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Von Nottbeck -suvun kirjasto, kappale eurooppalaista kulttuurihistoriaa

Zusammenfassung: Die Bibliothek der von Nottbecks in Gutshof Neitsytniemi in Imatra

Hundreds of variants clustered in genomic loci and biological pathways affect human height.

Most common human traits and diseases have a polygenic pattern of inheritance: DNA sequence variants at many genetic loci influence the phenotype. Genome-wide association (GWA) studies have identified more than 600 variants associated with human traits, but these typically explain small fractions of phenotypic variation, raising questions about the use of further studies. Here, using 183,727 individuals, we show that hundreds of genetic variants, in at least 180 loci, influence adult height, a highly heritable and classic polygenic trait. The large number of loci reveals patterns with important implications for genetic studies of common human diseases and traits. First, the 180 loci are not random, but instead are enriched for genes that are connected in biological pathways (P = 0.016) and that underlie skeletal growth defects (P < 0.001). Second, the likely causal gene is often located near the most strongly associated variant: in 13 of 21 loci containing a known skeletal growth gene, that gene was closest to the associated variant. Third, at least 19 loci have multiple independently associated variants, suggesting that allelic heterogeneity is a frequent feature of polygenic traits, that comprehensive explorations of already-discovered loci should discover additional variants and that an appreciable fraction of associated loci may have been identified. Fourth, associated variants are enriched for likely functional effects on genes, being over-represented among variants that alter amino-acid structure of proteins and expression levels of nearby genes. Our data explain approximately 10% of the phenotypic variation in height, and we estimate that unidentified common variants of similar effect sizes would increase this figure to approximately 16% of phenotypic variation (approximately 20% of heritable variation). Although additional approaches are needed to dissect the genetic architecture of polygenic human traits fully, our findings indicate that GWA studies can identify large numbers of loci that implicate biologically relevant genes and pathways.

Valoración de credit default swaps: una aplicación del modelo de Hull-White al mercado español

En este trabajo se presenta una aplicación empírica del modelo de Hull-White (2000) al mercado de renta fija español. Este modelo proporciona la expresión por el cálculo de los pagos hechos por el comprador de un credit default swap (CDS), bajo la hipótesis de que no existe riesgo de contrapartida. Se supone, además, que la curva cupón cero, la tasa de recuperación constante y el momento del suceso de crédito son independientes. Se utilizan bonos del Banco Santander Central Hispano para mesurar la probabilidad neutra al riesgo de quiebra y, bajo hipótesis de no arbitraje, se calculan las primas de un CDS, por un bono subyacente con la misma calificación crediticia que la entidad de referencia. Se observa que las primas se ajustan bien a los spreads crediticios del mercado, que se acostumbran a utilizar como alternativa a las mismas.

Option valuation as an expectation in the complex domain: The Black-Scholes case

It is very well known that the first succesful valuation of a stock option was done by solving a deterministic partial differential equation (PDE) of the parabolic type with some complementary conditions specific for the option. In this approach, the randomness in the option value process is eliminated through a no-arbitrage argument. An alternative approach is to construct a replicating portfolio for the option. From this viewpoint the payoff function for the option is a random process which, under a new probabilistic measure, turns out to be of a special type, a martingale. Accordingly, the value of the replicating portfolio (equivalently, of the option) is calculated as an expectation, with respect to this new measure, of the discounted value of the payoff function. Since the expectation is, by definition, an integral, its calculation can be made simpler by resorting to powerful methods already available in the theory of analytic functions. In this paper we use precisely two of those techniques to find the well-known value of a European call

Un modelo de riesgo de crédito basado en opciones compuestas con barrera. Aplicación al mercado continuo español

In this work the valuation methodology of compound option written on a downand-out call option, developed by Ericsson and Reneby (2003), has been applied to deduce a credit risk model. It is supposed that the firm has a debt structure with two maturity dates and that the credit event takes place when the assets firm value falls under a determined level called barrier. An empirical application of the model for 105 firms of Spanish continuous market is carried out. For each one of them its value in the date of analysis, the volatility and the critical value are obtained and from these, the default probability to short and long-term and the implicit probability in the two previous probabilities are deduced. The results are compared with the ones obtained from the Geskemodel (1977).