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  • Articles  (64,716)
  • Springer Nature  (63,835)
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  • Blackwell Publishing, Ltd.
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  • Articles  (64,716)
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  • 1
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a numerically accurate and computationally fast approximation to the prices of European options on coupon-bearing instruments that is applicable to the entire family of affine term structure models. Exploiting the typical shapes of the conditional distributions of the risk factors in affine diffusions, we show that one can reliably compute the relevant probabilities needed for pricing options on coupon-bearing instruments by the same Fourier inversion methods used in the pricing of options on zero-coupon bonds. We apply our theoretical results to the pricing of options on coupon bonds and swaptions, and the calculation of “expected exposures” on swap books. As an empirical illustration, we compute the expected exposures implied by several affine term structure models fit to historical swap yields.
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  • 2
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of partial hedging of derivative risk in a stochastic volatility environment. It is related to state-dependent utility maximization problems in classical economics. We derive the dual problem from the Legendre transform of the associated Bellman equation and interpret the optimal strategy as the perfect hedging strategy for a modified claim. Under the assumption that volatility is fast mean-reverting and using a singular perturbation analysis, we derive approximate value functions and strategies that are easy to implement and study. The analysis identifies the usual mean historical volatility and the harmonically averaged long-run volatility as important statistics for such optimization problems without further specification of a stochastic volatility model. The approximation can be improved by specifying a model and can be calibrated for the leverage effect from the implied volatility skew. We study the effectiveness of these strategies using simulated stock paths.
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  • 3
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easlcy (1992) to any complete or incomplete asset market.
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  • 4
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A senera1 proof of the Dybvig-Ingersoll-Ross Theorem o n thc monotonicity of long foraard rates is presented. Some inconsistencies in the original proof o f this theorein are discussed.
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  • 5
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A topical problem is how to price and hedge claims on nontraded assets. A natural approach is to use for hedging purposes another similar asset or index which is traded. To model this situation, we introduce a second nontraded log Brownian asset into the well-known Merton investment model with power law and exponential utilities. The investor has an option on units of the nontraded asset and the question is how to price and hedge this random payoff. The presence of the second Brownian motion means that we are in the situation of incomplete markets. Employing utility maximization and duality methods we obtain a series approximation to the optimal hedge and reservation price using the power utility. The problem is simpler for the exponential utility, and in this case we derive an explicit representation for the price. Price and hedging strategy are computed for some example options and the results for the utilities are compared.
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  • 6
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Molecular microbiology 38 (2000), S. 0 
    ISSN: 1365-2958
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Biology , Medicine
    Notes: The rncS gene of Bacillus subtilis encodes Bs-RNase III, a narrow-specificity endoribonuclease. Previous attempts to disrupt rncS were unsuccessful. Here, a strain was constructed in which Bs-RNase III expression was dependent upon transcription of rncS from a temperature-sensitive plasmid. Growth of this strain at the non-permissive temperature resulted in 90–95% cell death, and virtually all the cells that survived retained the rncS-expressing plasmid. Thus, we conclude that rncS is essential in B. subtilis. The rncS conditional strain also revealed that Bs-RNase III participates in the processing of ribosomal RNA, in addition to processing small cytoplasmic RNA, a member of the signal recognition particle RNA family. Most significantly, a rare rncS null strain was isolated that will aid further study of the critical role Bs-RNase III plays in B. subtilis.
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  • 7
    ISSN: 1365-2958
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Biology , Medicine
    Notes: The dnaK operon of Streptomyces coelicolor encodes the DnaK chaperone machine and HspR, the transcriptional repressor of the operon; HspR confers repression by binding to several inverted repeat sequences in the promoter region, dnaKp. Here, we demonstrate that HspR specifically requires the presence of DnaK protein to retard a dnaKp fragment in gel-shift assays. This requirement is independent of the co-chaperones, DnaJ and GrpE, and it is ATP independent. Furthermore the retarded protein–DNA complex can be ‘supershifted’ by anti-DnaK monoclonal antibody, demonstrating that DnaK forms an integral component of the complex. It was shown in DNase I footprinting experiments that refolding and specific binding of HspR to its DNA target does not require DnaK. We conclude that the formation of the stable DnaK–HspR–DNA ternary complex does not depend on the chaperoning activity of DnaK. In affinity chromatography experiments using whole-cell extracts, DnaK was shown to co-purify with HspR, providing additional evidence that the two proteins interact in vivo; it was not possible to purify HspR away from DnaK in any experiments unless a powerful denaturant was used. The level of heat shock induction of chromosomal DnaK could be partially suppressed by expressing dnaK extrachromosomally from a heterologous promoter. In addition, it is shown that DnaK confers enhanced HspR-mediated repression of transcription in vitro. Taken together, these results suggest that DnaK functions as a transcriptional co-repressor by binding to HspR at its operator sites. In this model, the DnaK–HspR system would represent a novel example of feedback regulation of gene expression by a molecular chaperone, in which DnaK directly activates a repressor, rather than inactivates an activator (as is the case in the DnaK–σ32 and Hsp70–HSF systems of other organisms).
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  • 8
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Molecular microbiology 38 (2000), S. 0 
    ISSN: 1365-2958
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Biology , Medicine
    Notes: In vivo and in vitro studies have suggested that the bacterial version of the mammalian signal recognition particle (SRP) system plays an essential and selective role in protein biogenesis. The bacterial SRP system consists of at least two proteins and an RNA molecule (termed Ffh, FtsY and 4.5S RNA, respectively, in Escherichia coli). Recent evidence suggests that other putative bacterial-specific SRP components may also exist. In vitro experiments confirmed the expected basic features of the bacterial SRP system by demonstrating interactions among the SRP components themselves, between them and ribosomes, ribosome-linked hydrophobic nascent polypeptides or inner membranes. The availability of a conserved (and essential) bacterial SRP version has facilitated the implementation of powerful genetic and biochemical approaches for studying the cascade of events during the SRP-mediated targeting process in vivo and in vitro as well as the three-dimensional structures and the properties of each SRP component and complex.
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  • 9
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Molecular microbiology 38 (2000), S. 0 
    ISSN: 1365-2958
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Biology , Medicine
    Notes: Cryptococcus neoformans is an important human pathogenic fungus with a defined sexual cycle and well-developed molecular and genetic approaches. C. neoformans is predominantly haploid and has two mating types, MATa and MATα. Mating is known to be regulated by nutritional limitation and thought also to be regulated by pheromones. Previously, a portion of the MATα locus was cloned, and a presumptive pheromone gene, MFα1, was identified by its ability to induce conjugation tube-like filaments when introduced by transformation into MATa cells. Here, the ability of the MFα1 gene to induce these morphological changes in MATa cells was used as a phenotypic assay to perform a structure–function analysis of the gene. We show that the MFα1 open reading frame is required for the morphological response of MATa cells. We also find that the cysteine residue of the C-terminal CAAX motif is required for activity of the MFα1 pheromone. In addition, we use a reporter system to measure the expression levels of the MFα1 pheromone gene and find that two signals, nutrient starvation and the presence of factors secreted by mating partner cells, impinge on this promoter and regulate MFα1 expression. We identify a second pheromone gene, MFα2, and show phenotypically that this gene is also expressed. Finally, we have synthesized the MFα1 pheromone and show that only the predicted mature modified form of the α-factor peptide triggers morphological responses in MATa cells.
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  • 10
    ISSN: 1365-2958
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Biology , Medicine
    Notes: The Escherichia coli cydAB operon, encoding the subunits of the high-affinity cytochrome d oxidase, is maximally transcribed in microaerobiosis as a result of the combined action of the oxygen-responsive regulators Fnr and ArcA. Here, we report that the histone-like protein H-NS is an aerobic repressor of cydAB expression. ArcA is shown to antagonize H-NS action to render cydAB expression insensitive to H-NS repression in anaerobiosis. The targets for H-NS-mediated aerobic repression are the four oxygen-regulated promoters, designated P1, P2, P3 and P4. H-NS control is the result of H-NS binding to an extended region within the cydAB promoter element, including sequences upstream from and overlapping the four regulated promoters. We propose a regulatory model in which oxygen control of cydAB transcription is mediated by three alternative protein–DNA complexes that are assembled sequentially on the promoter region as the cells are shifted from aerobic to microaerobic and to anaerobic conditions. According to this model, ArcA-P plays a central role in cydAB regulation by antagonizing H-NS repression of cydAB transcription when oxygen becomes limiting. This allows peak gene expression and subsequent repression by Fnr under fully anaerobic conditions.
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