Non-Parametric Extraction of Implied Asset Price Distributions

Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically, RNDs are deduced from option prices by making a distributional assumption, or relying on implied volatility [2]. We present a fully non-parametric method for extracting RNDs from observed option prices. The aim is to obtain a continuous, smooth, monotonic, and convex pricing function that is twice differentiable. Thus, irregularities such as negative probabilities that afflict many existing RND estimation techniques are reduced. Our method employs neural networks to obtain a smoothed pricing function, and a central finite difference approximation to the second derivative to extract the required gradients. This novel technique was successfully applied to a large set of FTSE 100 daily European exercise (ESX) put options data and as an Ansatz to the corresponding set of American exercise (SEI) put options. The results of paired t-tests showed significant differences between RNDs extracted from ESX and SEI option data, reflecting the distorting impact of early exercise possibility for the latter. In particular, the results for skewness and kurtosis suggested different shapes for the RNDs implied by the two types of put options. However, both ESX and SEI data gave an unbiased estimate of the realised FTSE 100 closing prices on the options' expiration date. We confirmed that estimates of volatility from the RNDs of both types of option were biased estimates of the realised volatility at expiration, but less so than the LIFFE tabulated at-the-money implied volatility.Comment: Paper based on Application of Physics in Financial Analysis,APFA5, Conference Presentation, Torino, Italy. 11.5 Page

Neighborhood socioeconomic disadvantage and body mass index among residentially stable mid-older aged adults : Findings from the HABITAT multilevel longitudinal study

Despite a body of evidence on the relationship between neighborhood socioeconomic disadvantage and body mass index (BMI), few studies have examined this relationship over time among ageing populations. This study examined associations between level of neighborhood socioeconomic disadvantage and the rate of change in BMI over time. The sample included 11,035 participants aged between 40 and 65 years at baseline from the HABITAT study, residing in 200 neighborhoods in Brisbane, Australia. Data were collected biennially over four waves from 2007 to 2013. Self-reported height and weight were used to calculate BMI, while neighborhood disadvantage was measured using a census-based composite index. All models were adjusted for age, education, occupation, and household income. Analyses were conducted using multilevel linear regression models. BMI increased over time at a rate of 0.08 kg/m2 (95% CI 0.02, 0.13) and 0.17 kg/m2 (95% CI 0.11, 0.29) per wave for men and women respectively. Both men and women residing in the most disadvantaged neighborhoods had a higher average BMI than their counterparts living in the least disadvantaged neighborhoods. There were no evident differences in the rate of BMI change over time by level of neighborhood disadvantage. The findings suggest that by mid-older age, the influence of neighborhood socioeconomic conditions over time on BMI may have already played out. Future research should endeavor to identify the genesis of neighborhood socioeconomic inequalities in BMI, the determinants of these inequalities, and then suitable approaches to intervening

The SCARE Statement: Consensus-based surgical case report guidelines

AbstractIntroductionCase reports have been a long held tradition within the surgical literature. Reporting guidelines can improve transparency and reporting quality. However, recent consensus-based guidelines for case reports (CARE) are not surgically focused. Our objective was to develop surgical case report guidelines.MethodsThe CARE statement was used as the basis for a Delphi consensus. The Delphi questionnaire was administered via Google Forms and conducted using standard Delphi methodology. A multidisciplinary group of surgeons and others with expertise in the reporting of case reports were invited to participate. In round one, participants stated how each item of the CARE statement should be changed and what additional items were needed. Revised and additional items from round one were put forward into a further round, where participants voted on the extent of their agreement with each item, using a nine-point Likert scale, as proposed by the Grading of Recommendations, Assessment, Development and Evaluations (GRADE) working group.ResultsIn round one, there was a 64% (38/59) response rate. Following adjustment of the guideline with the incorporation of recommended changes, round two commenced and there was an 83% (49/59) response rate. All but one of the items were approved by the participants, with Likert scores 7–9 awarded by >70% of respondents. The final guideline consists of a 14-item checklist.ConclusionWe present the SCARE Guideline, consisting of a 14-item checklist that will improve the reporting quality of surgical case reports

Molecular Imaging of Pulmonary Tuberculosis in an Ex-Vivo Mouse Model Using Spectral Photon-Counting Computed Tomography and Micro-CT

Assessment of disease burden and drug efficacy is achieved preclinically using high resolution micro computed tomography (CT). However, micro-CT is not applicable to clinical human imaging due to operating at high dose. In addition, the technology differences between micro-CT and standard clinical CT prevent direct translation of preclinical applications. The current proof-of-concept study presents spectral photon-counting CT as a clinically translatable, molecular imaging tool by assessing contrast uptake in an ex-vivo mouse model of pulmonary tuberculosis (TB). Iodine, a common contrast used in clinical CT imaging, was introduced into a murine model of TB. The excised mouse lungs were imaged using a standard micro-CT subsystem (SuperArgus) and the contrast enhanced TB lesions quantified. The same lungs were imaged using a spectral photoncounting CT system (MARS small-bore scanner). Iodine and soft tissues (water and lipid) were materially separated, and iodine uptake quantified. The volume of the TB infection quantified by spectral CT and micro-CT was found to be 2.96 mm(3) and 2.83 mm(3), respectively. This proof-of-concept study showed that spectral photon-counting CT could be used as a predictive preclinical imaging tool for the purpose of facilitating drug discovery and development. Also, as this imaging modality is available for human trials, all applications are translatable to human imaging. In conclusion, spectral photon-counting CT could accelerate a deeper understanding of infectious lung diseases using targeted pharmaceuticals and intrinsic markers, and ultimately improve the efficacy of therapies by measuring drug delivery and response to treatment in animal models and later in humans

The impact of immediate breast reconstruction on the time to delivery of adjuvant therapy: the iBRA-2 study

Background: Immediate breast reconstruction (IBR) is routinely offered to improve quality-of-life for women requiring mastectomy, but there are concerns that more complex surgery may delay adjuvant oncological treatments and compromise long-term outcomes. High-quality evidence is lacking. The iBRA-2 study aimed to investigate the impact of IBR on time to adjuvant therapy. Methods: Consecutive women undergoing mastectomy ± IBR for breast cancer July–December, 2016 were included. Patient demographics, operative, oncological and complication data were collected. Time from last definitive cancer surgery to first adjuvant treatment for patients undergoing mastectomy ± IBR were compared and risk factors associated with delays explored. Results: A total of 2540 patients were recruited from 76 centres; 1008 (39.7%) underwent IBR (implant-only [n = 675, 26.6%]; pedicled flaps [n = 105,4.1%] and free-flaps [n = 228, 8.9%]). Complications requiring re-admission or re-operation were significantly more common in patients undergoing IBR than those receiving mastectomy. Adjuvant chemotherapy or radiotherapy was required by 1235 (48.6%) patients. No clinically significant differences were seen in time to adjuvant therapy between patient groups but major complications irrespective of surgery received were significantly associated with treatment delays. Conclusions: IBR does not result in clinically significant delays to adjuvant therapy, but post-operative complications are associated with treatment delays. Strategies to minimise complications, including careful patient selection, are required to improve outcomes for patients

The SCARE Statement: Consensus-based surgical case report guidelines

Introduction: Case reports have been a long held tradition within the surgical literature. Reporting guidelines can improve transparency and reporting quality. However, recent consensus-based guidelines for case reports (CARE) are not surgically focused. Our objective was to develop surgical case report guidelines.Methods: The CARE statement was used as the basis for a Delphi consensus. The Delphi questionnaire was administered via Google Forms and conducted using standard Delphi methodology. A multidisciplinary group of surgeons and others with expertise in the reporting of case reports were invited to participate. In round one, participants stated how each item of the CARE statement should be changed and what additional items were needed. Revised and additional items from round one were put forward into a further round, where participants voted on the extent of their agreement with each item, using a nine-point Likert scale, as proposed by the Grading of Recommendations, Assessment, Development and Evaluations (GRADE) working group.Results: In round one, there was a 64% (38/59) response rate. Following adjustment of the guideline with the incorporation of recommended changes, round two commenced and there was an 83% (49/59) response rate. All but one of the items were approved by the participants, with Likert scores 7–9 awarded by >70% of respondents. The final guideline consists of a 14-item checklist.Conclusion: We present the SCARE Guideline, consisting of a 14-item checklist that will improve the reporting quality of surgical case reports.</p

Search for gravitational-lensing signatures in the full third observing run of the LIGO-Virgo network

Gravitational lensing by massive objects along the line of sight to the source causes distortions of gravitational wave-signals; such distortions may reveal information about fundamental physics, cosmology and astrophysics. In this work, we have extended the search for lensing signatures to all binary black hole events from the third observing run of the LIGO--Virgo network. We search for repeated signals from strong lensing by 1) performing targeted searches for subthreshold signals, 2) calculating the degree of overlap amongst the intrinsic parameters and sky location of pairs of signals, 3) comparing the similarities of the spectrograms amongst pairs of signals, and 4) performing dual-signal Bayesian analysis that takes into account selection effects and astrophysical knowledge. We also search for distortions to the gravitational waveform caused by 1) frequency-independent phase shifts in strongly lensed images, and 2) frequency-dependent modulation of the amplitude and phase due to point masses. None of these searches yields significant evidence for lensing. Finally, we use the non-detection of gravitational-wave lensing to constrain the lensing rate based on the latest merger-rate estimates and the fraction of dark matter composed of compact objects