A general framework for pricing Asian options under stochastic volatility on parallel architectures

In this paper, we present a transform-based algorithm for pricing discretely monitored arithmetic Asian options with remarkable accuracy in a general stochastic volatility framework, including affine models and time-changed Lévy processes. The accuracy is justified both theoretically and experimentally. In addition, to speed up the valuation process, we employ high-performance computing technologies. More specifically, we develop a parallel option pricing system that can be easily reproduced on parallel computers, also realized as a cluster of personal computers. Numerical results showing the accuracy, speed and efficiency of the procedure are reported in the paper

A retrospective analysis of longitudinal changes in bone mineral content in cystic fibrosis

Background: We aimed to describe the longitudinal changes in bone mineral content and influencing factors, in children with cystic fibrosis (CF). Methods: One hundred children (50 females) had dual X-ray absorptiometry (DXA) performed. Of these, 48 and 24 children had two to three scans, respectively over 10 years of follow-up. DXA data were expressed as lumbar spine bone mineral content standard deviation score (LSBMCSDS) adjusted for age, gender, ethnicity and bone area. Markers of disease, anthropometry and bone biochemistry were collected retrospectively. Results: Baseline LSBMCSDS was >0.5 SDS in 13% children, between −0.5; 0.5 SDS, in 50% and ≤−0.5 in the remainder. Seventy-eight percent of the children who had baseline LSBMCSDS >−0.5, and 35% of the children with poor baseline (LSBMCSDS<−0.5), showed decreasing values in subsequent assessments. However, mean LS BMC SDS did not show a significant decline in subsequent assessments (−0.51; −0.64; −0.56; p=0.178). Lower forced expiratory volume in 1 s percent (FEV1%) low body mass index standard deviation scores (BMI SDS) and vitamin D were associated with reduction in BMC. Conclusions: Bone mineral content as assessed by DXA is sub-optimal and decreases with time in most children with CF and this study has highlighted parameters that can be addressed to improve bone health

Co-electrolysis of H2O and CO2 on exsolved Ni nanoparticles for efficient syngas generation at controllable H2/CO ratios

Syngas (CO+H2) is a key-intermediate for the production of liquid fuels via the Fischer-Tropsch process. An emerging technology for generating syngas is the co-electrolysis of H2O/CO2 in solid oxide cells powered by renewable electricity. An application of this technology, however, is still challenging because the Ni-based cermet fuel electrodes are susceptible to degradation under redox and coking conditions, requiring protective hydrogen atmosphere to maintain stable operation. Perovskite oxides are the most promising alternatives due to their redox stability, extensive range of functionalities and the exsolution concept. The latter allows perovskites to be decorated with uniformly dispersed Ni nanoparticles with unique functionalities that can dramatically enhance the performance. Herein, we demonstrate the advantage of employing a nanoparticle-decorated La0.43Ca0.37Ni0.06Ti0.94O3 (LCT-Ni) perovskite to efficiently generate syngas at adjustable H2/CO ratios and simultaneously avoid the need of a reducing agent, hence decreasing the total cost and complexity of the process

Convertible bond valuation in a jump diffusion setting with stochastic interest rates

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie et al. [Econometrica, 2000, 68, 1343–1376] with tractable behaviour. We define the firm’s optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates

The association of fat and other macronutrients with breast cancer: a case-control study from Greece.

The Greek diet is characterized by a high total fat but low saturated fat intake. In a hospital-based case-control study of female breast cancer conducted in Athens (1989-91), 820 patients with confirmed cancer of the breast were compared with 795 orthopaedic patient controls and 753 hospital visitor controls, matched to the cases by age and interviewer. Diet was ascertained through a semiquantitative food frequency questionnaire; macronutrient intakes were estimated from the nutrient content of a selected typical portion size for each specified food item, summed for all items. Logistic regression was used to analyse the data, controlling for demographic and reproductive risk factors for breast cancer as well as for total energy intake and mutual confounding influences among nutrients. There was no significant or suggestive association of total protein, total fat, categories of fat or total carbohydrates with breast cancer risk. Thus, the mutually adjusted relative risk per quintile and (in parenthesis) 95% confidence interval were: for protein, 1.06 (0.94-1.20); saturated fat, 0.99 (0.89-1.11); monounsaturated fat, 0.97 (0.88-1.07), polyunsaturated fat, 1.05 (0.97-1.13); and total carbohydrates, 1.03 (0.94-1.12). In alternative analytical approaches only total protein appeared to be positively associated to the occurrence of breast cancer with some consistency, but the results were far from statistically significant. These findings do not support a role for fat or other energy-generating nutrients in the aetiology of breast cancer

Bi-level optimisation of subsidy and capacity investment under competition and uncertainty

In this paper, we develop a bi-level real options framework for deriving the equilibrium Government subsidisation and firm-level capacity investment policy in a duopoly market structure. We find that strategic interactions with the Government may impact a firm’s capacity investment decision significantly and that the equilibrium subsidisation policy depends on both the market structure and the type of duopolistic competition. Interestingly, the provision of greater subsidy to the leader raises the follower’s incentive to invest earlier and in a bigger project. The loss in value of the leader, due to the follower’s entry, relative to the monopolist increases with economic uncertainty and, although a subsidy can mitigate this loss, its effect becomes less pronounced as economic uncertainty increases. We also find that a profit (welfare)-maximising Government does not offer (offers) a subsidy in a highly uncertain environment or upon low tax rate, while higher tax rate does not always decelerate investment. Finally, we find that while competition is always desirable for a social planner, a profit-maximising Government may benefit more under pre-emptive competition

Risk assessment and optimal scheduling of serial projects

The valuation and planning of complex projects are becoming increasingly challenging with rising market uncertainty and the deregulation of many industries, which have also raised the need for efficient risk management. We take the perspective of a private firm interested in sequential capacity expansion of a project and develop a framework for measuring the downside risk of the serial project and optimising the sequence of the stages. Under general distributional assumptions for the duration of each stage, we present an accurate representation of the project’s net present value (NPV) distribution based on a Pearson curve fit, leading to closed-form expressions for the associated risk measures. We then assess the impact of duration variability on the value at risk and demonstrate its role in stochastic project scheduling. We also account for the trade-off between maximising the expected NPV and minimising the risk exposure, and obtain the optimal schedule for risk-averse decision-makers. It becomes obvious that both the duration variability of each stage and the decision-makers’ risk preferences can significantly affect the optimal sequence of the stages and that high duration variability is not always undesirable, even for risk-averse decision-makers

Cytomegalovirus reactivation after bortezomib treatment for multiple myeloma and light chain amyloidosis

Objective: Cytomegalovirus (CMV) is an opportunistic herpesvirus, and reactivation of infection is possible in immunocompromised patients. Historically, the risk for haematology patients is restricted to those treated with an allogeneic transplant or T‐cell depleting agents. Bortezomib is a highly efficacious proteasome inhibitor widely used to treat multiple myeloma and light chain (AL) amyloidosis patients. The objective of this small prospective study was to quantify the risk of CMV reactivation associated with bortezomib treatment. Methods: Fifty‐seven consecutive multiple myeloma or AL amyloidosis patients commencing bortezomib‐based therapy were included. Viral copy numbers were established at baseline and then at fortnightly intervals during treatment. Pre‐emptive anti‐viral treatment was initiated in patients with a viral load >7500 copies/mL. Results: Reactivation of CMV was detected in 39% (n = 12/31) of seropositive bortezomib treated patients compared with 0% of CMV seronegative patients. Detectable DNAemia developed during the first two cycles of treatment in 83% (n = 10/12) patients. Anti‐viral treatment was initiated in 42% (n = 5/12), but no cases of active CMV disease were seen. Conclusion: This study suggests that there is a substantial risk of CMV reactivation in CMV‐seropositive plasma cell dyscrasia patients treated with bortezomib