0000000000420073
AUTHOR
Liyuan Jiang
A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implied prices match reasonably well with those of the variance future downloaded from the CBOE websi…
Activation of Mevalonate Pathway Via LKB1 is Essential for Stability of Treg Cells
Summary: The function of regulatory T (Treg) cells depends on lipid oxidation. However, the molecular mechanism by which Treg cells maintain lipid metabolism after activation remains elusive. Liver kinase B1 (LKB1) acts as a coordinator by linking cellular metabolism to substrate AMP-activated protein kinase (AMPK). We show that deletion of LKB1 in Treg cells exhibited reduced suppressive activity and developed fatal autoimmune inflammation. Mechanistically, LKB1 induced activation of the mevalonate pathway by upregulating mevalonate genes, which was essential for Treg cell functional competency and stability by inducing Treg cell proliferation and suppressing interferon-gamma and interleuk…