A note on the pricing of multivariate contingent claims under a transformed-gamma distribution

We develop a framework for pricing multivariate European-style contingent claims in a discrete-time economy based on a multivariate transformed-gamma distribution. In our model, each transformed-gamma distributed underlying asset depends on two terms: a idiosyncratic term and a systematic term, where the latter is the same for all underlying assets and has a direct impact on their correlation structure. Given our distributional assumptions and the existence of a representative agent with a standard utility function, we apply equilibrium arguments and provide sufficient conditions for obtaining preference-free contingent claim pricing equations. We illustrate the applicability of our framework by providing examples of preference-free contingent claim pricing models. Multivariate pricing models are of particular interest when payoffs depend on two or more underlying assets, such as crack and crush spread options, options to exchange one asset for another, and options with a stochastic strike price in general

American Step-Up and Step-Down Default Swaps under Levy Models

This paper studies the valuation of a class of default swaps with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are early exercisable contracts that give the protection buyer or seller the right to step-up, step-down, or cancel the swap position. The pricing problem is formulated under a structural credit risk model based on Levy processes. This leads to the analytic and numerical studies of several optimal stopping problems subject to early termination due to default. In a general spectrally negative Levy model, we rigorously derive the optimal exercise strategy. This allows for instant computation of the credit spread under various specifications. Numerical examples are provided to examine the impacts of default risk and contractual features on the credit spread and exercise strategy.Comment: 35 pages, 5 figure

Women's health groups to improve perinatal care in rural Nepal

BACKGROUND: Neonatal mortality rates are high in rural Nepal where more than 90% of deliveries are in the home. Evidence suggests that death rates can be reduced by interventions at community level. We describe an intervention which aimed to harness the power of community planning and decision making to improve maternal and newborn care in rural Nepal. METHODS: The development of 111 women's groups in a population of 86 704 in Makwanpur district, Nepal is described. The groups, facilitated by local women, were the intervention component of a randomized controlled trial to reduce perinatal and neonatal mortality rates. Through participant observation and analysis of reports, we describe the implementation of this intervention: the community entry process, the facilitation of monthly meetings through a participatory action cycle of problem identification, community planning, and implementation and evaluation of strategies to tackle the identified problems. RESULTS: In response to the needs of the group, participatory health education was added to the intervention and the women's groups developed varied strategies to tackle problems of maternal and newborn care: establishing mother and child health funds, producing clean home delivery kits and operating stretcher schemes. Close linkages with community leaders and community health workers improved strategy implementation. There were also indications of positive effects on group members and health services, and most groups remained active after 30 months. CONCLUSION: A large scale and potentially sustainable participatory intervention with women's groups, which focused on pregnancy, childbirth and the newborn period, resulted in innovative strategies identified by local communities to tackle perinatal care problems

Surfactant proteins SP-A and SP-D modulate uterine contractile events in ULTR myometrial cell line

Pulmonary surfactant proteins SP-A and SP-D are pattern recognition innate immune molecules. However, there is extrapulmonary existence, especially in the amniotic fluid and at the feto-maternal interface. There is sufficient evidence to suggest that SP-A and SP-D are involved in the initiation of labour. This is of great importance given that preterm birth is associated with increased mortality and morbidity. In this study, we investigated the effects of recombinant forms of SP-A and SP-D (rhSP-A and rhSP-D, the comprising of trimeric lectin domain) on contractile events in vitro, using a human myometrial cell line (ULTR) as an experimental model. Treatment with rhSP-A or rhSP-D increased the cell velocity, distance travelled and displacement by ULTR cells. rhSP-A and rhSP-D also affected the contractile response of ULTRs when grown on collagen matrices showing reduced surface area. We investigated this effect further by measuring contractility-associated protein (CAP) genes. Treatment with rhSP-A and rhSP-D induced expression of oxytocin receptor (OXTR) and connexin 43 (CX43). In addition, rhSP-A and rhSP-D were able to induce secretion of GROα and IL-8. rhSP-D also induced the expression of IL-6 and IL-6 Ra. We provide evidence that SP-A and SP-D play a key role in modulating events prior to labour by reconditioning the human myometrium and in inducing CAP genes and pro-inflammatory cytokines thus shifting the uterus from a quiescent state to a contractile one

Lifetime history of indoor tanning in young people: a retrospective assessment of initiation, persistence, and correlates

<p>Abstract</p> <p>Background</p> <p>Despite educational and public health campaigns to convey the risks of indoor tanning, many individuals around the world continue to engage in this behavior. Few descriptive studies of indoor tanning have collected information pertaining to the lifetime history of indoor tanning, thereby limiting our ability to understand indoor tanning patterns and potentially target interventions for individuals who not only initiate, but continue to persistently engage in indoor tanning.</p> <p>Methods</p> <p>In-person interviews elicited detailed retrospective information on lifetime history of indoor tanning among white individuals (n = 401) under age 40 seen by a dermatologist for a minor benign skin condition. These individuals were controls in a case-control study of early-onset basal cell carcinoma. Outcomes of interest included ever indoor tanning in both males and females, as well as persistent indoor tanning in females - defined as females over age 31 who tanned indoors at least once in the last three or all four of four specified age periods (ages 11-15, 16-20, 21-30 and 31 or older). Multivariate logistic regression was used to identify sociodemographic and lifestyle correlates of ever and persistent indoor tanning in females.</p> <p>Results</p> <p>Approximately three-quarters (73.3%) of females and 38.3% of males ever tanned indoors, with a median age of initiation of 17.0 and 21.5, respectively. Among indoor tanners, 39.3% of females and 21.7% of males reported being burned while indoor tanning. Female ever indoor tanners were younger, had darker color eyes, and sunbathed more frequently than females who never tanned indoors. Using unique lifetime exposure data, 24.7% of female indoor tanners 31 and older persistently tanned indoors starting as teenagers. Female persistent indoor tanners drank significantly more alcohol, were less educated, had skin that tanned with prolonged sun exposure, and sunbathed outdoors more frequently than non-persistent tanners.</p> <p>Conclusions</p> <p>Indoor tanning was strikingly common in this population, especially among females. Persistent indoor tanners had other high-risk behaviors (alcohol, sunbathing), suggesting that multi-faceted behavioral interventions aimed at health promotion/disease prevention may be needed in this population.</p

Racial difference in Acylation Stimulating Protein (ASP) correlates to triglyceride in non-obese and obese African American and Caucasian women

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A systematic review of the relationship between subchondral bone features, pain and structural pathology in peripheral joint osteoarthritis

Introduction: Bone is an integral part of the osteoarthritis (OA) process. We conducted a systematic literature review in order to understand the relationship between non-conventional radiographic imaging of subchondral bone, pain, structural pathology and joint replacement in peripheral joint OA. Methods: A search of the Medline, EMBASE and Cochrane library databases was performed for original articles reporting association between non-conventional radiographic imaging-assessed subchondral bone pathologies and joint replacement, pain or structural progression in knee, hip, hand, ankle and foot OA. Each association was qualitatively characterised by a synthesis of the data from each analysis based upon study design, adequacy of covariate adjustment and quality scoring. Results: In total 2456 abstracts were screened and 139 papers were included (70 cross-sectional, 71 longitudinal analyses; 116 knee, 15 hip, six hand, two ankle and involved 113 MRI, eight DXA, four CT, eight scintigraphic and eight 2D shape analyses). BMLs, osteophytes and bone shape were independently associated with structural progression or joint replacement. BMLs and bone shape were independently associated with longitudinal change in pain and incident frequent knee pain respectively. Conclusion: Subchondral bone features have independent associations with structural progression, pain and joint replacement in peripheral OA in the hip and hand but especially in the knee. For peripheral OA sites other than the knee, there are fewer associations and independent associations of bone pathologies with these important OA outcomes which may reflect fewer studies; for example the foot and ankle were poorly studied. Subchondral OA bone appears to be a relevant therapeutic target. Systematic review: PROSPERO registration number: CRD 4201300500