Maximum Loss Calculation using Scenario Analysis, Heavy Tails and Implied Volatility Patterns

The objective of this paper is to improve option risk monitoring by examining the information content of implied volatility and by introducing the calculation of a single-sum expected risk exposure similar to the Value-at-Risk. The figure is calculated in two steps. First, there is a need to estimate the value of a portfolio of options for a number of different market scenarios, while the second step is to summarize the information content of the estimated scenarios into a single-sum risk measure. This involves the use of probability theory and return distributions, which confronts the user with the problems of non-normality in the return distribution of the underlying asset. Here the hyperbolic distribution is used to describe one alternative for dealing with heavy tails. Results indicate that the information content of implied volatility is useful when predicting future large returns in the underlying asset. Further, the hyperbolic distribution provides a good fit to historical returns enabling a more accurate definition of statistical intervals and extreme events.

Thermodynamic and structural studies of cavity formation in proteins suggest that loss of packing interactions rather than the hydrophobic effect dominates the observed energetics

The hydrophobic effect is widely believed to be an important determinant of protein stability. However, it is difficult to obtain unambiguous experimental estimates of the contribution of the hydrophobic driving force to the overall free energy of folding. Thermodynamic and structural studies of large to small substitutions in proteins are the most direct method of measuring this contribution. We have substituted the buried residue Phe8 in RNase S with alanine, methionine, and norleucine, Binding thermodynamics and structures were characterized by titration calorimetry and crystallography, respectively. The crystal structures of the RNase S F8A, F8M, and F8Nle mutants indicate that the protein tolerates the changes without any main chain adjustments, The correlation of structural and thermodynamic parameters associated with large to small substitutions was analyzed for nine mutants of RNase S as well as 32 additional cavity-containing mutants of T4 lysozyme, human lysozyme, and barnase. Such substitutions were typically found to result in negligible changes in Delta C-p and positive values of both Delta Delta H degrees and aas of folding. Enthalpic effects were dominant, and the sign of Delta Delta S is the opposite of that expected from the hydrophobic effect. Values of Delta Delta G degrees and Delta Delta H degrees correlated better with changes in packing parameters such as residue depth or occluded surface than with the change in accessible surface area upon folding. These results suggest that the loss of packing interactions rather than the hydrophobic effect is a dominant contributor to the observed energetics for large to small substitutions. Hence, estimates of the magnitude of the hydrophobic driving force derived from earlier mutational studies are likely to be significantly in excess of the actual value.

Mode-dependent dispersion in Raman line shapes: Observation and implications from ultrafast Raman loss spectroscopy

Ultrafast Raman loss spectroscopy (URLS) enables one to obtain the vibrational structural information of molecular systems including fluorescent materials. URLS, a nonlinear process analog to stimulated Raman gain, involves a narrow bandwidth picosecond Raman pump pulse anda femtosecond broadband white light continuum. Under nonresonant condition, the Raman response appears as a negative (loss) signal, whereas, on resonance with the electronic transition the line shape changes from a negative to a positive through a dispersive form. The intensities observed and thus, the Franck-Condon activity (coordinate dependent), are sensitive to the wavelength of the white light corresponding to a particular Raman frequency with respect to the Raman pump pulse wavelength, i.e., there is a mode-dependent response in URLS. (C) 2010 American Institute of Physics.

Study of the electronic structures of high Tc cuprate superconductors by electron energy loss and secondary electron emission spectroscopies

Energy loss spectra of superconducting YBa2Cu3O6.9' Bi1.5Pb0.5Ca2.5Sr1.5Cu3O10+δ and Tl2CaBa2Cu3O8 obtained at primary electron energies in the 170–310 eV range show features reflecting the commonalities in their electronic structures. The relative intensity of the plasmon peak shows a marked drop across the transition temperature. Secondary electron emission spectra of the cuprates also reveal some features of the electronic structure.

Electronic-Transitions In Hydrogen-Bonded Dimers Of Carboxylic-Acids In The Vapor-Phase - An Electron-Energy Loss Spectroscopic Study

An electron energy loss spectroscopic study of the formic acid dimer has shown bands centred around 7.2, 8.5, 9.8, and 11.1 eV, of which the first and the third bands are assigned to n- rc* transitions and the other two to n-n* transitions; similar transitions are found in the acetic acid dimer.

Molecular features of colorectal cancer predisposition and progression

Both inherited genetic variations and somatically acquired mutations drive cancer development. The aim of this thesis was to gain insight into the molecular mechanisms underlying colorectal cancer (CRC) predisposition and tumor progression. Whereas one-third of CRC may develop in the context of hereditary predisposition, the known highly penetrant syndromes only explain a small fraction of all cases. Genome-wide association studies have shown that ten common single nucleotide polymorphisms (SNPs) modestly predispose to CRC. Our population-based sample series of around thousand CRC cases and healthy controls was genotyped for these SNPs. Tumors of heterozygous patients were analyzed for allelic imbalance, in an attempt to reveal the role of these SNPs in somatic tumor progression. The risk allele of rs6983267 at 8q24 was favored in the tumors significantly more often than the neutral allele, indicating that this germline variant is somatically selected for. No imbalance targeting the risk allele was observed in the remaining loci, suggesting that most of the low-penetrance CRC SNPs mainly play a role in the early stages of the neoplastic process. The ten SNPs were further analyzed in 788 CRC cases, 97 of which had a family history of CRC, to evaluate their combined contribution. A significant association appeared between the overall number of risk alleles and familial CRC and these ten SNPs seem to explain around 9% of the familial clustering of CRC. Finding more CRC susceptibility alleles may facilitate individualized risk prediction and cancer prevention in the future. Microsatellite instability (MSI), resulting from defective mismatch repair function, is a hallmark of Lynch syndrome and observed in a subset of all CRCs. Our aim was to identify microsatellite frameshift mutations that inactivate tumor suppressor genes in MSI CRCs. By sequencing microsatellite repeats of underexpressed genes we found six novel MSI target genes that were frequently mutated in 100 MSI CRCs: 51% in GLYR1, 47% in ABCC5, 43% in WDTC1, 33% in ROCK1, 30% in OR51E2, and 28% in TCEB3. Immunohistochemical staining of GLYR1 revealed defective protein expression in homozygously mutated tumors, providing further support for the loss of function hypothesis. Another mutation screening effort sought to identify MSI target genes with putative oncogenic functions. Microsatellites were similarly sequenced in genes that were overexpressed and, upon mutation, predicted to avoid nonsense-mediated mRNA decay. The mitotic checkpoint kinase TTK harbored protein-elongating mutations in 59% of MSI CRCs and the mutant protein was detected in heterozygous MSI CRC cells. No checkpoint dysregulation or defective protein localization was observable however, and the biological relevance of this mutation may hence be related to other mechanisms. In conclusion, these two large-scale and unbiased efforts identified frequently mutated genes that are likely to contribute to the development of this cancer type and may be utilized in developing diagnostic and therapeutic applications.

Antioxidants, weight change and risk of type 2 diabetes

The incidence of type 2 diabetes has increased rapidly worldwide. Obesity is one of the most important modifiable risk factors of type 2 diabetes: weight gain increases and weight loss decreases the risk. However, the effects of weight fluctuation are unclear. Reactive oxygen species are presumably part of the complicated mechanism for the development of insulin resistance and beta-cell destruction in the pancreas. The association of antioxidants with the risk of incident type 2 diabetes has been studied in longitudinal prospective human studies, but so far there is no clear conclusion about protective effect of dietary or of supplementary antioxidants on diabetes risk. The present study examined 1) weight change and fluctuation as risk factors for incident type 2 diabetes; 2) the association of baseline serum alpha-tocopherol or beta-carotene concentration and dietary intake of antioxidants with the risk of type 2 diabetes; 3) the effect of supplementation with alpha-tocopherol or beta-carotene on the risk of incident type 2 diabetes; and on macrovascular complications and mortality among type 2 diabetics. This investigation was part of the Alpha-Tocopherol, Beta-Carotene Cancer Prevention (ATBC) Study, a randomized, double-blind, placebo-controlled prevention trial, which has undertaken to examine the effect of alpha-tocopherol and beta-carotene supplementation on the development of lung cancer, other cancers, and cardiovascular diseases in male smokers aged 50-69 years at baseline. Participants were assigned to receive either 50 mg alpha-tocopherol, 20mg beta-carotene, both, or placebo daily in a 2 x 2 factorial design experiment during 1985-1993. Cases of incident diabetes were identified through a nationwide register of drug reimbursements of the Social Insurance Institution. At baseline 1700 men had a history of diabetes. Among those (n = 27 379) with no diabetes at baseline 305 new cases of type 2 diabetes were recognized during the intervention period and 705 during the whole follow-up to 12.5 years. Weight gain and weight fluctuation measured over a three year period were independent risk factors for subsequent incident type 2 diabetes. Relative risk (RR) was 1.77 (95% confidence interval [CI] 1.44-2.17) for weight gain of at least 4 kg compared to those with a weight change of less than 4 kg. The RR in the highest weight fluctuation quintile compared to the lowest was 1.64 (95% CI 1.24-2.17). Dietary tocopherols and tocotrienols as well as dietary carotenoids, flavonols, flavones and vitamin C were not associated with the risk of type 2 diabetes. Baseline serum alpha-tocopherol and beta-carotene concentrations were not associated with the risk of incident diabetes. Neither alpha-tocopherol nor beta-carotene supplementation affected the risk of diabetes. The relative risks for participants who received alpha-tocopherol compared with nonrecipients and for participants who received beta-carotene compared with nonrecipients were 0.92 (95% CI 0.79-1.07) and 0.99 (95% CI 0.85-1.15), respectively. Furthermore, alpha-tocopherol or beta-carotene supplementation did not affect the risk of macrovascular complications or mortality of diabetic subjects during the 19 years follow-up time. In conclusion, in this study of older middle-aged male smokers, weight gain and weight fluctuation were independent risk factors for type 2 diabetes. Intake of antioxidants or serum alpha-tocopherol or beta-carotene concentrations were not associated with the risk of type 2 diabetes. Supplementation with of alpha-tocopherol or beta-carotene did not prevent type 2 diabetes. Neither did they prevent macrovascular complications, or mortality among diabetic subjects.

Investigations of Noise-Related Tinnitus

Tinnitus is a frequent consequence of noise trauma. Usually, however, the main focus regarding the consequences of noise trauma is placed on hearing loss, instead of tinnitus. The objectives of the present study were to assess various aspects of noise-related tinnitus in Finland, such as to determine the main causes of conscript acute acoustic traumas (AAT) in the military, assess tinnitus prevalence after noise trauma, characterize long-term AAT-related tinnitus prevalence and characteristics, assess occupational tinnitus, and evaluate the efficacy of hearing protection regulations in preventing hearing loss and tinnitus. The study comprised several independent noise-exposed groups: conscripts performing their military duty, former conscripts who suffered an AAT over a decade earlier, bomb explosion victims, and retired army personnel. Tinnitus questionnaires were used to assess tinnitus prevalence and characteristics. For occupational tinnitus, occupational noise-induced hearing loss (NIHL) reports to the Finnish Institute of Occupational Health were reviewed. Tinnitus is a common result of AAT, blast exposure and long-term noise exposure. Despite hearing protection regulations, up to hundreds of AATs occur annually among conscripts in the Finnish Defence Forces (FDF). The most common cause is an accidental shot, accounting for approximately half of the cases. Conscript AATs are mainly due to accidental shots, while the ear is unprotected. Only seldom is an AAT due to negligence. The most common causative weapon of conscript AATs is the assault rifle, accounting for 81% of conscript AATs. After AAT, the majority of tinnitus cases resolve during military service and become asymptomatic. However, in one-fifth of the cases, tinnitus persists, causing problems such as sleeping and concentration difficulties in many. In Finland, occupational tinnitus often remains unreported in conjunction with NIHL reports. In a survey of occupational NIHL cases, tinnitus was mentioned in only four per cent. However, a subsequent inquiry revealed that almost 90% in fact had tinnitus, indicating that most cases remained undetected and unreported. The best way to prevent noise-related tinnitus is prevention of noise trauma. In the military, hearing protection guidelines have been revised several times over the years. These regulations have been effective in reducing hearing loss of professional soldiers. There has also been a reduction in cases with tinnitus, but the decrease was not significant. However, with improved hearing protection regulations, a significant reduction in the risk of more serious, disturbing tinnitus was observed.

Critical leg ischaemia with tissue loss : a challenge for the vascular surgeon

There is a widespread reporting habit of combining the outcomes for patients with rest pain (Fontaine III) and tissue loss (Fontaine IV) under the single category of critical leg ischaemia (CLI). This study focused on patients with ischaemic tissue loss treated with infrainguinal bypass surgery (IBS). All patients included in the study were treated at Helsinki University Central Hospital in 2000-2007. First, ulcer healing time after IBS and factors influencing healing time were prospectively assessed in 2 studies including 148 and 110 patients, respectively. Second,the results of redo IBS were retrospectively evaluated in 593 patients undergoing primary IBS for CLI with tissue loss . Third,long-term outcome were retrospectively analysed in 636 patients who underwent IBS for CLI with tissue loss . Fourth, the outcome of IBS was retrospectively compared with endovascular treatment (PTA) of the infrapopliteal arteries in 1023 CLI patients. Fifth, the influence multidrug resistant Pseudomans aeruginosa (MDR Pa) bacteria contamination in CLI patients treated with IBS was retropectively assessed. Sixty-four patients with positive MDR Pa -culture were matched with 64 MDR Pa - negative controls. Complete ulcer healing rate, including the ischemic ulcers and incisional wounds, was 40% at 6 months after IBS and 75% at one year. Diabetes was a risk factor for prolonged complete ulcer healing time. Ischaemic tissue lesions located in mid-and hindfoot healed poorly. At one year after IBS 50% of the patients were alive with salvaged leg and completely healed ulcers. The absence of gap between tertiary graft patency and leg salvage rates indicates the importance of a patent infrainguinal graft to save a leg with ischaemic tissue loss. Long-term survival for patients with ischaemic tissue loss was poor, 38% at 5 years. Only 30% of the patients were alive without amputation at 5 years. Several of the patient comorbidities increased independently the mortality risk; coronary artery disease, renal insufficiency, chronic obstructive lung disease and high age. When both PTA and bypass is feasible, infrapopliteal PTA as a first-line strategy is expected to achieve similar long-term results to bypass surgery in CLI when redo surgery is actively utilized. MDR Pa in a patient with CLI should be considered as a serious event with increased risk of early major amputation or death. Conclusion: Despite a successful infrainguinal bypass healing of the ischaemic ulcers and incisional wounds ulcer healing is a slow process especially in diabetics. Bypass surgery and PTA improve the outcome of the ischaemic leg but the mortality rate of the patients is high due to their severe comorbidities.

Performance prediction and loss analysis of low specific speed submersible pumps

A performance prediction procedure is presented for low specific speed submersible pumps with a review of loss models given in the literature. Most of the loss theories discussed in this paper are one dimensional and improvements are made with good empiricism for the prediction to cover the entire range of operation of the low specific speed pumps. Loss correlations, particularly in the low flow range, are discussed. Prediction of the shape of efficiency-capacity and total head-capacity curves agrees well with the experimental results in almost the full range of operating conditions. The approach adopted in the present analysis, of estimating the losses in the individual components of a pump, provides means for improving the performance and identifying the problem areas in existing designs of the pumps. The investigation also provides a basis for selection of parameters for the optimal design of the pumps in which the maximum efficiency is an important design parameter. The scope for improvement in the prediction procedure with the nature of flow phenomena in the low flow region has been discussed in detail.