Conditional sampling for barrier option pricing under the LT method

We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman and Staum (2001), and show that a substantial variance reduction is achieved. We extend the method to allow pricing knock-in barrier options and introduce a root-finding method to obtain a further variance reduction. The effectiveness of the new method is supported by numerical results

Factors predicting walking intolerance in patients with peripheral arterial disease and intermittent claudication

Objective. To determine which physiological variables conduce to walking intolerance in patients with peripheral arterial disease (PAD). Design. The physiological response to a graded treadmill exercise test (GTT) in patients with PAD was characterised. Setting. Patients were recruited from the Department of Vascular Surgery, Groote Schuur Hospital, Cape Town. Subjects. Thirty-one patients diagnosed with PAD were included in the study. Outcome measures. During a GTT, peak oxygen consumption (VO2peak), peak minute ventilation (VEpeak), peak heart rate and peak venous lactate concentrations were measured and compared with those from a comparison group. Anklebrachial index (ABI) was measured at rest and after exercise. During the GTT, maximum walking distance (MWD) and pain-free walking distance (PFWD) were measured to determine walking tolerance. Results. Peak venous lactate concentrations did not correlate significantly with either PFWD (r=–0.08; p=0.3) or MWD (r=–0.03; p=0.4). Resting ABI did not correlate with either MWD (r=0.09; p=0.64) or PFWD (r=–0.19; p=0.29). Subjects terminated exercise at significantly (p<0.05) lower levels of cardiorespiratory effort and venous lactate concentrations than did a sedentary but otherwise healthy comparison group: peak heart rate 156±11 v. 114±22 beats per minute (BPM); p=0.001; and peak venous lactate concentration 9.7±2.7 mmol/l v. 3.28±1.39 mmol/l; p=0.001. Conclusion. Perceived discomfort in these patients is not caused by elevated blood lactate concentrations, a low ABI or limiting cardiorespiratory effort but by other factors not measured in this study

Convertible bond valuation in a jump diffusion setting with stochastic interest rates

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie et al. [Econometrica, 2000, 68, 1343–1376] with tractable behaviour. We define the firm’s optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates

Building Interprofessional Global Health Infrastructure at a University and Health System: Navigating Challenges and Scaling Successes

Mission: Global Jefferson will create sustainable programs of global distinction through collaboration that position Jefferson as a local and international destination and resource for education, research, and clinical activities. Global Jefferson is supported by the Associate Provost for Global Affairs, part of the Office of the Provost. Global activity at Jefferson includes: Global Health Initiatives Committee (GHIC) Service Learning Global Research & Exchange between institutions Pre-clinical, translational, clinical, and applied research Poster presented at: 8th Annual Global Health Conference of the Consortium of Universities for Global Health (CUGH)https://jdc.jefferson.edu/globalhealthposters/1000/thumbnail.jp

Transit Timing Analysis in the HAT-P-32 system

We present the results of 45 transit observations obtained for the transiting exoplanet HAT-P-32b. The transits have been observed using several telescopes mainly throughout the YETI network. In 25 cases, complete transit light curves with a timing precision better than $1.4\:$min have been obtained. These light curves have been used to refine the system properties, namely inclination $i$, planet-to-star radius ratio $R_\textrm{p}/R_\textrm{s}$, and the ratio between the semimajor axis and the stellar radius $a/R_\textrm{s}$. First analyses by Hartman et al. (2011) suggest the existence of a second planet in the system, thus we tried to find an additional body using the transit timing variation (TTV) technique. Taking also literature data points into account, we can explain all mid-transit times by refining the linear ephemeris by 21ms. Thus we can exclude TTV amplitudes of more than $\sim1.5$min.Comment: MNRAS accepted; 13 pages, 10 figure

Absolute properties of the binary system BB Pegasi

We present a ground based photometry of the low-temperature contact binary BB Peg. We collected all times of mid-eclipses available in literature and combined them with those obtained in this study. Analyses of the data indicate a period increase of 3.0(1) x 10^{-8} days/yr. This period increase of BB Peg can be interpreted in terms of the mass transfer 2.4 x 10^{-8} Ms yr^{-1} from the less massive to the more massive component. The physical parameters have been determined as Mc = 1.42 Ms, Mh = 0.53 Ms, Rc = 1.29 Rs, Rh = 0.83 Rs, Lc = 1.86 Ls, and Lh = 0.94 Ls through simultaneous solution of light and of the radial velocity curves. The orbital parameters of the third body, that orbits the contact system in an eccentric orbit, were obtained from the period variation analysis. The system is compared to the similar binaries in the Hertzsprung-Russell and Mass-Radius diagram.Comment: 17 pages, 3 figures, accepted for Astronomical Journa

Observation of Parity Nonconservation in Moller Scattering

We report a measurement of the parity-violating asymmetry in fixed target electron-electron (Moller) scattering: A_PV = -175 +/- 30 (stat.) +/- 20 (syst.) parts per billion. This first direct observation of parity nonconservation in Moller scattering leads to a measurement of the electron's weak charge at low energy Q^e_W = -0.053 +/- 0.011. This is consistent with the Standard Model expectation at the current level of precision: sin^2\theta_W(M_Z)_MSbar = 0.2293 +/- 0.0024 (stat.) +/- 0.0016 (syst.) +/- 0.0006 (theory).Comment: Version 3 is the same as version 2. These versions contain minor text changes from referee comments and a change in the extracted value of Q^e_W and sin^2\theta_W due to a change in the theoretical calculation of the bremsstrahulung correction (ref. 16

Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model

Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We present a method to adapt formulas for both the path-integral propagators and the option prices themselves, so that jump processes are taken into account in conjunction with the usual drift and diffusion terms. In particular, we focus on stochastic volatility models, such as the exponential Vasicek model, and extend the pricing formulas and propagator of this model to incorporate jump diffusion with a given jump size distribution. This model is of importance to include non-Gaussian fluctuations beyond the Black-Scholes model, and moreover yields a lognormal distribution of the volatilities, in agreement with results from superstatistical analysis. The results obtained in the present formalism are checked with Monte Carlo simulations.Comment: 9 pages, 2 figures, 1 tabl

Data quality monitoring and performance metrics of a prospective, population-based observational study of maternal and newborn health in low resource settings

BACKGROUND: To describe quantitative data quality monitoring and performance metrics adopted by the Global Network´s (GN) Maternal Newborn Health Registry (MNHR), a maternal and perinatal population-based registry (MPPBR) based in low and middle income countries (LMICs). METHODS: Ongoing prospective, population-based data on all pregnancy outcomes within defined geographical locations participating in the GN have been collected since 2008. Data quality metrics were defined and are implemented at the cluster, site and the central level to ensure data quality. Quantitative performance metrics are described for data collected between 2010 and 2013. RESULTS: Delivery outcome rates over 95% illustrate that all sites are successful in following patients from pregnancy through delivery. Examples of specific performance metric reports illustrate how both the metrics and reporting process are used to identify cluster-level and site-level quality issues and illustrate how those metrics track over time. Other summary reports (e.g. the increasing proportion of measured birth weight compared to estimated and missing birth weight) illustrate how a site has improved quality over time. CONCLUSION: High quality MPPBRs such as the MNHR provide key information on pregnancy outcomes to local and international health officials where civil registration systems are lacking. The MNHR has measures in place to monitor data collection procedures and improve the quality of data collected. Sites have increasingly achieved acceptable values of performance metrics over time, indicating improvements in data quality, but the quality control program must continue to evolve to optimize the use of the MNHR to assess the impact of community interventions in research protocols in pregnancy and perinatal health.Fil: Goudar, Shivaprasad S.. KLE University. Jawaharlal Nehru Medical College; IndiaFil: Stolka, Kristen B.. Research Triangle Institute International; Estados UnidosFil: Koso Thomas, Marion. Eunice Kennedy Shriver National Institute of Child Health and Human Development; Estados UnidosFil: Honnungar, Narayan V.. KLE University. Jawaharlal Nehru Medical College; IndiaFil: Mastiholi, Shivanand C.. KLE University. Jawaharlal Nehru Medical College; IndiaFil: Ramadurg, Umesh Y.. S. Nijalingappa Medical College; IndiaFil: Dhaded, Sangappa M.. KLE University. Jawaharlal Nehru Medical College; IndiaFil: Pasha, Omrana. Aga Khan University; PakistánFil: Patel, Archana. Indira Gandhi Government Medical College and Lata Medical Research Foundation; IndiaFil: Esamai, Fabian. University School of Medicine; KeniaFil: Chomba, Elwyn. University of Zambia; ZambiaFil: Garces, Ana. Universidad de San Carlos; GuatemalaFil: Althabe, Fernando. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Instituto de Efectividad Clínica y Sanitaria; ArgentinaFil: Carlo, Waldemar A.. University of Alabama at Birmingahm; Estados UnidosFil: Goldenberg, Robert L.. Columbia University; Estados UnidosFil: Hibberd, Patricia L.. Massachusetts General Hospital for Children; Estados UnidosFil: Liechty, Edward A.. Indiana University; Estados UnidosFil: Krebs, Nancy F.. University of Colorado School of Medicine; Estados UnidosFil: Hambidge, Michael K.. University of Colorado School of Medicine; Estados UnidosFil: Moore, Janet L.. Research Triangle Institute International; Estados UnidosFil: Wallace, Dennis D.. Research Triangle Institute International; Estados UnidosFil: Derman, Richard J. Christiana Care Health Services; Estados UnidosFil: Bhalachandra, Kodkany S.. KLE University. Jawaharlal Nehru Medical College; IndiaFil: Bose, Carl L.. University of North Carolina; Estados Unido

Trends and determinants of stillbirth in developing countries: results from the Global Network\u27s Population-Based Birth Registry.

BACKGROUND: Stillbirth rates remain high, especially in low and middle-income countries, where rates are 25 per 1000, ten-fold higher than in high-income countries. The United Nations\u27 Every Newborn Action Plan has set a goal of 12 stillbirths per 1000 births by 2030 for all countries. METHODS: From a population-based pregnancy outcome registry, including data from 2010 to 2016 from two sites each in Africa (Zambia and Kenya) and India (Nagpur and Belagavi), as well as sites in Pakistan and Guatemala, we evaluated the stillbirth rates and rates of annual decline as well as risk factors for 427,111 births of which 12,181 were stillbirths. RESULTS: The mean stillbirth rates for the sites were 21.3 per 1000 births for Africa, 25.3 per 1000 births for India, 56.9 per 1000 births for Pakistan and 19.9 per 1000 births for Guatemala. From 2010 to 2016, across all sites, the mean stillbirth rate declined from 31.7 per 1000 births to 26.4 per 1000 births for an average annual decline of 3.0%. Risk factors for stillbirth were similar across the sites and included maternal age \u3c 20 years and age \u3e 35 years. Compared to parity 1-2, zero parity and parity \u3e 3 were both associated with increased stillbirth risk and compared to women with any prenatal care, women with no prenatal care had significantly increased risk of stillbirth in all sites. CONCLUSIONS: At the current rates of decline, stillbirth rates in these sites will not reach the Every Newborn Action Plan goal of 12 per 1000 births by 2030. More attention to the risk factors and treating the causes of stillbirths will be required to reach the Every Newborn Action Plan goal of stillbirth reduction. TRIAL REGISTRATION: NCT01073475