On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Perfusion and diffusion MRI of glioblastoma progression in a four-year prospective temozolomide clinical trial.

PURPOSE: This study was performed to determine the impact of perfusion and diffusion magnetic resonance imaging (MRI) sequences on patients during treatment of newly diagnosed glioblastoma. Special emphasis has been given to these imaging technologies as tools to potentially anticipate disease progression, as progression-free survival is frequently used as a surrogate endpoint. METHODS AND MATERIALS: Forty-one patients from a phase II temolozomide clinical trial were included. During follow-up, images were integrated 21 to 28 days after radiochemotherapy and every 2 months thereafter. Assessment of scans included measurement of size of lesion on T1 contrast-enhanced, T2, diffusion, and perfusion images, as well as mass effect. Classical criteria on tumor size variation and clinical parameters were used to set disease progression date. RESULTS: A total of 311 MRI examinations were reviewed. At disease progression (32 patients), a multivariate Cox regression determined 2 significant survival parameters: T1 largest diameter (p < 0.02) and T2 size variation (p < 0.05), whereas perfusion and diffusion were not significant. CONCLUSION: Perfusion and diffusion techniques cannot be used to anticipate tumor progression. Decision making at disease progression is critical, and classical T1 and T2 imaging remain the gold standard. Specifically, a T1 contrast enhancement over 3 cm in largest diameter together with an increased T2 hypersignal is a marker of inferior prognosis.

A member of the PLEIOTROPIC DRUG RESISTANCE family of ATP binding cassette transporters is required for the formation of a functional cuticle in Arabidopsis.

Although the multilayered structure of the plant cuticle was discovered many years ago, the molecular basis of its formation and the functional relevance of the layers are not understood. Here, we present the permeable cuticle1 (pec1) mutant of Arabidopsis thaliana, which displays features associated with a highly permeable cuticle in several organs. In pec1 flowers, typical cutin monomers, such as ω-hydroxylated fatty acids and 10,16-dihydroxypalmitate, are reduced to 40% of wild-type levels and are accompanied by the appearance of lipidic inclusions within the epidermal cell. The cuticular layer of the cell wall, rather than the cuticle proper, is structurally altered in pec1 petals. Therefore, a significant role for the formation of the diffusion barrier in petals can be attributed to this layer. Thus, pec1 defines a new class of mutants. The phenotypes of the pec1 mutant are caused by the knockout of ATP BINDING CASSETTEG32 (ABCG32), an ABC transporter from the PLEIOTROPIC DRUG RESISTANCE family that is localized at the plasma membrane of epidermal cells in a polar manner toward the surface of the organs. Our results suggest that ABCG32 is involved in the formation of the cuticular layer of the cell wall, most likely by exporting particular cutin precursors from the epidermal cell.

The heat shock response in moss plants is regulated by specific calcium-permeable channels in the plasma membrane.

Land plants are prone to strong thermal variations and must therefore sense early moderate temperature increments to induce appropriate cellular defenses, such as molecular chaperones, in anticipation of upcoming noxious temperatures. To investigate how plants perceive mild changes in ambient temperature, we monitored in recombinant lines of the moss Physcomitrella patens the activation of a heat-inducible promoter, the integrity of a thermolabile enzyme, and the fluctuations of cytoplasmic calcium. Mild temperature increments, or isothermal treatments with membrane fluidizers or Hsp90 inhibitors, induced a heat shock response (HSR) that critically depended on a preceding Ca(2+) transient through the plasma membrane. Electrophysiological experiments revealed the presence of a Ca(2+)-permeable channel in the plasma membrane that is transiently activated by mild temperature increments or chemical perturbations of membrane fluidity. The amplitude of the Ca(2+) influx during the first minutes of a temperature stress modulated the intensity of the HSR, and Ca(2+) channel blockers prevented HSR and the onset of thermotolerance. Our data suggest that early sensing of mild temperature increments occurs at the plasma membrane of plant cells independently from cytosolic protein unfolding. The heat signal is translated into an effective HSR by way of a specific membrane-regulated Ca(2+) influx, leading to thermotolerance.

Apoplastic diffusion barriers in Arabidopsis.

During the development of Arabidopsis and other land plants, diffusion barriers are formed in the apoplast of specialized tissues within a variety of plant organs. While the cuticle of the epidermis is the primary diffusion barrier in the shoot, the Casparian strips and suberin lamellae of the endodermis and the periderm represent the diffusion barriers in the root. Different classes of molecules contribute to the formation of extracellular diffusion barriers in an organ- and tissue-specific manner. Cutin and wax are the major components of the cuticle, lignin forms the early Casparian strip, and suberin is deposited in the stage II endodermis and the periderm. The current status of our understanding of the relationships between the chemical structure, ultrastructure and physiological functions of plant diffusion barriers is discussed. Specific aspects of the synthesis of diffusion barrier components and protocols that can be used for the assessment of barrier function and important barrier properties are also presented.

Technology diffusion and the spatial distribution of wages in the US

What explains the spatial distribution of wages across US counties? I find that two of the most important factors are spatial technology diffusion and externalities due to the aggregate scale of production. One empirical finding supporting the importance of spatial technology diffusion is that average wages in a county decrease with the average level of schooling in neighboring counties when employment in the county and average wages in neighboring counties are held constant. All empirical results are obtained using anovel instrument for (endogenous) employment at the county-leveland take into account other factors (e.g. productivity-differencesacross states, climate) that may determine wages.

Siglec-1 is a novel dendritic cell receptor that mediates HIV-1 trans-infection through recognition of viral membrane gangliosides.

Dendritic cells (DCs) are essential antigen-presenting cells for the induction of immunity against pathogens. However, HIV-1 spread is strongly enhanced in clusters of DCs and CD4(+) T cells. Uninfected DCs capture HIV-1 and mediate viral transfer to bystander CD4(+) T cells through a process termed trans-infection. Initial studies identified the C-type lectin DC-SIGN as the HIV-1 binding factor on DCs, which interacts with the viral envelope glycoproteins. Upon DC maturation, however, DC-SIGN is down-regulated, while HIV-1 capture and trans-infection is strongly enhanced via a glycoprotein-independent capture pathway that recognizes sialyllactose-containing membrane gangliosides. Here we show that the sialic acid-binding Ig-like lectin 1 (Siglec-1, CD169), which is highly expressed on mature DCs, specifically binds HIV-1 and vesicles carrying sialyllactose. Furthermore, Siglec-1 is essential for trans-infection by mature DCs. These findings identify Siglec-1 as a key factor for HIV-1 spread via infectious DC/T-cell synapses, highlighting a novel mechanism that mediates HIV-1 dissemination in activated tissues.

A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility

In this paper, generalizing results in Alòs, León and Vives (2007b), we see that the dependence of jumps in the volatility under a jump-diffusion stochastic volatility model, has no effect on the short-time behaviour of the at-the-money implied volatility skew, although the corresponding Hull and White formula depends on the jumps. Towards this end, we use Malliavin calculus techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007).

Diffusion with delayed informational spillovers

I study the relation between the delay in the transmission of spilloversof information and diffusion. When a firm enters or innovates it benefitsfrom the information it gets by observing past entry. Delays in the processof receiving the information reduce the benefits of the spillover and affectthe entry process.I derive the effects this delay has on diffusion, on the dynamics of priceand cost of entry, and on efficiency. I explain why, when spillovers ofinformation are delayed, a zero profit condition requires an initial set ofentrants bigger than zero. I also illustrate how an S-shaped diffusion curvecan be generated. I show that competitive equilibrium entails a slowergeneration of information relative to the social optimum and how a socialplanner can improve efficiency.

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor a Markov process as the examples in section 7 show. This expression depends on the derivative of the volatility in the sense of Malliavin calculus.

Cloning of a cDNA encoding a plasma membrane-associated, uronide binding phosphoprotein with physical properties similar to viral movement proteins.

Oligogalacturonides are structural and regulatory homopolymers from the extracellular pectic matrix of plants. In vitro micromolar concentrations of oligogalacturonates and polygalacturonates were shown previously to stimulate the phosphorylation of a small plasma membrane-associated protein in potato. Immunologically cross-reactive proteins were detected in plasma membrane-enriched fractions from all angiosperm subclasses in the Cronquist system. Polygalacturonate-enhanced phosphorylation of the protein was observed in four of the six dicotyledon subclasses but not in any of the five monocotyledon subclasses. A cDNA for the protein was cloned from potato. The deduced protein is extremely hydrophilic and has a proline-rich N terminus. The C-terminal half of the protein was predicted to be a coiled coil, suggesting that the protein interacts with other macromolecules. The recombinant protein was found to bind both simple and complex galacturonides. The behavior of the protein suggests several parallels with viral proteins involved in intercellular communication.

The growth and diffusion of knowlegde and the theory of the firm

We analyze the implications of a market imperfection related to the inability to establish intellectual property rights, that we label {\it unverifiable communication}. Employees are able to collude with external parties selling ``knowledge capital'' of the firm. The firm organizer engages in strategic interaction simultaneously with employees and competitors, as she introduces endogenous transaction costs in the market for information between those agents. Incentive schemes and communication costs are the key strategic variables used by the firm to induce frictions in collusive markets. Unverifiable communication introduces severe allocative distortions, both at internal product development and at intended sale of information (technology transfer). We derive implications of the model for observable decisions like characteristics of the employment relationship (full employment, incompatibility with other jobs), firms' preferences over cluster characteristics for location decisions, optimal size at entry, in--house development vs sale strategies for innovations and industry evolution.

The role of SGLT1 and GLUT2 in intestinal glucose transport and sensing.

Intestinal glucose absorption is mediated by SGLT1 whereas GLUT2 is considered to provide basolateral exit. Recently, it was proposed that GLUT2 can be recruited into the apical membrane after a high luminal glucose bolus allowing bulk absorption of glucose by facilitated diffusion. Moreover, SGLT1 and GLUT2 are suggested to play an important role in intestinal glucose sensing and incretin secretion. In mice that lack either SGLT1 or GLUT2 we re-assessed the role of these transporters in intestinal glucose uptake after radiotracer glucose gavage and performed Western blot analysis for transporter abundance in apical membrane fractions in a comparative approach. Moreover, we examined the contribution of these transporters to glucose-induced changes in plasma GIP, GLP-1 and insulin levels. In mice lacking SGLT1, tissue retention of tracer glucose was drastically reduced throughout the entire small intestine whereas GLUT2-deficient animals exhibited higher tracer contents in tissue samples than wild type animals. Deletion of SGLT1 resulted also in reduced blood glucose elevations and abolished GIP and GLP-1 secretion in response to glucose. In mice lacking GLUT2, glucose-induced insulin but not incretin secretion was impaired. Western blot analysis revealed unchanged protein levels of SGLT1 after glucose gavage. GLUT2 detected in apical membrane fractions mainly resulted from contamination with basolateral membranes but did not change in density after glucose administration. SGLT1 is unequivocally the prime intestinal glucose transporter even at high luminal glucose concentrations. Moreover, SGLT1 mediates glucose-induced incretin secretion. Our studies do not provide evidence for GLUT2 playing any role in either apical glucose influx or incretin secretion.