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.

Optimal Blood Glucose Regulation using Single Network Adaptive Critics

Diabetes is a serious disease during which the body's production and use of insulin is impaired, causing glucose concentration level toincrease in the bloodstream. Regulating blood glucose levels as close to normal as possible, leads to a substantial decrease in long term complications of diabetes. In this paper, an intelligent neural network on-line optimal feedback treatment strategy based on nonlinear optimal control theory is presented for the disease using subcutaneous treatment strategy. A simple mathematical model of the nonlinear dynamics of glucose and insulin interaction in the blood system is considered based on the Bergman's minimal model. A glucose infusion term representing the effect of glucose intake resulting from a meal is introduced into the model equations. The efficiency of the proposed controllers is shown taking random parameters and random initial conditions in presence of physical disturbances like food intake. A comparison study with linear quadratic regulator theory brings Out the advantages of the nonlinear control synthesis approach. Simulation results show that unlike linear optimal control, the proposed on-line continuous infusion strategy never leads to severe hypoglycemia problems.

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.

Change in spectrum of Brownian fluctuations of optically trapped red blood cells due to malarial infection

We study the properties of single red blood cells (RBCs) held in an optical-tweezers trap. We observe a change in the spectrum of Brownian fluctuations between RBCs from normal and malaria-infected samples. The change, caused by infection-induced structural changes in the cell, appears as a statistical increase in the mean (by 25%) and standard deviation (by 200%) of the corner frequency measured over similar to 100 cells. The increase is observed even though the ensemble of cells being measured consists mostly of cells that do not actually host the parasite, but are from an infected pool. This bystander effect appears to vindicate other observations that infected cells can affect the biomechanical properties of uninfected cells. The change is also observed to be independent of the stage of infection and its duration, highlighting its potential for disease detection. (C) 2010 Society of Photo-Optical Instrumentation Engineers. [DOI: 10.1117/1.3427142].

Two levels of MCT1 and CD147 expression in the equine red blood cells and muscle

Monocarboxylate transporters (MCTs), especially the isoforms MCT1 - MCT4, cotransport lactate and protons across the cell membranes. They are thus essential for pH regulation and homeostasis in glycolytic cells such as red blood cells (RBCs), and skeletal muscle cells during intense exercise. In 70% of the Standardbred horses the lactate transport activity (TA) in RBCs is high and transport is mediated mainly by MCTs. In the rest 30% of the Standardbreds MCT mediated transport route is not active and the TA is low. MCTs need an ancillary protein for their proper localization and functioning in the plasma membrane. The ancillary protein for MCT1 and MCT4 is a member of immunoglobulin superfamily, CD147. Here we determined the expression of MCT isoforms and CD147 in equine RBCs and gluteal muscle. We sequenced the cDNA of horse MCT1 and CD147 to achieve horse-specific antibodies and to reveal sequence variations that may affect the TA of RBCs. The amount of MCT1 and CD147 mRNA in muscle were also studied. ---- In all, 73 horses representing different breeds were used. Blood samples were drawn from the jugular vein and muscle samples were taken either from gluteal muscle using biopsy needle or during castration from expendable cremaster muscle. The TA of RBCs was studied using radiolabeled lactate and the amount of MCT isoforms and CD147 in the plasma membranes using Western blotting. The level of mRNA in muscle cells was determined using qPCR. Isoforms MCT1 and MCT2 were found in the RBCs and isoforms MCT1 and MCT4 in the muscle cells of horses. The TA of RBCs was dependent on the expression of CD147 and MCT1 in the plasma membrane. Sequence variations were found in the cDNA of both MCT1 and CD147, but they did not explain the inactivity of MCT1 mediated transport route. The single nucleotide polymorphism (SNP) Met125Val in CD147 that existed parallel with an SNP in 3´-untranslated region explained, however, attenuation in CD147 expression in Standardbreds. A single mutation Ile51Val also decreased the expression of CD147 in one Warmblood. The MCT1 and CD147 mRNA concentrations in the gluteal muscle were higher in horses with higher MCT1 and CD147 expression in RBCs and lower in horses with minor expression of CD147 and MCT1. This suggests that the bimodal distribution of TA is due to differences in transcriptional regulation that is functioning in parallel in MCT1 and CD147 gene.

Steady flow of couple stress fluid through tubes of slowly varying cross-sections--application to blood flows

Steady laminar flow of a non-Newtonian fluid based on couple stress fluid theory, through narrow tubes of varying cross-sections has been studied theoretically. Asymptotic solutions are obtained for the basic equations and the expressions for the velocity field and the wall shear stress are derived for a general cross-section. Computation and discussions are carried out for the geometries which occur in the context of physiological flows or in particular blood flows. The tapered tubes and constricted tubes are of special importance. It is observed that increase in certain parameters results in erratic flow behaviour proximal to the constricted areas which is further enhanced by the increase in the geometric parameters. This elucidates the implications of the flow in the development of vascular lesions.

Levosimendaanin vaikutusmekanismi ja nykyinen merkitys sydämen vajaatoiminnan hoidossa

Sydämen vajaatoiminta on erilaisista sydän- ja verisuonisairauksista aiheutuva monimuotoinen oireyhtymä, johon sairastuneiden ja kuolleiden potilaiden määrä on yhä suuri. Sen patofysiologiaan voi kuulua muun muassa sympaattisen hermoston ja reniini-angiotensiini-aldosteroni–järjestelmän aktiivisuutta, huonosti supistuva vasen kammio, sydämen uudelleenmuokkautumista, muutoksia [Ca2+]i:n säätelyssä, kardiomyosyyttien apoptoosia sekä systeeminen tulehdustila. Johonkin osaan sairauden patofysiologiasta eivät nykyiset lääkehoidot riittävästi vaikuta. Klassiset inotroopit lisäävät sydämen supistusvireyttä kasvattamalla solunsisäistä Ca2+-pitoisuutta, mutta ne lisäävät rytmihäiriöriskiä, sydämen hapenkulutusta sekä heikentävät ennustetta. Levosimendaani, kalsiumherkistäjä, lisää sydämen supistusvoimaa [Ca2+]i:ta kohottamatta herkistämällä sydänlihaksen kalsiumin vaikutuksille. Lisäksi levosimendaani avaa sarkolemmaalisia ja mitokondriaalisia K+-kanavia, jotka välittävät vasodilataatiota ja kardioprotektiota. Suurilla annoksilla levosimendaani on selektiivinen PDE3-estäjä. Levosimendaania suositellaan äkillisesti pahentuneen sydämen vajaatoiminnan hoitoon, mutta muitakin lupaavia indikaatioita sille on keksitty. Esimerkiksi kroonisesti annosteltu oraalinen levosimendaani on suojannut kardiovaskulaarijärjestelmää ja parantanut selviytymistä in vivo. Erikoistyössä selvitettiin kroonisesti annostellun oraalisen levosimendaanin, valsartaanin ja näiden kombinaatioterapian vaikutuksia selviytymiseen, verenpaineeseen sekä sydämen hypertrofioitumiseen Dahlin suolaherkillä (Dahl/Rapp) rotilla. Levosimendaanin suojavaikutus ilmeni vähäisempänä kuolleisuutena, mutta ero ei ollut tilastollisesti merkitsevä kontrolliryhmään nähden. Kombinaatioterapia suojasi rottia kardiovaskulaarikuolleisuudelta ja vähensi todennäköisesti verenpaineesta riippuvaisesti sydämen hypertofioitumista niin sydän/kehonpaino–suhteen kuin ultraäänitutkimuksenkin perusteella arvioituna paremmin kuin kumpikaan lääke monoterapiana. Lääkekombinaatio alensi additiivisesti hypertensiota kaikissa mittauspisteissä. Sydämen systolista toimintaa levosimendaani kohensi vain vähäisesti. Dahl/Rapp-rotille kehittyikin pääosin hypertension indusoimaa diastolista sydämen vajaatoimintaa kohonneen IVRT-arvon perusteella. Levosimendaani sekä monoterapiana että kombinaatioterapiana valsartaanin kanssa vähensi sydämen diastolista vajaatoimintaa.

In vitro protection of umbilical cord blood-derived primitive hematopoietic stem progenitor cell pool by mannose-specific lectins via antioxidant mechanisms.

BACKGROUND: Earlier we reported that an oral administration of two mannose-specific dietary lectins, banana lectin (BL) and garlic lectin (GL), led to an enhancement of hematopoietic stem and progenitor cell (HSPC) pool in mice. STUDY DESIGN AND METHODS: Cord blood derived CD34+ HSPCs were incubated with BL, GL, Dolichos lectin (DL), or artocarpin lectin (AL) for various time periods in a serum- and growth factor free medium and were subjected to various functional assays. Reactive oxygen species (ROS) levels were detected by using DCHFDA method. Cell fractionation was carried out using lectin-coupled paramagnetic beads. RESULTS: CD34+ cells incubated with the lectins for 10 days gave rise to a significantly higher number of colonies compared to the controls, indicating that all four lectins possessed the capacity to protect HSPCs in vitro. Comparative analyses showed that the protective ability of BL and GL was better than AL and DL and, therefore, further experiments were carried out with them. The output of long-term culture-initiating cell (LTC-IC) and extended LTC-IC assays indicated that both BL and GL protected primitive stem cells up to 30 days. The cells incubated with BL or GL showed a substantial reduction in the ROS levels, indicating that these lectins protect the HSPCs via antioxidant mechanisms. The mononuclear cell fraction isolated by lectin-coupled beads got enriched for primitive HSPCs, as reflected in the output of phenotypic and functional assays.CONCLUSION: The data show that both BL and GL protect the primitive HSPCs in vitro and may also serve as cost-effective HSPC enrichment tools.

Studies on Causes of Multiple Sclerosis : From Genes to Transcriptome

Multiple sclerosis (MS) is the most common cause of neurological disability in young adults, affecting more than two million people worldwide. It manifests as a chronic inflammation in the central nervous system (CNS) and causes demyelination and neurodegeneration. Depending on the location of the demyelinated plaques and axonal loss, a variety of symptoms can be observed including deficits in vision, coordination, balance and movement. With a typical age of onset at 20-40 years, the social and economic impacts of MS on lives of the patients and their families are considerable. Unfortunately the current treatments are relatively inefficient and the development of more effective treatments has been impeded by our limited understanding of the causes and pathogenesis of MS. Risk of MS is higher in biological relatives of MS patients than in the general population. Twin and adoption studies have shown that familial clustering of MS is explained by shared genetic factors rather than by shared familial environment. While the involvement of the human leukocyte antigen (HLA) genes was first discovered four decades ago, additional genetic risk factors have only recently been identified through genome-wide association studies (GWAS). Current evidence suggests that MS is a highly polygenic disease with perhaps hundreds of common variants with relatively modest effects contributing to susceptibility. Despite extensive research, the majority of these risk factors still remain to be identified. In this thesis the aim was to identify novel genes and pathways involved in MS. Using genome-wide microarray technology, gene expression levels in peripheral blood mononuclear cells (PBMC) from 12 MS patients and 15 controls were profiled and more than 600 genes with altered expression in MS were identified. Three of five selected findings, DEFA1A3, LILRA4 and TNFRSF25, were successfully replicated in an independent sample. Increased expression of DEFA1A3 in MS is a particularly interesting observation, because its elevated levels have previously been reported also in several other autoimmune diseases. A systematic review of seven microarray studies was then performed leading to identification of 229 genes, in which either decreased or increased expression in MS had been reported in at least two studies. In general there was relatively little overlap across the experiments: 11 of the 229 genes had been reported in three studies and only HSPA1A in four studies. Nevertheless, these 229 genes were associated with several immunological pathways including interleukin pathways related to type 2 and type 17 helper T cells and regulatory T cells. However, whether these pathways are involved in causing MS or related to secondary processes activated after disease onset remains to be investigated. The 229 genes were also compared with loci identified in published MS GWASs. Single nucleotide polymorphisms (SNP) in 17 of the 229 loci had been reported to be associated with MS with P-value less than 0.0001 including variants in CXCR4 and SAPS2, which were the only loci where evidence for correlation between the associated variant and gene expression was found. The CXCR4 variant was further tested for association with MS in a large case-control sample and the previously reported suggestive association was replicated (P-value is 0.0004). Finally, common genetic variants in candidate genes, which had been selected on the basis of showing association with other autoimmune diseases (MYO9B) or showing differential expression in MS in our study (DEFA1A3, LILRA4 and TNFRSF25), were tested for association with MS, but no evidence of association was found. In conclusion, through a systematic review of genome-wide expression studies in MS we have identified several promising candidate genes and pathways for future studies. In addition, we have replicated a previously suggested association of a SNP variant upstream of CXCR4 with MS. Keywords: autoimmune disease, common variant, CXCR4, DEFA1A3, HSPA1A,gene expression, genetic association, GWAS, MS, multiple sclerosis, systematic review