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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
eBook
Quantitative credit portfolio management : practical innovations for measuring and controlling liquidity, spread, and issuer concentration risk
\"An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds--spread, liquidity, and Treasury yield curve risk--as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events\"-- Provided by publisher.
Book
Chimeric design of pyrrolysyl-tRNA synthetase/tRNA pairs and canonical synthetase/tRNA pairs for genetic code expansion
An orthogonal aminoacyl-tRNA synthetase/tRNA pair is a crucial prerequisite for site-specific incorporation of unnatural amino acids. Due to its high codon suppression efficiency and full orthogonality, the pyrrolysyl-tRNA synthetase/pyrrolysyl-tRNA pair is currently the ideal system for genetic code expansion in both eukaryotes and prokaryotes. There is a pressing need to discover or engineer other fully orthogonal translation systems. Here, through rational chimera design by transplanting the key orthogonal components from the pyrrolysine system, we create multiple chimeric tRNA synthetase/chimeric tRNA pairs, including chimera histidine, phenylalanine, and alanine systems. We further show that these engineered chimeric systems are orthogonal and highly efficient with comparable flexibility to the pyrrolysine system. Besides, the chimera phenylalanine system can incorporate a group of phenylalanine, tyrosine, and tryptophan analogues efficiently in both E. coli and mammalian cells. These aromatic amino acids analogous exhibit unique properties and characteristics, including fluorescence, post-translation modification.
Journal Article
Antiviral Drugs for Viruses Other Than Human Immunodeficiency Virus
Abstract Most viral diseases, with the exception of those caused by human immunodeficiency virus, are self-limited illnesses that do not require specific antiviral therapy. The currently available antiviral drugs target 3 main groups of viruses: herpes, hepatitis, and influenza viruses. With the exception of the antisense molecule fomivirsen, all antiherpes drugs inhibit viral replication by serving as competitive substrates for viral DNA polymerase. Drugs for the treatment of influenza inhibit the ion channel M2 protein or the enzyme neuraminidase. Combination therapy with Interferon-α and ribavirin remains the backbone treatment for chronic hepatitis C; the addition of serine protease inhibitors improves the treatment outcome of patients infected with hepatitis C virus genotype 1. Chronic hepatitis B can be treated with interferon or a combination of nucleos(t)ide analogues. Notably, almost all the nucleos(t) ide analogues for the treatment of chronic hepatitis B possess anti-human immunodeficiency virus properties, and they inhibit replication of hepatitis B virus by serving as competitive substrates for its DNA polymerase. Some antiviral drugs possess multiple potential clinical applications, such as ribavirin for the treatment of chronic hepatitis C and respiratory syncytial virus and cidofovir for the treatment of cytomegalovirus and other DNA viruses. Drug resistance is an emerging threat to the clinical utility of antiviral drugs. The major mechanisms for drug resistance are mutations in the viral DNA polymerase gene or in genes that encode for the viral kinases required for the activation of certain drugs such as acyclovir and ganciclovir. Widespread antiviral resistance has limited the clinical utility of M2 inhibitors for the prevention and treatment of influenza infections. This article provides an overview of clinically available antiviral drugs for the primary care physician, with a special focus on pharmacology, clinical uses, and adverse effects.
Journal Article
Evaluation of Fractional Integrals and Derivatives of Elementary Functions: Overview and Tutorial
Several fractional-order operators are available and an in-depth knowledge of the selected operator is necessary for the evaluation of fractional integrals and derivatives of even simple functions. In this paper, we reviewed some of the most commonly used operators and illustrated two approaches to generalize integer-order derivatives to fractional order; the aim was to provide a tool for a full understanding of the specific features of each fractional derivative and to better highlight their differences. We hence provided a guide to the evaluation of fractional integrals and derivatives of some elementary functions and studied the action of different derivatives on the same function. In particular, we observed how Riemann–Liouville and Caputo’s derivatives converge, on long times, to the Grünwald–Letnikov derivative which appears as an ideal generalization of standard integer-order derivatives although not always useful for practical applications.
Journal Article
Pyrimidine inhibitors synergize with nucleoside analogues to block SARS-CoV-2
The SARS-CoV-2 virus has infected more than 261 million people and has led to more than 5 million deaths in the past year and a half
( https://www.who.org/ ). Individuals with SARS-CoV-2 infection typically develop mild-to-severe flu-like symptoms, whereas infection of a subset of individuals leads to severe-to-fatal clinical outcomes
. Although vaccines have been rapidly developed to combat SARS-CoV-2, there has been a dearth of antiviral therapeutics. There is an urgent need for therapeutics, which has been amplified by the emerging threats of variants that may evade vaccines. Large-scale efforts are underway to identify antiviral drugs. Here we screened approximately 18,000 drugs for antiviral activity using live virus infection in human respiratory cells and validated 122 drugs with antiviral activity and selectivity against SARS-CoV-2. Among these candidates are 16 nucleoside analogues, the largest category of clinically used antivirals. This included the antivirals remdesivir and molnupiravir, which have been approved for use in COVID-19. RNA viruses rely on a high supply of nucleoside triphosphates from the host to efficiently replicate, and we identified a panel of host nucleoside biosynthesis inhibitors as antiviral. Moreover, we found that combining pyrimidine biosynthesis inhibitors with antiviral nucleoside analogues synergistically inhibits SARS-CoV-2 infection in vitro and in vivo against emerging strains of SARS-CoV-2, suggesting a clinical path forward.
Journal Article