Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Direct versus delayed pathways in strong-field non-sequential double ionization

We report full-dimensionality quantum and classical calculations of double ionization (DI) of laser-driven helium at 390 nm. Good agreement is observed. We identify the relative importance of the two main non-sequential DI pathways, the direct|with an almost simultaneous ejection of both electrons|and the delayed. We find that the delayed pathway prevails at small intensities independently of total electron energy but at high intensities the direct pathway predominates up to a certain upper-limit in total energy which increases with intensity. An explanation for this increase with intensity is provided.

Non-aqueous silicone elastomer gels as a vaginal microbicide delivery system for the HIV-1 entry inhibitor maraviroc

Aqueous semi-solid polymeric gels, such as those based on hydroxyethylcellulose (HEC) and polyacrylic acid (e.g. Carbopol®), have a long history of use in vaginal drug delivery. However, despite their ubiquity, they often provide sub-optimal clinical performance, due to poor mucosal retention and limited solubility for poorly water-soluble actives. These issues are particularly pertinent for vaginal HIV microbicides, since many lead candidates are poorly water-soluble and where a major goal is the development of a coitally independent, once daily gel product. In this study, we report the use of a non-aqueous silicone elastomer gel for vaginal delivery of the HIV-1 entry inhibitor maraviroc. In vitro rheological, syringeability and retention studies demonstrated enhanced performance for silicone gels compared with a conventional aqueous HEC gel, while testing of the gels in the slug model confirmed a lack of mucosal irritancy. Pharmacokinetic studies following single dose vaginal administration of a maraviroc silicone gel in rhesus macaques showed higher and sustained MVC levels in vaginal fluid, vaginal tissue and plasma compared with a HEC gel containing the same maraviroc loading. The results demonstrate that non-aqueous silicone gels have potential as a formulation platform for coitally independent vaginal HIV microbicides.

Simple trapped-ion architecture for high-fidelity Toffoli gates

We discuss a simple architecture for a quantum TOFFOLI gate implemented using three trapped ions. The gate, which, in principle, can be implemented with a single laser-induced operation, is effective under rather general conditions and is strikingly robust (within any experimentally realistic range of values) against dephasing, heating, and random fluctuations of the Hamiltonian parameters. We provide a full characterization of the unitary and noise-affected gate using three-qubit quantum process tomography.

Distributing fully optomechanical quantum correlations

We present a scheme to prepare quantum correlated states of two mechanical systems based on the pouring of preavailable all-optical entanglement into the state of two micromirrors belonging to remote and noninteracting optomechanical cavities. We show that, under realistic experimental conditions, the protocol allows for the preparation of a genuine quantum state of a composite mesoscopic system whose nonclassical features extend beyond the occurrence of entanglement. We finally discuss a way to access such mechanical correlations.

Functional and Structural Diversification of the Anguimorpha Lizard Venom System

Venom has only been recently discovered to be a basal trait of the Anguimorpha lizards. Consequently, very little is known about the timings of toxin recruitment events, venom protein molecular evolution, or even the relative physical diversifications of the venom system itself. A multidisciplinary approach was used to examine the evolution across the full taxonomical range of this similar to 130 million-year-old clade. Analysis of cDNA libraries revealed complex venom transcriptomes. Most notably, three new cardioactive peptide toxin types were discovered (celestoxin, cholecystokinin, and YY peptides). The latter two represent additional examples of convergent use of genes in toxic arsenals, both having previously been documented as components of frog skin defensive chemical secretions. Two other novel venom gland-overexpressed modified versions of other protein frameworks were also recovered from the libraries (epididymal secretory protein and ribonuclease). Lectin, hyaluronidase, and veficolin toxin types were sequenced for the first time from lizard venoms and shown to be homologous to the snake venom forms. In contrast, phylogenetic analyses demonstrated that the lizard natriuretic peptide toxins were recruited independently of the form in snake venoms. The de novo evolution of helokinestatin peptide toxin encoding do-mains within the lizard venom natriuretic gene was revealed to be exclusive to the helodermatid/anguid subclade. New isoforms were sequenced for cysteine-rich secretory protein, kallikrein, and phospholipase A 2 toxins. Venom gland morphological analysis revealed extensive evolutionary tinkering. Anguid glands are characterized by thin capsules and mixed glands, serous at the bottom of the lobule and mucous toward the apex. Twice, independently this arrangement was segregated into specialized serous protein-secreting glands with thick capsules with the mucous lobules now distinct (Heloderma and the Lanthanotus/Varanus clade). The results obtained highlight the importance of utilizing evolution-based search strategies for biodiscovery and emphasize the largely untapped drug design and development potential of lizard venoms. Molecular & Cellular Proteomics 9:2369-2390, 2010.

The RMT method for many-electron atomic systems in intense short-pulse laser light

We describe a new ab initio method for solving the time-dependent Schrödinger equation for multi-electron atomic systems exposed to intense short-pulse laser light. We call the method the R-matrix with time-dependence (RMT) method. Our starting point is a finite-difference numerical integrator (HELIUM), which has proved successful at describing few-electron atoms and atomic ions in strong laser fields with high accuracy. By exploiting the R-matrix division-of-space concept, we bring together a numerical method most appropriate to the multi-electron finite inner region (R-matrix basis set) and a different numerical method most appropriate to the one-electron outer region (finite difference). In order to exploit massively parallel supercomputers efficiently, we time-propagate the wavefunction in both regions by employing Arnoldi methods, originally developed for HELIUM.

Evidence of association of APOE with age-related macular degeneration: a pooled analysis of 15 studies.

Age-related macular degeneration (AMD) is the most common cause of incurable visual impairment in high-income countries. Previous studies report inconsistent associations between AMD and apolipoprotein E (APOE), a lipid transport protein involved in low-density cholesterol modulation. Potential interaction between APOE and sex, and smoking status has been reported. We present a pooled analysis (n = 21,160) demonstrating associations between late AMD and APOe4 (odds ratio [OR] = 0.72 per haplotype; confidence interval [CI]: 0.65-0.74; P = 4.41×10(-11) ) and APOe2 (OR = 1.83 for homozygote carriers; CI: 1.04-3.23; P = 0.04), following adjustment for age group and sex within each study and smoking status. No evidence of interaction between APOE and sex or smoking was found. Ever smokers had significant increased risk relative to never smokers for both neovascular (OR = 1.54; CI: 1.38-1.72; P = 2.8×10(-15) ) and atrophic (OR = 1.38; CI: 1.18-1.61; P = 3.37×10(-5) ) AMD but not early AMD (OR = 0.94; CI: 0.86-1.03; P = 0.16), implicating smoking as a major contributing factor to disease progression from early signs to the visually disabling late forms. Extended haplotype analysis incorporating rs405509 did not identify additional risks beyond e2 and e4 haplotypes. Our expanded analysis substantially improves our understanding of the association between the APOE locus and AMD. It further provides evidence supporting the role of cholesterol modulation, and low-density cholesterol specifically, in AMD disease etiology.