Speculative dynamics in the term structure of interest rates

When long maturity bonds are traded frequently and traders have non-nestedinformation sets, speculative behavior in the sense of Harrison and Kreps (1978) arises.Using a term structure model displaying such speculative behavior, this paper proposesa conceptually and observationally distinct new mechanism generating time varying predictableexcess returns. It is demonstrated that (i) dispersion of expectations about futureshort rates is sufficient for individual traders to systematically predict excess returns and(ii) the new term structure dynamics driven by speculative trade is orthogonal to publicinformation in real time, but (iii) can nevertheless be quantified using only publicly availableyield data. The model is estimated using monthly data on US short to medium termTreasuries from 1964 to 2007 and it provides a good fit of the data. Speculative dynamicsare found to be quantitatively important, potentially accounting for a substantial fractionof the variation of bond yields and appears to be more important at long maturities.

Evolutionary rates of Jurassic ammonites in relation to sea-level fluctuations

An analysis is presented of the diversity and faunal turnover of Jurassic ammonites related to transgressive /regressive events. The data set contained 400 genera and 1548 species belonging to 67 ammonite zones covering the entire Jurassic System. These data were used in the construction of faunal turnover curves and ammonite diversities, that correlate with sea-level fluctuation curves. Twenty-four events of ammonite faunal turnover are analyzed throughout the Jurassic. The most important took place at the Sinemurian-Carixian boundary, latest Carixian-Middle Domerian, Domerian-Toarcian boundary, latest Middle Toarcian-Late Toarcian, Toarcian-Aalenian boundary, latest Aalenian-earliest Bajocian, latest Early Bajocian-earliest Late Bojocian, Early Bathonian-Middle Bathonian boundary, latest Middle Bathonian-earliest Late Bathonian, latest Bathonian-Early Callovian, earliest Early Oxfordian-Middle Oxfordian, earliest Late Oxfordian-latest Oxfordian, latest Early Kimmeridgian, Late Kimmeridgian, middle Early Tithonian and Early Tithonian-Late Tithonian boundary. More than 75 percent of these turnovers correlate with regressive-transgressive cycles in the Exxon, and /or Hallam's sea-level curves. Inmost cases the extinction events coincide with regressive intervals, whereas origination and radiation events are related to transgressive cycles. The turnovers frequently coincide with major or minor discontinuities in the Subbetic basin (Betic Cordillera).

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.

A two-mean reverting-factor model of the term structure of interest rates

This paper presents a two--factor model of the term structure ofinterest rates. We assume that default free discount bond prices aredetermined by the time to maturity and two factors, the long--term interestrate and the spread (difference between the long--term rate and theshort--term (instantaneous) riskless rate). Assuming that both factorsfollow a joint Ornstein--Uhlenbeck process, a general bond pricing equationis derived. We obtain a closed--form expression for bond prices andexamine its implications for the term structure of interest rates. We alsoderive a closed--form solution for interest rate derivatives prices. Thisexpression is applied to price European options on discount bonds andmore complex types of options. Finally, empirical evidence of the model'sperformance is presented.

The role of climatic tolerances and seed traits in reduced extinction rates of temperate polygonaceae.

The latitudinal diversity gradient (LDG) is one of the most striking and consistent biodiversity patterns across taxonomic groups. We investigate the species richness gradient in the buckwheat family, Polygonaceae, which exhibits a reverse LDG and is, thus, decoupled from dominant gradients of energy and environmental stability that increase toward the tropics and confound mechanistic interpretations. We test competing age and evolutionary diversification hypotheses, which may explain the diversification of this plant family over the past 70 million years. Our analyses show that the age hypothesis, which posits that clade richness is positively correlated with the ecological and evolutionary time since clade origin, fails to explain the richness gradient observed in Polygonaceae. However, an evolutionary diversification hypothesis is highly supported, with diversification rates being 3.5 times higher in temperate clades compared to tropical clades. We demonstrate that differences in rates of speciation, migration, and molecular evolution insufficiently explain the observed patterns of differential diversification rates. We suggest that reduced extinction rates in temperate clades may be associated with adaptive responses to selection, through which seed morphology and climatic tolerances potentially act to minimize risk in temporally variable environments. Further study is needed to understand causal pathways among these traits and factors correlated with latitude.

Comparative short-term response and remission rates for tacrolimus, cyclosporine, and infliximab for steroid-refractory ulcerative colitis

BACKGROUND: Calcineurin inhibitors (cyclosporine (CsA) and tacrolimus (Tcl)) and the anti-TNF-antibody infliximab (IFX) are established therapeutic options in steroid-refractory ulcerative colitis (UC). In acute severe UC failing steroids, a randomized trial showed an 85% short term response to CsA or IFX, with avoidance of colectomy. Comparative responses to the three drugs in outpatients with steroid-refractory UC are unknown. METHOD: Response to treatment in patients with steroid-refractory moderate to severe UC was retrospectively studied in three cohorts of patients: Cohort A (n=24) treated with oral Tcl (initially 0.05mg/kg twice daily, aiming for serum trough levels of 5-10 ng/mL); Cohort B (n=19) treated with intravenous CsA 2mg/kg/daily and then oral CsA 5mg/kg/daily; Cohort C. (n= 41) treated with IFX (5mg/kg intravenously at week 0, 2, 6 and then every 8 weeks). After successful rescue therapy with Tcl or CsA, thiopurine maintenance therapy was introduced. The endpoint was evaluation of clinical remission or response at week 6, on the basis of modified Truelove-Witts severity index (MTWSI). RESULTS: After 6 weeks, 42% (10/24) of patients treated with Tcl achieved remission (MTWSI score ≤4) compared to 47% (9/ 19) on CsA and 66% (27/41) of patients treated with IFX (Tcl & CsA vs IFX p=0.127). Clinical response (decrease of MTWSI score of more than 4 points) at week 6 was reached in 25% (6/24) patients on Tcl, compared to 11% (2/19) on CsA and 20% (8/41) given IFX (p=0.484). Subgroup analysis showed the highest rates of remission in those with moderate steroid-refractory UC treated with IFX: 29% (2/7) in Tcl group compared to 50% (2/4) in CsA group and 76 % (19/25) in IFX group (Tcl &CsA vs IFX p= 0.058) Patients with severe colitis showed similar rates of remission in all three groups: 47% (8/17) on Tcl, 47% (7/ 15) on CsA and 50% (8/16) on IFX (p= 0.700). Colectomy within 6 weeks occurred in 4% (1/24) after Tcl, 5% (1/19) after CsA and 0% (0/41) after IFX. Adverse effects in the first 6 weeks were observed in 13% (3/24) on Tcl, 26% (5/19) on CsA, and 10% (4/41) on IFX (p=0.224) CONCLUSION: No significant differences in response, remission, colectomy rate or adverse events between the three agents were found, although the study is too small for definitive conclusions. There are intriguing differences, with potentially greater response to IFX in moderate, steroid-refractory UC.

A low-dose stimulation protocol using highly purified follicle-stimulating hormone can lead to high pregnancy rates in in vitro fertilization patients with polycystic ovaries who are at risk of a high ovarian response to gonadotropins.

OBJECTIVE: To study the benefits of a low-dose stimulation (LDS) protocol with purified urinary follicle-stimulating hormone in patients with polycystic ovaries who have presented previously with a very high ovarian response to a standard hMG stimulation. DESIGN: Cohort study. SETTING: Fertility center in a university hospital. PATIENT(S): Sixty-one patients involved in an IVF/ICSI program from January 1995 to December 1996. INTERVENTION(S): The patients were first stimulated with a standard protocol using hMG and presented with a very high ovarian response. These patients were then stimulated a second time using a low-dose protocol. Cryopreserved embryos were transferred in later artificial or natural cycles until to December 1999. MAIN OUTCOME MEASURE(S): Number of gonadotropin ampules; estradiol level on the day of ovulation induction; follicles, oocytes, and cryopreserved zygotes; fertilization, implantation, and pregnancy rates; and number of ovarian hyperstimulation syndromes (OHSS). RESULT(S): The number of ampules used, the estradiol level reached, and the number of oocytes obtained were significantly lower under the LDS than the standard protocol. High implantation (21.8%) and clinical pregnancy (38.4%) rates were obtained after LDS. The cumulated deliveries per cycle started and per patient were, respectively, 41.6% and 52.5%. Five patients suffered OHSS with the standard protocol, and none with the LDS. CONCLUSION(S): The LDS protocol offers a safe and efficient treatment for patients who present with echographic polycystic ovaries and are at risk of an excessive ovarian response to standard IVF stimulation protocols.

Dramatic effect of early clopidogrel administration in reducing mortality and MACE rates in ACS patients. Data from the Swiss registry AMIS-Plus.

BACKGROUND: Patients who have acute coronary syndromes with or without ST-segment elevation have high rates of major vascular events. We evaluated the efficacy of early clopidogrel administration (300 mg) (<24 hours) when given with aspirin in such patients. METHODS: We included 30,243 patients who had an acute coronary syndrome with or without ST segment elevation. Data on early clopidogrel administration were available for 24,463 (81%). Some 15,525 (51%) of the total cohort were administrated clopidogrel within 24h of admission. RESULTS: In-hospital death occurred in 2.9% of the patients in the early clopidogrel group treated with primary PCI and in 11.4% of the patients in the other group without primary percutaneous coronary intervention (PCI) and no early clopidogrel. The unadjusted clopidogrel odds ratio (OR) for mortality was 0.31 (95% confidence interval 0.27-0.34; p <0.001). Incidence of major adverse cardiac death (MACE) was 4.1% in the early clopidogrel group treated with 1°PCI and 13.5% in the other group without primary PCI and no early clopidogrel (OR 0.35, confidence interval 0.32-0.39, p <0.001). Early clopidogrel administration and PCI were the only treatment lowering mortality as shown by mutlivariate analysis. CONCLUSIONS: The early administration of the anti-platelet agent clopidogrel in patients with acute coronary syndromes with or without ST-segment elevation has a beneficial effect on mortality and major adverse cardiac events. The lower mortality rate and incidence of MACE emerged with a combination of primary PCI and early clopidogrel administration.

Gene loss and evolutionary rates following whole-genome duplication in teleost fishes.

Teleost fishes provide the first unambiguous support for ancient whole-genome duplication in an animal lineage. Studies in yeast or plants have shown that the effects of such duplications can be mediated by a complex pattern of gene retention and changes in evolutionary pressure. To explore such patterns in fishes, we have determined by phylogenetic analysis the evolutionary origin of 675 Tetraodon duplicated genes assigned to chromosomes, using additional data from other species of actinopterygian fishes. The subset of genes, which was retained in double after the genome duplication, is enriched in development, signaling, behavior, and regulation functional categories. The evolutionary rate of duplicate fish genes appears to be determined by 3 forces: 1) fish proteins evolve faster than mammalian orthologs; 2) the genes kept in double after genome duplication represent the subset under strongest purifying selection; and 3) following duplication, there is an asymmetric acceleration of evolutionary rate in one of the paralogs. These results show that similar mechanisms are at work in fishes as in yeast or plants and provide a framework for future investigation of the consequences of duplication in fishes and other animals.

An analysis of inflation rates in the European Union using wavelets : strong evidence against unit roots

In this paper we assume inflation rates in European Union countries may in fact be fractionally integrated. Given this assumption, we obtain estimations of the order of integration by means a method based on wavelets coefficients. Finally, results obtained allow reject the unit root hypothesis on inflation rates. It means that a random shock on the rate of inflation in these countries has transitory effects that gradually diminish with the passage of time, that this, said shock hasn¿t a permanent effect on future values of inflation rates

Estimating sex-specific dispersal rates with autosomal markers in hierarchically structured populations.

A recent study suggests that sex-specific dispersal rates can be quantitatively estimated on the basis of sex- and state-specific (pre- vs. postdispersal) F-statistics. In the present paper, we extend this approach to account for the hierarchical structure of natural populations, and we validate it through individual-based simulations. The model is applied to an empirical data set consisting of 536 individuals (males, females, and predispersal juveniles) of greater white-toothed shrews (Crocidura russula), sampled according to a hierarchical design and typed for seven autosomal microsatellite loci. From this dataset, dispersal is significantly female biased at the local scale (breeding-group level), but not at the larger scale (among local populations). We argue that selective pressures on dispersal are likely to depend on the spatial scale considered, and that short-distance dispersal should mainly respond to kin interactions (inbreeding or kin competition avoidance), which exert differential pressure on males and females.

Direct modulation of electroluminescence from silicon nanocrystals beyond radiative recombination rates

We propose a light emitting transistor based on silicon nanocrystals provided with 200 Mbits/ s built-in modulation. Suppression of electroluminescence from silicon nanocrystals embedded into the gate oxide of a field effect transistor is achieved by fast Auger quenching. In this process, a modulating drain signal causes heating of carriers in the channel and facilitates the charge injection into the nanocrystals. This excess of charge enables fast nonradiative processes that are used to obtain 100% modulation depths at modulating voltages of 1 V.