9 research outputs found
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
Static versus dynamic hedges: an empirical comparison for barrier options
Barrier options, Static hedging, Dynamic hedging, Local volatility model, Empirical hedging analysis, G13,
Mechanical ventilation in patients with cardiogenic pulmonary edema : a sub-analysis of the LUNG SAFE study
Patients with acute respiratory failure caused by cardiogenic pulmonary edema (CPE) may require mechanical ventilation that can cause further lung damage. Our aim was to determine the impact of ventilatory settings on CPE mortality. Patients from the LUNG SAFE cohort, a multicenter prospective cohort study of patients undergoing mechanical ventilation, were studied. Relationships between ventilatory parameters and outcomes (ICU discharge/hospital mortality) were assessed using latent mixture analysis and a marginal structural model. From 4499 patients, 391 meeting CPE criteria (median age 70 [interquartile range 59-78], 40% female) were included. ICU and hospital mortality were 34% and 40%, respectively. ICU survivors were younger (67 [57-77] vs 74 [64-80] years, p < 0.001) and had lower driving (12 [8-16] vs 15 [11-17] cmHO, p < 0.001), plateau (20 [15-23] vs 22 [19-26] cmHO, p < 0.001) and peak (21 [17-27] vs 26 [20-32] cmHO, p < 0.001) pressures. Latent mixture analysis of patients receiving invasive mechanical ventilation on ICU day 1 revealed a subgroup ventilated with high pressures with lower probability of being discharged alive from the ICU (hazard ratio [HR] 0.79 [95% confidence interval 0.60-1.05], p = 0.103) and increased hospital mortality (HR 1.65 [1.16-2.36], p = 0.005). In a marginal structural model, driving pressures in the first week (HR 1.12 [1.06-1.18], p < 0.001) and tidal volume after day 7 (HR 0.69 [0.52-0.93], p = 0.015) were related to survival. Higher airway pressures in invasively ventilated patients with CPE are related to mortality. These patients may be exposed to an increased risk of ventilator-induced lung injury. Trial registration Clinicaltrials.gov NCT02010073
Death in hospital following ICU discharge : insights from the LUNG SAFE study
Altres ajuts: Italian Ministry of University and Research (MIUR)-Department of Excellence project PREMIA (PREcision MedIcine Approach: bringing biomarker research to clinic); Science Foundation Ireland Future Research Leaders Award; European Society of Intensive Care Medicine (ESICM), Brussels; St Michael's Hospital, Toronto; University of Milan-Bicocca, Monza, Italy.Background: To determine the frequency of, and factors associated with, death in hospital following ICU discharge to the ward. Methods: The Large observational study to UNderstand the Global impact of Severe Acute respiratory FailurE study was an international, multicenter, prospective cohort study of patients with severe respiratory failure, conducted across 459 ICUs from 50 countries globally. This study aimed to understand the frequency and factors associated with death in hospital in patients who survived their ICU stay. We examined outcomes in the subpopulation discharged with no limitations of life sustaining treatments ('treatment limitations'), and the subpopulations with treatment limitations. Results: 2186 (94%) patients with no treatment limitations discharged from ICU survived, while 142 (6%) died in hospital. 118 (61%) of patients with treatment limitations survived while 77 (39%) patients died in hospital. Patients without treatment limitations that died in hospital after ICU discharge were older, more likely to have COPD, immunocompromise or chronic renal failure, less likely to have trauma as a risk factor for ARDS. Patients that died post ICU discharge were less likely to receive neuromuscular blockade, or to receive any adjunctive measure, and had a higher pre- ICU discharge non-pulmonary SOFA score. A similar pattern was seen in patients with treatment limitations that died in hospital following ICU discharge. Conclusions: A significant proportion of patients die in hospital following discharge from ICU, with higher mortality in patients with limitations of life-sustaining treatments in place. Non-survivors had higher systemic illness severity scores at ICU discharge than survivors. Trial Registration: ClinicalTrials.gov NCT02010073
Resolved versus confirmed ARDS after 24 h: insights from the LUNG SAFE study
Purpose: To evaluate patients with resolved versus confirmed ARDS, identify subgroups with substantial mortality risk, and to determine the utility of day 2 ARDS reclassification. Methods: Our primary objective, in this secondary LUNG SAFE analysis, was to compare outcome in patients with resolved versus confirmed ARDS after 24\ua0h. Secondary objectives included identifying factors associated with ARDS persistence and mortality, and the utility of day 2 ARDS reclassification. Results: Of 2377 patients fulfilling the ARDS definition on the first day of ARDS (day 1) and receiving invasive mechanical ventilation, 503 (24%) no longer fulfilled the ARDS definition the next day, 52% of whom initially had moderate or severe ARDS. Higher tidal volume on day 1 of ARDS was associated with confirmed ARDS [OR 1.07 (CI 1.01\u20131.13), P = 0.035]. Hospital mortality was 38% overall, ranging from 31% in resolved ARDS to 41% in confirmed ARDS, and 57% in confirmed severe ARDS at day 2. In both\ua0resolved and confirmed\ua0ARDS, age, non-respiratory SOFA score, lower PEEP and P/F ratio, higher peak pressure and respiratory rate were each\ua0associated with mortality. In confirmed ARDS, pH and the presence of immunosuppression or neoplasm were also associated\ua0with mortality. The increase in area under the receiver operating curve for ARDS reclassification on day 2 was marginal. Conclusions: ARDS, whether resolved or confirmed at day 2, has a high mortality rate. ARDS reclassification at day 2 has limited predictive value for mortality. The substantial mortality risk in severe confirmed ARDS suggests that complex interventions might best be tested in this population. Trial Registration: ClinicalTrials.gov NCT02010073. \ua9 2018, Springer-Verlag GmbH Germany, part of Springer Nature and ESICM
Correction to: Potentially modifiable factors contributing to outcome from acute respiratory distress syndrome: the LUNG SAFE study
Correction to: Intensive Care Med (2016) 42:1865\u20131876 DOI 10.1007/s00134-016-4571-