Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.

The Omega model: from bankruptcy to occupation times in the red

Ruin occurs the first time when the surplus of a company or an institution is negative. In the Omega model, it is assumed that even with a negative surplus, the company can do business as usual until bankruptcy occurs. The probability of bankruptcy at a point of time only depends on the value of the negative surplus at that time. Under the assumption of Brownian motion for the surplus, the expected discounted value of a penalty at bankruptcy is determined, and hence the probability of bankruptcy. There is an intrinsic relation between the probability of no bankruptcy and an exposure random variable. In special cases, the distribution of the total time the Brownian motion spends below zero is found, and the Laplace transform of the integral of the negative part of the Brownian motion is expressed in terms of the Airy function of the first kind.

EndoG links Bnip3-induced mitochondrial damage and caspase-independent DNA fragmentation in ischemic cardiomyocytes

Mitochondrial dysfunction, caspase activation and caspase-dependent DNA fragmentation are involved in cell damage in many tissues. However, differentiated cardiomyocytes repress the expression of the canonical apoptotic pathway and their death during ischemia is caspase-independent. The atypical BH3-only protein Bnip3 is involved in the process leading to caspase-independent DNA fragmentation in cardiomyocytes. However, the pathway by which DNA degradation ensues following Bnip3 activation is not resolved. To identify the mechanism involved, we analyzed the interdependence of Bnip3, Nix and EndoG in mitochondrial damage and DNA fragmentation during experimental ischemia in neonatal rat ventricular cardiomyocytes. Our results show that the expression of EndoG and Bnip3 increases in the heart throughout development, while the caspase-dependent machinery is silenced. TUNEL-positive DNA damage, which depends on caspase activity in other cells, is caspase-independent in ischemic cardiomyocytes and ischemia-induced DNA high and low molecular weight fragmentation is blocked by repressing EndoG expression. Ischemia-induced EndoG translocation and DNA degradation are prevented by silencing the expression of Bnip3, but not Nix, or by overexpressing Bcl-xL. These data establish a link between Bnip3 and EndoG-dependent, TUNEL-positive, DNA fragmentation in ischemic cardiomyocytes in the absence of caspases, defining an alternative cell death pathway in postmitotic cells.

Liver-specific loss of lipin-1-mediated phosphatidic acid phosphatase activity does not mitigate intrahepatic TG accumulation in mice.

Lipin proteins (lipin 1, 2, and 3) regulate glycerolipid homeostasis by acting as phosphatidic acid phosphohydrolase (PAP) enzymes in the TG synthesis pathway and by regulating DNA-bound transcription factors to control gene transcription. Hepatic PAP activity could contribute to hepatic fat accumulation in response to physiological and pathophysiological stimuli. To examine the role of lipin 1 in regulating hepatic lipid metabolism, we generated mice that are deficient in lipin-1-encoded PAP activity in a liver-specific manner (Alb-Lpin1(-/-) mice). This allele of lipin 1 was still able to transcriptionally regulate the expression of its target genes encoding fatty acid oxidation enzymes, and the expression of these genes was not affected in Alb-Lpin1(-/-) mouse liver. Hepatic PAP activity was significantly reduced in mice with liver-specific lipin 1 deficiency. However, hepatocytes from Alb-Lpin1(-/-) mice had normal rates of TG synthesis, and steady-state hepatic TG levels were unaffected under fed and fasted conditions. Furthermore, Alb-Lpin1(-/-) mice were not protected from intrahepatic accumulation of diacylglyerol and TG after chronic feeding of a diet rich in fat and fructose. Collectively, these data demonstrate that marked deficits in hepatic PAP activity do not impair TG synthesis and accumulation under acute or chronic conditions of lipid overload.

Persistence of Transmitted HIV-1 Drug Resistance Mutations Associated with Fitness Costs and Viral Genetic Backgrounds.

Transmission of drug-resistant pathogens presents an almost-universal challenge for fighting infectious diseases. Transmitted drug resistance mutations (TDRM) can persist in the absence of drugs for considerable time. It is generally believed that differential TDRM-persistence is caused, at least partially, by variations in TDRM-fitness-costs. However, in vivo epidemiological evidence for the impact of fitness costs on TDRM-persistence is rare. Here, we studied the persistence of TDRM in HIV-1 using longitudinally-sampled nucleotide sequences from the Swiss-HIV-Cohort-Study (SHCS). All treatment-naïve individuals with TDRM at baseline were included. Persistence of TDRM was quantified via reversion rates (RR) determined with interval-censored survival models. Fitness costs of TDRM were estimated in the genetic background in which they occurred using a previously published and validated machine-learning algorithm (based on in vitro replicative capacities) and were included in the survival models as explanatory variables. In 857 sequential samples from 168 treatment-naïve patients, 17 TDRM were analyzed. RR varied substantially and ranged from 174.0/100-person-years;CI=[51.4, 588.8] (for 184V) to 2.7/100-person-years;[0.7, 10.9] (for 215D). RR increased significantly with fitness cost (increase by 1.6[1.3,2.0] per standard deviation of fitness costs). When subdividing fitness costs into the average fitness cost of a given mutation and the deviation from the average fitness cost of a mutation in a given genetic background, we found that both components were significantly associated with reversion-rates. Our results show that the substantial variations of TDRM persistence in the absence of drugs are associated with fitness-cost differences both among mutations and among different genetic backgrounds for the same mutation.

How do gastroenterologists assess overall activity of eosinophilic esophagitis in adult patients?

OBJECTIVES: There is no "gold standard" for assessing disease activity in patients with eosinophilic esophagitis (EoE). We aimed to compare physicians' judgment of EoE activity with patients' judgment of symptom severity. We also aimed to examine the relative contribution of symptoms as well as endoscopic and histologic findings in shaping physicians' judgment of EoE activity. METHODS: Six gastroenterologists (all EoE experts) assessed EoE-associated symptoms in adult patients. Patients completed a symptom instrument and provided global assessment of EoE symptom severity (PatGA) (Likert scale: 0 (inactive) to 10 (most active)). Following esophagogastroduodenoscopy with biopsy sampling, gastroenterologists provided a global assessment of EoE activity (PhysGA) (Likert scale from 0 to 10) based on patient history and endoscopic and histologic findings. Linear regression and analysis of variance was used to quantify the extent to which variations in severity of EoE symptoms and endoscopic and histologic findings explain variations in PhysGA. RESULTS: A total of 149 EoE patients were prospectively included (71.8% male, median age at inclusion 38 years, 71.8% with concomitant allergies). A moderate positive correlation between PhysGA and PatGA (rho=0.442, P<0.001) was observed and the mean difference in the Bland-Altman plot was 1.77. Variations in severity of endoscopic findings, symptoms, and histologic findings alone explained 53%, 49%, and 30%, of the variability in PhysGA, respectively. Together, these findings explained 75% of variability in PhysGA. CONCLUSIONS: Gastroenterologists rate EoE activity mainly on the basis of endoscopic findings and symptoms and, to a lesser extent, on histologic findings.

Genome-wide association study of kidney function decline in individuals of European descent.

Genome-wide association studies (GWASs) have identified multiple loci associated with cross-sectional eGFR, but a systematic genetic analysis of kidney function decline over time is missing. Here we conducted a GWAS meta-analysis among 63,558 participants of European descent, initially from 16 cohorts with serial kidney function measurements within the CKDGen Consortium, followed by independent replication among additional participants from 13 cohorts. In stage 1 GWAS meta-analysis, single-nucleotide polymorphisms (SNPs) at MEOX2, GALNT11, IL1RAP, NPPA, HPCAL1, and CDH23 showed the strongest associations for at least one trait, in addition to the known UMOD locus, which showed genome-wide significance with an annual change in eGFR. In stage 2 meta-analysis, the significant association at UMOD was replicated. Associations at GALNT11 with Rapid Decline (annual eGFR decline of 3 ml/min per 1.73 m(2) or more), and CDH23 with eGFR change among those with CKD showed significant suggestive evidence of replication. Combined stage 1 and 2 meta-analyses showed significance for UMOD, GALNT11, and CDH23. Morpholino knockdowns of galnt11 and cdh23 in zebrafish embryos each had signs of severe edema 72 h after gentamicin treatment compared with controls, but no gross morphological renal abnormalities before gentamicin administration. Thus, our results suggest a role in the deterioration of kidney function for the loci GALNT11 and CDH23, and show that the UMOD locus is significantly associated with kidney function decline.Kidney International advance online publication, 10 December 2014; doi:10.1038/ki.2014.361.

Large N QCD from rotating branes

We study large N SU(N) Yang-Mills theory in three and four dimensions using a one-parameter family of supergravity models which originate from non-extremal rotating D-branes. We show explicitly that varying this angular momentum parameter decouples the Kaluza-Klein modes associated with the compact D-brane coordinate, while the mass ratios for ordinary glueballs are quite stable against this variation, and are in good agreement with the latest lattice results. We also compute the topological susceptibility and the gluon condensate as a function of the "angular momentum" parameter.

Cherenkov mesons as in-medium quark energy loss

We recently showed that a heavy quark moving sufficiently fast through a quark-gluon plasma may lose energy by Cherenkov-radiating mesons [1]. Here we review our previous holographic calculation of the energy loss in N=4 Super Yang-Mills and extend it to longitudinal vector mesons and scalar mesons. We also discuss phenomenological implications for heavy-ion collision experiments. Although the Cherenkov energy loss is an O(1/Nc) effect, a ballpark estimate yields a value of dE/dx for Nc=3 which is comparable to that of other mechanisms.

Cherenkov mesons as in-medium quark energy loss

We recently showed that a heavy quark moving sufficiently fast through a quark-gluon plasma may lose energy by Cherenkov-radiating mesons [1]. Here we review our previous holographic calculation of the energy loss in N=4 Super Yang-Mills and extend it to longitudinal vector mesons and scalar mesons. We also discuss phenomenological implications for heavy-ion collision experiments. Although the Cherenkov energy loss is an O(1/Nc) effect, a ballpark estimate yields a value of dE/dx for Nc=3 which is comparable to that of other mechanisms.

The multi-facets of sustainable nanotechnology : lessons from a nanosafety symposium

An international symposium for nanosafety was held recently at the Nanyang Technological University in Singapore. Topics relating to understanding nanomaterial properties, tools, and infrastructure required for predicting hazardous outcomes, measuring nanomaterial exposure levels, systems approach for risk assessment and public's perception of nanotechnology were covered. The need for a multidisciplinary approach, across both natural and social sciences, for developing sustainable nanotechnology solutions was heavily emphasized. This commentary highlights the major issues discussed and the commitment of the nanosafety research community in Singapore to contribute collectively to realise the vision of sustainable nanotechnology.

Activating mutations of STAT5B and STAT3 in lymphomas derived from γδ-T or NK cells.

Lymphomas arising from NK or γδ-T cells are very aggressive diseases and little is known regarding their pathogenesis. Here we report frequent activating mutations of STAT3 and STAT5B in NK/T-cell lymphomas (n=51), γδ-T-cell lymphomas (n=43) and their cell lines (n=9) through next generation and/or Sanger sequencing. STAT5B N642H is particularly frequent in all forms of γδ-T-cell lymphomas. STAT3 and STAT5B mutations are associated with increased phosphorylated protein and a growth advantage to transduced cell lines or normal NK cells. Growth-promoting activity of the mutants can be partially inhibited by a JAK1/2 inhibitor. Molecular modelling and surface plasmon resonance measurements of the N642H mutant indicate a marked increase in binding affinity of the phosphotyrosine-Y699 with the mutant histidine. This is associated with the prolonged persistence of the mutant phosphoSTAT5B and marked increase of binding to target sites. Our findings suggest that JAK-STAT pathway inhibition may represent a therapeutic strategy.