Calibration of the Hobson&Rogers model: empirical tests

The path-dependent volatility model by Hobson and Rogers is considered. It is known that this model can potentially reproduce the observed smile and skew patterns of different directions, while preserving the completeness of the market. In order to quantitatively investigate the pricing performance of the model a calibration procedure is here derived. Numerical results based on S&P500 option prices give evidence of the effectiveness of the model.

Black-Scholes formulae for Asian options in local volatility models

We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat kernel expansion method in the framework of hypoelliptic, not uniformly parabolic, partial differential equations.Asian Options, Degenerate Diffusion Processes, Transition Density Functions, Analytic Approximations, Option Pricing

Black-Scholes formulae for Asian options in local volatility models

We develop approximate formulae expressed in terms of elementary functions for the density, the price and the Greeks of path dependent options of Asian style, in a general local volatility model. An algorithm for computing higher order approximations is provided. The proof is based on a heat kernel expansion method in the framework of hypoelliptic, not uniformly parabolic, partial differential equations

Estimating regressions and seemingly unrelated regressions with error component disturbances

The estimation of regressions models with two-way error component disurbances, is considered for the case where both the random effects are non-spherically distributed. The usual approach that first transforms the effects into uncorrelated ones and then applies within and between transformations, cannot be conveniently applied. Here, it is proposed to revert this scheme by firstly applying the within and between transformations. This results in simple General Linear Model which can be partitioned into three smaller GLMs. Then, by exploiting the structure of the models and using the Generalized QR decomposition as a tool, a computationally efficient and numerically reliable method for estimating the regression parameters is derived. This estimation method is generalized to the case of a system of seemingly unrelated regressions

Algorithms for Computing the QR Decomposition of a Set of Matrices with Common Columns

The QR decomposition of a set of matrices which have common columns is investigated. The triangular factors of the QR decompositions are represented as nodes of a weighted directed graph. An edge between two nodes exists if and only if the columns of one of the matrices is a subset of the columns of the other. The weight of an edge denotes the computational complexity of deriving the triangular factor of the destination node from that of the source node. The problem is equivalent to constructing the graph and finding the minimum cost for visiting all the nodes. An algorithm which computes the QR decompositions by deriving the minimum spanning tree of the graph is proposed. Theoretical measures of complexity are derived and numerical results from the implementation of this and alternative heuristic algorithms are give

Rectal screening of carbapenemase-producing Enterobacteriaceae: a proposed workflow

Abstract Objectives Active screening is a crucial element for the prevention of carbapenemase-producing Enterobacteriaceae (CPE) transmission in healthcare settings. Here, we proposed a culture-based protocol for rectal swab CPE screening that combines the detection of CPE and the identification of carbapenamase type. Methods The workflow integrates an automatic digital analysis of selective chromogenic media (WASPLab, Copan), with subsequent rapid tests for the confirmation of carbapenemase production (i.e. detection of Klebsiella pneumoniae KPC-specific peak by MALDI-TOF mass spectrometry; a multiplex immunochromatographic assay identifying the five commonest carbapenemase types). To in-depth evaluate the performance of this protocol, data about 21 162 rectal swabs submitted for CPE screening at the Microbiology of S. Orsola-Malpighi Hospital in Bologna were analyzed. Results Considering its ability to correctly segregate plates with/without Enterobacteriaceae, WASPLab Image Analysis Software showed globally a sensitivity and a specificity of 100% and 79.4%, respectively. Out of the plates with a bacterial growth (n = 901), 76.9% were found positive for CPE by MALDI-TOF (specific KPC-peak for K. pneumoniae) or by the immunochromatographic assay. Only 2.8% of KPC-positive K. pneumoniae strains were missed by the specific MALDI-TOF MS algorithm, being detected by the immunochromatographic assay. The mean turn-around-time needed from the sample arrival to the final report ranged between 18 to 24 hours, with a significant time saving compared to a manual reading. Conclusions This workflow proved to be fast and reliable, being particularly suitable for KPC-K. pneumoniae endemic areas and for high-throughput laboratories