Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)

We consider a generic framework for generating likelihood ratio weighted Monte Carlo simulation paths, where we use one simulation scheme K° (proxy scheme) to generate realizations and then reinterpret them as realizations of another scheme K* (target scheme) by adjusting measure (via likelihood ratio) to match the distribution of K° such that E( f(K*) | F_t ) = E( f(K°) w | F_t ). This is done numerically in every time step, on every path. This makes the approach independent of the product (the function f) and even of the model, it only depends on the numerical scheme. The approach is essentially a numerical version of the likelihood ratio method [Broadie & Glasserman, 1996] and Malliavin's Calculus [Fournie et al., 1999; Malliavin, 1997] reconsidered on the level of the discrete numerical simulation scheme. Since the numerical scheme represents a time discrete stochastic process sampled on a discrete probability space the essence of the method may be motivated without a deeper mathematical understanding of the time continuous theory (e.g. Malliavin's Calculus). The framework is completely generic and may be used for high accuracy drift approximations and the robust calculation of partial derivatives of expectations w.r.t. model parameters (i.e. sensitivities, aka. Greeks) by applying finite differences by reevaluating the expectation with a model with shifted parameters. We present numerical results using a Monte-Carlo simulation of the LIBOR Market Model for benchmarking.Monte-Carlo, Likelihood Ratio, Malliavin Calculus, Sensitivities, Greeks

Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In this note we try to give an answer to this question. The answer depends on who you are and in general it is "There is no such thing as a unique discounting curve (for swaps)." Our approach is somewhat "axiomatic", i.e., we try to make only very few basic assumptions. We shed some light on use of own credit risk in mark-to-market valuations, giving that the mark-to-market value of a portfolio increases when the owner's credibility decreases. We present two different valuations. The first is a mark-to-market valuation which determines the liquidation value of a product. It does, buy construction, exclude any funding cost. The second is a portfolio valuation which determines the replication value of a product including funding costs. We will also consider counterparty risk. If funding costs are presents, i.e., if we value a portfolio by a replication strategy then counterparty risk and funding are tied together: - In addition to the default risk with respect to our exposure we have to consider the loss of a potential funding benefit, i.e., the impact of default on funding. - Buying protection against default has to be funded itself and we account for that. The valuation naturally attributes for wrong-way-risk (i.e., the correlation between counterparty default and counterparty exposure)

Discounting Revisited. Valuations under Funding Costs, Counterparty Risk and Collateralization.

Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In this note we try to give an answer to this question. The answer depends on who you are and in general it is "There is no such thing as a unique discounting curve (for swaps)." Our approach is somewhat "axiomatic", i.e., we try to make only very few basic assumptions. We shed some light on use of own credit risk in mark-to-market valuations, giving that the mark-to-market value of a portfolio increases when the owner's credibility decreases. We present two different valuations. The first is a mark-to-market valuation which determines the liquidation value of a product. It does, buy construction, exclude any funding cost. The second is a portfolio valuation which determines the replication value of a product including funding costs. We will also consider counterparty risk. If funding costs are presents, i.e., if we value a portfolio by a replication strategy then counterparty risk and funding are tied together: - In addition to the default risk with respect to our exposure we have to consider the loss of a potential funding benefit, i.e., the impact of default on funding. - Buying protection against default has to be funded itself and we account for that. The valuation naturally attributes for wrong-way-risk (i.e., the correlation between counterparty default and counterparty exposure)

Blood Levels of Macrophage Migration Inhibitory Factor after Successful Resuscitation from Cardiac Arrest

Introduction: Ischemia-reperfusion injury following cardiopulmonary resuscitation (CPR) is associated with a systemic inflammatory response, resulting in post-resuscitation disease. In the present study we investigated the response of the pleiotropic inflammatory cytokine macrophage migration inhibitory factor (MIF) to CPR in patients admitted to the hospital after out-of-hospital cardiac arrest (OHCA). To describe the magnitude of MIF release, we compared the blood levels from CPR patients with those obtained in healthy volunteers and with an aged- and gender-matched group of patient

Analysis of IL12B Gene Variants in Inflammatory Bowel Disease

IL12B encodes the p40 subunit of IL-12, which is also part of IL-23. Recent genome-wide association studies identified IL12B and IL23R as susceptibility genes for inflammatory bowel disease (IBD). However, the phenotypic effects and potential gene-gene interactions of IL12B variants are largely unknow