The Libor Market Model: from theory to calibration

This thesis is focused on the financial model for interest rates called the LIBOR Market Model. In the appendixes, we provide the necessary mathematical theory. In the inner chapters, firstly, we define the main interest rates and financial instruments concerning with the interest rate models, then, we set the LIBOR market model, demonstrate its existence, derive the dynamics of forward LIBOR rates and justify the pricing of caps according to the Black’s formula. Then, we also present the Swap Market Model, which models the forward swap rates instead of the LIBOR ones. Even this model is justified by a theoretical demonstration and the resulting formula to price the swaptions coincides with the Black’s one. However, the two models are not compatible from a theoretical point. Therefore, we derive various analytical approximating formulae to price the swaptions in the LIBOR market model and we explain how to perform a Monte Carlo simulation. Finally, we present the calibration of the LIBOR market model to the markets of both caps and swaptions, together with various examples of application to the historical correlation matrix and the cascade calibration of the forward volatilities to the matrix of implied swaption volatilities provided by the market.

Differential regulation of human 3β-hydroxysteroid dehydrogenase type 2 for steroid hormone biosynthesis by starvation and cyclic AMP stimulation: studies in the human adrenal NCI-H295R cell model

Human steroid biosynthesis depends on a specifically regulated cascade of enzymes including 3β-hydroxysteroid dehydrogenases (HSD3Bs). Type 2 HSD3B catalyzes the conversion of pregnenolone, 17α-hydroxypregnenolone and dehydroepiandrosterone to progesterone, 17α-hydroxyprogesterone and androstenedione in the human adrenal cortex and the gonads but the exact regulation of this enzyme is unknown. Therefore, specific downregulation of HSD3B2 at adrenarche around age 6-8 years and characteristic upregulation of HSD3B2 in the ovaries of women suffering from the polycystic ovary syndrome remain unexplained prompting us to study the regulation of HSD3B2 in adrenal NCI-H295R cells. Our studies confirm that the HSD3B2 promoter is regulated by transcription factors GATA, Nur77 and SF1/LRH1 in concert and that the NBRE/Nur77 site is crucial for hormonal stimulation with cAMP. In fact, these three transcription factors together were able to transactivate the HSD3B2 promoter in placental JEG3 cells which normally do not express HSD3B2. By contrast, epigenetic mechanisms such as methylation and acetylation seem not involved in controlling HSD3B2 expression. Cyclic AMP was found to exert differential effects on HSD3B2 when comparing short (acute) versus long-term (chronic) stimulation. Short cAMP stimulation inhibited HSD3B2 activity directly possibly due to regulation at co-factor or substrate level or posttranslational modification of the protein. Long cAMP stimulation attenuated HSD3B2 inhibition and increased HSD3B2 expression through transcriptional regulation. Although PKA and MAPK pathways are obvious candidates for possibly transmitting the cAMP signal to HSD3B2, our studies using PKA and MEK1/2 inhibitors revealed no such downstream signaling of cAMP. However, both signaling pathways were clearly regulating HSD3B2 expression.

Search for a multi-Higgs-boson cascade in W(+)W(-)b(b)over-bar events with the ATLAS detector in pp collisions at root s=8 TeV

A search is presented for new particles in an extension to the Standard Model that includes a heavy Higgs boson (H-0), an intermediate charged Higgs-boson pair (H-+/-), and a light Higgs boson (h(0)). The analysis searches for events involving the production of a single heavy neutral Higgs boson which decays to the charged Higgs boson and a W boson, where the charged Higgs boson subsequently decays into a W boson and the lightest neutral Higgs boson decaying to a bottom-antibottom-quark pair. Such a cascade results in a W-boson pair and a bottom-antibottom-quark pair in the final state. Events with exactly one lepton, missing transverse momentum, and at least four jets are selected from a data sample corresponding to an integrated luminosity of 20.3 fb(-1), collected by the ATLAS detector in proton-proton collisions at root s = 8 TeV at the LHC. The data are found to be consistent with Standard Model predictions, and 95% confidence-level upper limits are set on the product of cross section and branching ratio. These limits range from 0.065 to 43 pb as a function of H-0 and H-+/- masses, with m(h)o fixed at 125 GeV.

A conceptual model of compensation/decompensation in lumbar segmental instability

Lumbar spinal instability (LSI) is a common spinal disorder and can be associated with substantial disability. The concept of defining clinically relevant classifications of disease or 'target condition' is used in diagnostic research. Applying this concept to LSI we hypothesize that a set of clinical and radiological criteria can be developed to identify patients with this target condition who are at high risk of 'irreversible' decompensated LSI for whom surgery becomes the treatment of choice. In LSI, structural deterioration of the lumbar disc initiates a degenerative cascade of segmental instability. Over time, radiographic signs become visible: traction spurs, facet joint degeneration, misalignment, stenosis, olisthesis and de novo scoliosis. Ligaments, joint capsules, local and distant musculature are the functional elements of the lumbar motion segment. Influenced by non-functional factors, these functional elements allow a compensation of degeneration of the motion segment. Compensation may happen on each step of the degenerative cascade but cannot reverse it. However, compensation of LSI may lead to an alleviation or resolution of clinical symptoms. In return, the target condition of decompensation of LSI may cause the new occurrence of symptoms and pain. Functional compensation and decompensation are subject to numerous factors that can change which makes estimation of an individual's long-term prognosis difficult. Compensation and decompensation may influence radiographic signs of degeneration, e.g. the degree of misalignment and segmental angulation caused by LSI is influenced by the tonus of the local musculature. This conceptual model of compensation/decompensation may help solve the debate on functional and psychosocial factors that influence low back pain and to establish a new definition of non-specific low back pain. Individual differences of identical structural disorders could be explained by compensated or decompensated LSI leading to changes in clinical symptoms and pain. Future spine surgery will have to carefully define and measure functional aspects of LSI, e.g. to identify a point of no return where multidisciplinary interventions do not allow a re-compensation and surgery becomes the treatment of choice.

Phosphorylation levels of JAK2 after addition of increasing Epo-concentrations: model approach (Figure 5a)

The present dataset contain source data for Figure 5a from Schilling et al., 2009. Cell fate decisions are regulated by the coordinated activation of signalling pathways such as the extracellular signal-regulated kinase (ERK) cascade, but contributions of individual kinase isoforms are mostly unknown. The authors combined quantitative data from erythropoietin-induced pathway activation in primary erythroid progenitor (colony-forming unit erythroid stage, CFU-E) cells with mathematical modelling, in order to predict and experimentally confirmed a distributive ERK phosphorylation mechanism in CFU-E cells. The authors found evidences that double-phosphorylated ERK1 attenuates proliferation beyond a certain activation level, whereas activated ERK2 enhances proliferation with saturation kinetics. Phosphorylation levels of JAK2 at 7 min after stimulation for Epo concentrations ranging from 0.1 to 1000 U/ml were simulated.

Responses of the phototransduction cascade to dim light.

The biochemistry of visual excitation is kinetically explored by measuring the activity of the cGMP phosphodiesterase (PDE) at light levels that activate only a few tens of rhodopsin molecules per rod. At 23 degrees C and in the presence of ATP, the pulse of PDE activity lasts 4 s (full width at half maximum). Complementing the rod outer segments (ROS) with rhodopsin kinase (RK) and arrestin or its splice variant p44 does not significantly shorten the pulse. But when the ROS are washed, the duration of the signal doubles. Adding either arrestin or p44 back to washed ROS approximately restores the pulse width to its initial value, with p44 being 10 times more efficient than arrestin. This supports the idea that, in vivo, capping of phosphorylated R* is mostly done by p44. When myristoylated (14:0) recoverin is added to unwashed ROS, the pulse duration and amplitude increase by about 50% if the free calcium is 500 nM. This effect increases further if the calcium is raised to 1 microM. Whenever R* deactivation is changed--when RK is exogenously enriched or when ATP is omitted from the buffer--there is no impact on the rising slope of the PDE pulse but only on its amplitude and duration. We explain this effect as due to the unequal competition between transducin and RK for R*. The kinetic model issued from this idea fits the data well, and its prediction that enrichment with transducin should lengthen the PDE pulse is successfully validated.

Comparison of the defensive elicitation activity of cerato-populin and cerato-platanin: a structural model

Plants can defend themselves from potential pathogenic microorganisms relying on a complex interplay of signaling pathways: activation of the MAPK cascade, transcription of defense related genes, production of reactive oxygen species, nitric oxide and synthesis of other defensive compounds such as phytoalexins. These events are triggered by the recognition of pathogen’s effectors (effector-triggered immunity) or PAMPs (PAMP-triggered immunity). The Cerato Platanin Family (CPF) members are Cys-rich proteins secreted and localized on fungal cell walls, involved in several aspects of fungal development and pathogen-host interactions. Although more than hundred genes of the CPF have been identified and analyzed, the structural and functional characterization of the expressed proteins has been restricted only to few members of the family. Interestingly, those proteins have been shown to bind chitin with diverse affinity and after foliar treatment they elicit defensive mechanisms in host and non-host plants. This property turns cerato platanins into interesting candidates, worth to be studied to develop new fungal elicitors with applications in sustainable agriculture. This study focus on cerato-platanin (CP), core member of the family and on the orthologous cerato-populin (Pop1). The latter shows an identity of 62% and an overall homology of 73% with respect to CP. Both proteins are able to induce MAPKs phosphorylation, production of reactive oxygen species and nitric oxide, overexpression of defense’s related genes, programmed cell death and synthesis of phytoalexins. CP, however, when compared to Pop1, induces a faster response and, in some cases, a stronger activity on plane leaves. Aim of the present research is to verify if the dissimilarities observed in the defense elicitation activity of these proteins can be associated to their structural and dynamic features. Taking advantage of the available CP NMR structure, Pop1’s 3D one was obtained by homology modeling. Experimental residual dipolar couplings and 1H, 15N, 13C resonance assignments were used to validate the model. Previous works on CPF members, addressed the highly conserved random coil regions (loops b1-b2 and b2-b3) as sufficient and necessary to induce necrosis in plants’ leaves: that region was investigated in both Pop1 and CP. In the two proteins the loops differ, in their primary sequence, for few mutations and an insertion with a consequent diversification of the proteins’ electrostatic surface. A set of 2D and 3D NMR experiments was performed to characterize both the spatial arrangement and the dynamic features of the loops. NOE data revealed a more extended network of interactions between the loops in Pop1 than in CP. In addition, in Pop1 we identified a salt bridge Lys25/Asp52 and a strong hydrophobic interaction between Phe26/Trp53. These structural features were expected not only to affect the loops’ spatial arrangement, but also to reduce the degree of their conformational freedom. Relaxation data and the order parameter S2 indeed highlighted reduced flexibility, in particular for loop b1-b2 of Pop1. In vitro NMR experiments, where Pop1 and CP were titrated with oligosaccharides, supported the hypothesis that the loops structural and dynamic differences may be responsible for the different chitin-binding properties of the two proteins: CP selectively binds tetramers of chitin in a shallow groove on one side of the barrel defined by loops b1-b2, b2-b3 and b4-b5, Pop1, instead, interacts in a non-specific fashion with oligosaccharides. Because the region involved in chitin-binding is also responsible for the defense elicitation activity, possibly being recognized by plant's receptors, it is reasonable to expect that those structural and dynamic modifications may also justify the different extent of defense elicitation. To test that hypothesis, the initial steps of a protocol aimed to the identify a receptor for CP, in silico, are presented.

Feedbacks between vegetation pattern and resource loss dramatically decrease ecosystem resilience and restoration potential in a simple dryland model

Conceptual frameworks of dryland degradation commonly include ecohydrological feedbacks between landscape spatial organization and resource loss, so that decreasing cover and size of vegetation patches result in higher water and soil losses, which lead to further vegetation loss. However, the impacts of these feedbacks on dryland dynamics in response to external stress have barely been tested. Using a spatially-explicit model, we represented feedbacks between vegetation pattern and landscape resource loss by establishing a negative dependence of plant establishment on the connectivity of runoff-source areas (e.g., bare soils). We assessed the impact of various feedback strengths on the response of dryland ecosystems to changing external conditions. In general, for a given external pressure, these connectivity-mediated feedbacks decrease vegetation cover at equilibrium, which indicates a decrease in ecosystem resistance. Along a gradient of gradual increase of environmental pressure (e.g., aridity), the connectivity-mediated feedbacks decrease the amount of pressure required to cause a critical shift to a degraded state (ecosystem resilience). If environmental conditions improve, these feedbacks increase the pressure release needed to achieve the ecosystem recovery (restoration potential). The impact of these feedbacks on dryland response to external stress is markedly non-linear, which relies on the non-linear negative relationship between bare-soil connectivity and vegetation cover. Modelling studies on dryland vegetation dynamics not accounting for the connectivity-mediated feedbacks studied here may overestimate the resistance, resilience and restoration potential of drylands in response to environmental and human pressures. Our results also suggest that changes in vegetation pattern and associated hydrological connectivity may be more informative early-warning indicators of dryland degradation than changes in vegetation cover.

Prdm1 acts downstream of a sequential RA, Wnt and Fgf signaling cascade during zebrafish forelimb induction

Vertebrate limb induction is triggered in the lateral plate mesoderm (LPM) by a cascade of signaling events originating in the axial mesoderm. While it is known that Fgf, Wnt and retinoic acid (RA) signals are involved in this cascade, their precise regulatory hierarchy has not been determined in any species. tbx5 is the earliest gene expressed in the limb bud mesenchyme. Recently, another transcription factor, Prdm1, has been shown to be crucial for zebrafish forelimb development. Here, we show that Prdm1 is downstream of RA, Wnt2b and Tbx5 activity. We find that RA activity, but not Fgf signaling, is necessary for wnt2b expression. Fgf signaling is required for prdm1 expression in the fin bud, but is not necessary for the initiation of tbx5 expression. We propose a model in which RA signaling from the somitic mesoderm leads to activation of wnt2b expression in the intermediate mesoderm, which then signals to the LPM to trigger tbx5 expression. tbx5 is required for Fgf signaling in the limb bud leading to activation of prdm1 expression, which in turn is required for downstream activation of fgf10 expression.

BTX extraction by sulfolane in a mixer-settler cascade

The literature relating to the extraction of the aromatics, benzene, toluene and xylene (BTX) using different commercial solvents, and to mixer-settler design and performance, has been reviewed. Liquid-liquid equilibria of the ternary systems: hexane-benzene-sulfolane, n-heptane-toluene-sulfolane, and octane-xylene-sulfolane were determined experimentally at temperatures of 30oC, 35oC, and 40oC. The work was then extended to a multicomponent system. The data were correlated by using Hand's method and were found to be in a good agreement with theoretical predictions using the UNIFAC method. A study was made of the performance of a 10-stage laboratory mixer-settler cascade for the extraction of BTX from a synthetic reformate utilizing sulfolane as a solvent. Murphree stage efficiency decreased with stage number but 99% extraction was achievable within 4 stages. The effects of temperature, phase ratio, and agitator speed were investigated. The efficiency increased with agitator speed but > 1050 rpm resulted in secondary haze formation. An optimum temperature of 30oC was selected from the phase equilibria; the optimum solvent: feed ratio was 3:1 for 4 stages. The experimental overall mass transfer coefficients were compared with those predicted from single drop correlations and were in all cases greater, by a factor of 1.5 to 3, due to the surface renewal associated with drop break-up and coalescence promoted by agitation. A similar investigation was performed using real reformate from the Kuwait Oil Company. The phase ratios were in the range 0.5 to 1 to 3.25 to 1, the agitator speed 1050 rpm, and the operating temperature 30oC. A maximum recovery of 99% aromatics was achieved in 4 stages at a phase ratio of 3.25 to 1. A backflow model was extended to simulate conditions in the mixer-settler cascade with this multicomponent system. Overall mass transfer coefficients were estimated by obtaining the best fit between experimental and predicted concentration profiles. They were up to 10% greater than those with the synthetic feed but close agreement was not possible because the distribution coefficient and phase ratio varied with stage number. Sulfolane was demonstrated to be an excellent solvent for BTX recovery and a mixer-settler cascade was concluded to be a technically viable alternative to agitated columns for this process.

A critical analysis of the 'amyloid cascade hypothesis'

The 'amyloid cascade hypothesis' (ACH) is the most influential model of the pathogenesis of Alzheimer's disease (AD). The hypothesis proposes that the deposition of β-amyloid (Aβ) is the initial pathological event in AD, leading to the formation of extracellular senile plaques (SP), tau-immunoreactive neurofibrillary tangles (NFT), neuronal loss, and ultimately, clinical dementia. Ever since the formulation of the ACH, however, there have been questions regarding whether it completely describes AD pathogenesis. This review critically examines various aspects of the ACH including its origin and development, the role of amyloid precursor protein (APP), whether SP and NFT are related to the development of clinical dementia, whether Aβ and tau are 'reactive' proteins, and whether there is a pathogenic relationship between SP and NFT. The results of transgenic experiments and treatments for AD designed on the basis of the ACH are also reviewed. It was concluded: (1) Aβ and tau could be the products rather than the cause of neuro-degeneration in AD, (2) it is doubtful whether there is a direct causal link between Aβ and tau, and (3) SP and NFT may not be directly related to the development of dementia, (4) transgenic models involving APP alone do not completely replicate AD pathology, and (5) treatments based on the ACH have been unsuccessful. Hence, a modification of the ACH is proposed which may provide a more complete explanation of the pathogenesis of AD.

First time measurements of polarization observables for the charged cascade hyperon in photoproduction

The parity violating weak decay of hyperons offers a valuable means of measuring their polarization, providing insight into the production of strange quarks and the matter they compose. Jefferson Lab's CLAS collaboration has utilized this property of hyperons, publishing the most precise polarization measurements for the Λ and Σ in both photoproduction and electroproduction to date. In contrast, cascades, which contain two strange quarks, can only be produced through indirect processes and as a result, exhibit low cross sections thus remaining experimentally elusive.^ At present, there are two aspects in cascade physics where progress has been minimal: characterizing their production mechanism, which lacks theoretical and experimental developments, and observation of the numerous excited cascade resonances that are required to exist by flavor SU(3) F symmetry. However, CLAS data were collected in 2008 with a luminosity of 68 pb−1 using a circularly polarized photon beam with energies up to 5.45 GeV, incident on a liquid hydrogen target. This dataset is, at present, the world's largest for meson photoproduction in its energy range and provides a unique opportunity to study cascade physics with polarization measurements.^ The current analysis explores hyperon production through the γ p → K+K +Ξ− reaction by providing the first ever determination of spin observables P, Cx and Cz for the cascade. Three of our primary goals are to test the only cascade photoproduction model in existence, examine the underlying processes that give rise to hyperon polarization, and to stimulate future theoretical developments while providing constraints for their parameters. Our research is part of a broader program to understand the production of strange quarks and hadrons with strangeness. The remainder of this document discusses the motivation behind such research, the method of data collection, details of their analysis, and the significance of our results.^