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.

Infrastructure Annual Status Report, January 2012

Per legislative requirement, attached is the Iowa Department of Transportation’s summary of project status for infrastructure projects that have been appropriated revenue from various funds including Rebuild Iowa Infrastructure, Health Restricted Capitals, Bridge Safety, Revenue Bonds Capitals, and Revenue Bonds Capitals II. In addition, we have included status reports for the FY11 passenger rail appropriation from the Underground Storage Tank Fund and the FY2010 Commercial Service Vertical Infrastructure appropriation from the General Fund.

Evaluation of Hot Mix Asphalt Moisture Sensitivity Using the Nottingham Asphalt Test Equipment, July 2005

Moisture sensitivity of Hot Mix Asphalt (HMA) mixtures, generally called stripping, is a major form of distress in asphalt concrete pavement. It is characterized by the loss of adhesive bond between the asphalt binder and the aggregate (a failure of the bonding of the binder to the aggregate) or by a softening of the cohesive bonds within the asphalt binder (a failure within the binder itself), both of which are due to the action of loading under traffic in the presence of moisture. The evaluation of HMA moisture sensitivity has been divided into two categories: visual inspection test and mechanical test. However, most of them have been developed in pre-Superpave mix design. This research was undertaken to develop a protocol for evaluating the moisture sensitivity potential of HMA mixtures using the Nottingham Asphalt Tester (NAT). The mechanisms of HMA moisture sensitivity were reviewed and the test protocols using the NAT were developed. Different types of blends as moisture-sensitive groups and non-moisture-sensitive groups were used to evaluate the potential of the proposed test. The test results were analyzed with three parameters based on performance character: the retained flow number depending on critical permanent deformation failure (RFNP), the retained flow number depending on cohesion failure (RFNC), and energy ratio (ER). Analysis based on energy ratio of elastic strain (EREE ) at flow number of cohesion failure (FNC) has higher potential to evaluate the HMA moisture sensitivity than other parameters. If the measurement error in data-acquisition process is removed, analyses based on RFNP and RFNC would also have high potential to evaluate the HMA moisture sensitivity. The vacuum pressure saturation used in AASHTO T 283 and proposed test has a risk to damage specimen before the load applying.

TCRep 3D: an automated in silico approach to study the structural properties of TCR repertoires.

TCRep 3D is an automated systematic approach for TCR-peptide-MHC class I structure prediction, based on homology and ab initio modeling. It has been considerably generalized from former studies to be applicable to large repertoires of TCR. First, the location of the complementary determining regions of the target sequences are automatically identified by a sequence alignment strategy against a database of TCR Vα and Vβ chains. A structure-based alignment ensures automated identification of CDR3 loops. The CDR are then modeled in the environment of the complex, in an ab initio approach based on a simulated annealing protocol. During this step, dihedral restraints are applied to drive the CDR1 and CDR2 loops towards their canonical conformations, described by Al-Lazikani et. al. We developed a new automated algorithm that determines additional restraints to iteratively converge towards TCR conformations making frequent hydrogen bonds with the pMHC. We demonstrated that our approach outperforms popular scoring methods (Anolea, Dope and Modeller) in predicting relevant CDR conformations. Finally, this modeling approach has been successfully applied to experimentally determined sequences of TCR that recognize the NY-ESO-1 cancer testis antigen. This analysis revealed a mechanism of selection of TCR through the presence of a single conserved amino acid in all CDR3β sequences. The important structural modifications predicted in silico and the associated dramatic loss of experimental binding affinity upon mutation of this amino acid show the good correspondence between the predicted structures and their biological activities. To our knowledge, this is the first systematic approach that was developed for large TCR repertoire structural modeling.

In defense of the "tunneling" wave function of the universe

The tunneling approach to the wave function of the Universe has been recently criticized by Bousso and Hawking who claim that it predicts a catastrophic instability of de Sitter space with respect to pair production of black holes. We show that this claim is unfounded. First, we argue that different horizon size regions in de Sitter space cannot be treated as independently created, as they contend. And second, the WKB tunneling wave function is not simply the inverse of the Hartle-Hawking one, except in very special cases. Applied to the related problem of pair production of massive particles, we argue that the tunneling wave function leads to a small constant production rate, and not to a catastrophe as the argument of Bousso and Hawking would suggest.

Charged AdS black holes and catastrophic holography

We compute the properties of a class of charged black holes in antide Sitter space-time, in diverse dimensions. These black holes are solutions of consistent Einstein-Maxwell truncations of gauged supergravities, which are shown to arise from the inclusion of rotation in the transverse space. We uncover rich thermodynamic phase structures for these systems, which display classic critical phenomena, including structures isomorphic to the van der WaalsMaxwell liquid-gas system. In that case, the phases are controlled by the universal cusp and swallowtail shapes familiar from catastrophe theory. All of the thermodynamics is consistent with field theory interpretations via holography, where the dual field theories can sometimes be found on the world volumes of coincident rotating branes.

Infrastructure Annual Status Report, January 2010

Per legislative requirement, attached is the Iowa Department of Transportation’s summary of project status for infrastructure projects that have been appropriated revenue from various funds including Rebuild Iowa Infrastructure, Health Restricted Capitals, Bridge Safety, Revenue Bonds Capitals, and Revenue Bonds Capitals II. In addition, we have included status reports for the FY11 passenger rail appropriation from the Underground Storage Tank Fund and the FY2010 Commercial Service Vertical Infrastructure appropriation from the General Fund.

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.

Infrastructure Annual Status Report - January 2013

This is the Iowa Department of Transportation’s summary of project status for infrastructure projects that have been appropriated revenue from various funds including Rebuild Iowa Infrastructure, Health Restricted Capitals, Bridge Safety, Revenue Bonds Capitals, and Revenue Bonds Capitals II.

Ionic-covalent transition in titanium oxides

The nature of the chemical bond in three titanium oxides of different crystal structure and different formal oxidation state has been studied by means of the ab initio cluster-model approach. The covalent and ionic contributions to the bond have been measured from different theoretical techniques. All the analysis is consistent with an increasing of covalence in the TiO, Ti2O3, and TiO2 series as expected from chemical intuition. Moreover, the use of the ab initio cluster-model approach combined with different theoretical techniques has permitted us to quantify the degree of ionic character, showing that while TiO can approximately be described as an ionic compound, TiO2 is better viewed as a rather covalent oxide.

Analysis of the alternative pathways for the beta-oxidation of unsaturated fatty acids using transgenic plants synthesizing polyhydroxyalkanoates in peroxisomes.

Degradation of fatty acids having cis-double bonds on even-numbered carbons requires the presence of auxiliary enzymes in addition to the enzymes of the core beta-oxidation cycle. Two alternative pathways have been described to degrade these fatty acids. One pathway involves the participation of the enzymes 2, 4-dienoyl-coenzyme A (CoA) reductase and Delta(3)-Delta(2)-enoyl-CoA isomerase, whereas the second involves the epimerization of R-3-hydroxyacyl-CoA via a 3-hydroxyacyl-CoA epimerase or the action of two stereo-specific enoyl-CoA hydratases. Although degradation of these fatty acids in bacteria and mammalian peroxisomes was shown to involve mainly the reductase-isomerase pathway, previous analysis of the relative activity of the enoyl-CoA hydratase II (also called R-3-hydroxyacyl-CoA hydro-lyase) and 2,4-dienoyl-CoA reductase in plants indicated that degradation occurred mainly through the epimerase pathway. We have examined the implication of both pathways in transgenic Arabidopsis expressing the polyhydroxyalkanoate synthase from Pseudomonas aeruginosa in peroxisomes and producing polyhydroxyalkanoate from the 3-hydroxyacyl-CoA intermediates of the beta-oxidation cycle. Analysis of the polyhydroxyalkanoate synthesized in plants grown in media containing cis-10-heptadecenoic or cis-10-pentadecenoic acids revealed a significant contribution of both the reductase-isomerase and epimerase pathways to the degradation of these fatty acids.

Synthetic applications of chiral unsaturated epoxy alcohols prepared by sharpless asymmetric epoxidation

An overview of the synthesis and applications of chiral 2,3-epoxy alcohols containing unsaturated chains is presented. One of the fundamental synthetic routes to these compounds is Sharpless asymmetric epoxidation, which is reliable, highly chemoselective and enables easy prediction of the product enantioselectivity. Thus, unsaturated epoxy alcohols are readily obtained by selective oxidation of the allylic double bond in the presence of other carbon-carbon double or triple bonds. The wide availability of epoxy alcohols with unsaturated chains, the versatility of the epoxy alcohol functionality (e.g. regio- and stereo-selective ring opening; oxidation; and reduction), and the arsenal of established alkene chemistries, make unsaturated epoxy alcohols powerful starting materials for the synthesis of complex targets such as biologically active molecules. The popularization of ring-closing metathesis has further increased their value, making them excellent precursors to cyclic compounds.

Polymorphisms in fibronectin binding protein A of Staphylococcus aureus are associated with infection of cardiovascular devices.

Medical implants, like cardiovascular devices, improve the quality of life for countless individuals but may become infected with bacteria like Staphylococcus aureus. Such infections take the form of a biofilm, a structured community of bacterial cells adherent to the surface of a solid substrate. Every biofilm begins with an attractive force or bond between bacterium and substratum. We used atomic force microscopy to probe experimentally forces between a fibronectin-coated surface (i.e., proxy for an implanted cardiac device) and fibronectin-binding receptors on the surface of individual living bacteria from each of 80 clinical isolates of S. aureus. These isolates originated from humans with infected cardiac devices (CDI; n = 26), uninfected cardiac devices (n = 20), and the anterior nares of asymptomatic subjects (n = 34). CDI isolates exhibited a distinct binding-force signature and had specific single amino acid polymorphisms in fibronectin-binding protein A corresponding to E652D, H782Q, and K786N. In silico molecular dynamics simulations demonstrate that residues D652, Q782, and N786 in fibronectin-binding protein A form extra hydrogen bonds with fibronectin, complementing the higher binding force and energy measured by atomic force microscopy for the CDI isolates. This study is significant, because it links pathogenic bacteria biofilms from the length scale of bonds acting across a nanometer-scale space to the clinical presentation of disease at the human dimension.

"Peptabody": a new type of high avidity binding protein.

A new type of high avidity binding molecule, termed "peptabody" was created by harnessing the effect of multivalent interaction. A short peptide ligand was fused via a semi-rigid hinge region with the coiled-coil assembly domain of the cartilage oligomeric matrix protein, resulting in a pentameric multivalent binding molecule. In the first peptabody (Pab-S) described here, a peptide (S) specific for the mouse B-cell lymphoma BCL1 surface Ig idiotype, was selected from a phage display library. A fusion gene was constructed encoding peptide S, followed by the 24 aa hinge region from camel IgG and a modified 55 aa cartilage oligomeric matrix protein pentamerization domain. The Pab-S fusion protein was expressed in Escherichia coli in a soluble form at high levels and purified in a single step by metal-affinity chromatography. Pab-S specifically bound the BCL1 surface idiotype with an avidity of about 1 nM, which corresponds to a 2 x 10(5)-fold increase compared with the affinity of the synthetic peptide S itself. Biochemical characterization showed that Pab-S is a stable homopentamer of about 85 kDa, with interchain disulfide bonds. Pab-S can be dissociated under denaturing and reducing conditions and reassociated as a pentamer with full-binding activity. This intrinsic feature provides an easy way to combine Pab molecules with two different peptide specificities, thus producing heteropentamers with bispecific and/or chelating properties.