Elements for a Theory of Financial Risks

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on Gaussian statistics), and their practical implementation. Here we describe three interrelated aspects of this program: we first give a brief survey of the peculiar statistical properties of the empirical price fluctuations. We then review how an option pricing theory consistent with these statistical features can be constructed, and compared with real market prices for options. We finally argue that a true `microscopic' theory of price fluctuations (rather than a statistical model) would be most valuable for risk assessment. A simple Langevin-like equation is proposed, as a possible step in this direction.Comment: 22 pages, to appear in `Order, Chance and Risk', Les Houches (March 1998), to be published by Springer/EDP Science

Hemodynamic monitoring by intracardiac impedance measured by cardiac resynchronization defibrillators:Evaluation in a controlled clinical setting (BIO.Detect HF II study)

Background: In patients with cardiac resynchronization therapy defibrillators (CRT-Ds), intracardiac impedance measured by dedicated CRT-D software may be used to monitor hemodynamic changes. We investigated the relationship of hemodynamic parameters assessed by intracardiac impedance and by echocardiography in a controlled clinical setting. Methods: The study enrolled 68 patients (mean age, 66 ± 9 years; 74% males) at 12 investigational sites. The patients had an indication for CRT-D implantation, New York Heart Association class II/III symptoms, left ventricular ejection fraction 15%–35%, and a QRS duration ≥150 ms. Two months after a CRT-D implantation, hemodynamic changes were provoked by overdrive pacing. Intracardiac impedance was recorded at rest and at four pacing rates ranging from 10 to 40 beats/min above the resting rate. In parallel, echocardiography measurements were performed. We hypothesized that a mean intra-individual correlation coefficient (rmean) between stroke impedance (difference between end-systolic and end-diastolic intracardiac impedance) measured by CRT-D and the aortic velocity time integral (i.e., stroke volume) determined by echocardiography would be significantly larger than 0.65. Results: The hypothesis was evaluated in 40 patients with complete data sets. The rmean was 0.797, with a lower confidence interval bound of 0.709. The study hypothesis was met (p = 0.007). A stepwise reduction of stroke impedance and stroke volume was observed with increasing heart rate. Conclusions: Intracardiac impedance measured by implanted CRT-Ds correlated well with the aortic velocity time integral (stroke volume) determined by echocardiography. The impedance measurements bear potential and are readily available technically, not requiring implantation of additional material beyond standard CRT-D system