (range: 16-20) days vs. 11 (8-14) and 9 (8-13) days, respectively (P < 0.001). PD-L1.Ig gene transfer combined with a subtherapeutic regimen of cyclosporin A (CsA) was superior to CsA alone: MST, 25 (15-42) vs. 15 (13-19) days (P < 0.05). PD-L1.Ig gene transfer was associated with decreased numbers of CD4 cells and monocytes/macrophages infiltrating the graft (P < 0.05). CONCLUSIONS: Localized PD-L1.Ig expression in donor hearts attenuates acute allograft rejection in a rat model. The effect is additive to that of a subtherapeutic regimen of CsA. These results suggest that targeting of PD-1 by gene therapy may inhibit acute cardiac allograft rejection in vivo.