FORWARD RATE VOLATILITIES, SWAP RATE VOLATILITIES, AND THE IMPLEMENTATION OF THE LIBOR MARKET MODEL

This paper presents a number of new ideas concerned with the implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities used by the market to price European swap options from the volatilities used to price interest rate caps. The approximation is very accurate for the range of market parameters normally encountered and enables swap option volatility skews to be implied from cap volatility skews. It also allows the LIBOR market model to be calibrated to broker quotes on caps and European swap options so that other interest rate derivatives can be valued

The General Hull-White Model and Super Calibration

Term structure models are widely used to price interest-rate derivatives such as swaps and bonds with embedded options. This paper describes how a general one-factor model of the short-rate can be implemented as a recombining trinomial tree and calibrated to market prices of actively traded instruments such as caps and swap options. The general model encompasses most popular one-factor Markov models as special cases. The implementation and the calibration procedures are sufficiently general that they can select the functional form of the model that best fits the market prices. This allows the model to fit the prices of in- and out-ofthe- money options when there is a volatility skew. It also allows the model to work well very low interest-rate economies such as Japan where other models often fail

Effects Of Length, Complexity, And Grammatical Correctness On Stuttering In Spanish-Speaking Preschool Children

Purpose: To explore the effects of utterance length, syntactic complexity, and grammatical correctness on stuttering in the spontaneous speech of young, monolingual Spanish-speaking children. Method: Spontaneous speech samples of 11 monolingual Spanish-speaking children who stuttered, ages 35 to 70 months, were examined. Mean number of syllables, total number of clauses, utterance complexity (i.e., containing no clauses, simple clauses, or subordinate and/or conjoined clauses), and grammatical correctness (i.e., the presence or absence of morphological and syntactical errors) in stuttered and fluent utterances were compared. Results: Findings revealed that stuttered utterances in Spanish tended to be longer and more often grammatically incorrect, and contain more clauses, including more subordinate and/or conjoined clauses. However, when controlling for the interrelatedness of syllable number and clause number and complexity, only utterance length and grammatical incorrectness were significant predictors of stuttering in the spontaneous speech of these Spanish-speaking children. Use of complex utterances did not appear to contribute to the prediction of stuttering when controlling for utterance length. Conclusions: Results from the present study were consistent with many earlier reports of English-speaking children. Both length and grammatical factors appear to affect stuttering in Spanish-speaking children. Grammatical errors, however, served as the greatest predictor of stuttering.Communication Sciences and Disorder

Energy metrics to evaluate the energy use and performance of water main assets

Managing aging infrastructure has become one of the greatest challenges for water utilities, particularly when faced with selecting the most critical pipes for rehabilitation from among the thousands of candidates. This paper presents a set of novel yet practical energy metrics that quantify energy interactions at the spatial resolution of individual water mains to help utilities identify pipes for rehabilitation. The metrics are demonstrated using a benchmark system and two large, complex systems. The results show that the majority of pipes have good energy performance but that an important minority of outlier pipes have low energy efficiency and high energy losses due to friction and leakage. Pumping and tank operations tend to drive energy efficiency and energy losses in pipes close to water sources, whereas diurnal variation in demand drives energy performance of mains located far away from water sources. The new metrics of energy lost to friction and energy lost to leakage can provide information on energy performance in a pipe that is complementary to the traditional measures of unit head loss and leakage flow

From benzos to berries: treatment offered at an Aboriginal youth solvent abuse treatment centre relays the importance of culture.

First Nations and Inuit youth who abuse solvents are one of the most highly stigmatized substance-abusing groups in Canada. Drawing on a residential treatment response that is grounded in a culture-based model of resiliency, this article discusses the cultural implications for psychiatry's individualized approach to treating mental disorders. A systematic review of articles published in The Canadian Journal of Psychiatry during the past decade, augmented with a review of Canadian and international literature, revealed a gap in understanding and practice between Western psychiatric disorder-based and Aboriginal culture-based approaches to treatment and healing from substance abuse and mental disorders. Differing conceptualizations of mental health and substance abuse are discussed from Western psychiatric and Aboriginal worldviews, with a focus on connection to self, community, and political context. Applying an Aboriginal method of knowledge translation-storytelling-experiences from front-line workers in a youth solvent abuse treatment centre relay the difficulties with applying Western responses to Aboriginal healing. This lends to a discussion of how psychiatry can capitalize on the growing debate regarding the role of culture in the treatment of Aboriginal youth who abuse solvents. There is significant need for culturally competent psychiatric research specific to diagnosing and treating First Nations and Inuit youth who abuse substances, including solvents. Such understanding for front-line psychiatrists is necessary to improve practice. A health promotion perspective may be a valuable beginning point for attaining this understanding, as it situates psychiatry's approach to treating mental disorders within the etiology for Aboriginal Peoples

Urban interventionism as a challenge to aesthetic order::Towards an aesthetic criminology

This article is concerned with ideas of urban order and considers the scope for playing with people’s expectations of order. In particular, drawing on criminological, philosophical and urban studies literatures, the article explores the notion of aesthetic order. The power to dictate aesthetic order is highlighted. The example of urban interventionism is used to consider those that challenge an approved aesthetic order. Here the article draws on cultural criminology and visual criminology, with illustrations coming from research in Toronto, Canada. Influenced by Alison Young’s (2014a) conceptualisation of ‘cities within the city’, the article considers how different people using the same space have different or overlapping ways of understanding aesthetic order. Of relevance to criminology, it is contended that people or things that contravene an approved aesthetic order may face banishment and criminalisation. It is concluded that respect for such difference is required. An aesthetic criminology is suggested

FORWARD RATE VOLATILITIES, SWAP RATE VOLATILITIES, AND THE IMPLEMENTATION OF THE LIBOR MARKET MODEL

This paper presents a number of new ideas concerned with the implementation of the LIBOR market model and its extensions. It develops and tests an analytic approximation for calculating the volatilities used by the market to price European swap options from the volatilities used to price interest rate caps. The approximation is very accurate for the range of market parameters normally encountered and enables swap option volatility skews to be implied from cap volatility skews. It also allows the LIBOR market model to be calibrated to broker quotes on caps and European swap options so that other interest rate derivatives can be valued

Police performance measurement: an annotated bibliography

This study provides information to assist those involved in performance measurement in police organisations. The strategies used to identify the literature are described. Thematic sections cover; general overviews; methodological issues; performance management in other industries; national, international and cross-national studies; frameworks (e.g. Compstat; the Balanced Scorecard); criticisms (particularly unintended consequences); crime-specific measures; practitioner guides; performance evaluation of individual staff; police department plans and evaluations; annotated bibliographies in related areas, and; other literature. Our discussion offers two conclusions: the measures best aligned with performance are typically more expensive, while most operational data should only provide contextual information; the philosophy of open governance should be pursued to promote transparency, accountability and communication to improve police performance

Canadian survey on pandemic flu preparations

<p>Abstract</p> <p>Background</p> <p>The management of pandemic influenza creates public health challenges.</p> <p>An ethical framework, 'Stand on Guard for Thee: ethical considerations in pandemic influenza preparedness' that served as a template for the World Health Organization's global consultation on pandemic planning, was transformed into a survey administered to a random sample of 500 Canadians to obtain opinions on key ethical issues in pandemic preparedness planning.</p> <p>Methods</p> <p>All framework authors and additional investigators created items that were pilot-tested with volunteers of both sexes and all socioeconomic strata. Surveys were telephone administered with random sampling achieved via random digit dialing (RDD). Eligible participants were adults, 18 years or older, with per province stratification equaling provincial percent of national population. Descriptive results were tabulated and logistic regression analyses were used to assess whether demographic factors were significantly associated with outcomes.</p> <p>Results</p> <p>5464 calls identified 559 eligible participants of whom 88.5% completed surveys. Over 90% of subjects agreed the most important goal of pandemic influenza preparations was saving lives, with 41% endorsing saving lives solely in Canada and 50% endorsing saving lives globally as the highest priority. Older age (OR = 8.51, p < 0.05) and current employment (OR = 9.48, p < 0.05) were associated with an endorsement of saving lives globally as highest priority. About 90% of respondents supported the obligation of health care workers to report to work and face influenza pandemic risks excepting those with a serious health condition that increased risks. Over 84% supported the government's provision of disability insurance and death benefits for health care workers facing elevated risk. Strong majorities favored stocking adequate protective antiviral dosages for all Canadians (92%) and, if effective, influenza vaccinations (95%). Over 70% agreed Canada should provide international assistance to poorer countries for pandemic preparation, even if resources for Canadians were reduced. While 92% of this group, believed provision should be 7 to 10% of all resources generated, 43% believed the provision should be greater than 10%.</p> <p>Conclusions</p> <p>Results suggest trust in public health officials to make difficult decisions, providing emphasis on reciprocity and respect for individual rights.</p