Pricing exotic options under a high-order markovian regime switching model

We consider the pricing of exotic options when the price dynamics of the underlying risky asset are governed by a discrete-time Markovian regime-switching process driven by an observable, high-order Markov model (HOMM). We assume that the market interest rate, the drift, and the volatility of the underlying risky asset's return switch over time according to the states of the HOMM, which are interpreted as the states of an economy. We will then employ the well-known tool in actuarial science, namely, the Esscher transform to determine an equivalent martingale measure for option valuation. Moreover, we will also investigate the impact of the high-order effect of the states of the economy on the prices of some path-dependent exotic options, such as Asian options, lookback options, and barrier options.published_or_final_versio

Induction of endothelial cell apoptosis by the antivascular agent 5,6-dimethylxanthenone-4-acetic acid

5,6-Dimethylxanthenone-4-acetic acid, synthesised in this laboratory, reduces tumour blood flow, both in mice and in patients on Phase I trial. We used TUNEL (TdT-mediated dUTP nick end labelling) assays to investigate whether apoptosis induction was involved in its antivascular effect. 5,6-Dimethylxanthenone-4-acetic acid induced dose-dependent apoptosis in vitro in HECPP murine endothelial cells in the absence of up-regulation of mRNA for tumour necrosis factor. Selective apoptosis of endothelial cells was detected in vivo in sections of Colon 38 tumours in mice within 30 min of administration of 5,6-Dimethylxanthenone-4-acetic acid (25 mg kg−1). TUNEL staining intensified with time and after 3 h, necrosis of adjacent tumour tissue was observed. Apoptosis of central vessels in splenic white pulp was also detected in tumour-bearing mice but not in mice without tumours. Apoptosis was not observed in liver tissue. No apoptosis was observed with the inactive analogue 8-methylxanthenone-4-acetic acid. Positive TUNEL staining of tumour vascular endothelium was evident in one patient in a Phase I clinical trial, from a breast tumour biopsy taken 3 and 24 h after infusion of 5,6-Dimethylxanthenone-4-acetic acid (3.1 mg m−2). Tumour necrosis and the production of tumour tumour necrosis factor were not observed. No apoptotic staining was seen in tumour biopsies taken from two other patients (doses of 3.7 and 4.9 mg m−2). We conclude that 5,6-Dimethylxanthenone-4-acetic acid can induce vascular endothelial cell apoptosis in some murine and human tumours. The action is rapid and appears to be independent of tumour necrosis factor induction

Brief report: the utilization of influencing tactics for the implementation of infection control policies.

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Randomised phase II study of ASA404 combined with carboplatin and paclitaxel in previously untreated advanced non-small cell lung cancer

ASA404 (5,6-dimethylxanthenone-4-acetic acid or DMXAA) is a small-molecule tumour-vascular disrupting agent (Tumour-VDA). This randomised phase II study evaluated ASA404 plus standard therapy of carboplatin and paclitaxel in patients with histologically confirmed stage IIIb or IV non-small cell lung cancer (NSCLC) not previously treated with chemotherapy. Patients were randomised to receive ⩽6 cycles of carboplatin area under the plasma concentration–time curve 6 mg ml−1 min and paclitaxel 175 mg m−2 (CP, n=36) or standard therapy plus ASA404 1200 mg m−2 (ASA404-CP, n=37). There was little change in the systemic exposure of either total or free carboplatin or paclitaxel on addition of ASA404. Safety profiles were similar and manageable in both groups, with most adverse effects attributed to standard therapy. Tumour response rate (31 vs 22%), median time to tumour progression (5.4 vs 4.4 months) and median survival (14.0 vs 8.8 months, hazard ratio 0.73, 95% CI 0.39, 1.38) were improved in the ASA404 combination group compared with the standard therapy group. In conclusion, this study establishes the feasibility of combining ASA404 with carboplatin and paclitaxel in patients with previously untreated, advanced NSCLC, demonstrating a manageable safety profile and lack of adverse pharmacokinetic interactions. The results indicate that there may be a benefit associated with ASA404, but this needs to be evaluated in a larger trial

Whether to report diabetes as the underlying cause-of-death? a survey of internists of different sub-specialties

<p>Abstract</p> <p>Background</p> <p>Cause-specific mortality is a commonly used endpoint of clinical trials or prospective studies. However, it is sometimes difficult for physician to determine the underlying-cause-of-death (UCD), especially for diabetic patients coexisted with cardiovascular diseases (CVD). The aim of this survey was to examine whether internists with different specialties have different opinions on the reporting of diabetes as the UCD.</p> <p>Methods</p> <p>A total of 549 physicians completed the questionnaire in Taiwan, which comprised seven hypothetical case scenarios, each indicating a different level of contribution of diabetes in initiating the chain of events leading to death.</p> <p>Results</p> <p>As a whole, endocrinologists were more likely than cardiologists and nephrologists to report diabetes as the UCD. The differences were more prominent when the diabetic patient had a coexisting CVD. In scenario 3 (a diabetic patient with hypertension who died from acute myocardial infarction), the percentage was 56% in endocrinologists, which was significantly higher than in cardiologists (42%) and nephrologists (41%). In scenario 4 (a diabetic patient with hypertension who died from cerebrovascular infarction), the percentage was 45% in endocrinologists, and only 31% in cardiologists and 36% in nephrologists.</p> <p>Conclusions</p> <p>Internists of different sub-specialties do have different opinions on the reporting of diabetes as the UCD, especially when the diabetic patient has a coexisting CVD.</p

Risk-adjusted cesarean section rates for the assessment of physician performance in Taiwan: a population-based study

BACKGROUND: Over the past decade, about one-third of all births nationwide in Taiwan were delivered by cesarean section (CS). Previous studies in the US and Europe have documented the need for risk adjustment for fairer comparisons among providers. In this study, we set out to determine the impact that adjustment for patient-specific risk factors has on CS among different physicians in Taiwan. METHODS: There were 172,511 live births which occurred in either hospitals or obstetrics/gynecology clinics between 1 January and 31 December 2003, and for whom birth certificate data could be linked with National Health Insurance (NHI) claims data, available as the sample for this study. Physicians were divided into four equivalent groups based upon the quartile distribution of their crude (actual) CS rates. Stepwise logistic regressions were conducted to develop a predictive model and to determine the expected (risk-adjusted) CS rate and 95% confidence interval (CI) for each physician. The actual rates were then compared with the expected CS rates to see the proportion of physicians whose actual rates were below, within, or above the predicted CI in each quartile. RESULTS: The proportion of physicians whose CS rates were above the predicted CI increased as the quartile moved to the higher level. However, more than half of the physicians whose actual rates were higher than the predicted CI were not in the highest quartile. Conversely, there were some physicians (40 of 258 physicians) in the highest quartile who were actually providing obstetric care that was appropriate to the risk. When a stricter standard was applied to the assessment of physician performance by excluding physicians in quartile 4 for predicting CS rates, as many as 60% of physicians were found to have higher CS rates than the predicted CI, and indeed, the CS rates of no physicians in either quartile 3 or quartile 4 were below the predicted CI. CONCLUSION: Overall, our study found that the comparison of unadjusted CS rates might not provide a valid reflection of the quality of obstetric care delivered by physicians, and may ultimately lead to biased judgments by purchasers. Our study has also shown that when we changed the standard of quality assessment, the evaluation results also changed