On the consistency of jump-diffusion dynamics for FX rates under inversion

In this note we investigate the consistency under inversion of jump diffusion processes in the Foreign Exchange (FX) market. In other terms, if the EUR/USD FX rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type of dynamics? In order to give a numerical description of this property, we first calibrate a Heston model and a SABR model to market data, plotting their smiles together with the smiles of the reciprocal processes. Secondly, we determine a suitable local volatility structure ensuring consistency. We subsequently introduce jumps and analyze both constant jump size (Poisson process) and random jump size (compound Poisson process). In the first scenario, we find that consistency is automatically satisfied, for the jump size of the inverted process is a constant as well. The second case is more delicate, since we need to make sure that the distribution of jumps in the domestic measure is the same as the distribution of jumps in the foreign measure. We determine a fairly general class of admissible densities for the jump size in the domestic measure satisfying the condition.Comment: 14 pages, 3 figure

A random journey through dynamics and finance: pullback attractors, price impact, nonlinear valuation and FX market.

The main objective of this thesis is to explore several areas of Random Dynamical Systems and Mathematical Finance. We start by considering random dynamical systems with two different sources of noise, which we call common and intrinsic. We study the interplay between these two sources of randomness from a novel point of view, going beyond the usual statistical approach. We determine the stochastic Fokker-Planck equation describing the system and prove that such equation has a pullback attractor for almost all realizations of the common noise. On the mathematical finance side, we start by discussing consistency properties of jump-diffusion models with respect to inversion, with applications to the Foreign Exchange market. We first solve the constant jump size case, and then analyze the more involved case of the compound Poisson process. We determine a fairly general class of admissible densities for the jump size in the domestic measure. Then, we delve into the nonlinear valuation framework under credit risk, collateral and funding costs, generalizing the mathematical framework of \cite{brigo2019nonlinear} for what concerns in particular the filtrations and the default times. Finally, we propose a first theory of price impact in presence of an interest-rates term structure. We formulate an instantaneous and transient price impact model for zero-coupon bond, defining a cross price impact that is endogenous to the term structure. We extend this setup to coupon-bearing bonds, HJM framework and conclude by solving an optimal execution problem in interest rates market.Open Acces

Mild to classical solutions for XVA equations under stochastic volatility

We extend the valuation of contingent claims in presence of default, collateral and funding to a random functional setting and characterise pre-default value processes by martingales. Pre-default value semimartingales can also be described by BSDEs with random path-dependent coefficients and martingales as drivers. En route, we generalise previous settings by relaxing conditions on the available market information, allowing for an arbitrary default-free filtration and constructing a broad class of default times. Moreover, under stochastic volatility, we characterise pre-default value processes via mild solutions to parabolic semilinear PDEs and give sufficient conditions for mild solutions to exist uniquely and to be classical

Predictive factors of lack of response to adalimumab among bio-naive patients suffering from moderate-to severe psoriasis: analysis of a multicenter data collection in Italy

Efficacy of anti-TNF-a agents seems inferior to IL-17 and IL-23 inhibitors. Nevertheless, after biosimilars approval, anti TNF-a agents are recommended as first-line for psoriatic patients, for economic reasons

Real-world outcomes in patients with moderate-to-severe plaque psoriasis treated with guselkumab for up to 1 year

Background Real-world data on guselkumab, especially at times >6 months, are limited. Research design and methods We performed a longitudinal, retrospective analysis on 307 patients with moderate-severe chronic plaque psoriasis (Psoriasis Area Severity Index [PASI] >10) treated with guselkumab for up to 12 months. Main outcome measures PASI 75, PASI 90, and PASI 100 were assessed at baseline and at 4, 12, 20, 28, 36, 44, and 52 weeks. Results At 12 weeks, PASI 75, PASI 90, and PASI 100 were achieved in 56.4%, 33.6%, and 24.1% of patients, respectively. At 52 weeks, PASI 75, PASI 90, and PASI 100 were achieved in 82.7%, 68.7%, and 51.1% of patients, respectively. Patients without comorbidities and those naive to previous biological therapy had better responses. The mean Dermatology Life Quality Index score decreased from 14.0 at baseline to 3.1 at 12 weeks and 1.6 at 6 months, which was maintained at later times. Similar improvements were seen in pruritus visual analog scale. Conclusions Guselkumab maintains its efficacy for up to 12 months among responders in a real-world cohort of patients with moderate-severe plaque psoriasis, confirming data from prior real-world studies with smaller cohorts and shorter duration of follow-up

Effect of the COVID-19 pandemic on surgery for indeterminate thyroid nodules (THYCOVID) : a retrospective, international, multicentre, cross-sectional study

Background: Since its outbreak in early 2020, the COVID-19 pandemic has diverted resources from non-urgent and elective procedures, leading to diagnosis and treatment delays, with an increased number of neoplasms at advanced stages worldwide. The aims of this study were to quantify the reduction in surgical activity for indeterminate thyroid nodules during the COVID-19 pandemic; and to evaluate whether delays in surgery led to an increased occurrence of aggressive tumours. Methods: In this retrospective, international, cross-sectional study, centres were invited to participate in June 22, 2022; each centre joining the study was asked to provide data from medical records on all surgical thyroidectomies consecutively performed from Jan 1, 2019, to Dec 31, 2021. Patients with indeterminate thyroid nodules were divided into three groups according to when they underwent surgery: from Jan 1, 2019, to Feb 29, 2020 (global prepandemic phase), from March 1, 2020, to May 31, 2021 (pandemic escalation phase), and from June 1 to Dec 31, 2021 (pandemic decrease phase). The main outcomes were, for each phase, the number of surgeries for indeterminate thyroid nodules, and in patients with a postoperative diagnosis of thyroid cancers, the occurrence of tumours larger than 10 mm, extrathyroidal extension, lymph node metastases, vascular invasion, distant metastases, and tumours at high risk of structural disease recurrence. Univariate analysis was used to compare the probability of aggressive thyroid features between the first and third study phases. The study was registered on ClinicalTrials.gov, NCT05178186. Findings: Data from 157 centres (n=49 countries) on 87 467 patients who underwent surgery for benign and malignant thyroid disease were collected, of whom 22 974 patients (18 052 [78·6%] female patients and 4922 [21·4%] male patients) received surgery for indeterminate thyroid nodules. We observed a significant reduction in surgery for indeterminate thyroid nodules during the pandemic escalation phase (median monthly surgeries per centre, 1·4 [IQR 0·6-3·4]) compared with the prepandemic phase (2·0 [0·9-3·7]; p&lt;0·0001) and pandemic decrease phase (2·3 [1·0-5·0]; p&lt;0·0001). Compared with the prepandemic phase, in the pandemic decrease phase we observed an increased occurrence of thyroid tumours larger than 10 mm (2554 [69·0%] of 3704 vs 1515 [71·5%] of 2119; OR 1·1 [95% CI 1·0-1·3]; p=0·042), lymph node metastases (343 [9·3%] vs 264 [12·5%]; OR 1·4 [1·2-1·7]; p=0·0001), and tumours at high risk of structural disease recurrence (203 [5·7%] of 3584 vs 155 [7·7%] of 2006; OR 1·4 [1·1-1·7]; p=0·0039). Interpretation: Our study suggests that the reduction in surgical activity for indeterminate thyroid nodules during the COVID-19 pandemic period could have led to an increased occurrence of aggressive thyroid tumours. However, other compelling hypotheses, including increased selection of patients with aggressive malignancies during this period, should be considered. We suggest that surgery for indeterminate thyroid nodules should no longer be postponed even in future instances of pandemic escalation.</p

Effect of the COVID-19 pandemic on surgery for indeterminate thyroid nodules (THYCOVID): a retrospective, international, multicentre, cross-sectional study.

BACKGROUND Since its outbreak in early 2020, the COVID-19 pandemic has diverted resources from non-urgent and elective procedures, leading to diagnosis and treatment delays, with an increased number of neoplasms at advanced stages worldwide. The aims of this study were to quantify the reduction in surgical activity for indeterminate thyroid nodules during the COVID-19 pandemic; and to evaluate whether delays in surgery led to an increased occurrence of aggressive tumours. METHODS In this retrospective, international, cross-sectional study, centres were invited to participate in June 22, 2022; each centre joining the study was asked to provide data from medical records on all surgical thyroidectomies consecutively performed from Jan 1, 2019, to Dec 31, 2021. Patients with indeterminate thyroid nodules were divided into three groups according to when they underwent surgery: from Jan 1, 2019, to Feb 29, 2020 (global prepandemic phase), from March 1, 2020, to May 31, 2021 (pandemic escalation phase), and from June 1 to Dec 31, 2021 (pandemic decrease phase). The main outcomes were, for each phase, the number of surgeries for indeterminate thyroid nodules, and in patients with a postoperative diagnosis of thyroid cancers, the occurrence of tumours larger than 10 mm, extrathyroidal extension, lymph node metastases, vascular invasion, distant metastases, and tumours at high risk of structural disease recurrence. Univariate analysis was used to compare the probability of aggressive thyroid features between the first and third study phases. The study was registered on ClinicalTrials.gov, NCT05178186. FINDINGS Data from 157 centres (n=49 countries) on 87 467 patients who underwent surgery for benign and malignant thyroid disease were collected, of whom 22 974 patients (18 052 [78·6%] female patients and 4922 [21·4%] male patients) received surgery for indeterminate thyroid nodules. We observed a significant reduction in surgery for indeterminate thyroid nodules during the pandemic escalation phase (median monthly surgeries per centre, 1·4 [IQR 0·6-3·4]) compared with the prepandemic phase (2·0 [0·9-3·7]; p<0·0001) and pandemic decrease phase (2·3 [1·0-5·0]; p<0·0001). Compared with the prepandemic phase, in the pandemic decrease phase we observed an increased occurrence of thyroid tumours larger than 10 mm (2554 [69·0%] of 3704 vs 1515 [71·5%] of 2119; OR 1·1 [95% CI 1·0-1·3]; p=0·042), lymph node metastases (343 [9·3%] vs 264 [12·5%]; OR 1·4 [1·2-1·7]; p=0·0001), and tumours at high risk of structural disease recurrence (203 [5·7%] of 3584 vs 155 [7·7%] of 2006; OR 1·4 [1·1-1·7]; p=0·0039). INTERPRETATION Our study suggests that the reduction in surgical activity for indeterminate thyroid nodules during the COVID-19 pandemic period could have led to an increased occurrence of aggressive thyroid tumours. However, other compelling hypotheses, including increased selection of patients with aggressive malignancies during this period, should be considered. We suggest that surgery for indeterminate thyroid nodules should no longer be postponed even in future instances of pandemic escalation. FUNDING None

Effect of the COVID-19 pandemic on surgery for indeterminate thyroid nodules (THYCOVID): a retrospective, international, multicentre, cross-sectional study

Background: Since its outbreak in early 2020, the COVID-19 pandemic has diverted resources from non-urgent and elective procedures, leading to diagnosis and treatment delays, with an increased number of neoplasms at advanced stages worldwide. The aims of this study were to quantify the reduction in surgical activity for indeterminate thyroid nodules during the COVID-19 pandemic; and to evaluate whether delays in surgery led to an increased occurrence of aggressive tumours. Methods: In this retrospective, international, cross-sectional study, centres were invited to participate in June 22, 2022; each centre joining the study was asked to provide data from medical records on all surgical thyroidectomies consecutively performed from Jan 1, 2019, to Dec 31, 2021. Patients with indeterminate thyroid nodules were divided into three groups according to when they underwent surgery: from Jan 1, 2019, to Feb 29, 2020 (global prepandemic phase), from March 1, 2020, to May 31, 2021 (pandemic escalation phase), and from June 1 to Dec 31, 2021 (pandemic decrease phase). The main outcomes were, for each phase, the number of surgeries for indeterminate thyroid nodules, and in patients with a postoperative diagnosis of thyroid cancers, the occurrence of tumours larger than 10 mm, extrathyroidal extension, lymph node metastases, vascular invasion, distant metastases, and tumours at high risk of structural disease recurrence. Univariate analysis was used to compare the probability of aggressive thyroid features between the first and third study phases. The study was registered on ClinicalTrials.gov, NCT05178186. Findings: Data from 157 centres (n=49 countries) on 87 467 patients who underwent surgery for benign and malignant thyroid disease were collected, of whom 22 974 patients (18 052 [78·6%] female patients and 4922 [21·4%] male patients) received surgery for indeterminate thyroid nodules. We observed a significant reduction in surgery for indeterminate thyroid nodules during the pandemic escalation phase (median monthly surgeries per centre, 1·4 [IQR 0·6-3·4]) compared with the prepandemic phase (2·0 [0·9-3·7]; p&lt;0·0001) and pandemic decrease phase (2·3 [1·0-5·0]; p&lt;0·0001). Compared with the prepandemic phase, in the pandemic decrease phase we observed an increased occurrence of thyroid tumours larger than 10 mm (2554 [69·0%] of 3704 vs 1515 [71·5%] of 2119; OR 1·1 [95% CI 1·0-1·3]; p=0·042), lymph node metastases (343 [9·3%] vs 264 [12·5%]; OR 1·4 [1·2-1·7]; p=0·0001), and tumours at high risk of structural disease recurrence (203 [5·7%] of 3584 vs 155 [7·7%] of 2006; OR 1·4 [1·1-1·7]; p=0·0039). Interpretation: Our study suggests that the reduction in surgical activity for indeterminate thyroid nodules during the COVID-19 pandemic period could have led to an increased occurrence of aggressive thyroid tumours. However, other compelling hypotheses, including increased selection of patients with aggressive malignancies during this period, should be considered. We suggest that surgery for indeterminate thyroid nodules should no longer be postponed even in future instances of pandemic escalation. Funding: None