The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

Cyclic alternating pattern in sleep and its relationship to creativity

Background/Objectives: Sleep has been shown to enhance creativity, but the reason for this enhancement is not entirely known. There are several different physiological states associated with sleep. In addition to rapid (REM) and non-rapid eye movement (NREM) sleep, NREM sleep can be broken down into Stages (1-4) that are characterized by the degree of EEG slow wave activity. In addition, during NREM sleep there are transient but cyclic alternating patterns (CAP) of EEG activity and these CAPs can also be divided into three subtypes (A1-A3) according to speed of the EEG waves. Differences in CAP ratios have been previously linked to cognitive performances. The purpose of this study was to learn the relationship CAP activity during sleep and creativity. Methods: The participants were 8 healthy young adults (4 women), who underwent 3 consecutive nights of polysomnographic recording and took the Abbreviated Torrance Test for Adults (ATTA) on the 2 and 3rd mornings after the recordings. Results: There were positive correlations between Stage 1 of NREM sleep and some measures of creativity such as fluency (R= .797; p=.029) and flexibility ( R=.43; p=.002), between Stage 4 of Non-REM sleep and originality (R= .779; p=.034) and a global measure of figural creativity (R= .758; p=.040). There was also a negative correlation between REM sleep and originality (R= -.827; p= .042) . During NREM sleep the CAP rate, which in young people is primarily the A1 subtype, also correlated with originality (R= .765; p =.038). Conclusions: NREM sleep is associated with low levels of cortical arousal and low cortical arousal may enhance the ability of people to access to the remote associations that are critical for creative innovations. In addition, A1 CAP activity reflects frontal activity and the frontal lobes are important for divergent thinking, also a critical aspect of creativity.

Micro and Macro essays in Applied Fiscal Policy

This thesis analysis micro and macro aspect of applied fiscal policy issues. The first chapter investigates the extent to which local budget spending composition reacts to fiscal rules variations. I consider the budget of Italian municipalities and exploit specific changes in the Domestic Stability Pact’s rules, to perform a difference-in-discontinuities analysis. The results show that imposing a cap on the total amount of consumption and investment is not as binding as two caps, one for consumption and a different one for investment. More specifically, consumption is triggered by changes in wages and services spending, while investment relies on infrastructure movements. In addition, there is evidence that when an increase in investment is achieved, there is also a higher budget deficit level. The second chapter intends to analyze the extent to which fiscal policy shocks are able to affect macrovariables during business cycle fluctuations, differentiating among three intervention channels: public taxation, consumption and investment. The econometric methodology implemented is a Panel Vector Autoregressive model with a structural characterization. The results show that fiscal shocks have different multipliers in relation to expansion or contraction periods: output does not react during good times while there are significant effects in bad ones. The third chapter evaluates the effects of fiscal policy announcements by the Italian government on the long-term sovereign bond spread of Italy relative to Germany. After collecting data on relevant fiscal policy announcements, we perform an econometric comparative analysis between the three cabinets that followed one another during the period 2009-2013. The results suggest that only fiscal policy announcements made by members of Monti’s cabinet have been effective in influencing significantly the Italian spread in the expected direction, revealing a remarkable credibility gap between Berlusconi’s and Letta’s governments with respect to Monti’s administration.

Posttraumatic stress disorder and soluble cellular adhesion molecules at rest and in response to a trauma-specific interview in patients after myocardial infarction

Posttraumatic stress disorder (PTSD) and circulating cellular adhesion molecules (CAMs) predict cardiovascular risk. We hypothesized a positive relationship between PTSD caused by myocardial infarction (MI) and soluble CAMs. We enrolled 22 post-MI patients with interviewer-rated PTSD and 22 post-MI patients with no PTSD. At 32±6months after index MI, all patients were re-scheduled to undergo the Clinician-Administered PTSD Scale (CAPS) interview and had blood collected to assess soluble CAMs at rest and after the CAPS interview. Relative to patients with no PTSD, those with PTSD had significantly higher levels of soluble vascular cellular adhesion molecule (sVCAM)-1 and intercellular adhesion molecule (sICAM)-1 at rest and, controlling for resting CAM levels, significantly higher sVCAM-1 and sICAM-1 after the interview. Greater severity of PTSD predicted significantly higher resting levels of sVCAM-1 and soluble P-selectin in patients with PTSD. At follow-up, patients with persistent PTSD (n=15) and those who had remitted (n=7) did not significantly differ in CAM levels at rest and after the interview; however, both these groups had significantly higher sVCAM-1 and sICAM-1 at rest and also after the interview compared to patients with no PTSD. Elevated levels of circulating CAMs might help explain the psychophysiologic link of PTSD with cardiovascular risk.

Retrieval simulations of the vertical profiles of water vapour and other chemical species in the Martian atmosphere using PACS

Water vapour, despite being a minor constituent in the Martian atmosphere with its precipitable amount of less than 70 pr. μm, attracts considerable attention in the scientific community because of its potential importance for past life on Mars. The partial pressure of water vapour is highly variable because of its seasonal condensation onto the polar caps and exchange with a subsurface reservoir. It is also known to drive photochemical processes: photolysis of water produces H, OH, HO2 and some other odd hydrogen compounds, which in turn destroy ozone. Consequently, the abundance of water vapour is anti-correlated with ozone abundance. The Herschel Space Observatory provides for the first time the possibility to retrieve vertical water profiles in the Martian atmosphere. Herschel will contribute to this topic with its guaranteed-time key project called "Water and related chemistry in the solar system". Observations of Mars by Heterodyne Instrument for the Far Infrared (HIFI) and Photodetector Array Camera and Spectrometer (PACS) onboard Herschel are planned in the frame of the programme. HIFI with its high spectral resolution enables accurate observations of vertically resolved H2O and temperature profiles in the Martian atmosphere. Unlike HIFI, PACS is not capable of resolving the line-shape of molecular lines. However, our present study of PACS observations for the Martian atmosphere shows that the vertical sensitivity of the PACS observations can be improved by using multiple-line observations with different line opacities. We have investigated the possibility of retrieving vertical profiles of temperature and molecular abundances of minor species including H2O in the Martian atmosphere using PACS. In this paper, we report that PACS is able to provide water vapour vertical profiles for the Martian atmosphere and we present the expected spectra for future PACS observations. We also show that the spectral resolution does not allow the retrieval of several studied minor species, such as H2O2, HCl, NO, SO2, etc.

Evidence for low-grade systemic proinflammatory activity in patients with posttraumatic stress disorder

Posttraumatic stress disorder (PTSD) may increase cardiovascular risk but the psychophysiological mechanisms involved are elusive. We hypothesized that proinflammatory activity is elevated in patients with PTSD as diagnosed by the Clinician Administered PTSD Scale (CAPS) interview. Plasma levels of proinflammatory C-reactive protein (CRP), interleukin (IL)-1beta, IL-6, and tumor necrosis factor (TNF)-alpha, and of anti-inflammatory IL-4 and IL-10 were measured in 14 otherwise healthy PTSD patients and in 14 age- and gender-matched healthy non-PTSD controls. Levels of TNF-alpha (p=0.038; effect size Cohen's d=0.58) and of IL-1beta (p=0.075, d=0.68) were higher in patients than in controls. CRP (d=0.10), IL-6 (d=0.18), IL-4 (d=0.42), and IL-10 (d=0.37) were not significantly different between groups. Controlling for traditional cardiovascular risk factors, mood, and time since trauma revealed lower IL-4 in patients than in controls (p=0.029) and rendered group differences in TNF-alpha and IL-1beta insignificant. In all subjects, TNF-alpha correlated with total (frequency and intensity) PTSD symptom cluster of re-experiencing (r=0.49, p=0.008), avoidance (r=0.37, p=0.050), and hyperarousal (r=0.42, p=0.026), and with PTSD total symptom score (r=0.37, p=0.054). Controlling for time since trauma attenuated these associations. The correlation between IL-1beta and total avoidance symptoms (r=0.42, p=0.028) became insignificant when controlling for anxiety and depression. IL-4 correlated with total hyperarousal symptoms (r=-0.38, p=0.047), and after controlling for systolic blood pressure and smoking status, with PTSD total symptom score (r=-0.41, p=0.035). PTSD patients showed a low-grade systemic proinflammatory state, which, moreover, was related to PTSD symptom levels suggesting one mechanism by which PTSD could contribute to atherosclerotic disease.

Altered blood coagulation in patients with posttraumatic stress disorder

OBJECTIVE: Posttraumatic stress disorder (PTSD) has been associated with an increased cardiovascular risk, though the pathophysiologic mechanisms involved are elusive. A hypercoagulable state before occurrence of coronary thrombosis contributes to atherosclerosis development. We investigated whether PTSD would be associated with increased coagulation activity. METHODS: We measured resting plasma levels of clotting factor VII activity (FVII:C), FVIII:C, FXII:C, fibrinogen, and D-dimer in 14 otherwise healthy patients with PTSD and in 14 age- and gender-matched, trauma-exposed non-PTSD controls. Categorical and dimensional diagnoses of PTSD were made using the Clinician-Administered PTSD Scale (CAPS) interview. We also investigated to what extent the relationship between PTSD and coagulation measures would be confounded by demographics, cardiovascular risk factors, lifestyle variables, time since trauma, and mood. RESULTS: Coagulation factor levels did not significantly differ between patients with a categorical diagnosis of PTSD and controls while controlling for covariates. In all subjects, FVIII:C was predicted by hyperarousal severity (beta = 0.46, p = .014) independent of covariates and by overall PTSD symptom severity (beta = 0.38, p = .045); the latter association was of borderline significance when separately controlling for gender, smoking, exercise, and anxiety (p values <.07). In patients, fibrinogen was predicted by hyperarousal severity (beta = 0.70, p = .005) and by overall PTSD symptom severity (beta = 0.61, p = .020), with mood partially affecting these associations. FVII:C, fibrinogen, and D-dimer showed no independent association with PTSD symptoms. CONCLUSIONS: PTSD may elicit hypercoagulability, even at subthreshold levels, offering one psychobiological pathway by which posttraumatic stress might contribute to atherosclerosis progression and clinical cardiovascular disease.

[The SPI implant system: clinical experience and one-year results]

The new Swiss implant system SPI became available three years ago and is used in combination with fixed and removable prosthetic reconstructions. In a pilot study the clinical procedures were evaluated and data of prosthetic complications of maintenance service were collected. 25 patients participated in the study with a total of 79 SPI implants during the time period from 2003-2004. 37 implants were located in the maxilla and 42 implants in the mandible. Two implants failed during the healing period, but no loaded implant was lost. Thus, the survival rate was 97.5% (77/79). 44 implants supported a fixed prosthesis, including nine single crowns and 33 implants were used in combination with removable partial denture. Four implants were used with ball anchor retention, 29 with bar support. The ELEMENT implant with the low implant shoulder allows very good esthetics. Prosthetic complications and maintenance service during the first year of function was comparable with other implant systems. Since the design of the abutment screws, healing caps and screwdriver was changed, the system has become easier in its application.

Flotillins interact with PSGL-1 in neutrophils and, upon stimulation, rapidly organize into membrane domains subsequently accumulating in the uropod

BACKGROUND: Neutrophils polarize and migrate in response to chemokines. Different types of membrane microdomains (rafts) have been postulated to be present in rear and front of polarized leukocytes and disruption of rafts by cholesterol sequestration prevents leukocyte polarization. Reggie/flotillin-1 and -2 are two highly homologous proteins that are ubiquitously enriched in detergent resistant membranes and are thought to shape membrane microdomains by forming homo- and hetero-oligomers. It was the goal of this study to investigate dynamic membrane microdomain reorganization during neutrophil activation. METHODOLOGY/PRINCIPAL FINDINGS: We show now, using immunofluorescence staining and co-immunoprecipitation, that endogenous flotillin-1 and -2 colocalize and associate in resting spherical and polarized primary neutrophils. Flotillins redistribute very early after chemoattractant stimulation, and form distinct caps in more than 90% of the neutrophils. At later time points flotillins accumulate in the uropod of polarized cells. Chemotactic peptide-induced redistribution and capping of flotillins requires integrity and dynamics of the actin cytoskeleton, but does not involve Rho-kinase dependent signaling related to formation of the uropod. Both flotillin isoforms are involved in the formation of this membrane domain, as uropod location of exogenously expressed flotillins is dramatically enhanced by co-overexpression of tagged flotillin-1 and -2 in differentiated HL-60 cells as compared to cells expressing only one tagged isoform. Flotillin-1 and -2 associate with P-selectin glycoprotein ligand 1 (PSGL-1) in resting and in stimulated neutrophils as shown by colocalization and co-immunoprecipitation. Neutrophils isolated from PSGL-1-deficient mice exhibit flotillin caps to the same extent as cells isolated from wild type animals, implying that PSGL-1 is not required for the formation of the flotillin caps. Finally we show that stimulus-dependent redistribution of other uropod-located proteins, CD43 and ezrin/radixin/moesin, occurs much slower than that of flotillins and PSGL-1. CONCLUSIONS/SIGNIFICANCE: These results suggest that flotillin-rich actin-dependent membrane microdomains are importantly involved in neutrophil uropod formation and/or stabilization and organize uropod localization of PSGL-1.

Marginal fit of cemented and screw-retained crowns incorporated on the Straumann (ITI) Dental Implant System: an in vitro study

AIM: The aim of this study was to assess the marginal fit of crowns on the Straumann (ITI) Dental Implant System with special consideration of different casting dental materials. MATERIAL AND METHODS: Sixty porcelain-fused-to-metal crowns were fabricated: 18 crowns on standard cone abutments with an impression cylinder, partially prefabricated analogs, no coping and screw-retained (A); 18 crowns on solid abutments without an impression device, no analogs, no coping and cemented (B); and 18 crowns on solid abutments using an impression transfer cap, an analog with a shoulder, no coping and cemented (C). In each group, six crowns were made on epoxy mastercasts (Bluestar), six on synthetic plaster (Moldasynt) and six on super hard stone (Fujirock). Six additional crowns were fabricated with the transversal screw retention system onto the Octa system with impression transfer caps, metal analogs, gold copings and screw-retained (D). Impregum was used as impression material. Crowns of B and C were cemented with KetacCem. Crowns of A and D were fixed with an occlusal screw torqued at 15 N cm. Crowns were embedded, cut and polished. Under a light microscope using a magnification of x 100, the distance between the crown margin (CM) and the shoulder (marginal gap, MG) and the distance between the CM and the end of the shoulder (crown length, CL) was measured. RESULTS: MGs were 15.4+/-13.2 microm (A), 21.2+/-23.1 microm (B), 11+/-12.1 microm (C) and 10.4+/-9.3 microm (D). No statistically significantly differences using either of the casting materials were observed. CLs were -21.3+/-24.8 microm (A), 3+/-28.9 microm (B), 0.5+/-22 microm (C) and 0.1+/-15.8 microm (D). Crowns were shorter on synthetic casting materials compared with stone casts (P<0.005). CONCLUSIONS: CMs fit precisely with both cemented and screw-retained versions as well as when using no, partial or full analogs.

Trajectory of posttraumatic stress disorder caused by myocardial infarction: a two-year follow-up study

OBJECTIVE: A substantial proportion of patients develop posttraumatic stress disorder (PTSD) following myocardial infarction (MI). Previous research on the trajectory over time of PTSD in post-MI patients is scant and refers to self-rated posttraumatic symptoms. The aim of this study was to investigate the longitudinal course of an interviewer-rated diagnosis of PTSD and PTSD symptom severity following MI. METHODS: Study participants were 40 patients (78% men, mean age 54 +/- 8 years) who were diagnosed with PTSD using the Clinician-administered PTSD Scale (CAPS) after an average of 5 +/- 4 months (range 2-16 months) following an index MI. After a mean follow-up of 26 +/- 6 months (range 12-36 months), 24 patients underwent a second diagnostic interview. RESULTS: Two-thirds of patients (n = 16) still qualified for a diagnosis of PTSD at follow-up. In all 24 patients, total PTSD symptoms (p = 0.001), re-experiencing symptoms (p < 0.001), avoidance symptoms (p = 0.015), and, with borderline significance, hyperarousal symptoms (p < 0.06) had all decreased over time. However, in the subgroup of the 16 patients who had retained PTSD diagnostic status at follow-up, symptoms of avoidance (p = 0.23) and of hyperarousal (p = 0.48) showed no longitudinal decline. Longer duration of follow-up was associated with a greater decrease in avoidance symptoms (p = 0.029) and, with borderline significance, in re-experiencing symptoms (p < 0.07) across all patients. CONCLUSION: Although PTSD symptomatology waned over time and in relation to longer follow-up, two-thirds of patients still qualified for a diagnosis of PTSD 2 years after the initial diagnosis. In post-MI patients, clinical PTSD is a considerably persistent condition.

Temporary zinc oxide-eugenol cement: eugenol quantity in dentin and bond strength of resin composite

Uptake of eugenol from eugenol-containing temporary materials may reduce the adhesion of subsequent resin-based restorations. This study investigated the effect of duration of exposure to zinc oxide–eugenol (ZOE) cement on the quantity of eugenol retained in dentin and on the microtensile bond strength (μTBS) of the resin composite. The ZOE cement (IRM Caps) was applied onto the dentin of human molars (21 per group) for 1, 7, or 28 d. One half of each molar was used to determine the quantity of eugenol (by spectrofluorimetry) and the other half was used for μTBS testing. The ZOE-exposed dentin was treated with either OptiBond FL using phosphoric acid (H3PO4) or with Gluma Classic using ethylenediaminetetraacetic acid (EDTA) conditioning. One group without conditioning (for eugenol quantity) and two groups not exposed to ZOE (for eugenol quantity and μTBS testing) served as controls. The quantity of eugenol ranged between 0.33 and 2.9 nmol mg−1 of dentin (median values). No effect of the duration of exposure to ZOE was found. Conditioning with H3PO4 or EDTA significantly reduced the quantity of eugenol in dentin. Nevertheless, for OptiBond FL, exposure to ZOE significantly decreased the μTBS, regardless of the duration of exposure. For Gluma Classic, the μTBS decreased after exposure to ZOE for 7 and 28 d. OptiBond FL yielded a significantly higher μTBS than did Gluma Classic. Thus, ZOE should be avoided in cavities later to be restored with resin-based materials.

Nuclear and plastid markers reveal the persistence of genetic identity: A new perspective on the evolutionary history of Petunia exserta

Recently divergent species that can hybridize are ideal models for investigating the genetic exchanges that can occur while preserving the species boundaries. Petunia exserta is an endemic species from a very limited and specific area that grows exclusively in rocky shelters. These shaded spots are an inhospitable habitat for all other Petunia species, including the closely related and widely distributed species P. axillaris. Individuals with intermediate morphologic characteristics have been found near the rocky shelters and were believed to be putative hybrids between P. exserta and P. axillaris, suggesting a situation where Petunia exserta is losing its genetic identity. In the current study, we analyzed the plastid intergenic spacers trnS/trnG and trnH/psbA and six nuclear CAPS markers in a large sampling design of both species to understand the evolutionary process occurring in this biological system. Bayesian clustering methods, cpDNA haplotype networks, genetic diversity statistics, and coalescence-based analyses support a scenario where hybridization occurs while two genetic clusters corresponding to two species are maintained. Our results reinforce the importance of coupling differentially inherited markers with an extensive geographic sample to assess the evolutionary dynamics of recently diverged species that can hybridize. (C) 2013 Elsevier Inc. All rights reserved.

Intramedullary nails for pediatric diaphyseal femur fractures in older, heavier children: early results

PURPOSE A common treatment for pediatric femur fractures is intramedullary nail (IMN) insertion. Elastic stable intramedullary nails (ESINs) are often used for these procedures in heavier patients, but the potential for complications and malunion is greater. We describe here a rigid IMN specifically designed for adolescents, the adolescent lateral entry femoral nail (ALFN). The purpose of this study was to compare the recovery and complications for patients treated with ESINs to those treated with the ALFN. METHODS Our study design was a retrospective cohort study. We performed a review of medical records of 22 children ages 10-17 requiring surgical fixation of a femur fracture for a 2½-year period. Patients selected for the study had traumatic diaphyseal femur fractures and were treated with ESINs without end-caps or ALFNs. Our analyses evaluated injury, surgical, and outcome information for all patients. RESULTS Twenty-two patients were eligible for inclusion and were divided into two groups according to their treatment: the ESIN group with 7 patients and the ALFN group with 15 patients. We then performed a comparison of complications and recovery for these patients. The mean time to full weight-bearing was significantly less for the ALFN group (4.1 weeks; SD, 2.2), than the ESIN group (9.4 weeks; SD 3.9). There was no statistical difference in the incidence of major or minor complications. CONCLUSIONS Older, heavier pediatric patients treated for femur fracture with ALFNs had a shorter recovery time than similar patients treated with ESINs. However, the outcomes for both groups were satisfactory.

3.88 A structure of cytoplasmic polyhedrosis virus by cryo-electron microscopy.

Cytoplasmic polyhedrosis virus (CPV) is unique within the Reoviridae family in having a turreted single-layer capsid contained within polyhedrin inclusion bodies, yet being fully capable of cell entry and endogenous RNA transcription. Biochemical data have shown that the amino-terminal 79 residues of the CPV turret protein (TP) is sufficient to bring CPV or engineered proteins into the polyhedrin matrix for micro-encapsulation. Here we report the three-dimensional structure of CPV at 3.88 A resolution using single-particle cryo-electron microscopy. Our map clearly shows the turns and deep grooves of alpha-helices, the strand separation in beta-sheets, and densities for loops and many bulky side chains; thus permitting atomic model-building effort from cryo-electron microscopy maps. We observed a helix-to-beta-hairpin conformational change between the two conformational states of the capsid shell protein in the region directly interacting with genomic RNA. We have also discovered a messenger RNA release hole coupled with the mRNA capping machinery unique to CPV. Furthermore, we have identified the polyhedrin-binding domain, a structure that has potential in nanobiotechnology applications.