Pricing Discretely Monitored Asian Options by Maturity Randomization

We present methodologies to price discretely monitored Asian options when the underlying evolves according to a generic Levy process. For geometric Asian options we provide closed-form solutions in terms of the Fourier transform and we study in particular these formulas in the Levy-stable case. For arithmetic Asian options we solve the valuation problem by recursive integration and derive a recursive theoretical formula for the moments to check the accuracy of the results. We compare the implementation of our method to Monte Carlo simulation implemented with control variates and using different parametric Levy processes. We also discuss model-risk issues

The launch of the ESPEN Special Interest Group in Paediatric Clinical Nutrition

Background & aims: At the 37th annual ESPEN congress in Lisbon, a new Special Interest Group (SIG) in Paediatric Clinical Nutrition was formed. As a first activity of this group, a survey was sent out to all ESPEN members to collect opinions about the objectives of this SIG, explore the interest of ESPEN members in paediatric related nutrition research and clinical practice and to offer to the opportunity for a wider future participation. Methods: A web-based questionnaire survey was distributed to all members of ESPEN via the regular society's newsletter. Results: In total, 123/2828 (4.3%) ESPEN members from 50 countries completed the survey. Fifty-nine of the responders were working in paediatric clinical practice and/or research, 42 in adult medicine, and 20 in both. Fifty-seven (51%) respondents agreed that there is inadequate representation of paediatric nutrition in the current ESPEN activities and 90% of all would like to see more paediatric topics at the ESPEN annual congresses. The development of paediatric clinical practice guidelines should be the scope of this SIG, as indicated by 85 (69%) respondents. Seventy-six (69%) believed that the creation of a Paediatric Clinical Nutrition SIG is likely to impact positively on the society's membership. Conclusions: There is an unmet need for more paediatric related topics and representation with the activities of the ESPEN group. The SIG in Paediatrics aspires to foster multicentre research, development of guidelines and provide a hub for interaction and knowledge exchange

Current clinical trials in paediatrics: report of the ESPEN special interest group in paediatrics

Background & aims: At the 38th annual ESPEN congress in The Hague, the Netherlands, the Special Interest Group (SIG) in Paediatrics presented data about current research activities in the field of paediatric nutrition which are performed worldwide and translated this to future research perspectives. Methods: Extensive search of all registered observational and interventional clinical trials in the database ClinicalTrials.gov using the search terms: children nutrition, paediatrics nutrition and children feeding. Results: A total of 717 studies were found; 173 were duplicates and 114 included adult participants and were therefore excluded. Hence, 430 remained for analysis, of which 69% were randomized controlled trials. The most investigated research topic was nutrition in specific diseases (n = 98), followed by obesity (n = 92), and studies including premature infants (n = 48). The overall median estimated enrolment of children in the trials was 150 children [IQR 50–365]. There were 44 studies in which >1000 participants will be enrolled and six studies with >10,000 participants. Studies including >1000 participants were primarily performed in North America (39%), Africa (27%), and Europe (16%). Conclusions: This SIG report showed that 430 clinical nutrition trials in paediatrics are registered and current research focusses primarily on specific diseases and obesity. The SIG paediatrics encourages future research to invest in well-controlled interventional trials

Lookback option pricing using the Fourier transform B-spline method

We derive a new, efficient closed-form formula approximating the price of discrete lookback options, whose underlying asset price is driven by an exponential semimartingale process, which includes (jump) diffusions, Lévy models, affine processes and other models. The derivation of our pricing formula is based on inverting the Fourier transform using B-spline approximation theory. We give an error bound for our formula and establish its fast rate of convergence to the true price. Our method provides lookback option prices across the quantum of strike prices with greater efficiency than for a single strike price under existing methods. We provide an alternative proof to the Spitzer formula for the characteristic function of the maximum of a discretely observed stochastic process, which yields a numerically efficient algorithm based on convolutions. This is an important result which could have a wide range of applications in which the Spitzer formula is utilized. We illustrate the numerical efficiency of our algorithm by applying it in pricing fixed and floating discrete lookback options under Brownian motion, jump diffusion models, and the variance gamma process