A Common Market Measure for Libor and Pricing Caps, Floors and Swaps in a Field Theory of Forward Interest Rates

The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described using a field theory model, and a common measure is seen to be emerge naturally for such models. To elaborate how the martingale for the Libor belongs to the general class of numeraire for the forward interest rates, two other numeraire's are considered, namely the money market measure that makes the evolution of the zero coupon bonds a martingale, and the forward measure for which the forward bond price is a martingale. The price of an interest rate cap is computed for all three numeraires, and is shown to be numeraire invariant. Put-call parity is discussed in some detail and shown to emerge due to some non-trivial properties of the numeraires. Some properties of swaps, and their relation to caps and floors, are briefly discussed.Comment: 28 pages, 4 figure

Analysis of XBRL literature : a decade of progress and puzzle

XBRL (eXtensible Business Reporting language) was recently, in 2008, in its 10th year. The concept was articulated in 1998 by Charles Hoffman, known as XFRML (eXtensible Financial Reporting Mark Up Language) to facilitate the business reporting process and improve financial reporting. The objective of this paper is to examine a decade (1998-2008) of XBRL articles published in various publications including trade, practitioner and academic journals to identify trends and patterns, milestones, and organizations actively contributed to this development. Another goal is to assess public perceptions of XBRL, its capabilities and its future. We examined published articles where XBRL appeared either in the title or abstract of the article during 1998-2008. Considering that XBRL reporting is being required only in recent years, the research shows various interest groups worked together for a long time to achieve a common goal. The academic community has also been proactive in contributing to and assessing this new reporting standard. There is a trail of research articles to document this contribution. This paper provides various charts and interesting statistics

Reduced efficacy of praziquantel against Schistosoma mansoni associated with multiple-rounds of mass drug administration

The efficacy of praziquantel against Schistosoma mansoni was significantly lower in Ugandan schools that had received more prior rounds of mass drug administration, as determined by fitting a statistical model to parasite egg counts before and after treatment

Phenotypic and genotypic monitoring of Schistosoma mansoni in Tanzanian schoolchildren five years into a preventative chemotherapy national control programme

We conducted combined in vitro PZQ efficacy testing with population genetic analyses of S. mansoni collected from children from two schools in 2010, five years after the introduction of a National Control Programme. Children at one school had received four annual PZQ treatments and the other school had received two mass treatments in total. We compared genetic differentiation, indices of genetic diversity, and estimated adult worm burden from parasites collected in 2010 with samples collected in 2005 (before the control programme began) and in 2006 (six months after the first PZQ treatment). Using 2010 larval samples, we also compared the genetic similarity of those with high and low in vitro sensitivity to PZQ

ABO Blood Groups Do Not Predict Schistosoma mansoni Infection Profiles in Highly Endemic Villages of Uganda

Schistosoma mansoni is a parasite which causes significant public-health issues, with over 240 mil-lion people infected globally. In Uganda alone, approximately 11.6 million people are affected. Despite over a decade of mass drug administration in this country, hyper-endemic hotspots persist, and individuals who are repeatedly heavily and rapidly reinfected are observed. Human blood-type antigens are known to play a role in the risk of infection for a variety of diseases, due to cross-reactivity between host antibodies and pathogenic antigens. There have been conflicting results on the effect of blood type on schistosomiasis infection and pathology. Moreover, the ef-fect of blood type as a potential intrinsic host factor on S. mansoni prevalence, intensity, clearance, and reinfection dynamics and on co-infection risk remains unknown. Therefore, the epidemio-logical link between host blood type and S. mansoni infection dynamics was assessed in three hyper-endemic communities in Uganda. Longitudinal data incorporating repeated pretreatment S. mansoni infection intensities and clearance rates were used to analyse associations between blood groups in school-aged children. Soil-transmitted helminth coinfection status and biometric parameters were incorporated in a generalised linear mixed regression model including age, gender, and body mass index (BMI), which have previously been established as significant factors influencing the prevalence and intensity of schistosomiasis. The analysis revealed no associations between blood type and S. mansoni prevalence, infection intensity, clearance, reinfection, or coinfection. Variations in infection profiles were significantly different between the villages, and egg burden significantly decreased with age. While blood type has proven to be a predictor of several diseases, the data collected in this study indicate that it does not play a significant role in S. mansoni infection burdens in these high-endemicity communities

Modelling the Effects of Mass Drug Administration on the Molecular Epidemiology of Schistosomes

As national governments scale up mass drug administration (MDA) programs aimed to combat neglected tropical diseases (NTDs), novel selection pressures on these parasites increase. To understand how parasite populations are affected by MDA and how to maximize the success of control programmes, it is imperative for epidemiological, molecular and mathematical modelling approaches to be combined. Modelling of parasite population genetic and genomic structure, particularly of the NTDs, has been limited through the availability of only a few molecular markers to date. The landscape of infectious disease research is being dramatically reshaped by next-generation sequencing technologies and our understanding of how repeated selective pressures are shaping parasite populations is radically altering. Genomics can provide high-resolution data on parasite population structure, and identify how loci may contribute to key phenotypes such as virulence and/or drug resistance. We discuss the incorporation of genetic and genomic data, focussing on the recently sequenced Schistosoma spp., into novel mathematical transmission models to inform our understanding of the impact of MDA and other control methods. We summarize what is known to date, the models that exist and how population genetics has given us an understanding of the effects of MDA on the parasites. We consider how genetic and genomic data have the potential to shape future research, highlighting key areas where data are lacking, and how future molecular epidemiology knowledge can aid understanding of transmission dynamics and the effects of MDA, ultimately informing public health policy makers of the best interventions for NTDs

Schistosomiasis Control: Leave No Age Group Behind

Despite accelerating progress towards schistosomiasis control in sub-Saharan Africa, several age groups have been eclipsed by current treatment and monitoring strategies that mainly focus on school-aged children. As schistosomiasis poses a threat to people of all ages, unfortunate gaps exist in current treatment coverage and associated monitoring efforts, preventing subsequent health benefits to preschool-aged children as well as certain adolescents and adults. Expanding access to younger ages through the forthcoming pediatric praziquantel formulation and improving treatment coverage in older ages is essential. This should occur alongside formal inclusion of these groups in large-scale monitoring and evaluation activities. Current omission of these age groups from treatment and monitoring exacerbates health inequities and has long-term consequences for sustainable schistosomiasis control

Modelling the elimination of river blindness using long-term epidemiological and programmatic data from Mali and Senegal

The onchocerciasis transmission models EPIONCHO and ONCHOSIM have been independently developed and used to explore the feasibility of eliminating onchocerciasis from Africa with mass (annual or biannual) distribution of ivermectin within the timeframes proposed by the World Health Organization (WHO) and endorsed by the 2012 London Declaration on Neglected Tropical Diseases (i.e. by 2020/2025). Based on the findings of our previous model comparison, we implemented technical refinements and tested the projections of EPIONCHO and ONCHOSIM against long-term epidemiological data from two West African transmission foci in Mali and Senegal where the observed prevalence of infection was brought to zero circa 2007–2009 after 15–17 years of mass ivermectin treatment. We simulated these interventions using programmatic information on the frequency and coverage of mass treatments and trained the model projections using longitudinal parasitological data from 27 communities, evaluating the projected outcome of elimination (local parasite extinction) or resurgence. We found that EPIONCHO and ONCHOSIM captured adequately the epidemiological trends during mass treatment but that resurgence, while never predicted by ONCHOSIM, was predicted by EPIONCHO in some communities with the highest (inferred) vector biting rates and associated pre-intervention endemicities. Resurgence can be extremely protracted such that low (microfilarial) prevalence between 1% and 5% can be maintained for 3–5 years before manifesting more prominently. We highlight that post-treatment and post-elimination surveillance protocols must be implemented for long enough and with high enough sensitivity to detect possible residual latent infections potentially indicative of resurgence. We also discuss uncertainty and differences between EPIONCHO and ONCHOSIM projections, the potential importance of vector control in high-transmission settings as a complementary intervention strategy, and the short remaining timeline for African countries to be ready to stop treatment safely and begin surveillance in order to meet the impending 2020/2025 elimination targets