A Note on Embedded Lease Options

Buetow and Albert (1998) discuss options embedded in lease contracts. They present a pricing framework, calibrate it using data from the National Real Estate Index and apply it using a numerical method known as the finite difference method with absorbing boundaries. In this note the analysis is extended. Firstly, analytic solutions are presented. Secondly, some of the findings are discussed. Finally, the framework developed by Grenadier is used to compare indexed renewal options for different lease lengths.

Rental Expectations and the Term Structure of Lease Rates

We consider the term structure of lease rates in a general setting where both the interest rate and the short rent are stochastic. Our framework is applicable to any leasing market, but we focus on real estate. We find that the “expectations hypothesis” of lease rates, i.e. that the forward rent is an unbiased estimator of the future short rent, requires similar assumptions as in interest rate theory to hold. To study the magnitude of the bias we parameterize our general framework. The simulations show that different realistic parameter values for risk aversion and interest rate stochastics can generate widely different shapes of the rental term structure, holding the objective rental expectations constant. As a result, an expected increase in rent may very well be consistent with a downward-sloping term structure and vice versa.Term structure of lease rates; Rental expectations; Expectations hypothesis; Lease valuation

A Note on the Pricing of Real Estate Index Linked Swaps

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of the specific model chosen for the index process, the dividend process, and the interest rate term structure. We provide an intuitive economic argument as well as a full mathematical proof of our result. In particular we show that the nonzero result in the previous paper is due to two specific numerical approximations introduced in that paper, and we discuss these approximation errors from a theoretical as well as from a numerical point of view.Real estate; index linked swaps; arbitrage

A note on the pricing of real estate index linked swaps

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is in fact equal to zero. This result is shown to hold regardless of the specific model chosen for the index process, the dividend process, and the interest rate term structure. We provide an intuitive economic argument as well as a full mathematical proof of our result. In particular we show that the nonzero result in the previous paper is due to two specific numerical approximations introduced in that paper, and we discuss these approximation errors from a theoretical as well as from a numerical point of view

Non-Standard Errors

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants

Bi-allelic Loss-of-Function CACNA1B Mutations in Progressive Epilepsy-Dyskinesia.

The occurrence of non-epileptic hyperkinetic movements in the context of developmental epileptic encephalopathies is an increasingly recognized phenomenon. Identification of causative mutations provides an important insight into common pathogenic mechanisms that cause both seizures and abnormal motor control. We report bi-allelic loss-of-function CACNA1B variants in six children from three unrelated families whose affected members present with a complex and progressive neurological syndrome. All affected individuals presented with epileptic encephalopathy, severe neurodevelopmental delay (often with regression), and a hyperkinetic movement disorder. Additional neurological features included postnatal microcephaly and hypotonia. Five children died in childhood or adolescence (mean age of death: 9 years), mainly as a result of secondary respiratory complications. CACNA1B encodes the pore-forming subunit of the pre-synaptic neuronal voltage-gated calcium channel Cav2.2/N-type, crucial for SNARE-mediated neurotransmission, particularly in the early postnatal period. Bi-allelic loss-of-function variants in CACNA1B are predicted to cause disruption of Ca2+ influx, leading to impaired synaptic neurotransmission. The resultant effect on neuronal function is likely to be important in the development of involuntary movements and epilepsy. Overall, our findings provide further evidence for the key role of Cav2.2 in normal human neurodevelopment.MAK is funded by an NIHR Research Professorship and receives funding from the Wellcome Trust, Great Ormond Street Children's Hospital Charity, and Rosetrees Trust. E.M. received funding from the Rosetrees Trust (CD-A53) and Great Ormond Street Hospital Children's Charity. K.G. received funding from Temple Street Foundation. A.M. is funded by Great Ormond Street Hospital, the National Institute for Health Research (NIHR), and Biomedical Research Centre. F.L.R. and D.G. are funded by Cambridge Biomedical Research Centre. K.C. and A.S.J. are funded by NIHR Bioresource for Rare Diseases. The DDD Study presents independent research commissioned by the Health Innovation Challenge Fund (grant number HICF-1009-003), a parallel funding partnership between the Wellcome Trust and the Department of Health, and the Wellcome Trust Sanger Institute (grant number WT098051). We acknowledge support from the UK Department of Health via the NIHR comprehensive Biomedical Research Centre award to Guy's and St. Thomas' National Health Service (NHS) Foundation Trust in partnership with King's College London. This research was also supported by the NIHR Great Ormond Street Hospital Biomedical Research Centre. J.H.C. is in receipt of an NIHR Senior Investigator Award. The research team acknowledges the support of the NIHR through the Comprehensive Clinical Research Network. The views expressed are those of the author(s) and not necessarily those of the NHS, the NIHR, Department of Health, or Wellcome Trust. E.R.M. acknowledges support from NIHR Cambridge Biomedical Research Centre, an NIHR Senior Investigator Award, and the University of Cambridge has received salary support in respect of E.R.M. from the NHS in the East of England through the Clinical Academic Reserve. I.E.S. is supported by the National Health and Medical Research Council of Australia (Program Grant and Practitioner Fellowship)

Retrospective evaluation of whole exome and genome mutation calls in 746 cancer samples

Funder: NCI U24CA211006Abstract: The Cancer Genome Atlas (TCGA) and International Cancer Genome Consortium (ICGC) curated consensus somatic mutation calls using whole exome sequencing (WES) and whole genome sequencing (WGS), respectively. Here, as part of the ICGC/TCGA Pan-Cancer Analysis of Whole Genomes (PCAWG) Consortium, which aggregated whole genome sequencing data from 2,658 cancers across 38 tumour types, we compare WES and WGS side-by-side from 746 TCGA samples, finding that ~80% of mutations overlap in covered exonic regions. We estimate that low variant allele fraction (VAF < 15%) and clonal heterogeneity contribute up to 68% of private WGS mutations and 71% of private WES mutations. We observe that ~30% of private WGS mutations trace to mutations identified by a single variant caller in WES consensus efforts. WGS captures both ~50% more variation in exonic regions and un-observed mutations in loci with variable GC-content. Together, our analysis highlights technological divergences between two reproducible somatic variant detection efforts

Suicide in schizophrenia and adverse events during antipsychotic medication

This thesis considers side effects and other adverse events during treatment with antipsychotic medication. All included studies use an epidemiological methodology with data from Swedish population-based health registers. The first two studies utilise a nested case-control design, whereas the third and fourth studies rely on cohort designs. The first study considers the impact of extrapyramidal symptoms on suicidality in a schizophrenia spectrum patient group in Stockholm County in Sweden. In this sample, extrapyramidal symptoms are found to be associated with a decreased risk of suicide. The second study involves suicidal communication, blindly extracted from patient records, as risk factors for suicide among patients with schizophrenia spectrum disorders. More severe forms of suicidal ideation and behaviour, such as suicide attempt, are associated with a higher risk of death by suicide, which is consistent with current clinical practice regarding suicide risk assessments. The third study considers the risk of bone fracture during treatment with antipsychotic medications. The study finds that risperidone is not associated with an increased risk of fracture compared with first-generation antipsychotics. The fourth study considers the risk of perimyocarditis and heart failure during treatment with clozapine and the chemically similar medications olanzapine and quetiapine. It finds that clozapine is associated with a substantially elevated risk of perimyocarditis in the short term and a more modest risk of heart failure in the long term, compared with no antipsychotic treatment. Treatment with at least one of olanzapine or quetiapine is not found to be associated with an increased risk of these adverse cardiac events, compared with no antipsychotic medication

Suicide in schizophrenia and adverse events during antipsychotic medication

This thesis considers side effects and other adverse events during treatment with antipsychotic medication. All included studies use an epidemiological methodology with data from Swedish population-based health registers. The first two studies utilise a nested case-control design, whereas the third and fourth studies rely on cohort designs. The first study considers the impact of extrapyramidal symptoms on suicidality in a schizophrenia spectrum patient group in Stockholm County in Sweden. In this sample, extrapyramidal symptoms are found to be associated with a decreased risk of suicide. The second study involves suicidal communication, blindly extracted from patient records, as risk factors for suicide among patients with schizophrenia spectrum disorders. More severe forms of suicidal ideation and behaviour, such as suicide attempt, are associated with a higher risk of death by suicide, which is consistent with current clinical practice regarding suicide risk assessments. The third study considers the risk of bone fracture during treatment with antipsychotic medications. The study finds that risperidone is not associated with an increased risk of fracture compared with first-generation antipsychotics. The fourth study considers the risk of perimyocarditis and heart failure during treatment with clozapine and the chemically similar medications olanzapine and quetiapine. It finds that clozapine is associated with a substantially elevated risk of perimyocarditis in the short term and a more modest risk of heart failure in the long term, compared with no antipsychotic treatment. Treatment with at least one of olanzapine or quetiapine is not found to be associated with an increased risk of these adverse cardiac events, compared with no antipsychotic medication