Integrated Structural Approach to Credit Value Adjustment

This paper proposes an integrated pricing framework for Credit Value Adjustment of equity and commodity products. The given framework, in fact, generates dependence endogenously, allows for calibration and pricing to be based on the same numerical schemes (up to Monte Carlo simulation), and also allows the inclusion of risk mitigation clauses such as netting, collateral and initial margin provisions. The model is based on a structural approach which uses correlated Levy processes with idiosyncratic and systematic components; the pricing numerical scheme, instead, efficiently combines Monte Carlo simulation and Fourier transform based methods. We illustrate the tractability of the proposed framework and the performance of the proposed numerical scheme by means of a case study on a portfolio of commodity swaps using real market data

Eliciting Implicit Awareness in Alzheimer’s Disease and Mild Cognitive Impairment: A Task-Based Functional MRI Study

Background: Recent models of anosognosia in dementia have suggested the existence of an implicit component of self-awareness about one’s cognitive impairment that may remain preserved and continue to regulate behavioral, affective, and cognitive responses even in people who do not show an explicit awareness of their difficulties. Behavioral studies have used different strategies to demonstrate implicit awareness in patients with anosognosia, but no neuroimaging studies have yet investigated its neural bases. Methods: Patients with amnestic mild cognitive impairment and dementia due to Alzheimer’s disease underwent functional magnetic resonance imaging (fMRI) during the execution of a color-naming task in which they were presented with neutral, negative, and dementia-related words (Dementia-Related Emotional Stroop). Results: Twenty-one patients were recruited: 12 were classified as aware and 9 as unaware according to anosognosia scales (based on clinical judgment and patient-caregiver discrepancy). Behavioral results showed that aware patients took the longest time to process dementia-related words, although differences between word types were not significant, limiting interpretation of behavioral results. Imaging results showed that patients with preserved explicit awareness had a small positive differential activation of the posterior cingulate cortex (PCC) for the dementia-related words condition compared to the negative words, suggesting attribution of emotional valence to both conditions. PCC differential activation was instead negative in unaware patients, i.e., lower for dementia-related words relative to negative-words. In addition, the more negative the differential activation, the lower was the Stroop effect measuring implicit awareness. Conclusion: Posterior cingulate cortex preserved response to dementia-related stimuli may be a marker of preserved implicit self-awareness

Temporal Lobe Spikes Affect Distant Intrinsic Connectivity Networks

Objective: To evaluate local and distant blood oxygen level dependent (BOLD) signal changes related to interictal epileptiform discharges (IED) in drug-resistant temporal lobe epilepsy (TLE). Methods: Thirty-three TLE patients undergoing EEG–functional Magnetic Resonance Imaging (fMRI) as part of the presurgical workup were consecutively enrolled. First, a single-subject spike-related analysis was performed: (a) to verify the BOLD concordance with the presumed Epileptogenic Zone (EZ); and (b) to investigate the Intrinsic Connectivity Networks (ICN) involvement. Then, a group analysis was performed to search for common BOLD changes in TLE. Results: Interictal epileptiform discharges were recorded in 25 patients and in 19 (58%), a BOLD response was obtained at the single-subject level. In 42% of the cases, BOLD changes were observed in the temporal lobe, although only one patient had a pure concordant finding, with a single fMRI cluster overlapping (and limited to) the EZ identified by anatomo-electro-clinical correlations. In the remaining 58% of the cases, BOLD responses were localized outside the temporal lobe and the presumed EZ. In every patient, with a spike-related fMRI map, at least one ICN appeared to be involved. Four main ICNs were preferentially involved, namely, motor, visual, auditory/motor speech, and the default mode network. At the single-subject level, EEG–fMRI proved to have high specificity (above 65%) in detecting engagement of an ICN and the corresponding ictal/postictal symptom, and good positive predictive value (above 67%) in all networks except the visual one. Finally, in the group analysis of BOLD changes related to IED revealed common activations at the right precentral gyrus, supplementary motor area, and middle cingulate gyrus. Significance: Interictal temporal spikes affect several distant extra-temporal areas, and specifically the motor/premotor cortex. EEG–fMRI in patients with TLE eligible for surgery is recommended not for strictly localizing purposes rather it might be useful to investigate ICNs alterations at the single-subject level

Convertible bond valuation in a jump diffusion setting with stochastic interest rates

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie et al. [Econometrica, 2000, 68, 1343–1376] with tractable behaviour. We define the firm’s optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates

The valuation of guaranteed lifelong withdrawal benefit options in variable annuity contracts and the impact of mortality risk

n light of the growing importance of the variable annuities market, in this paper we introduce a theoretical model for the pricing and valuation of guaranteed lifelong withdrawal benefit (GLWB) options embedded in variable annuity products. As the name suggests, this option offers a lifelong withdrawal guarantee; therefore, there is no limit on the total amount that is withdrawn over the term of the policy because if the account value becomes zero while the insured is still alive, he or she continues to receive the guaranteed amount annually until death. Any remaining account value at the time of death is paid to the beneficiary as a death benefit. We offer a specific framework to value the GLWB option in a market-consistent manner under the hypothesis of a static withdrawal strategy, according to which the withdrawal amount is always equal to the guaranteed amount. The valuation approach is based on the decomposition of the product into living and death benefits. The model makes use of the standard no-arbitrage models of mathematical finance, which extend the Black-Scholes framework to insurance contracts, assuming the fund follows a geometric Brownian motion and the insurance fee is paid, on an ongoing basis, as a proportion of the assets. We develop a sensitivity analysis, which shows how the value of the product varies with the key parameters, including the age of the policyholder at the inception of the contract, the guaranteed rate, the risk-free rate, and the fund volatility. We calculate the fair fee, using Monte Carlo simulations under different scenarios. We give special attention to the impact of mortality risk on the value of the option, using a flexible model of mortality dynamics, which allows for the possible perturbations by mortality shock of the standard mortality tables used by practitioners. Moreover, we evaluate the introduction of roll-up and step-up options and the effect of the decision to delay withdrawing. Empirical analyses are performed, and numerical results are provided

Canine placenta histological findings and microvascular density: The histological basis of a negative neonatal outcome?

Placenta is essential for the development of the fetus, and its impaired function can lead to a negative outcome (i.e., neonatal mortality). In dogs, investigations on placenta histology and neonatal outcome in healthy bitches are lacking, and a contribution is provided in this study to emphasize the use of placenta histology in practice. Fifty-one placentas from 11 litters were collected during cesarean section, classified according to the litter size (large (L) or small (S)) and the outcome, this latter as healthy (Group 1) or dead within 7 days (Group 2). The placenta/puppy weight ratio (PPR) was calculated, and specimens were formalin-fixed and paraffin-wax embedded, and on the resulting histological slides, capillary density (CD) was quantified. Among necrosis, calcification, and intravascular leucocytes, only the presence of multifocal-confluent necrosis (significantly more frequent in Group 2) was associated with a higher risk of death within 7 days (odds ratio = 30.7). Mixed logistic regression ruled out the effect on death both of a bitch and cesarean type (programmed vs. emergency). PPR and CD values were associated with litter size; large litters had lower PPR (p < 0.01) and higher CD (p < 0.05) than small litters. The relationship between PPR and CD was negative and significant (p < 0.01). Necrosis was a frequent finding in canine placentas, but only when multifocal-confluent was it associated with a poor outcome. The litter size influenced PPR (lower in L) and CD (higher in L), and this is likely due to the plasticity of placenta adaptation

Can Disruption of Basal Ganglia-Thalamocortical Circuit in Wilson Disease Be Associated with Juvenile Myoclonic Epilepsy Phenotype?

In this paper, we describe the multimodal MRI findings in a patient with Wilson disease and a seizure disorder, characterized by an electroclinical picture resembling juvenile myoclonic epilepsy. The brain structural MRI showed a deposition of ferromagnetic materials in the basal ganglia, with marked hypointensities in T2-weighted images of globus pallidus internus bilaterally. A resting-state fMRI study revealed increased functional connectivity in the patient, compared to control subjects, in the following networks: (1) between the primary motor cortex and several cortical regions, including the secondary somatosensory cortex and (2) between the globus pallidus and the thalamo-frontal network. These findings suggest that globus pallidus alterations, due to metal accumulation, can lead to a reduction in the normal globus pallidus inhibitory tone on the thalamo-(motor)-cortical pathway. This, in turn, can result in hyperconnectivity in the motor cortex circuitry, leading to myoclonus and tonic-clonic seizures. We suppose that, in this patient, Wilson disease generated a ‘lesion model’ of myoclonic epilepsy

Eight weddings and six funerals: An fMRI study on autobiographical memories

\u201cAutobiographical memory\u201d (AM) refers to remote memories from one's own life. Previous neuroimaging studies have highlighted that voluntary retrieval processes from AM involve different forms of memory and cognitive functions. Thus, a complex and widespread brain functional network has been found to support AM. The present functional magnetic resonance imaging (fMRI) study used a multivariate approach to determine whether neural activity within the AM circuit would recognize memories of real autobiographical events, and to evaluate individual differences in the recruitment of this network. Fourteen right-handed females took part in the study. During scanning, subjects were presented with sentences representing a detail of a highly emotional real event (positive or negative) and were asked to indicate whether the sentence described something that had or had not really happened to them. Group analysis showed a set of cortical areas able to discriminate the truthfulness of the recalled events: medial prefrontal cortex, posterior cingulate/retrosplenial cortex, precuneus, bilateral angular, superior frontal gyri, and early visual cortical areas. Single-subject results showed that the decoding occurred at different time points. No differences were found between recalling a positive or a negative event. Our results show that the entire AM network is engaged in monitoring the veracity of AMs. This process is not affected by the emotional valence of the experience but rather by individual differences in cognitive strategies used to retrieve AMs

Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy

In this paper we propose a new method for approximating the price of arithmetic Asian options in a Variance-Gamma (VG) economy, which is then applied to the problem of pricing equityindexed annuity contracts. The proposed procedure is an extension to the case of a VG-based model of the moment-matching method developed by Turnbull and Wakeman and Levy for the pricing of this class of path-dependent options in the traditional Black-Scholes setting. The accuracy of the approximation is analyzed against RQMC estimates for the case of ratchet equityindexed annuities with index averaging