Saikat Nandi, Ph.D., M.S.
University of Oxford, Biochemistry, Department Member
- Cold Spring Harbor Laboratory, Cancer, Department Memberadd
- Sai is the Portfolio Manager at AIG Asset Management, a multinational finance and insurance giant where he oversees t... moreSai is the Portfolio Manager at AIG Asset Management, a multinational finance and insurance giant where he oversees the firm’s healthcare, life sciences and technology investments across venture capital, private equity, hedge fund and debt securities. Sai also holds a Visiting Scientist position at the Cold Spring Harbor Laboratory (CSHL) and serves as reviewer and board member of several biopharma and technology companies, federal funding agencies, scientific journals & philanthropic organizations.
Sai has over 20 years of experience in the healthcare, technology and financial services industries across roles as an investor, C-suite executive, Board Member and research scientist and has led public and private transactions, aggregating over $2 billion. Prior to joining AIG, he was a Healthcare Investment Advisor at GC Finance, a hedge fund turned family office managing private and public equity investments. Earlier in his career he served as a Business Development Consultant at the New York State Center for Biotechnology, a NIH-designated incubator overseeing capital raising strategies and corporate collaborations for over 20 life sciences and technology companies.
Sai received his D.Phil. (PhD) from Oxford University where he was a SKP Clarendon Scholar and carried out postdoctoral research at CSHL where he was awarded an NCI NYSTAR Cancer Biology Fellowship for his work. He has authored over two dozen research articles and book chapters in high impact journals. He is multilingual, avid dog lover and has lived and worked across 3 continents (North America, Europe and Asia).
Specialties: Asset management | alternative investments | portfolio construction | risk management | private equity | venture capital | corporate finance | capital raising | healthcare | biopharma | medtech | technology | startups | commercialization intellectual property | strategic planning | consulting | team management | dynamic leadership | public speakingedit
Rabi oscillations are periodic modulations of populations in two-level systems interacting with a time-varying field. They are ubiquitous in physics with applications in different areas such as photonics, nano-electronics, electron... more
Rabi oscillations are periodic modulations of populations in two-level systems interacting with a time-varying field. They are ubiquitous in physics with applications in different areas such as photonics, nano-electronics, electron microscopy, and quantum information. While the theory developed by Rabi was intended for fermions in gyrating magnetic fields, Autler and Townes realized that it could also be used to describe coherent light-matter interaction within the rotating wave approximation\cite. Although intense nanometer-wavelength light-sources have been available for more than a decade, Rabi dynamics at such short wavelengths have not been observed directly. Here we show that femtosecond extreme-ultraviolet pulses from a seeded free-electron laser can drive Rabi oscillations between the ground state and an excited state in helium atoms. The measured photoemission signal revealed an Autler-Townes doublet as well as an avoided crossing, phenomena that are both trademarks of quan...
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D. Busto, 2, ∗ H. Laurell, D. Finkelstein Shapiro, C. Alexandridi, M. Isinger, S. Nandi, R. J. Squibb, M. Turconi, S. Zhong, C. L. Arnold, R. Feifel, M. Gisselbrecht, P. Salières, T. Pullerits, F. Mart́ın, 7, 8 L. Argenti, 10 and A.... more
D. Busto, 2, ∗ H. Laurell, D. Finkelstein Shapiro, C. Alexandridi, M. Isinger, S. Nandi, R. J. Squibb, M. Turconi, S. Zhong, C. L. Arnold, R. Feifel, M. Gisselbrecht, P. Salières, T. Pullerits, F. Mart́ın, 7, 8 L. Argenti, 10 and A. L’Huillier Department of Physics, Lund University, Box 118, 22100 Lund, Sweden Institute of Physics, Albert Ludwig University, Stefan-Meier-Strasse 19, 79104 Freiburg, Germany Department of Chemical Physics, Lund University, Box 124, 22100 Lund, Sweden Université Paris-Saclay, CEA, CNRS, LIDYL, 91191 Gif-sur-Yvette, France Department of Physics, University of Gothenburg, Origovägen 6B, 41296 Gothenburg, Sweden Departamento de Qúımica, Modulo 13, Facultad de Ciencias, Universidad Autónoma de Madrid, 28049 Madrid, Spain Instituto Madrileno de Estudios Avanzados en Nanociencia (IMDEA-Nanoscience), Cantoblanco, 28049 Madrid, Spain Condensed Matter Physics Center (IFIMAC), Universidad Autónoma de Madrid, 28049 Madrid, Spain Department of Physics, University o...
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Different features of a potential in the form of a Gaussian well have been discussed extensively. Although the details of the calculation are involved, the general approach uses a variational method and WKB approximation, techniques which... more
Different features of a potential in the form of a Gaussian well have been discussed extensively. Although the details of the calculation are involved, the general approach uses a variational method and WKB approximation, techniques which should be familiar to advanced undergraduates. A numerical solution of the Schr\"odinger equation through diagonalization has been developed in a self-contained way, and physical applications of the potential are mentioned.
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Additional file 1. Supplementary references.
Photoionization time delays are measured with two-color (XUV+IR) interferometric techniques. The combination of attosecond temporal resolution and high spectral resolution from narrowband harmonics allows the study of ultrafast dynamics... more
Photoionization time delays are measured with two-color (XUV+IR) interferometric techniques. The combination of attosecond temporal resolution and high spectral resolution from narrowband harmonics allows the study of ultrafast dynamics in both time and frequency domain.
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When an atom or molecule absorbs a high-energy photon, an electron is emitted with a well-defined energy and a highly-symmetric angular distribution, ruled by energy quantization and parity conservation. These rules seemingly break down... more
When an atom or molecule absorbs a high-energy photon, an electron is emitted with a well-defined energy and a highly-symmetric angular distribution, ruled by energy quantization and parity conservation. These rules seemingly break down when small quantum systems are exposed to short and intense light pulses, which raise the question of their universality for the simplest case of the photoelectric effect. Here we investigate the photoionization of helium by a sequence of attosecond pulses in the presence of a weak infrared dressing field. We continuously control the energy and introduce an asymmetry in the emission direction of the photoelectrons, thus contradicting well established quantum-mechanical predictions. This control is possible due to an extreme temporal confinement of the light-matter interaction. Our work extends time-domain coherent control schemes to one of the fastest processes in nature, the photoelectric effect.
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An empirical examination of the pricing and hedging perfonnance of a stochastic volatility (SV) model with closed form solution (Heston 1993) is provided for options on the S&P 500 index in which the unobservable time varying volatility... more
An empirical examination of the pricing and hedging perfonnance of a stochastic volatility (SV) model with closed form solution (Heston 1993) is provided for options on the S&P 500 index in which the unobservable time varying volatility is jointly estimated with the time invariant parameters of the model. Although, out-of-sample, the mean absolute pricing error in the SV model is always lower than in the Black-Scholes model, still substantial mispricings are observed for deep out--of-the-money options. The degree ofmispricing in different options classes is related to bid-ask spreads on options and options trading volume after controlling for moneyness and maturity biases. Talcing into account the transactions costs (bid-ask spreads) in 1he opticms market and using S&P 500 futures to hedge, it is found 1hat the stochastic volatility model yields lower variance for a minimum variance hedge portfolio than the Black-Scholes model for most classes of options and the differences in varia...
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Attosecond pulses, produced through high-order harmonic generation in gases, have been successfully used for observing ultrafast, subfemtosecond electron dynamics in atoms, molecules and solid state systems. Today’s typical attosecond... more
Attosecond pulses, produced through high-order harmonic generation in gases, have been successfully used for observing ultrafast, subfemtosecond electron dynamics in atoms, molecules and solid state systems. Today’s typical attosecond sources, however, are often impaired by their low repetition rate and the resulting insufficient statistics, especially when the number of detectable events per shot is limited. This is the case for experiments, where several reaction products must be detected in coincidence, and for surface science applications where space charge effects compromise spectral and spatial resolution. In this work, we present an attosecond light source operating at 200 kHz, which opens up the exploration of phenomena previously inaccessible to attosecond interferometric and spectroscopic techniques. Key to our approach is the combination of a high-repetition rate, few-cycle laser source, a specially designed gas target for efficient high harmonic generation, a passively a...
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Background: β-Thalassemia major is associated with iron overload toxicity. This study was done to investigate lipid profile abnormality in β-Thalassemia major patients and to establish their correlation with serum ferritin. Another motto... more
Background: β-Thalassemia major is associated with iron overload toxicity. This study was done to investigate lipid profile abnormality in β-Thalassemia major patients and to establish their correlation with serum ferritin. Another motto of this study was to signify deleterious effect of multiple blood transfusion and facilitate to understand how it will affect the lipid profile parameters changes so that we can also prevent early dyslipidemia induced complications like atherogenesis by early detection of lipid profile abnormality and also to establish derangement of lipid profile as an indirect evidence of iron overload.Methods: 102 nos. β-Thalassemia major paediatric patients with multiple blood transfusion (≥10) in age group of 6 to12 years admitted in pediatric ward of tertiary care hospital (NRSMCH) were enrolled. Serum ferritin level and lipid profile were investigated and their correlation were assessed.Results: Among 102 β-Thalassemia major pediatric (6 to 12 years) patients...
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Atomic features may appear in the Auger electron spectra after an electron is excited from a core orbital to an antibonding orbital in molecules, as a result of complex competitions among electron and nuclear motions. Relatively weak... more
Atomic features may appear in the Auger electron spectra after an electron is excited from a core orbital to an antibonding orbital in molecules, as a result of complex competitions among electron and nuclear motions. Relatively weak atomic features were widely discussed in spectator Auger decay processes on top of excitation in O2 molecules. Thee strong Auger decay processes are heavily-overlapped in the electron spectrum and not discussed up to now. Here, using multi-particle coincidence setup, we separate these Auger decay processes for the first time.
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We have investigated photoionization delays in N2 by combining an extreme ultraviolet (XUV) attosecond pulse train generated by high harmonic generation (HHG) and a second harmonic femtosecond pulse with angularly resolved photoelectron... more
We have investigated photoionization delays in N2 by combining an extreme ultraviolet (XUV) attosecond pulse train generated by high harmonic generation (HHG) and a second harmonic femtosecond pulse with angularly resolved photoelectron spectroscopy. While photoionization delay measurements are usually performed by using a standard XUV-infrared scheme, here we show that the present approach allows us to separate electronic states that otherwise would overlap, thus avoiding the spectral congestion found in most molecules. We have found a relative delay between the X and A ionic molecular states as a function of the photon energy of up to 40 attoseconds, which is due to the presence of a shape resonance in the X channel. This approach can be applied to other small quantum systems with few active electronic states.
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Ionization of the I 3d, 4s, and 4p orbitals in methyl iodide (CHI) has been studied by using synchrotron radiation to measure the total ion yield and by recording photoelectron spectra with linearly polarized radiation in two polarization... more
Ionization of the I 3d, 4s, and 4p orbitals in methyl iodide (CHI) has been studied by using synchrotron radiation to measure the total ion yield and by recording photoelectron spectra with linearly polarized radiation in two polarization orientations. The complete photoelectron spectrum of CHI has been recorded at several photon energies, and bands due to the C 1s, I 3d, 4s, 4p, and 4d atomic-like orbitals, as well as the molecular orbitals, have been observed and assigned. In the vicinity of the I 3d and 3d ionization thresholds at 626.8 and 638.3 eV, respectively, the ion yield displays weak structure in the pre-edge region due to transitions into valence or Rydberg states, and, at higher energies, a shoulder and a broad maximum attributed to the I 3d → f and the I 3d → f shape resonances, respectively. The absorption spectrum calculated using time-dependent density functional theory, within the Tamm-Dancoff approximation, has allowed assignments to be proposed for the valence an...
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Auger electron spectra following excitation or ionization of the I 3d level in CHI have been recorded with horizontally or vertically plane polarized synchrotron radiation. These spectra have enabled the Auger electron angular... more
Auger electron spectra following excitation or ionization of the I 3d level in CHI have been recorded with horizontally or vertically plane polarized synchrotron radiation. These spectra have enabled the Auger electron angular distributions, as characterized by the parameter, to be determined. The I 3d photoionization partial cross section of CHI has been calculated with the continuum multiple scattering approach, and the results show that in the photon energy range over which Auger spectra were measured, the I 3d cross section exhibits an atomic-like behavior and is dominated by transitions into the f continuum channel. In this limit, the theoretical value of the alignment parameter () characterizing the core ionized state in an atom becomes constant, independent of photon energy. This theoretical value has been used to obtain the Auger electron intrinsic anisotropy parameters () from the parameters extracted from our normal (non-resonant) molecular Auger spectra. The resulting ani...
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Electron correlation and multielectron effects are fundamental interactions that govern many physical and chemical processes in atomic, molecular and solid state systems. The process of autoionization, induced by resonant excitation of... more
Electron correlation and multielectron effects are fundamental interactions that govern many physical and chemical processes in atomic, molecular and solid state systems. The process of autoionization, induced by resonant excitation of electrons into discrete states present in the spectral continuum of atomic and molecular targets, is mediated by electron correlation. Here we investigate the attosecond photoemission dynamics in argon in the 20-40 eV spectral range, in the vicinity of the 3snp autoionizing resonances. We present measurements of the differential photoionization cross section and extract energy and angle-dependent atomic time delays with an attosecond interferometric method. With the support of a theoretical model, we are able to attribute a large part of the measured time delay anisotropy to the presence of autoionizing resonances, which not only distort the phase of the emitted photoelectron wave packet but also introduce an angular dependence.
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Modern-day business environment of healthcare organizations demands the maximization of operational effectiveness and quality with optimal cost. Therefore, healthcare executives are often required to make difficult decisions based on... more
Modern-day business environment of healthcare organizations demands the maximization of operational effectiveness and quality with optimal cost. Therefore, healthcare executives are often required to make difficult decisions based on subjective experience and judgement. An example of such a decision is scheduling of resources to fulfil demand for service. The effective use of statistical forecasting can lead to better personnel scheduling decisions based on estimates of patient arrival rates, resulting in improvement in quality of service as well as reduction of cost. The purpose of this article is to demonstrate the typical steps involved in applying forecasting techniques in patient care: This demonstration involves use of statistical techniques like Analysis of Variance (ANOVA) to identify factors driving demand, and Auto Regressive Integrated Moving Average (ARIMA) to develop a forecasting model for optimal staff scheduling in healthcare organizations based on patient arrival ra...
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No Crossing Over To ensure the correct division of chromosome during the reduction division of meiosis, homologous chromosomes undergo double-strand breaks that—through crossing over and recombination—link the homologs together (and... more
No Crossing Over To ensure the correct division of chromosome during the reduction division of meiosis, homologous chromosomes undergo double-strand breaks that—through crossing over and recombination—link the homologs together (and importantly introduce diversity into the genomes of gametes). But only a minority of these crossovers results in recombination—most are directed into non-crossover pathways. Lorenz et al. (p. 1585 ), working in the yeast Schizosaccharomyces pombe , and Crismani et al. (p. 1588 ), working in the higher plant Arabidopsis thaliana , looked for the factors that limit crossovers and promote non-crossover pathways. The homolog of the human Fanconi anemia complementation group M (FANCM) helicase protein was found to be a major meiotic anti-recombinase, which could drive meiotic recombination intermediates into the non-crossover pathway.
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The Fanconi anemia (FA) core complex promotes the tolerance/repair of DNA damage at stalled replication forks by catalyzing the monoubiquitination of FANCD2 and FANCI. Intriguingly, the core complex component FANCM also catalyzes branch... more
The Fanconi anemia (FA) core complex promotes the tolerance/repair of DNA damage at stalled replication forks by catalyzing the monoubiquitination of FANCD2 and FANCI. Intriguingly, the core complex component FANCM also catalyzes branch migration of model Holliday junctions and replication forks in vitro. Here we have characterized the ortholog of FANCM in fission yeast Fml1 in order to understand the physiological significance of this activity. We show that Fml1 has at least two roles in homologous recombination-it promotes Rad51-dependent gene conversion at stalled/blocked replication forks and limits crossing over during mitotic double-strand break repair. In vitro Fml1 catalyzes both replication fork reversal and D loop disruption, indicating possible mechanisms by which it can fulfill its pro- and antirecombinogenic roles.
Research Interests: DNA replication, DNA repair, Cell and Molecular Biology, Biological Sciences, DNA, and 12 moreHumans, Mutation, Fission yeast, Article, Fanconi anemia, Gene Conversion, Schizosaccharomyces Pombe, Genetic Recombination, Homologous Recombination, DNA double strand breaks, Double Strand Break Repair, and Medical and Health Sciences
We present a theoretical description of highly charged carbon ion-induced ionization of isolated RNA-uracil molecules. A comparison between recent experimental and theoretical total cross sections is provided.
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ABSTRACT We have measured double differential cross-sections (DDCS) of low energy electrons emitted from O2 in collisions with 72MeV bare O ions. The derived forward backward asymmetry parameter spectrum shows monotonically increasing... more
ABSTRACT We have measured double differential cross-sections (DDCS) of low energy electrons emitted from O2 in collisions with 72MeV bare O ions. The derived forward backward asymmetry parameter spectrum shows monotonically increasing behavior. No oscillation due to interference was observed in the forward-backward angular asymmetry unlike that for molecular hydrogen for which oscillation was unambiguous.
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ABSTRACT We have measured the electron double differential cross section (DDCS) for 3.75MeV/u O8+ and O5+ colliding on He atom. The projectile q-dependence on electron emission for different angles is investigated. The DDCS ratios for two... more
ABSTRACT We have measured the electron double differential cross section (DDCS) for 3.75MeV/u O8+ and O5+ colliding on He atom. The projectile q-dependence on electron emission for different angles is investigated. The DDCS ratios for two charge states are found to be dependent on emission angle and energy of the electrons. A good agreement is found between the experimental data of DDCS ratios and the continuum distorted wave-eikonal initial state (CDW-EIS) predictions.
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The genome is under constant assault from a multitude of sources that can lead to the formation of DNA double-stand breaks (DSBs). DSBs are cytotoxic lesions, which if left unrepaired could lead to genomic instability, cancer and even... more
The genome is under constant assault from a multitude of sources that can lead to the formation of DNA double-stand breaks (DSBs). DSBs are cytotoxic lesions, which if left unrepaired could lead to genomic instability, cancer and even cell death. However, erroneous repair of DSBs can lead to chromosomal rearrangements and loss of heterozygosity, which in turn can also cause cancer and cell death. Hence, although the repair of DSBs is crucial for the maintenance of genome integrity the process of repair need to be well regulated and closely monitored. The two most commonly used pathways to repair DSBs in higher eukaryotes include non-homologous end joining (NHEJ) and homologous recombination (HR). NHEJ is considered to be error-prone, intrinsically mutagenic quick fix remedy to seal together the broken DNA ends and restart replication. In contrast, HR is a high-fidelity process that has been very well conserved from phage to humans. Here we review HR and its sub-pathways. We discuss ...
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A better understanding of mechanistic insights into genes and enzymes implicated in rare diseases provide a unique opportunity for orphan drug development. Advances made in identification of synthetic lethal relationships between rare... more
A better understanding of mechanistic insights into genes and enzymes implicated in rare diseases provide a unique opportunity for orphan drug development. Advances made in identification of synthetic lethal relationships between rare disorder genes with oncogenes and tumor suppressor genes have brought in new anticancer therapeutic opportunities. Additionally, the rapid development of small molecule inhibitors against enzymes that participate in DNA damage response and repair has been a successful strategy for targeted cancer therapeutics. Here, we discuss the recent advances in our understanding of how many rare disease genes participate in promoting genome stability. We also summarize the latest developments in exploiting rare diseases to uncover new biological mechanisms and identify new synthetic lethal interactions for anticancer drug discovery that are in various stages of preclinical and clinical studies.
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Alternative splicing promotes proteome diversity by using limited number of genes, a key control point of gene expression. Splicing is carried out by large macromolecular machineries, called spliceosome, composed of small RNAs and... more
Alternative splicing promotes proteome diversity by using limited number of genes, a key control point of gene expression. Splicing is carried out by large macromolecular machineries, called spliceosome, composed of small RNAs and proteins. Alternative splicing is regulated by splicing regulatory cis-elements in RNA and trans-acting splicing factors that are often tightly regulated in a tissue-specific and developmental stage-specific manner. The biogenesis of ribonucleoprotein (RNP) complexes is strictly regulated to ensure that correct complements of RNA and proteins are coordinated in the right cell at the right time to support physiological functions. Any perturbations that impair formation of functional spliceosomes by disrupting the cis-elements, or by compromising RNA-binding or function of trans-factors can be deleterious to cells and result in pathological consequences. The recent discovery of oncogenic mutations in splicing factors, and growing evidence of the perturbed sp...
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Development requires the careful orchestration of several biological events in order to create any structure and, eventually, to build an entire organism. On the other hand, the fate transformation of terminally differentiated cells is a... more
Development requires the careful orchestration of several biological events in order to create any structure and, eventually, to build an entire organism. On the other hand, the fate transformation of terminally differentiated cells is a consequence of erroneous development, and ultimately leads to cancer. In this review, we elaborate how development and cancer share several biological processes, including molecular controls. Transcription factors (TF) are at the helm of both these processes, among many others, and are evolutionarily conserved, ranging from yeast to humans. Here, we discuss four families of TFs that play a pivotal role and have been studied extensively in both embryonic development and cancer—high mobility group box (HMG), GATA, paired box (PAX) and basic helix-loop-helix (bHLH) in the context of their role in development, cancer, and their conservation across several species. Finally, we review TFs as possible therapeutic targets for cancer and reflect on the impor...
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To initiate DNA replication, the origin recognition complex (ORC) and Cdc6 load an Mcm2-7 double hexamer onto DNA. Without ATP hydrolysis, ORC-Cdc6 recruits one Cdt1-bound Mcm2-7 hexamer, thus forming an ORC-Cdc6-Cdt1-Mcm2-7 (OCCM)... more
To initiate DNA replication, the origin recognition complex (ORC) and Cdc6 load an Mcm2-7 double hexamer onto DNA. Without ATP hydrolysis, ORC-Cdc6 recruits one Cdt1-bound Mcm2-7 hexamer, thus forming an ORC-Cdc6-Cdt1-Mcm2-7 (OCCM) helicase-loading intermediate. Here we report a 3.9-Å structure of Saccharomyces cerevisiae OCCM on DNA. Flexible Mcm2-7 winged-helix domains (WHDs) engage ORC-Cdc6. A three-domain Cdt1 configuration embraces Mcm2, Mcm4, and Mcm6, thus comprising nearly half of the hexamer. The Cdt1 C-terminal domain extends to the Mcm6 WHD, which binds the Orc4 WHD. DNA passes through the ORC-Cdc6 and Mcm2-7 rings. Origin DNA interaction is mediated by an α-helix within Orc4 and positively charged loops within Orc2 and Cdc6. The Mcm2-7 C-tier AAA+ ring is topologically closed by an Mcm5 loop that embraces Mcm2, but the N-tier-ring Mcm2-Mcm5 interface remains open. This structure suggests a loading mechanism of the first Cdt1-bound Mcm2-7 hexamer by ORC-Cdc6.
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The popular practice of selling market volatility through selling straddles exposes traders and investors to substantial risk, especially in equity markets. The returns can be very lucrative, but the probability of large negative returns... more
The popular practice of selling market volatility through selling straddles exposes traders and investors to substantial risk, especially in equity markets. The returns can be very lucrative, but the probability of large negative returns far exceeds the probability of large positive ...
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Many financial institutions hold derivative securities in their portfolios, and frequently these securities need to be hedged for extended periods of time. Failure to hedge properly can expose an institution to sudden swings in the values... more
Many financial institutions hold derivative securities in their portfolios, and frequently these securities need to be hedged for extended periods of time. Failure to hedge properly can expose an institution to sudden swings in the values of derivatives, such as options, resulting from large, ...
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Because volatility of the underlying asset price is a critical factor affecting option prices and hedge ratios, the modeling of volatility and its dynamics is of vital interest to traders, investors, and risk managers. This modeling is a... more
Because volatility of the underlying asset price is a critical factor affecting option prices and hedge ratios, the modeling of volatility and its dynamics is of vital interest to traders, investors, and risk managers. This modeling is a difficult task because the path of volatility during the life of an option is highly unpredictable. There has been a proliferation of volatility specifications since the original, simple constant-volatility assumption of the famous Black and Scholes option pricing model. This article gives an overview of different specifications of asset price volatility that are widely used in option pricing models. ; While the authors cite evidence that some stochastic-volatility option pricing models provide better market prices and hedges than the Black-Scholes model, they acknowledge that for both academic researchers and market practitioners, no consensus exists regarding the best specification of volatility for option pricing. Although a number of alternative...
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Abstract: This paper develops a model of asymmetric information in which an investor has information regarding the future volatility of the price process of an asset but not the future asset price. It is shown that there exists an... more
Abstract: This paper develops a model of asymmetric information in which an investor has information regarding the future volatility of the price process of an asset but not the future asset price. It is shown that there exists an equilibrium in which the investor trades an ...
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This paper develops a closed-form option valuation formula for a spot asset whose vari-ance follows a GARCH(p, q) process that can be correlated with the returns of the spot asset. It provides the first readily computed option formula for... more
This paper develops a closed-form option valuation formula for a spot asset whose vari-ance follows a GARCH(p, q) process that can be correlated with the returns of the spot asset. It provides the first readily computed option formula for a random volatility model that can be ...
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Extending the work of Vasicek [1977], Cox, Ingersoll, and Ross [1985] (henceforth CIR), and Heath, Jarrow, and Morton [1992] (henceforth HJM), researchers have developed many models of the term structure of interest rates that often... more
Extending the work of Vasicek [1977], Cox, Ingersoll, and Ross [1985] (henceforth CIR), and Heath, Jarrow, and Morton [1992] (henceforth HJM), researchers have developed many models of the term structure of interest rates that often involve pricing bonds or interest rate ...
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Many financial institutions hold derivative securities in their portfolios, and frequently these securities need to be hedged for extended periods of time. Failure to hedge properly can expose an institution to sudden swings in the values... more
Many financial institutions hold derivative securities in their portfolios, and frequently these securities need to be hedged for extended periods of time. Failure to hedge properly can expose an institution to sudden swings in the values of derivatives, such as options, resulting from large, ...
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Abstract. This paper develops a model of asymmetric information in which an investor has information regarding the future volatility of the price process of an asset and trades an option on the asset. The model relates the level and... more
Abstract. This paper develops a model of asymmetric information in which an investor has information regarding the future volatility of the price process of an asset and trades an option on the asset. The model relates the level and curvature of the smile in implied volatilities as well ...