Implications of Brexit on EU Financial Services

Coherent privaatrech

BENCHOP–SLV: the BENCHmarking project in Option Pricing–Stochastic and Local Volatility problems

In the recent project BENCHOP–the BENCHmarking project in Option Pricing we found that Stochastic and Local Volatility problems were particularly challenging. Here we continue the effort by introducing a set of benchmark problems for this type of problems. Eight different methods targeted for the Stochastic Differential Equation (SDE) formulation and the Partial Differential Equation (PDE) formulation of the problem, as well as Fourier methods making use of the characteristic function, were implemented to solve these problems. Comparisons are made with respect to time to reach a certain error level in the computed solution for the different methods. The implemented Fourier method was superior to all others for the two problems where it was implemented. Generally, methods targeting the PDE formulation of the problem outperformed the methods for the SDE formulation. Among the methods for the PDE formulation the ADI method stood out as the best performing one

Predicting discharge location of hip fracture patients; the new discharge of hip fracture patients score

Purpose This paper reports on the development and validity of a new instrument, called the discharge of hip fracture patients score (DHP), that predicts at admission the discharge location in patients living in their own home prior to hip fracture surgery. Methods A total of 310 patients aged 50 years and above were included. Risk factors for discharge to an alternative location (DAL) were analysed with a multivariable regression analysis taking the admission variables into account with different weights based on the estimates. The score ranged from 0-100 points. The cut-off point for DAL was calculated using a ROC analysis. Reliability of the DHP was evaluated. Results Risk factors for DAL were higher age, female gender, dementia, absence of a partner and a limited level of mobility. The cut-off point was set at 30 points, with a sensitivity of 83.8%, a specificity of 64.7% and positive predictive value of 79.2%. Conclusion The DHP is a valid, simple and short instrument to be used at admission to predict discharge location of hip fracture patients

A robust spectral method for solving Heston’s model

In this paper, we consider the Heston’s volatility model (Heston in Rev. Financ. Stud. 6: 327–343, 1993]. We simulate this model using a combination of the spectral collocation method and the Laplace transforms method. To approximate the two dimensional PDE, we construct a grid which is the tensor product of the two grids, each of which is based on the Chebyshev points in the two spacial directions. The resulting semi-discrete problem is then solved by applying the Laplace transform method based on Talbot’s idea of deformation of the contour integral (Talbot in IMA J. Appl. Math. 23(1): 97–120, 1979)

The handbook for standardized field and laboratory measurements in terrestrial climate change experiments and observational studies (ClimEx)

Climate change is a world-wide threat to biodiversity and ecosystem structure, functioning and services. To understand the underlying drivers and mechanisms, and to predict the consequences for nature and people, we urgently need better understanding of the direction and magnitude of climate change impacts across the soil-plant-atmosphere continuum. An increasing number of climate change studies are creating new opportunities for meaningful and high-quality generalizations and improved process understanding. However, significant challenges exist related to data availability and/or compatibility across studies, compromising opportunities for data re-use, synthesis and upscaling. Many of these challenges relate to a lack of an established 'best practice' for measuring key impacts and responses. This restrains our current understanding of complex processes and mechanisms in terrestrial ecosystems related to climate change. To overcome these challenges, we collected best-practice methods emerging from major ecological research networks and experiments, as synthesized by 115 experts from across a wide range of scientific disciplines. Our handbook contains guidance on the selection of response variables for different purposes, protocols for standardized measurements of 66 such response variables and advice on data management. Specifically, we recommend a minimum subset of variables that should be collected in all climate change studies to allow data re-use and synthesis, and give guidance on additional variables critical for different types of synthesis and upscaling. The goal of this community effort is to facilitate awareness of the importance and broader application of standardized methods to promote data re-use, availability, compatibility and transparency. We envision improved research practices that will increase returns on investments in individual research projects, facilitate second-order research outputs and create opportunities for collaboration across scientific communities. Ultimately, this should significantly improve the quality and impact of the science, which is required to fulfil society's needs in a changing world.Peer reviewe