European CMBS pricing: bond, mortgage and real estate characteristics

The recent global economic crisis is often associated with the development and pricing of mortgage-backed securities (i.e. MBSs) and underlying products (i.e. sub-prime mortgages). This work uses a rich database of MBS issues and represents the first attempt to price commercial MBSs (i.e. CMBSs) in the European market. Our results are consistent with research carried out in the US market and we find that bond-, mortgage-, real estate-related and multinational characteristics show different degrees of significance in explaining European CMBS spreads at issuance. Multiple linear regression analysis using a databank of CMBSs issued between 1997 and 2007 indicates a strong relationship with bond-related factors, followed by real estate and mortgage market conditions. We also find that multinational factors are significant, with country of issuance, collateral location and access to more liquid markets all being important in explaining the cost of secured funding for real estate companies. As floater coupon tranches tend to be riskier and exhibit higher spreads, we also estimate a model using this sub-set of data and results hold, hence reinforcing our findings. Finally, we estimate our model for both tranches A and B and find that real estate factors become relatively more important for the riskier investment products.

A single amino acid in the HA of pH1N1 2009 influenza virus affects cell tropism in human airway epithelium, but not transmission in ferrets

The first pandemic of the 21(st) century, pandemic H1N1 2009 (pH1N1 2009), emerged from a swine-origin source. Although human infections with swine-origin influenza have been reported previously, none went on to cause a pandemic or indeed any sustained human transmission. In previous pandemics, specific residues in the receptor binding site of the haemagglutinin (HA) protein of influenza have been associated with the ability of the virus to transmit between humans. In the present study we investigated the effect of residue 227 in HA on cell tropism and transmission of pH1N1 2009. In pH1N1 2009 and recent seasonal H1N1 viruses this residue is glutamic acid, whereas in swine influenza it is alanine. Using human airway epithelium, we show a differential cell tropism of pH1N1 2009 compared to pH1N1 2009 E227A and swine influenza suggesting this residue may alter the sialic acid conformer binding preference of the HA. Furthermore, both pH1N1 2009 E227A and swine influenza multi-cycle viral growth was found to be attenuated in comparison to pH1N1 2009 in human airway epithelium. However this altered tropism and viral growth in human airway epithelium did not abrogate respiratory droplet transmission of pH1N1 2009 E227A in ferrets. Thus, acquisition of E at residue 227 was not solely responsible for the ability of pH1N1 2009 to transmit between humans.

A transmission electron microscopy study of polymer-stabilised liquid crystal structure

A method has been established for observing the internal structure of the network component of polymer-stabilised liquid crystals. In situ photopolymerisation of a mesogenic diacrylate monomer using ultraviolet light leads to a sparse network (∼1 wt%) within a nematic host. Following polymerisation, the host was removed through dissolution in heptane, revealing the network. In order to observe a cross-section through the network, it was embedded in a resin and then sectioned using an ultramicrotome. However, imaging of the network was not possible due to poor contrast. To improve this, several reagents were used for network staining, but only one was successful: bromine. The use of a Melinex-resin composite for sectioning was also found to be advantageous. Imaging of the network using transmission electron microscopy revealed solid “droplets” of width 0.07–0.20 μm, possessing an open, yet homogeneous structure, with no evidence for any large-scale internal structures.

Reduction of vestigial sideband effects due to multipath transmission in terrestrial broadcast television

In terrestrial television transmission multiple paths of various lengths can occur between the transmitter and the receiver. Such paths occur because of reflections from objects outside the direct transmission path. The multipath signals arriving at the receiver are all detected along with the intended signal causing time displaced replicas called 'ghosts' to appear on the television picture. With an increasing number of people living within built up areas, ghosting is becoming commonplace and therefore deghosting is becoming increasingly important. This thesis uses a deterministic time domain approach to deghosting, resulting in a simple solution to the problem of removing ghosts. A new video detector is presented which reduces the synchronous detector local oscillator phase error, caused by any practical size of ghost, to a lower level than has ever previously been achieved. From the new detector, dispersion of the video signal is minimised and a known closed-form time domain description of the individual ghost components within the detected video is subsequently obtained. Developed from mathematical descriptions of the detected video, a new specific deghoster filter structure is presented which is capable of removing both inphase (I) and also the phase quadrature (Q) induced ghost signals derived from the VSB operation. The new deghoster filter requires much less hardware than any previous deghoster which is capable of removing both I and Q ghost components. A new channel identification algorithm was also required and written which is based upon simple correlation techniques to find the delay and complex amplitude characteristics of individual ghosts. The result of the channel identification is then passed to the new I and Q deghoster filter for ghost cancellation. Generated from the research work performed for this thesis, five papers have been published. D

A question of value: a discussion of property pricing and definitions of value

Valuation is often said to be “an art not a science” but this relates to the techniques employed to calculate value not to the underlying concept itself. Valuation practice has documented different bases of value or definitions of value both internationally and nationally. This paper discusses these definitions and suggests that there is a common thread that ties the definitions together.

Pricing short leases and break clauses using simulation methodology

This paper examines the changes in the length of commercial property leases over the last decade and presents an analysis of the consequent investment and occupational pricing implications for commercial property investmentsIt is argued that the pricing implications of a short lease to an investor are contingent upon the expected costs of the letting termination to the investor, the probability that the letting will be terminated and the volatility of rental values.The paper examines the key factors influencing these variables and presents a framework for incorporating their effects into pricing models.Approaches to their valuation derived from option pricing are critically assessed. It is argued that such models also tend to neglect the price effects of specific risk factors such as tenant circumstances and the terms of break clause. Specific risk factors have a significant bearing on the probability of letting termination and on the level of the resultant financial losses. The merits of a simulation methododology are examined for rental and capital valuations of short leases and properties with break clauses.It is concluded that in addition to the rigour of its internal logic, the success of any methodology is predicated upon the accuracy of the inputs.The lack of reliable data on patterns in, and incidence of, lease termination and the lack of reliable time series of historic property performance limit the efficacy of financial models.

Forward pricing and the housing market: the pre-sales housing system in Taiwan

In countries that have experienced rapid economic development, the need to establish more efficient markets in which private property can be constructed has induced some innovative solutions. One such solution is the phenomenon of a pre-sales market of the kind that can be observed in Taiwan, Korea, and more recently in China. Developers sell their property before building is started in order to acquire financing for the development companies. This paper discusses the process and, by recognising the analogy between the pre-sales market and forwards markets, analyses the implications for developers

Investigation on Cacao swollen shoot virus (CSSV) pollen transmission through cross-pollination

DNA- and RNA-based polymerase chain reaction (PCR) systems were used with Cacao swollen shoot virus (CSSV) primers designed from conserved regions of the six published genomic sequences of CSSV to investigate whether the virus is transmissible from infected trees through cross-pollination to seeds and seedlings. Pollen was harvested from CSSV infected cocoa trees and used to cross-pollinate flowers of healthy cocoa trees (recipient parents) to generate enough cocoa seeds for the PCR screening. Adequate precautions were taken to avoid cross-contamination during duplicated DNA extractions and only PCR results accompanied by effective positive and negative controls were scored. Results from the PCR analyses showed that samples of cocoa pod husk, mesocarp and seed tissues (testa, cotyledon and embryo) from the cross-pollinations were PCR negative for CSSV DNA. Sequential DNA samples from new leaves of seedlings resulting from the cross-pollinated trees were consistently PCR negative for presence of portions of CSSV DNA for over 36 months after germination. A reverse transcription-PCR analysis performed on the seedlings showed negative results, indicating absence of functional CSSV RNA transcripts in the seedlings. None of the seedlings exhibited symptoms characteristic of the CSSV disease, and all infectivity tests on the seedlings were also negative. Following these results, the study concluded that although CSSV DNA was detected in pollen from CSSV infected trees, there was no evidence of pollen transmission of the virus through cross-pollination from infected cocoa parents to healthy cocoa trees. Keywords:badnavirus;CSSV;PCR;pollen;seed transmission;Theobroma cacao

Gradients of the intergenerational transmission of health in developing countries

This paper investigates sensitivity of the intergenerational transmission of health to changes in the socioeconomic and public health environment into which children are born using individual survey data on 2.24 million children born to 600000 mothers during 1970-2000 in 38 developing countries merged by country and cohort with macroeconomic data. We find that children are more likely to bear the penalty exerted by poor maternal health if they are conceived or born in adverse socioeconomic conditions. Equivalently, shocks to the child’s birth environment are more damaging of children born to women with a weaker stock of health at birth.

Possible role of aerosol transmission in a hospital outbreak of influenza.

BACKGROUND: We examined the role of aerosol transmission of influenza in an acute ward setting. METHODS: We investigated a seasonal influenza A outbreak that occurred in our general medical ward (with open bay ward layout) in 2008. Clinical and epidemiological information was collected in real time during the outbreak. Spatiotemporal analysis was performed to estimate the infection risk among patients. Airflow measurements were conducted, and concentrations of hypothetical virus-laden aerosols at different ward locations were estimated using computational fluid dynamics modeling. RESULTS: Nine inpatients were infected with an identical strain of influenza A/H3N2 virus. With reference to the index patient's location, the attack rate was 20.0% and 22.2% in the "same" and "adjacent" bays, respectively, but 0% in the "distant" bay (P = .04). Temporally, the risk of being infected was highest on the day when noninvasive ventilation was used in the index patient; multivariate logistic regression revealed an odds ratio of 14.9 (95% confidence interval, 1.7-131.3; P = .015). A simultaneous, directional indoor airflow blown from the "same" bay toward the "adjacent" bay was found; it was inadvertently created by an unopposed air jet from a separate air purifier placed next to the index patient's bed. Computational fluid dynamics modeling revealed that the dispersal pattern of aerosols originated from the index patient coincided with the bed locations of affected patients. CONCLUSIONS: Our findings suggest a possible role of aerosol transmission of influenza in an acute ward setting. Source and engineering controls, such as avoiding aerosol generation and improving ventilation design, may warrant consideration to prevent nosocomial outbreaks.

Botanising women : transmission, translation and European exchange

This issue of the Journal of Literature and Science is a special issue entitled ‘Women and Botany’ edited by Sam George and Alison E. Martin.

Investigation on Cacao swollen shoot virus (CSSV) pollen transmission through cross-pollination

DNA- and RNA-based polymerase chain reaction (PCR) systems were used with Cacao swollen shoot virus (CSSV) primers designed from conserved regions of the six published genomic sequences of CSSV to investigate whether the virus is transmissible from infected trees through cross-pollination to seeds and seedlings. Pollen was harvested from CSSV infected cocoa trees and used to cross-pollinate flowers of healthy cocoa trees (recipient parents) to generate enough cocoa seeds for the PCR screening. Adequate precautions were taken to avoid cross-contamination during duplicated DNA extractions and only PCR results accompanied by effective positive and negative controls were scored. Results from the PCR analyses showed that samples of cocoa pod husk, mesocarp and seed tissues (testa, cotyledon and embryo) from the cross-pollinations were PCR negative for CSSV DNA. Sequential DNA samples from new leaves of seedlings resulting from the cross-pollinated trees were consistently PCR negative for presence of portions of CSSV DNA for over 36 months after germination. A reverse transcription-PCR analysis performed on the seedlings showed negative results, indicating absence of functional CSSV RNA transcripts in the seedlings. None of the seedlings exhibited symptoms characteristic of the CSSV disease, and all infectivity tests on the seedlings were also negative. Following these results, the study concluded that although CSSV DNA was detected in pollen from CSSV infected trees, there was no evidence of pollen transmission of the virus through cross-pollination from infected cocoa parents to healthy cocoa trees.

Pricing and hedging short sterling options using artificial neural networks

This paper compares the performance of artificial neural networks (ANNs) with that of the modified Black model in both pricing and hedging Short Sterling options. Using high frequency data, standard and hybrid ANNs are trained to generate option prices. The hybrid ANN is significantly superior to both the modified Black model and the standard ANN in pricing call and put options. Hedge ratios for hedging Short Sterling options positions using Short Sterling futures are produced using the standard and hybrid ANN pricing models, the modified Black model, and also standard and hybrid ANNs trained directly on the hedge ratios. The performance of hedge ratios from ANNs directly trained on actual hedge ratios is significantly superior to those based on a pricing model, and to the modified Black model.