This paper shows pricing and hedging efficiency of a three factor stochastic mean reversion Gaussian model of commodity prices using oil and copper futures and forward contracts. The model is estimated using NYMEX WTI (light sweet crude oil) and LME Copper futures prices and is shown to fit the data well. Furthermore, it shows how to hedge based on a three-factor model and confirms that using t...

If f = EW:-, a,,t” is a formal Laurent series with certain restrictions on the a,, then f = f-fof+ , where fcontains only negative powers of t, f+ contains only positive powers of t, and f. is independent of t. Applications include Lagrange’s formula for series reversion, the problem of counting lattice paths below a diagonal, and a theorem of Furstenberg that the diagonal of a rational power s...

In this paper we describe a reversion assay specific for the detection of -2 frameshift mutations occurring within short stretches of alternating GC sequences. We have compared a series of chemical carcinogens that all bind covalently to the C8 position of guanine residues for their potency in inducing revertants in this assay. Large variations in potency are found within the list of compounds ...

We previously constructed a series of simian immunodeficiency virus (SIV) mutants containing deletions within a 97-nucleotide region of the SIVmac239 untranslated region or leader sequence. However, as is common with live attenuated viruses, several of the mutants exhibited a moderate propensity for reversion. Since the M184V mutation in human immunodeficiency virus type 1 reverse transcriptase...

We give an algorithm for reversion of formal power series, based on an efficient way to evaluate the Lagrange inversion formula. Our algorithm requires O(n1/2(M(n)+MM(n1/2))) operations where M(n) and MM(n) are the costs of polynomial and matrix multiplication respectively. This matches an algorithm of Brent and Kung, but we achieve a constant factor speedup whose magnitude depends on the polyn...

Escape mutant (EM) virus that evades CD8+ T cell recognition is frequently observed following infection with HIV-1 or SIV. This EM virus is often less replicatively "fit" compared to wild-type (WT) virus, as demonstrated by reversion to WT upon transmission of HIV to a naïve host and the association of EM virus with lower viral load in vivo in HIV-1 infection. The rate and timing of reversion i...