Computing option pricing models under transaction costs

AbstractThis paper deals with the Barles–Soner model arising in the hedging of portfolios for option pricing with transaction costs. This model is based on a correction volatility function Ψ solution of a nonlinear ordinary differential equation. In this paper we obtain relevant properties of the function Ψ which are crucial in the numerical analysis and computing of the underlying nonlinear Black–Scholes equation. Consistency and stability of the proposed numerical method are detailed and illustrative examples are given

An ordinal multi-criteria decision-making procedure in the context of uniform qualitative scales

Producción CientíficaIn this contribution, we propose a multi-criteria decision-making procedure that has been devised in a purely ordinal way. Agents evaluate the alternatives regarding several criteria by assigning one or two consecutive terms of a uniform ordered qualitative scale to each alternative in each criterion. Weights assigned to criteria are managed through replications of the corresponding ratings, and alternatives are ranked according to the medians of their ratings after the replications

First assessment of geophysical sensitivities from spaceborne Galileo and BeiDou GNSS-Reflectometry data collected by the UK TechDemoSat-1 Mission

The UK’s TechDemoSat-1 (TDS-1), launched 2014, has demonstrated the use of global positioning system (GPS) signals for monitoring ocean winds and sea ice. Here it is shown, for the first time, that Galileo and BeiDou signals detected by TDS-1 show similar promise. TDS-1 made seven raw data collections, recovering returns from Galileo and BeiDou, between November 2015 and March 2019. The retrieved open ocean delay Doppler maps (DDMs) are similar to those from GPS. Over sea ice, the Galileo DDMs show a distinctive triple peak. Analysis, adapted from that for GPS DDMs, gives Galileo’s signal-to-noise ratio (SNR), which is found to be inversely sensitive to wind speed, as for GPS. A Galileo track transiting from open ocean to sea ice shows a strong instantaneous SNR response. These results demonstrate the potential of future spaceborne constellations of GNSS-R (global navigation satellite system–reflectometry) instruments for exploiting signals from multiple systems: GPS, Galileo, and BeiDou

Effects of COVID-19 vaccination on disease activity in patients with rheumatoid arthritis and psoriatic arthritis on targeted therapy in the COVIDSER study

COVID-19; Artritis psoriásica; VacunaciónCOVID 19; Artritis psoriàsica; VacunacióCOVID-19; Psoriatic arthritis; VaccinationObjective: To investigate the influence of COVID-19 vaccination on disease activity in rheumatoid arthritis (RA) and psoriatic arthritis (PsA) patients under targeted therapies. Patients and methods: 1765 vaccinated patients COVID-19, 1178 (66.7%) with RA and 587 (33.3%) with PsA from the COVID-19 registry in patients with rheumatic diseases (COVIDSER) project, were included. Demographics, disease characteristics, Disease Activity Score in 28 joints (DAS28) and targeted treatments were collected. DAS28-based flare rates and categorised disease activity distribution prevaccination and post vaccination were analysed by log-linear regression and contingency analyses, respectively. The influence of vaccination on DAS28 variation as a continuous measure was evaluated using a random coefficient model. Results: The distribution of categorised disease activity and flare rates was not significantly modified by vaccination. Log-linear regression showed no significant changes in the rate of flares in the 6-month period after vaccination compared with the same period prior to vaccination in neither patients with RA nor patients with PsA. When DAS28 variations were analysed using random coefficient models, no significant variations in disease activity were detected after vaccination for both groups of patients. However, patients with RA treated with Janus kinase inhibitors (JAK-i) (1) and interleukin-6 inhibitor (IL-6-i) experienced a worsening of disease activity (1.436±0.531, p=0.007, and 1.201±0.550, p=0.029, respectively) in comparison with those treated with tumour necrosis factor inhibitor (TNF-i). Similarly, patients with PsA treated with interleukin-12/23 inhibitor (IL-12/23-i) showed a worsening of disease activity (4.476±1.906, p=0.019) compared with those treated with TNF-i. Conclusion: COVID-19 vaccination was not associated with increased rate of flares in patients with RA and PsA. However, a potential increase in disease activity in patients with RA treated with JAK-i and IL-6-i and in patients with PsA treated with IL-12/23-i warrants further investigation

Collateral effects of the COVID-19 pandemic on endocrine treatments for breast and prostate cancer in the UK: a cohort study

Background:: The COVID-19 pandemic affected cancer screening, diagnosis and treatments. Many surgeries were substituted with bridging therapies during the initial lockdown, yet consideration of treatment side effects and their management was not a priority. Objectives:: To examine how the changing social restrictions imposed by the pandemic affected incidence and trends of endocrine treatment prescriptions in newly diagnosed (incident) breast and prostate cancer patients and, secondarily, endocrine treatment-related outcomes (including bisphosphonate prescriptions, osteopenia and osteoporosis), in UK clinical practice from March 2020 to June 2022. Design:: Population-based cohort study using UK primary care Clinical Practice Research Datalink GOLD database. Methods:: There were 13,701 newly diagnosed breast cancer patients and 12,221 prostate cancer patients with ⩾1-year data availability since diagnosis between January 2017 and June 2022. Incidence rates (IR) and incidence rate ratios (IRR) were calculated across multiple time periods before and after lockdown to examine the impact of changing social restrictions on endocrine treatments and treatment-related outcomes, including osteopenia, osteoporosis and bisphosphonate prescriptions. Results:: In breast cancer patients, aromatase inhibitor (AI) prescriptions increased during lockdown versus pre-pandemic [IRR: 1.22 (95% confidence interval (CI): 1.11–1.34)], followed by a decrease post-first lockdown [IRR: 0.79 (95% CI: 0.69–0.89)]. In prostate cancer patients, first-generation antiandrogen prescriptions increased versus pre-pandemic [IRR: 1.23 (95% CI: 1.08–1.4)]. For breast cancer patients on AIs, diagnoses of osteopenia, osteoporosis and bisphosphonate prescriptions were reduced across all lockdown periods versus pre-pandemic (IRR range: 0.31–0.62). Conclusion:: During the first 2 years of the pandemic, newly diagnosed breast and prostate cancer patients were prescribed more endocrine treatments compared to pre-pandemic due to restrictions on hospital procedures replacing surgeries with bridging therapies. But breast cancer patients had fewer diagnoses of osteopenia and osteoporosis and bisphosphonate prescriptions. These patients should be followed up in the coming years for signs of bone thinning. Evidence of poorer management of treatment-related side effects will help assess resource allocation for patients at high risk for bone-related complications

Manganese(iv) oxamato-catalyzed oxidation of secondary alcohols to ketones by dioxygen and pivalaldehyde

A new manganese(IV) oxamato complex possessing a bis(moxo) dimanganese core has been synthesized, magnetically and structurally characterized, and found to catalyze the aerobic oxidation of secondary alcohols to ketones with cooxidation of pivalaldehyde to pivalic acid with good yields and high selectivities.Ruiz Garcia, Rafael, [email protected] ; Fernandez Picot, Isabel, [email protected] ; Pedro Llinares, Jose Ramon, [email protected] ; Rosello Arce, Antonio Luis, [email protected] ; Castro Bleda, Isabel, [email protected]

Triangulation network of 1929-1944 of the first 1:500 urban map of València

[EN] Triangulation is a surveying method on which earlier maps made were based. Although the origins of the method can be traced back to the 16th century, it is still used today, with minor changes, to adjust networks observed with modern geodetic techniques. In this paper we present the geodetic survey work that was carried out for the primary triangulation network of the first 1:500 urban map of the city of València (Spain). It spanned from 1929 to 1944 and resulted in 421 maps covering about 174 square kilometres. We focus on four key elements to define the geometric framework of a map: (1) the geodetic network, (2) the cartographic projection, (3) the baseline measurements, and (4) the primary triangulation. The paper is based on the interpretation of original documents and field books recovered from the archives of the València City Council. In order to check the accuracy and consistency of the survey work, we recomputed all calculations directly from the field data, following the mathematical procedures of the time. We obtained a set of transformation parameters to convert the coordinates of 1929 to current coordinates based on the European Terrestrial Reference System of 1989 (ETRS89). Results showed that the 1929 primary triangulation angles and coordinates are accurate to 8 s of arc and 35 cm respectively, and that the coordinates transform well into the current reference system with average residuals of 26 cm across nine control points, demonstrating the high quality of the 1929 work.Villar-Cano, M.; Marqués-Mateu, Á.; Jiménez-Martínez, MJ. (2020). Triangulation network of 1929-1944 of the first 1:500 urban map of València. Survey Review (Online). 52(373):317-329. https://doi.org/10.1080/00396265.2018.1564599S31732952373Bitelli, G., Cremonini, S., & Gatta, G. (2014). Cartographic heritage: Toward unconventional methods for quantitative analysis of pre-geodetic maps. Journal of Cultural Heritage, 15(2), 183-195. doi:10.1016/j.culher.2013.04.003Blachut, T. J., Chrzanowski, A., & Saastamoinen, J. H. (1979). Urban Surveying and Mapping. doi:10.1007/978-1-4612-6145-2Brinker, R. C., & Minnick, R. (Eds.). (1987). The Surveying Handbook. doi:10.1007/978-1-4757-1188-2Gatta, G. 2010. Valorizzazione di cartografia storica attraverso moderne tecniche geomatiche: recupero metrico, elaborazione e consultazione in ambiente digitale [Valuation of historic cartography using modern geomatics techniques: metric recovering, making and use in digital environment]. Doctoral thesis. Bologna: Universitá di Bologna. 295 pages. (In Italian).Gorse, C., Johnston, D., & Pritchard, M. (2012). A Dictionary of Construction, Surveying and Civil Engineering. doi:10.1093/acref/9780199534463.001.0001Hotine, M. (1939). THE RE-TRIANGULATION OF GREAT BRITAIN IV—BASE MEASUREMENT. Empire Survey Review, 5(34), 211-225. doi:10.1179/sre.1939.5.34.211Kahmen, H., & Faig, W. (1988). Surveying. doi:10.1515/9783110845716Leick, A., Rapoport, L., & Tatarnikov, D. (2015). GPS Satellite Surveying. doi:10.1002/9781119018612Murdin, P. (2009). Full Meridian of Glory. doi:10.1007/978-0-387-75534-2Schofield, W., & Breach, M. (2007). Engineering Surveying. doi:10.1201/b12847Seeber, G. (2003). Satellite Geodesy. doi:10.1515/9783110200089Snyder, J. P. (1987). Map projections: A working manual. Professional Paper. doi:10.3133/pp139

A comparative study to the numerical approximation of random Airy differential equation

The aim of this paper is twofold. First, we deal with the extension to the random framework of the piecewise Fröbenius method to solve Airy differential equations. This extension is based on mean square stochastic calculus. Second, we want to explore the capability to provide not only reliable approximations for both the average and the standard deviation functions associated to the solution stochastic process, but also to save computational time as it happens in dealing with the analogous problem in the deterministic scenario. This includes a comparison of the numerical results with respect to those obtained by other commonly used operational methods such as polynomial chaos and Monte Carlo simulations. To conduct this comparative study, we have chosen the Airy random differential equation because it has highly oscillatory solutions. This feature allows us to emphasize differences between all the considered approaches. © 2011 Elsevier Ltd. All rights reserved.This work has been partially supported by the Spanish M.C.Y.T. and FEDER grants MTM2009-08587, DPI2010-20891-C02-01 as well as the Universitat Politecnica de Valencia grant PAID-06-09 (Ref. 2588).Cortés López, JC.; Jódar Sánchez, LA.; Romero Bauset, JV.; Roselló Ferragud, MD. (2011). A comparative study to the numerical approximation of random Airy differential equation. Computers and Mathematics with Applications. 62(9):3411-3417. https://doi.org/10.1016/j.camwa.2011.08.056S3411341762