We present a new approach to price CDOˆ2-type transactions consistently with the pricing of the underlying CDOs. We first present an extension to the current market standard model using a Gaussian mixture (GM) copula model instead of one parameter single Gaussian Copula model. It shows that GM broadly captures the correlation skew shown in the index tranche market, but not exactly and across ti...

The Cdo-p38MAPK (p38 mitogen-activated protein kinase) signaling pathway plays important roles in regulating skeletal myogenesis. During myogenic differentiation, the cell surface receptor Cdo bridges scaffold proteins BNIP-2 and JLP and activates p38MAPK, but the spatial-temporal regulation of this process is largely unknown. We here report that KIF5B, the heavy chain of kinesin-1 motor, is a ...

Objective The objective of the study was to determine whether the cadmium-derived materials induce intracellular protein citrullination. Methods Human A549 lung epithelial cells were exposed to cadmium in soluble and nanoparticulate forms represented by cadmium chloride (CdCl2) and cadmium oxide (CdO), respectively, and their combinations with ultrafine carbon black (ufCB) produced by high te...

We propose a stable non-parametric algorithm for the calibration of pricing models for portfolio credit derivatives: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for the portfolio underlying the CDO which matches these observations, by looking for the risk neutral loss process ’closest’ to a prior loss process, verifying t...

Differentiation of skeletal myoblasts into multinucleated myotubes is a multistep process orchestrated by several families of transcription factors, including myogenic bHLH and NFAT proteins. The activities of these factors and formation of myotubes are regulated by signal transduction pathways, but few extracellular factors that might initiate such signals have been identified. One exception i...

Postnatal maturation of esophageal musculature involves proximal-to-distal replacement of smooth muscle with skeletal muscle by elusive mechanisms. We report that this process is impaired in mice lacking the cell surface receptor Cdo and identify the underlying developmental mechanism. A myogenic transition zone containing proliferative skeletal muscle precursor cells migrated in a proximal-dis...

This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool of the CDO has not exceeded x at maturity T , and zero else. Necessary and sufficient conditions on the stochastic term structur...

We present techniques used in the implementation of an efficient constraint program for the portfolio optimization (PO) problem. This important combinatorial problem in the credit derivatives market arises for example when constructing synthetic collateralized debt obligations (CDOs) squared. A close relationship with the balanced incomplete block design (BIBD) problem exists which we make use ...