Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model

Alternative approaches to hedging swaptions are explored and tested by simulation. Hedging methods implied by the Balck swaption formula are compared with a lognormal forward LIBOR model approach encompassing all the relevant forward rates. The simulation is undertaken within the LIBOR model framework for a range of swaptions and volatility structures. Despite incompatibilities with the model assumptions, the Black method performs equally well as the LIBOR method, yielding very similar distributions for the hedging profit and loss - even at high rehedging frequencies. This result demonstrates the robustness of the Black hedging technique and implies that - being simpler and generally better understood by financial practitioners - it would be the preferred method in practice.term structure of interest rates; hedging; simulation; lognormal forward LIBOR model

The infrared imaging spectrograph (IRIS) for TMT: electronics-cable architecture

The InfraRed Imaging Spectrograph (IRIS) is a first-light instrument for the Thirty Meter Telescope (TMT). It combines a diffraction limited imager and an integral field spectrograph. This paper focuses on the electrical system of IRIS. With an instrument of the size and complexity of IRIS we face several electrical challenges. Many of the major controllers must be located directly on the cryostat to reduce cable lengths, and others require multiple bulkheads and must pass through a large cable wrap. Cooling and vibration due to the rotation of the instrument are also major challenges. We will present our selection of cables and connectors for both room temperature and cryogenic environments, packaging in the various cabinets and enclosures, and techniques for complex bulkheads including for large detectors at the cryostat wall

The association of preoperative cardiac stress testing with 30-day death and myocardial infarction among patients undergoing kidney transplantation

BACKGROUND:Although periodic cardiac stress testing is commonly used to screen patients on the waiting list for kidney transplantation for ischemic heart disease, there is little evidence to support this practice. We hypothesized that cardiac stress testing in the 18 months prior to kidney transplantation would not reduce postoperative death, total myocardial infarction (MI) or fatal MI. METHODS:Using the United States Renal Data System, we identified ESRD patients ≥40 years old with primary Medicare insurance who received their first kidney transplant between 7/1/2006 and 11/31/2013. Propensity matching created a 1:1 matched sample of patients with and without stress testing in the 18 months prior to kidney transplantation. The outcomes of interest were death, total (fatal and nonfatal) MI or fatal MI within 30 days of kidney transplantation. RESULTS:In the propensity-matched cohort of 17,304 patients, death within 30 days occurred in 72 of 8,652 (0.83%) patients who underwent stress testing and in 65 of 8,652 (0.75%) patients who did not (OR 1.07; 95% CI: 0.79-1.45; P = 0.66). MI within 30 days occurred in 339 (3.9%) patients who had a stress test and in 333 (3.8%) patients who did not (OR 1.03; 95% CI: 0.89-1.21; P = 0.68). Fatal MI occurred in 17 (0.20%) patients who underwent stress testing and 15 (0.17%) patients who did not (OR 0.97; 95% CI: 0.71-1.32; P = 0.84). CONCLUSION:Stress testing in the 18 months prior to kidney transplantation is not associated with a reduction in death, total MI or fatal MI within 30 days of kidney transplantation

Study of low flow rate ladle bottom gas stirring using triaxial vibration signals

Secondary steelmaking plays a great role in enhancing the quality of the final steel product. The metal quality is a function of metal bath stirring in ladles. The metal bath is often stirred by an inert gas to achieve maximum compositional and thermal uniformity throughout the melt. Ladle operators often observe the top surface phenomena, such as level of meniscus disturbance, to evaluate the status of stirring. However, this type of monitoring has significant limitations in assessing the process accurately especially at low gas flow rate bubbling. The present study investigates stirring phenomena using ladle wall triaxial vibration at a low flow rate on a steel-made laboratory model and plant scale for the case of the vacuum tank degasser. Cold model and plant data were successfully modeled by partial least-squares regression to predict the amount of stirring. In the cold model, it was found that the combined vibration signal could predict the stirring power and recirculation speed effectively in specific frequency ranges. Plant trials also revealed that there is a high structure in each data set and in the same frequency ranges at the water model. In the case of industrial data, the degree of linear relationship was strong for data taken from a single heat

Beneficial effects of training in self-distancing and perspective broadening for people with a history of recurrent depression.

Cognitive training designed to recalibrate maladaptive aspects of cognitive-affective processing associated with the presence of emotional disorder can deliver clinical benefits. This study examined the ability of an integrated training in self-distancing and perspective broadening (SD-PB) with respect to distressing experiences to deliver such benefits in individuals with a history of recurrent depression (≥3 prior episodes), currently in remission. Relative to an overcoming avoidance (OA) control condition, SD-PB: a) reduced distress to upsetting memories and to newly encountered events, both during training when explicitly instructed to apply SD-PB techniques, and after-training in the absence of explicit instructions; b) enhanced capacity to self-distance from and broaden perspectives on participants' experiences; c) reduced residual symptoms of depression. These data provide initial support for SD-PB as a low-intensity cognitive training providing a spectrum of cognitive and affective benefits for those with recurrent depression who are at elevated risk of future episodes

Effect of initiating drug treatment on the risk of drug-related poisoning death and acquisitive crime among offending heroin users.

BACKGROUND: A recent Cochrane review of randomised trials identified a lack of evidence for interventions provided to drug-using offenders. We use routine data to address whether contact with treatment services reduces heroin users' likelihood of a future acquisitive offence or drug-related poisoning (DRP) death. METHODS: Heroin-users were identified from probation assessments and linked to drug-treatment, mortality and offending records. The study cohort was selected to ensure that the subject was not: in prison, in treatment or had recently left treatment. Subjects were classed as initiators if they attended a triage appointment within two weeks of their assessment; non-initiators otherwise. Initiator and non-initiators were compared over a maximum of one year, with respect to their risk of recorded acquisitive offence or DRP-death. Balance was sought using propensity score matching and missing data were accounted for using multiple imputation. RESULTS: Nine percent of assessments identified for analysis were classed as initiators. Accounting for observed confounding and missing data, there was a reduction in DRPs associated with initiator assessments, however there was uncertainty around this estimate such that a null-effect could not be ruled out (HR: 0.42, 95% CI 0.17-1.04). There was no evidence of a decrease in the recidivism risk, in fact the analysis showed a small increase (HR: 1.10, 95% CI 1.02-1.18). CONCLUSION: For heroin-using offenders, initial contact with treatment services does not appear to reduce the likelihood of a future acquisitive offence

Childhood adversity subtypes and depressive symptoms in early and late adolescence

depressive symptoms between 14 and 17 years of age. The cohort was classified into four empirically determined adversity subtypes for two age periods in childhood (0–5 and 6–11 years). One subtype reflects normative/optimal family environments (n ¼ 692, 69%), while the other three subtypes reflect differential suboptimal family environments (aberrant parenting: n ¼ 71, 7%; discordant: n ¼ 185, 18%; and hazardous: n ¼ 57, 6%). Parent-rated child temperament at 14 years and adolescent self-reported recent negative life events in early and late adolescence were included in models implementing path analysis. There were gender-differentiated associations between childhood adversity subtypes and adolescent depressive symptoms. The discordant and hazardous subtypes were associated with elevated depressive symptoms in both genders but the aberrant parenting subtype only so in girls. Across adolescence the associations between early childhood adversity and depressive symptoms diminished for boys but remained for girls. Emotional temperament was also associated with depressive symptoms in both genders, while proximal negative life events related to depressive symptoms in girls only. There may be neurodevelopmental factors that emerge in adolescence that reduce depressogenic symptoms in boys but increase such formation in girls.This is the final published version. It was originally published by CUP in Development and Psychopathology here: http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=9308912&fileId=S0954579414000625

Enhanced emotion regulation capacity and its neural substrates in those exposed to moderate childhood adversity.

Individuals exposed to childhood adversities (CA) present with emotion regulation (ER) difficulties in later life, which have been identified as risk and maintenance factors for psychopathologies. However, it is unclear if CA negatively impacts on ER capacity per se or whether observed regulation difficulties are a function of the challenging circumstances in which ER is being deployed. In this longitudinal study, we aimed to clarify this association by investigating the behavioral and neural effects of exposure to common moderate CA (mCA) on a laboratory measure of ER capacity in late adolescence/young adulthood. Our population-derived samples of adolescents/young adults (N = 53) were administered a film-based ER-task during functional magnetic resonance imaging that allowed evaluation of ER across mCA-exposure. mCA-exposure was associated with enhanced ER capacity over both positive and negative affect. At the neural level, the better ER of negative material in those exposed to mCA was associated with reduced recruitment of ER-related brain regions, including the prefrontal cortex and temporal gyrus. In addition mCA-exposure was associated with a greater down-regulation of the amygdala during ER of negative material. The implications of these findings for our understanding of the effects of mCA on the emergence of resilience in adolescence are discussed