Option Pricing in Multivariate Stochastic Volatility Models of OU Type

We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still being highly analytically tractable. First we derive the characteristic function and give conditions that ensure its analyticity and absolute integrability in some open complex strip around zero. Therefore we can use Fourier methods to compute the prices of multi-asset options efficiently. To show the applicability of our results, we propose a concrete specification, the OU-Wishart model, where the dynamics of each individual asset coincide with the popular Gamma-OU BNS model. This model can be well calibrated to market prices, which we illustrate with an example using options on the exchange rates of some major currencies. Finally, we show that covariance swaps can also be priced in closed form.Comment: 28 pages, 5 figures, to appear in SIAM Journal on Financial Mathematic

One-Year Analysis of the Prospective Multicenter SENTRY Clinical Trial: Safety and Effectiveness of the Novate Sentry Bioconvertible Inferior Vena Cava Filter

Purpose To prospectively assess the Sentry bioconvertible inferior vena cava (IVC) filter in patients requiring temporary protection against pulmonary embolism (PE). Materials and Methods At 23 sites, 129 patients with documented deep vein thrombosis (DVT) or PE, or at temporary risk of developing DVT or PE, unable to use anticoagulation were enrolled. The primary end point was clinical success, including successful filter deployment, freedom from new symptomatic PE through 60 days before filter bioconversion, and 6-month freedom from filter-related complications. Patients were monitored by means of radiography, computerized tomography (CT), and CT venography to assess filtering configuration through 60 days, filter bioconversion, and incidence of PE and filter-related complications through 12 months. Results Clinical success was achieved in 111 of 114 evaluable patients (97.4%, 95% confidence interval [CI] 92.5%–99.1%). The rate of freedom from new symptomatic PE through 60 days was 100% (n = 129, 95% CI 97.1%–100.0%), and there were no cases of PE through 12 months for either therapeutic or prophylactic indications. Two patients (1.6%) developed symptomatic caval thrombosis during the first month; neither experienced recurrence after successful interventions. There was no filter tilting, migration, embolization, fracture, or caval perforation by the filter, and no filter-related death through 12 months. Filter bioconversion was successful for 95.7% (110/115) at 6 months and for 96.4% (106/110) at 12 months. Conclusions The Sentry IVC filter provided safe and effective protection against PE, with a high rate of intended bioconversion and a low rate of device-related complications, through 12 months of imaging-intense follow-up

Orthopaedic management of Hurler’s disease after hematopoietic stem cell transplantation: a systematic review

The introduction of hematopoietic stem cell transplantation (HSCT) has significantly improved the life-span of Hurler patients (mucopolysaccharidosis type I-H, MPS I-H). Yet, the musculoskeletal manifestations seem largely unresponsive to HSCT. In order to facilitate evidence based management, the aim of the current study was to give a systematic overview of the orthopaedic complications and motor functioning of Hurler's patients after HSCT. A systematic review was conducted of the medical literature published from January 1981 to June 2010. Two reviewers independently assessed all eligible citations, as identified from the Pubmed and Embase databases. A pre-developed data extraction form was used to systematically collect information on the prevalence of radiological and clinical signs, and on the orthopaedic treatments and outcomes. A total of 32 studies, including 399 patient reports were identified. The most frequent musculoskeletal abnormalities were odontoid hypoplasia (72%), thoracolumbar kyphosis (81%), genu valgum (70%), hip dysplasia (90%) and carpal tunnel syndrome (63%), which were often treated surgically during the first decade of life. The overall complication rate of surgical interventions was 13.5%. Motor functioning was further hampered due to reduced joint mobility, hand dexterity, motor development and longitudinal growth. Stem cell transplantation does not halt the progression of a large range of disabling musculoskeletal abnormalities in Hurler's disease. Although prospective data on the quantification, progression and treatment of these deformities were very limited, early surgical intervention is often advocated. Prospective data collection will be mandatory to achieve better evidence on the effect of treatment strategies

A Systematic Review on the Diagnosis of Pediatric Bacterial Pneumonia: When Gold Is Bronze

In developing countries, pneumonia is one of the leading causes of death in children under five years of age and hence timely and accurate diagnosis is critical. In North America, pneumonia is also a common source of childhood morbidity and occasionally mortality. Clinicians traditionally have used the chest radiograph as the gold standard in the diagnosis of pneumonia, but they are becoming increasingly aware that it is not ideal. Numerous studies have shown that chest radiography findings lack precision in defining the etiology of childhood pneumonia. There is no single test that reliably distinguishes bacterial from non-bacterial causes. These factors have resulted in clinicians historically using a combination of physical signs and chest radiographs as a 'gold standard', though this combination of tests has been shown to be imperfect for diagnosis and assigning treatment. The objectives of this systematic review are to: 1) identify and categorize studies that have used single or multiple tests as a gold standard for assessing accuracy of other tests, and 2) given the 'gold standard' used, determine the accuracy of these other tests for diagnosing childhood bacterial pneumonia.Search strategies were developed using a combination of subject headings and keywords adapted for 18 electronic bibliographic databases from inception to May 2008. Published studies were included if they: 1) included children one month to 18 years of age, 2) provided sufficient data regarding diagnostic accuracy to construct a 2x2 table, and 3) assessed the accuracy of one or more index tests as compared with other test(s) used as a 'gold standard'. The literature search revealed 5,989 references of which 256 were screened for inclusion, resulting in 25 studies that satisfied all inclusion criteria. The studies examined a range of bacterium types and assessed the accuracy of several combinations of diagnostic tests. Eleven different gold standards were studied in the 25 included studies. Criterion validity was calculated for fourteen different index tests using eleven different gold standards. The most common gold standard utilized was blood culture tests used in six studies. Fourteen different tests were measured as index tests. PCT was the most common measured in five studies each with a different gold standard.We have found that studies assessing the diagnostic accuracy of clinical, radiological, and laboratory tests for bacterial childhood pneumonia have used a heterogeneous group of gold standards, and found, at least in part because of this, that index tests have widely different accuracies. These findings highlight the need for identifying a widely accepted gold standard for diagnosis of bacterial pneumonia in children