Pricing in stochastic-local volatility models with default

In recent years is becoming increasingly important to handle credit risk. Credit risk is the risk associated with the possibility of bankruptcy. More precisely, if a derivative provides for a payment at cert time T but before that time the counterparty defaults, at maturity the payment cannot be effectively performed, so the owner of the contract loses it entirely or a part of it. It means that the payoff of the derivative, and consequently its price, depends on the underlying of the basic derivative and on the risk of bankruptcy of the counterparty. To value and to hedge credit risk in a consistent way, one needs to develop a quantitative model. We have studied analytical approximation formulas and numerical methods such as Monte Carlo method in order to calculate the price of a bond. We have illustrated how to obtain fast and accurate pricing approximations by expanding the drift and diffusion as a Taylor series and we have compared the second and third order approximation of the Bond and Call price with an accurate Monte Carlo simulation. We have analysed JDCEV model with constant or stochastic interest rate. We have provided numerical examples that illustrate the effectiveness and versatility of our methods. We have used Wolfram Mathematica and Matlab.

Model Configuration And Data Management In The Short-Term Water Information Forecasting Tools

The Short-term Water Information and Forecasting Tools (SWIFT) is a suite of tools for flood and short-term streamflow forecasting, consisting of a collection of hydrologic model components and utilities. Catchments are modeled using conceptual subareas and a node-link structure for channel routing. The tools comprise modules for calibration, model state updating, output error correction, ensemble runs and data assimilation. Given the combinatorial nature of the modelling experiments and the sub-daily time steps typically used for simulations, the volume of model configurations and time series data is substantial and its management is not trivial. SWIFT is currently used mostly for research purposes but has also been used operationally, with intersecting but significantly different requirements. Early versions of SWIFT used mostly ad-hoc text files handled via Fortran code, with limited use of netCDF for time series data. The configuration and data handling modules have since been redesigned. The model configuration now follows a design where the data model is decoupled from the on-disk persistence mechanism. For research purposes the preferred on-disk format is JSON, to leverage numerous software libraries in a variety of languages, while retaining the legacy option of custom tab-separated text formats when it is a preferred access arrangement for the researcher. By decoupling data model and data persistence, it is much easier to interchangeably use for instance relational databases to provide stricter provenance and audit trail capabilities in an operational flood forecasting context. For the time series data, given the volume and required throughput, text based formats are usually inadequate. A schema derived from CF conventions has been designed to efficiently handle time series for SWIFT.

Extracortical plate fixation with new plate inserts and cerclage wires for the treatment of periprosthetic hip fractures

PURPOSE Fixation of periprosthetic hip fractures with intracortical anchorage might not be feasible in cases with bulky implants and/or poor bone stock. METHODS Rotational stability of new plate inserts with extracortical anchorage for cerclage fixation was measured and compared to the stability found using a standard technique in a biomechanical setup using a torsion testing machine. In a synthetic PUR bone model, transverse fractures were fixed distally using screws and proximally by wire cerclages attached to the plates using "new" (extracortical anchorage) or "standard" (intracortical anchorage) plate inserts. Time to fracture consolidation and complications were assessed in a consecutive series of 18 patients (18 female; mean age 81 years, range 55-92) with periprosthetic hip fractures (ten type B1, eight type C-Vancouver) treated with the new device between July 2003 and July 2010. RESULTS The "new" device showed a higher rotational stability than the "standard" technique (p < 0.001). Fractures showed radiographic consolidation after 14 ± 5 weeks (mean ± SD) postoperatively in patients. Revision surgery was necessary in four patients, unrelated to the new technique. CONCLUSION In periprosthetic hip fractures in which fixation with intracortical anchorage using conventional means might be difficult due to bulky revision stems and/or poor bone stock, the new device may be an addition to the range of existing implants.

INTERACTION OF BACILLUS ANTHRACIS EXOSPORIUM PROTEIN BCLA WITH COMPLEMENT FACTOR H AND SPORE PERSISTENCE IN THE LUNG

Anthrax outbreaks in the United States and Europe and its potential use as a bioweapon have made Bacillus anthracis an interest of study. Anthrax infections are caused by the entry of B. anthracis spores into the host via the respiratory system, the gastrointestinal tract, cuts or wounds in the skin, and injection. Among these four forms, inhalational anthrax has the highest lethality rate and persistence of spores in the lungs of animals following pulmonary exposure has been noted for decades. However, details or mechanisms of spore persistence were not known. In this study, we investigated spore persistence in a mouse model. The results suggest that B. anthracis spores have special properties that promote persistence in the lung, and that there may be multiple mechanisms contributing to spore persistence. Moreover, recent discoveries from our laboratory suggest that spores evolved a sophisticated mechanism to interact with the host complement system. The complement system is a crucial part of the host defense mechanism against foreign microorganisms. Knowledge of the specific interactions that occur between the complement system and B. anthracis was limited. Studies performed in our laboratory have suggested that spores of B. anthracis can target specific proteins, such as Factor H (fH) of the complement system. Spores of B. anthracis are enclosed by an exosporium, which consists of a basal layer surrounded by a nap of hair-like filaments. The major structural component of the filaments is called Bacillus collagen-like protein of anthracis (BclA), which comprises a central collagen-like region and a globular C-terminal domain. BclA is the first point of contact with the innate system of an infected host. In this study, we investigated the molecular details of BclA-fH interaction with respect to the specific binding mechanism and the functional significance of this interaction in a murine model of anthrax infection. We hypothesized that the recruitment of fH to the spore surface by BclA limits the extent of complement activation and promotes pathogen survival and persistence in the infected host. Findings from this study are significant to understanding how to treat post-exposure prophylaxis and improve our knowledge of spores with the host immune system.

Review and meta-analysis of the short-term effects of a vegetable oil emulsion on food intake

Several short-term studies have investigated the effects of a vegetable oil emulsion on subsequent food intake, although findings have been inconsistent. This work aimed to review all studies, and investigate differences in study outcomes based on methodology. All known studies were identified. Data were abstracted from published studies (n = 7). Details of unpublished studies were gained from investigators/sponsors (n = 5), or were unavailable for reasons of confidentiality (n = 4). Available data were combined using meta-analyses. A combined appetite suppressant effect of the emulsion compared with control was found for test meal intake at approximately 4, 12 and 36 h post-treatment: smallest combined mean difference (random effects model) = 0.53 MJ (95% confidence interval 0.20, 0.86), P < 0.01. However, considerable heterogeneity (variability) between study results was also found (smallest I2 = 94%, P < 0.01), questioning the predictive validity of the above findings. Meta-regression suggested this heterogeneity to be related to differences in the processed nature of the product, treatment dose and in particular year of study (smallest B = 0.54, 95% confidence interval 0.06, 1.03, P = 0.04), although again heterogeneity was found. The only consistent finding was a lack of effect on food intake 4 h post-preload in studies conducted after 2003. These results suggest a small but inconsistent appetite suppressant effect of the vegetable oil emulsion. However, due to the large heterogeneity, no definitive conclusions can be drawn.

Henny Molling with Therese, Hal, Kurt and Elizabeth Gottschalk at the swim club; Hannover, Germany.

From left to right: Therese Gottschalk, Hal Gottschalk, Kurt Gottschalk, Henny Molling; on the ground: Elizabeth Gottschalk

Reactions of copper(I) aryloxides with phenyl isothiocyanate: steric and ligand control in the oligomerization of [N-phenylimino(aryloxy)methanethiolato]copper(I) complexes

The preparation of five different copper(I) complexes [CuSC(=NPh)(OAr)}L(n)]m (1-5) formed by the insertion of PhNCS into the Cu-OAr bond and the crystal structure analyses of three of them have been carried out. A monomeric species 1 (OAr = 2,6-dimethylphenoxide) is formed in the presence of excess PPh3 (n = 2, m = 1) and crystallizes as triclinic crystals with a = 12.419(4) angstrom, b = 13.298(7) angstrom, c = 15.936(3) angstrom, alpha = 67.09(3)-degrees, beta = 81.63(2)-degrees, gamma = 66.54(3)-degrees, V = 2224(2) angstrom3, and Z = 2. The structure was refined by the least-squares method to final R and R(w) values of 0.038 and 0.044, respectively, for 7186 unique reflections. Copper(I) 2,5-di-tert-butyl-4-methylphenoxide results in the formation of a dimeric species 2 in the presence of P(OMe)3 (n = 1, m = 2), where the coordination around Cu is trigonal. Crystals of 2 were found to be orthorhombic with a = 15.691(2) angstrom, b = 18.216(3) angstrom, c = 39.198(5) angstrom, v = 11204(3) angstrom3, and Z = 8. Least-squares refinement gave final residuals of R = 0.05 and R(w) = 0.057 with 6866 unique reflections. A tetrameric species 3 results when PPh3 is replaced by P(OMe)3 in the coordination sphere of copper(I) 2,6-dimethylphenoxide. It crystallizes in the space group P1BAR with a = 11.681 (1) angstrom, b = 13.373(2) angstrom, c = 20.127(1) angstrom, a = 88.55(l)-degrees, beta = 89.65(l)-degrees, gamma = 69.28(1)-degrees, V = 2940(l) angstrom3, and Z = 2. Least-squares refinement of the structure gave final values of 0.043 and 0.05 for R and R(w) respectively using 12214 unique reflections. In addition, a dimeric species 4 is formed when 1 equiv of PPh3 is added to the copper(I) 4-methylphenoxide, while with an excess of PPh3 a monomeric species 5 is isolated. Some interconversions among these complexes are also reported.

Salt and cocrystals of sildenafil with dicarboxylic acids: solubility and pharmacokinetic advantage of the glutarate salt

Sildenafil is a drug used to treat erectile dysfunction and pulmonary arterial hypertension. Because of poor aqueous solubility of the drug, the citrate salt, with improved solubility and pharmacokinetics, has been marketed. However, the citrate salt requires an hour to reach its peak plasma concentration. Thus, to improve solubility and bioavailability characteristics, cocrystals and salts of the drug have been prepared by treating aliphatic dicarboxylic acids with sildenafil; the N-methylated piperazine of the drug molecule interacts with the carboxyl group of the acid to form a heterosynthon. Salts are formed with oxalic and fumaric acid; salt monoanions are formed with succinic and glutaric acid. Sildenafil forms cocrystals with longer chain dicarboxylic acids such as adipic, pimelic, suberic, and sebacic acids. Auxiliary stabilization via C-H center dot center dot center dot O interactions is also present in these cocrystals and salts. Solubility experiments of sildenafil cocrystal/salts were carried out in 0.1N HCl aqueous medium and compared with the solubility of the citrate salt. The glutarate salt and pimelic acid cocrystal dissolve faster than the citrate salt in a two hour dissolution experiment. The glutarate salt exhibits improved solubility (3.2-fold) compared to the citrate salt in water. Solubilities of the binary salts follow an inverse correlation with their melting points, while the solubilities of the cocrystals follow solubilities of the coformer. Pharmacokinetic studies on rats showed that the glutarate salt exhibits doubled plasma AUC values in a single dose within an hour compared to the citrate salt. The high solubility of glutaric acid, in part originating from the strained conformation of the molecule and its high permeability, may be the reason for higher plasma levels of the drug.

On the non-linear stability theory of spinning solid bodies with liquid-filled cavities and its application to the columbus problem

In this paper, we first present a system of differential-integral equations for the largedisturbance to the general case that any arbitrarily shaped solid body with a cavity contain-ing viscous liquid rotates uniformly around the principal axis of inertia, and then develop aweakly non-linear stability theory by the Lyapunov direct approach. Applying this theoryto the Columbus problem, we have proved the consistency between the theory and Kelvin'sexperiments.

Inhibition of egg hatching success and larvae survival of the scallop, Chlamys farreri, associated with exposure to cells and cell fragments of the dinoflagellate Alexandrium tamarense

We report an apparently novel toxic effect of the dinoflagellate Alexandrium tamarense, manifested by inhibition of the egg hatching success of the scallop, Chlamys farreri. The hatching rate of C. farreri approached only 30% of controls when its fertilised eggs were exposed for 36 h to A. tamarense cells or cellular fragments at a concentration of 100 cells/ml, and the hatching rate was just 5% after exposure to A. tamarense of 500 cells/ml. Similar exposures of the fertilised scallop eggs to two other algal species, the diatom Phaeodactylum tricornutum and the raphidophyte Heterosigma carterae, resulted in no such toxicity or inhibitory effects.. Likewise, exposure of eggs to standard STX toxin. as well as to A. tamarense cell contents (supernant of re-suspended algal cells following ultrasonication and centrifugation), did not elicit this inhibitory response. However, exposure of the scallop eggs to cell cultures, intact algal cells, or cell fragments of A. tamarense produced marked toxicity. The alga also influenced larvae at early D-shape stage of scallop. The survival rates began to decrease significantly after exposed for 6 days at concentration of 3000 cells/ml and above: no larvae could survive after 14-day exposure to A. tamarense at 10,000 cells/ml or 20-day at 5000 cells/ml. The results indicated the production of novel substances from A. tamarense which can cause adverse effects on egg hatching and survival of the scallop larvae, The experiment also found that the developmental stages before blastula was the developmental period most sensitive to the A. tamarense toxin(s) and the alga at early exponential stage had the strongest effect on egg hatching comparing with other growth phases. The adverse effect of A. tamarense on early development of scallops may cause decline of shellfish population and may have further impact on marine ecosystem. (C) 2001 Elsevier Science Ltd. All rights reserved.

Bromophenols coupled with methyl gamma-ureidobutyrate and bromophenol sulfates from the red alga Rhodomela confervoides

Four new bromophenols C-N coupled with methyl gamma-ureidobutyrate (1-4), a phenylethanol bromophenol (5), and three phenylethanol sulfate bromophenols (6-8) have been isolated from polar fractions of an ethanolic extract of the red alga Rhodomela confervoides. On the basis of spectroscopic evidence including HRMS and 2D NMR data, the structures of the new compounds were determined as methyl N'-(2,3-dibromo-4,5-dihydroxybenzyl)-gamma-ureidobutyrate (1), methyl N,N'-bis(2,3-dibromo-4,5-dihydroxybenzyl)-gamma-ureidobutyrate (2), methyl N'-[3-bromo-2-(2,3-dibromo-4,5-dihydroxybenzyl)-4,5-dihydroxybenzyl]-gamma-ureidobutyrate (3), methyl N'-(2,3-dibromo-4,5-dihydroxybenzyl)-A7-[3-bromo2-(2,3-dibromo-4,5-dihydroxybenzyl)-4,5-dihydroxybenzyl]-gamma-ureidobutyrate (4), 2,3-dibromo-4,5-dihydroxyphenylethanol (5), 2,3-dibromo-4,5-dihydroxyphenylethanol Sulfate (6), 3-bromo-4,5-dihydroxyphenylethanol sulfate (7), and 3-bromo2-(2,3-dibromo-4,5-dihydroxybenzyl)-4,5-dihydroxyphenylethanol sulfate (8). The cytotoxicity of all compounds was evaluated against several human cancer cell lines including human colon cancer (HCT-8), hepatoma (Bel7402), stomach cancer (BGC-823), lung adenocarcinoma (A549), and human ovarian cancer (A2780). Among them, the phenylethanol and the phenylethanol sulfate bromophenols (5-8) showed moderate cytotoxicity against all tested cell lines.