Valorisation d'options par optimisation du Sharpe Ratio

Les travaux précédents sur la valorisation des options entraient en gros dans deux catégories : ou bien ils étaient basés sur de fortes hypothèses distributionnelles ou économiques, ou bien ils essayaient d'imiter la formule de Black-Scholes par des modèles statistiques entraînés à approximer les prix de marché quotidiens à l'aide d'information disponible le jour même. Le travail présenté ici se rapproche plus de la deuxième catégorie mais son objectif est différent : prédire les prix futurs d'une option, et établir sa valeur courante à l'aide d'un scénario de transactions. Ce travail innove donc de deux façons : premièrement, il propose une méthode empirique et sans hypothèse pour comparer différents systèmes de valorisation d'options (en transigeant contre lui-même ou contre le marché) et deuxièmement, il utilise ce critère pour entraîner un modèle statistique non-paramétrique (utilisant dans ce cas-ci des réseaux de neurones) pour estimer un prix pour l'option qui maximise l'utilité espérée lorsque l'on transige contre le marché. À noter que les prix dépendront de la fonction d'utilité ainsi que du portefeuille (i.e. des risques courants) de la personne qui transige. Des résultats préliminaires sur des options d'achat du S&P 500 sont présentés.Prior work on option pricing falls mostly in two categories: it either relies on strong distributional or economical assumptions, or it tries to mimic the Black-Scholes formula through statistical models, trained to fit today's market price based on information available today. The work presented here is closer to the second category but its objective is different: predict the future value of the option, and establish its current value based on a trading scenario. This work thus innovates in two ways: first it proposes an empirical and hypothesis-free method to compare different option pricing systems (by having trade against each other or against the market), second it uses this criterion to train a non-parametric statistical model (here based on neural networks) to estimate a price for the option that maximizes the expected utility when trading against the market. Note that the price will depend on the utility function and current portfolio (i.e. current risks) of the trading agent. Preliminary experiments are presented on the S&P 500 options

Valorisation d'options par optimisation du Sharpe Ratio

Prior work on option pricing falls mostly in two categories: it either relies on strong distributional or economical assumptions, or it tries to mimic the Black-Scholes formula through statistical models, trained to fit today's market price based on information available today. The work presented here is closer to the second category but its objective is different: predict the future value of the option, and establish its current value based on a trading scenario. This work thus innovates in two ways: first it proposes an empirical and hypothesis-free method to compare different option pricing systems (by having trade against each other or against the market), second it uses this criterion to train a non-parametric statistical model (here based on neural networks) to estimate a price for the option that maximizes the expected utility when trading against the market. Note that the price will depend on the utility function and current portfolio (i.e. current risks) of the trading agent. Preliminary experiments are presented on the S&P 500 options. Les travaux précédents sur la valorisation des options entraient en gros dans deux catégories : ou bien ils étaient basés sur de fortes hypothèses distributionnelles ou économiques, ou bien ils essayaient d'imiter la formule de Black-Scholes par des modèles statistiques entraînés à approximer les prix de marché quotidiens à l'aide d'information disponible le jour même. Le travail présenté ici se rapproche plus de la deuxième catégorie mais son objectif est différent : prédire les prix futurs d'une option, et établir sa valeur courante à l'aide d'un scénario de transactions. Ce travail innove donc de deux façons : premièrement, il propose une méthode empirique et sans hypothèse pour comparer différents systèmes de valorisation d'options (en transigeant contre lui-même ou contre le marché) et deuxièmement, il utilise ce critère pour entraîner un modèle statistique non-paramétrique (utilisant dans ce cas-ci des réseaux de neurones) pour estimer un prix pour l'option qui maximise l'utilité espérée lorsque l'on transige contre le marché. À noter que les prix dépendront de la fonction d'utilité ainsi que du portefeuille (i.e. des risques courants) de la personne qui transige. Des résultats préliminaires sur des options d'achat du S&P 500 sont présentés.Black-Scholes, option pricing, non-parametric statistical model, Black-Scholes, valorisation d'options, modèle statistique non-paramétrique

Approaches to manage 'affordability' of high budget impact medicines in key EU countries

Background: The launch of hepatitis C (HCV) drugs such as sofosbuvir or ledipasvir has fostered the question of affordability of novel high budget impact therapies even in countries with high domestic product. European countries have developed a variety of mechanisms to improve affordability of such therapies, including 'affordability thresholds', price volume agreements or caps on individual product sales, and special budgets for innovative drugs. While some of these mechanisms may help limit budget impact, there are still significant progresses to be made in the definition and implementation of approaches to ensure affordability, especially in health systems where the growth potential in drug spending and/or in the patient contribution to health insurance are limited. Objectives: In this article, we will review how seven countries in western Europe are approaching the question of affordability of novel therapies and are developing approaches to continue to reward new sciences while limiting budget impact. We will also discuss the question of affordability of cost-effective but hugely expensive therapies and the implications for payers and for the pharmaceutical industry. Results: There is clearly not one solution that is used consistently across countries but rather a number of 'tools' that are combined differently in each country. This illustrates the difficulty of managing affordability within different legal frameworks and within different health care system architectures.</p

Digital Heterodyne Holography Reveals the Non-Quasi-Static Scattering Behaviour of Transversally Coupled Nanodisk Pairs

We reconstruct the full three-dimensional scattering pattern of longitudinal and transverse modes in pairs of coupled gold nanodisks using digital heterodyne holography. Near-field simulations prove that, in our experimental conditions, the induced dipoles in the longitudinal mode are in phase while they are nearly in opposite phase for the transverse mode. The scattering efficiency of the two modes is of the same order of magnitude, which goes against the common belief that antisymmetric transverse modes are “dark.” The analysis of the reconstructed hologram in the Fourier plane allows us to estimate the angular scattering pattern for both excited modes. In particular, the antisymmetric transverse mode scatters light mostly into one half-plane, demonstrating that the quasi-static approximation breaks down in nanodisk pairs even for an interparticle distance lower than λ/4

Technological developments as an answer to bridge management challenges

IABSE Symposium 2019, Towards a Resilient Built Environment - Risk and Asset Management, GUIMARAES, PORTUGAL, 27-/03/2019 - 29/03/2019Bridge management is a challenge as owners have to deal with limited financial resources to maintain the functionalities and safety of ageing structures. Demands on transportation networks change, due to regulatory developments, society&apos;s evolution and shifts with high expectations on the operational performance of roadway bridges with reduced congestion, delay, and accidents. To minimize intrusion in the transport flow, inspection and monitoring methods should be non?destructive, minimally invasive. They should be capable of yielding rapid and accurate inspection results allowing an adequate response from the asset manager. Research aims at including autonomously operating equipment (e.g. robotics), non?intrusive (remote or proximity) observation techniques, or other methods that ensure quality and performance control of the roadway bridges in time, more safely, more quickly and/or to a higher degree of accuracy and precision.The innovation subgroup in COST action TU1406 investigates novel condition monitoring and sensing technologies for the assessment of structural serviceability and safety. Advanced, integrated, cost-effective and reliable instrumentation solutions, techniques and concepts are looked at with the aim to provide data, that will be used to compute innovative performance indicators. In this context, this paper briefly reminds some significant challenges associated with bridge management and presents three examples of innovation in bridge monitoring and NDT investigation techniques

Relative risk rather than absolute risk reduction should be preferred to sensitise the public to preventive actions

International audienceNo abstract availabl

Geostatistical modeling of ice content within the "Glacier Bonnard" (Switzerland)

The Bonnard glaciated mass (Valais region, Switzerland) overhangs the village of Zinal and its slow downward constant creep constitutes an environmental hazard. Ice content data have been acquired to better assess globally and locally the ice amount within the area, in order to evaluate the glacier’s global dynamic and future evolution. Two ice content modeling approaches are tested: (i) a direct modeling using 3D simulations and (ii) to account for the relationship between the presence of ice and the lithology, a nested approach which consists in (1) simulating lithology with the plurigaussian method and then (2) populating each facies with ice content values. Both approaches are compared in terms of ice content prediction and of global ice mass

An update on the latest chemical therapies for reflux esophagitis in children

IF 3.475 (2017)International audienceGastroesophageal reflux (GER), and its complicated form gastroesophageal reflux disease (GERD) is a common condition in infants and children. As GERD is often considered to cause extra-oesophageal symptoms in children and in the absence of standardized diagnostic and treatment algorithm, many children are inappropriately exposed to empirical anti-reflux treatments, with Acid-Suppressive Medications (ASM); mostly proton pump inhibitors (PPIs). Areas covered: The authors summarize the pharmacological management of pediatric GERD and discuss the efficacy of PPIs as randomized controlled trials have failed to demonstrate their clinical efficacy in the pediatric population. They consider the controversies surrounding the use of PPIs in the pediatric population as increasing evidence suggests of, although controversially, an increased risk of adverse events such as infection of the respiratory or gastrointestinal tract. Esophagitis is a complication that has a significant impact on weight gain and growth, as well as on the quality of life, and in such case, the benefit of treatment largely outweighs the risk. Expert opinion: Clinicians should reserve ASM use for infants and children with proven esophagitis and avoid their routine use in patients with merely symptoms of GER. Treatment need and options must be frequently re-evaluated to reduce the risks associated with ongoing therapy