Currency option pricing and realised volatility

Volatility is a key parameter in currency option pricing. This paper examines alternative specifications ofthe volatility input to the Black-Scholes option pricing procedure. The focus is the relative performance ofimplied, realized, and GARCH-based models as predictors of market volatility to forecast currency optionsprices. Using exchange-traded, daily and intra-daily data for three major European currencies, the results indicate that the realized volatility model tends to outperform the other two specifications, both in-sample and out-of-sample. This result is intuitively appealing and expected to facilitate resolution of other problems in risk management applications

A conceptual review of Basti (Urinary Bladder) as Pranayatana

Ayurveda is a system of medicine, which gives the way of perfect living with nature. It is a science which is on the rise as a result of various discussion and researches from ancient time onwards. Its gives equal importance to preventive and curative aspects of disease. As we know the diagnosis of any disease is very important before treatment, similarly the knowledge of Rachana Sharir is also important before diagnosis. The word Pranayatana is formed by two words – Prana + Ayatana. Here Ayatana means residing place (Ashraya Sthana) and Prana means live attribute (life). So, the Sthana which gives seat for Prana is called as Pranayatana. Basti is one such Pranayatana mentioned in Charaka Samhita. It has been given much importance that it has been mentioned both in the context of Dasha Pranayatana and Marma. In this article, an attempt is made to understand and review Basti in the context of Dasha Pranayatanas

CONSTRAINT ROBUST PORTFOLIO SELECTION BY MULTIOBJECTIVE EVOLUTIONARY GENETIC ALGORITHM

The problem of portfolio selection is a very challenging problem in computational finance and has received a lot of attention in last few decades. Selecting an asset and optimal weighting of it from a set of available assets is a critical issue for which the decision maker takes several aspects into consideration. Different constraints like cardinality constraints, minimum buy in thresholds and maximum limit constraint are associated with assets selection. Financial returns associated are often strongly non-Gaussian in character, and exhibit multivariate outliers. Taking these constraints into consideration and with the presence of these outliers we consider a multi-objective problem where the percentage of each available asset is so selected that the total profit of the portfolio is maximized while total risk is minimized. Nondominated Sorting Genetic Algorithm-II is used for solving this multiobjective portfolio selection problem. Performance of the proposed algorithm is carried out by performing different numerical experiments using real-world data

An Effectiveness Assessment of Preventive Management Strategies in order to Manage Non Performing Assets in Indian banks: A Case Study

There are two kinds of strategies to control Non Performing Assets i.e. curative and preventive. The paper is an attempt to focus on the effectiveness of various preventive strategies in controlling NPA in future.For this study primary data have been collected from 82 branches out of 138 branches of Sagar District in Madhya Pradesh of India. The respondents are the branch managers or recovery officer of each branch.The primary data are related to the causes of NPA, actual usage of preventive measures and effectiveness of each preventive strategy. It highlights few new causes which are barely covered by the earlier researches. The study also represents the actual usage of various preventive measures along with the effectiveness of preventive measures in averting NPA to be occurred in future. The outcome of this study could provide a valuable insight about which strategy is more effective to prevent these stressed assets. Besides that, it could aware the banking authorities regarding the problems faced by the managers in using the preventive measures.JEL Codes - G21; G23, G2

VLSI Architectures for the Steerable-Discrete-Cosine-Transform (SDCT)

Since frame resolution of modern video streams is rapidly growing, the need for more complex and efficient video compression methods arises. H.265/HEVC represents the state of the art in video coding standard. Its architecture is however not completely standardized, as many parts are only described at software level to allow the designer to implement new compression techniques. This paper presents an innovative hardware architecture for the Steerable Discrete Cosine Transform (SDCT), which has been recently embedded into the HEVC standard, providing better compression ratios. Such technique exploits directional DCT using basis having different orientation angles, leading to a sparser representation which translates to an improved coding efficiency. The final design is able to work at a frequency of 188 MHZ, reaching a throughput of 3.00 GSample/s. In particular, this architecture supports 8k UltraHigh Definition (UHD) (7680 × 4320) with a frame rate of 60 Hz, which is one of the best resolutions supported by HEVC

Nonlinear coherent heat machines and closed-system thermodynamics

All existing heat machines are dissipative open systems. Hence, they cannot operate fully coherently. We propose to replace this conventional thermodynamic paradigm by a completely different one, whereby heat machines are nonlinear coherent closed systems comprised of few field modes. Their thermal-state input is transformed by nonlinear interactions into non-thermal output with controlled quantum fluctuations and the capacity to deliver work in a chosen mode. This new paradigm allows the bridging of quantum coherent and thermodynamic descriptions.Comment: 10 pages, 4 figures. Updated version, modified title and extended number of author

Methods of prediction and prevention of pre-eclampsia: Systematic reviews of accuracy and effectiveness literature with economic modelling

© Queen's Printer and Controller of HMSO 2008. This monograph may be freely reproduced for the purposes of private research and study and may be included in professional journals provided that suitable acknowledgement is made and the reproduction is not associated with any form of advertising.Objectives: To investigate the accuracy of predictive tests for pre-eclampsia and the effectiveness of preventative interventions for pre-eclampsia. Also to assess the cost-effectiveness of strategies (test-intervention combinations) to predict and prevent pre-eclampsia. Data sources: Major electronic databases were searched to January 2005 at least. Review methods: Systematic reviews were carried out for test accuracy and effectiveness. Quality assessment was carried out using standard tools. For test accuracy, meta-analyses used a bivariate approach. Effectiveness reviews were conducted under the auspices of the Cochrane Pregnancy and Childbirth Group and used standard Cochrane review methods. The economic evaluation was from an NHS perspective and used a decision tree model. Results: For the 27 tests reviewed, the quality of included studies was generally poor. Some tests appeared to have high specificity, but at the expense of compromised sensitivity. Tests that reached specificities above 90% were body mass index > 34, α-foetoprotein and uterine artery Doppler (bilateral notching). The only Doppler test with a sensitivity of over 60% was resistance index and combinations of indices. A few tests not commonly found in routine practice, such as kallikreinuria and SDS-PAGE proteinuria, seemed to offer the promise of high sensitivity, without compromising specificity, but these would require further investigation. For the 16 effectiveness reviews, the quality of included studies was variable. The largest review was of antiplatelet agents, primarily low-dose aspirin, and included 51 trials (36,500 women). This was the only review where the intervention was shown to prevent both preeclampsia and its consequences for the baby. Calcium supplementation also reduced the risk of preeclampsia, but with some uncertainty about the impact on outcomes for the baby. The only other intervention associated with a reduction in RR of pre-eclampsia was rest at home, with or without a nutritional supplement, for women with normal blood pressure. However, this review included just two small trials and its results should be interpreted with caution. The cost of most of the tests was modest, ranging from £5 for blood tests such as serum uric acid to approximately £20 for Doppler tests. Similarly, the cost of most interventions was also modest. In contrast, the best estimate of additional average cost associated with an average case of pre-eclampsia was high at approximately £9000. The results of the modelling revealed that prior testing with the test accuracy sensitivities and specificities identified appeared to offer little as a way of improving cost-effectiveness. Based on the evidence reviewed, none of the tests appeared sufficiently accurate to be clinically useful and the results of the model favoured no-test/treat-all strategies. Rest at home without any initial testing appeared to be the most cost-effective 'test-treatment' combination. Calcium supplementation to all women, without any initial testing, appeared to be the second most cost-effective. The economic model provided little support that any form of Doppler test has sufficiently high sensitivity and specificity to be cost-effective for the early identification of pre-eclampsia. It also suggested that the pattern of cost-effectiveness was no different in high-risk mothers than the low-risk mothers considered in the base case. Conclusions: The tests evaluated are not sufficiently accurate, in our opinion, to suggest their routine use in clinical practice. Calcium and antiplatelet agents, primarily low-dose aspirin, were the interventions shown to prevent pre-eclampsia. The most cost-effective approach to reducing pre-eclampsia is likely to be the provision of an effective, affordable and safe intervention applied to all mothers without prior testing to assess levels of risk. It is probably premature to suggest the implementation of a treat-all intervention strategy at present, however the feasibility and acceptability of this to women could be explored. Rigorous evaluation is needed of tests with modest cost whose initial assessments suggest that they may have high levels of both sensitivity and specificity. Similarly, there is a need for high-quality, adequately powered randomised controlled trials to investigate whether interventions such as advice to rest are indeed effective in reducing pre-eclampsia. In future, an economic model should be developed that considers not just pre-eclampsia, but other related outcomes, particularly those relevant to the infant such as perinatal death, preterm birth and small for gestational age. Such a modelling project should make provision for primary data collection on the safety of interventions and their associated costs.National Institute for Health Researc

MR-based attenuation correction for PET/MRI neurological studies with continuous-valued attenuation coefficients for bone through a conversion from R2* to CT-Hounsfield units

AIM: MR-based correction for photon attenuation in PET/MRI remains challenging, particularly for neurological applications requiring quantitation of data. Existing methods are either not sufficiently accurate or are limited by the computation time required. The goal of this study was to develop an MR-based attenuation correction method that accurately separates bone tissue from air and provides continuous-valued attenuation coefficients for bone. MATERIALS AND METHODS: PET/MRI and CT datasets were obtained from 98 subjects (mean age [±SD]: 66yrs [±9.8], 57 females) using an IRB-approved protocol and with informed consent. Subjects were injected with 352±29MBq of (18)F-Florbetapir tracer, and PET acquisitions were begun either immediately or 50min after injection. CT images of the head were acquired separately using a PET/CT system. Dual echo ultrashort echo-time (UTE) images and two-point Dixon images were acquired. Regions of air were segmented via a threshold of the voxel-wise multiplicative inverse of the UTE echo 1 image. Regions of bone were segmented via a threshold of the R2* image computed from the UTE echo 1 and UTE echo 2 images. Regions of fat and soft tissue were segmented using fat and water images decomposed from the Dixon images. Air, fat, and soft tissue were assigned linear attenuation coefficients (LACs) of 0, 0.092, and 0.1cm(-1), respectively. LACs for bone were derived from a regression analysis between corresponding R2* and CT values. PET images were reconstructed using the gold standard CT method and the proposed CAR-RiDR method. RESULTS: The RiDR segmentation method produces mean Dice coefficient±SD across subjects of 0.75±0.05 for bone and 0.60±0.08 for air. The CAR model for bone LACs greatly improves accuracy in estimating CT values (28.2%±3.0 mean error) compared to the use of a constant CT value (46.9%±5.8, p<10(-6)). Finally, the CAR-RiDR method provides a low whole-brain mean absolute percent-error (MAPE±SD) in PET reconstructions across subjects of 2.55%±0.86. Regional PET errors were also low and ranged from 0.88% to 3.79% in 24 brain ROIs. CONCLUSION: We propose an MR-based attenuation correction method (CAR-RiDR) for quantitative PET neurological imaging. The proposed method employs UTE and Dixon images and consists of two novel components: 1) accurate segmentation of air and bone using the inverse of the UTE1 image and the R2* image, respectively and 2) estimation of continuous LAC values for bone using a regression between R2* and CT-Hounsfield units. From our analysis, we conclude that the proposed method closely approaches (<3% error) the gold standard CT-scaled method in PET reconstruction accuracy