Real-Time Risk Management: An AAD-PDE Approach

We apply adjoint algorithmic differentiation (AAD) to the risk management of securities when their price dynamics are given by partial differential equations (PDE). We show how AAD can be applied to forward and backward PDEs in a straightforward manner. In the context of one-factor models for interest rates or default intensities, we show how price sensitivities are computed reliably and orders of magnitude faster than with a standard finite-difference approach. This significantly increased efficiency is obtained by combining (i) the adjoint forward PDE for calibrating model parameters, (ii) the adjoint backward PDE for derivatives pricing, and (iii) the implicit function theorem to avoid iterating the calibration procedure

AAD and least-square Monte Carlo: fast Bermudan-style options and XVA Greeks

We show how Adjoint Algorithmic Differentiation (AAD) can be used to calculate price sensitivities in regression-based Monte Carlo methods reliably and orders of magnitude faster than with standard finite-difference approaches. We present the AAD version of the celebrated least-square algorithms of Tsitsiklis and Van Roy (2001) and Longstaff and Schwartz (2001). By discussing in detail examples of practical relevance, we demonstrate how accounting for the contributions associated with the regression functions is crucial to obtain accurate estimates of the Greeks, especially in XVA applications

Microbiological surveillance of hospital ventilation systems in departments at high risk of nosocomial infections

The air in hospital wards with patients at high risk (Surgeries, Intensive Care Units and Bone Marrow Transplant Centers) has been surveyed less than the one in Operating Rooms. Therefore in this study we considered useful to verify the microbic contamination of the air of those wards evaluating the consistency of ventilation systems in relation also to the presence and location of HEPA absolute filters. Seven departments of Genoese San Martino Hospital at high risk of infection were taken into account. In there, environmental investigations have been performed by air samplings and by analyzing bacterial and fungal growth on plates after an incubation period. Almost 60% of all samples taken in wards yielded a positive result and the average values of bacterial and aspergillar charges measured at air flow emission openings decisively exceed the ones considered standard in operating rooms. Still, the average values of airborne bacterial charges were significantly higher in those wards equipped with central filters (p inf. 0.001), while as far as the aspergillar charge is concerned, no statistically relevant differences were noticed. In wards with ventilation system, the bacterial charge value raises from the emission grids to the middle of the room and to the aspiration grids, while the ward not equipped with a ventilation system presents in the middle of the room an average bacterial charge 2 to 10 times higher than the one in other wards. The average values regarding bacterial and aspergillar charges resulted quite high in all the departments surveyed. Nevertheless, if we take into account ventilation systems equipped with absolute filters HEPA located centrally or peripherally, it can be outlined that the air quality from the point of view of both microbic and aspergillar contamination turns out to be decisively better in systems with peripheral filters. Moreover, a compared analysis of the three Hematology wards allows us to infer that the presence of artificial ventilation systems can lower the bacterial and fungal compared with a ward with natural ventilation

Evaluation of microbial contamination of air in two haematology departments equipped with ventilation systems with different filtration devices

Background. Nosocomial infections (NI) are above all due to health-care workers practices, but also the contamination of the environment could lead to their rise in health-care facilities. Introduction. In the last years, the incidence of NI has increased due to a substantial rise in the number of immuno-compromised patients. These patients are often gathered in hospital areas declared at ?high risk? of infection such as Hematology and Bone Marrow Transplant ward. In this study, we evaluated microbial contamination of the air in two divisions with high risk patients, focusing on the validity of the air system with correla- tion to the presence or not of the HEPA absolute filters. Methods. An environmental surveillance study has been carried out in two Divisions of Haematology, in two different Hospitals. Investigations have been performed by sampling air and by analyzing bacterial and fungal growth on microbiology plates after an incubation period. Results. Unit A, without HEPA filters in the ventilation systems, showed a gradual increase in the bacterial load 20 and 60 days after cleaning of the ventilation system. Mycetes and Aspergilli were not present in basal conditions, at 20 or 60 days after decontamination. Unit B, equipped with HEPA filters placed at the inlet vents, showed extremely low values of the bacterial load either in basal conditions or upon inspection 60 days after cleaning. No mycetes were present. Discussion. From the results obtained, it was evident that fol- lowing the cleaning operation, the quality of the air is excellent in both types of equipment, since no mycetes were present and the bacterial load was inf. 20 CFU/mc in all the sites tested. However, although in subsequent controls mycetes were absent in both types of equipment, a great difference in the suspended bacterial load was found: Unit B was close to sterility whereas in Unit A a progressive increase was observed

Pricing fixed-income securities in an information-based framework

In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary economy. The nominal pricing kernel is at any given time assumed to be given by a function of the values of information processes at that time. By use of a change-of-measure technique we derive explicit expressions for the price processes of nominal discount bonds, and deduce the associated dynamics of the short rate of interest and the market price of risk. The interest rate positivity condition is expressed as a differential inequality. We proceed to the modelling of the price-level, which at any given time is also taken to be a function of the values of the information processes at that time. A simple model for a stochastic monetary economy is introduced in which the prices of nominal discount bonds and inflation-linked notes can be expressed in terms of aggregate consumption and the liquidity benefit generated by the money supply

2MASS NIR photometry for 693 candidate globular clusters in M31 and the Revised Bologna Catalogue

We have identified in the 2MASS database 693 known and candidate globular clusters in M31. The 2MASS J,H,K magnitudes of these objects have been transformed to the same homogeneous photometric system of existing near infrared photometry of M31 globulars, finally yielding J,H,K integrated photometry for 279 confirmed M31 clusters, 406 unconfirmed candidates and 8 objects with controversial classification. Of these objects 529 lacked any previous estimate of their near infrared magnitudes. The newly assembled near infrared dataset has been implemented into a revised version of the Bologna Catalogue of M31 globulars, with updated optical (UBVRI) photometry taken, when possible, from the most recent sources of CCD photometry available in the literature and transformed to a common photometric system. The final Revised Bologna Catalogue (available in electronic form) is the most comprehensive list presently available of confirmed and candidate M31 globular clusters, with a total of 1164 entries. In particular, it includes 337 confirmed GCs, 688 GC candidates, 10 objects with controversial classification, 70 confirmed galaxies, 55 confirmed stars, and 4 HII regions lying within ~3 deg. from the center of the M31 galaxy. Using the newly assembled database we show that the V-K color provides a powerful tool to discriminate between M31 clusters and background galaxies, and we identify a sample of 83 globular cluster candidates, which is not likely to be contaminated by misclassified galaxies.Comment: 9 pages,5 figures,accepted for publication in Astronomy & Astrophysics ASCII (commented) version of the tables 2,3,4 are available at http://www.bo.astro.it/M3

Glucagon-like peptide-1 receptor and sarcoglycan delta genetic variants can affect cardiovascular risk in chronic kidney disease patients under hemodialysis

Background Chronic kidney disease (CKD) patients under hemodialysis show a higher risk of cardiovascular (CV) mortality and morbidity than the general population. This study aims to identify genetic markers that could explain the increased CV risk in hemodialysis. Methods A total of 245 CKD patients under hemodialysis were recruited and followed up for 5\u2009years to record CV events. Genetic analysis was performed using single-nucleotide polymorphisms (SNPs) genotyping by Infinium Expanded Multi-Ethnic Genotyping Array (Illumina, San Diego, CA, USA) comparing patients with and without a history of CV events [161 cardiovascular diseases (CVDs) and 84 no CVDs]. The fixation index (Fst) measure was used to identify the most differentiated SNPs, and gene ontology analysis [Protein Analysis THrough Evolutionary Relationships (PANTHER) and Ingenuity Pathway Analysis (IPA)] was applied to define the biological/pathological roles of the associated SNPs. Partitioning tree analysis interrogated the genotype\u2013phenotype relationship between discovered genetic variants and CV phenotypes. Cox regression analysis measured the effect of these SNPs on new CV events during the follow-up (FU). Results Fst analysis identified 3218 SNPs that were significantly different between CVD and no CVD. Gene ontology analysis identified two of these SNPs as involved in cardiovascular disease pathways (Ingenuity Pathway) and heart development (Panther) and belonging to 2 different genes: Glucagon-like peptide-1 receptor (GLP1R) and Sarcoglycan delta (SGCD). The phenotype\u2013genotype analysis found a higher percentage of CVD patients carrying the GLP1R rs10305445 allele A (P\u2009=\u20090.03) and lower percentages of CVD patients carrying the SGCD rs145292439 allele A (P\u2009=\u20090.038). Moreover, SGCD rs145292439 was associated with higher levels of high-density lipoprotein (P\u2009=\u20090.015). Cox analysis confirmed the increased frequency of CV events during the 5-year FU in patients carrying GLP1R rs1035445 allele A but it did not show any significant association with SGCD rs145292439. Conclusions This study identified GLP1R rs10305445 and SCGD rs145292439 as potential genetic markers that may explain the higher risk of CVD in hemodialysis patients

Infectivity of a glucan synthesis-defective mutant of Streptococcus gordonii (Challis) in a rat endocarditis model

Streptococcus gordonii, a member of the human indigenous oral microflora, colonizes smooth tooth surfaces and contributes to dental plaque formation. Although it is not recognized as being a cariogenic pathogen, it may cause endocarditis following invasion of the bloodstream. Using allelic exchange mutagenesis, we have constructed a mutant of S. gordonii (Challis) which is defective in its single functional glucosyltransferase gene and, hence, is unable to synthesize glucan exopolymers from sucrose. When examined in a rat endocarditis model, the sucrose-grown mutant did not differ significantly from S. gordonii wild-type, suggesting that glucan polymers did not contribute to infectivity. This result was in striking contrast to that previously observed with a polymer-defective S. mutans mutant.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/30573/1/0000208.pd

Long-term Results of a Randomized Controlled Trial Analyzing the Role of Systematic Pre-operative Coronary Angiography before Elective Carotid Endarterectomy in Patients with Asymptomatic Coronary Artery Disease

ObjectivesTo evaluate the potential benefit of systematic preoperative coronary-artery angiography followed by selective coronary-artery revascularization on the incidence of myocardial infarction (MI) in patients undergoing carotid endarterectomy (CEA) without a previous history of coronary artery disease (CAD).MethodsWe randomised 426 patients who were candidates for CEA, with no history of CAD, a normal electrocardiogram (ECG), and a normal cardiac ultrasound. In group A (n = 216) all patients underwent coronary angiography before CEA. In group B (n = 210) CEA was performed without coronary angiography. Patients were not blinded for relevant assessments during follow-up. Primary end-point was the occurrence of MI at 3.5 years. The secondary end-point was the overall survival rate. Median length of follow-up was 6.2 years.ResultsIn group A, coronary angiography revealed significant coronary artery stenosis in 68 patients (31.5%). Among them, 66 underwent percutaneous Intervention (PCI) prior to CEA and 2 received combined CEA and coronary-artery bypass grafting (CABG). Postoperatively, no MI was observed in group A, whereas 6 MI occurred in group B, one of which was fatal (p = .01).During the study period, 3 MI occurred in group A (1.4%) and 33 were observed in group B (15.7%), 6 of which were fatal. The Cox model demonstrated a reduced risk of MI for patients in group A receiving coronary angiography (HR,.078; 95% CI, 0.024-0.256; p < .001). In addition, patients with diabetes and patients <70 years presented with an increased risk of MI. Survival analysis at 6 years by Kaplan-Meier estimates was 95.6 ± 3.2% in Group A and 89.7 ± 3.7% in group B (Log Rank = 6.54, p = .01).ConclusionsIn asymptomatic coronary-artery patients, systematic coronary angiography prior to CEA followed by selective PCI or CABG significantly reduces the incidence of late MI and increases long-term survival. (ClinicalTrials.gov number, NCT02260453)

Ethical Issues in Engineering Models: An Operations Researcher’s Reflections

This article starts with an overview of the author’s personal involvement—as an Operations Research consultant—in several engineering case-studies that may raise ethical questions; e.g., case-studies on nuclear waste, water management, sustainable ecology, military tactics, and animal welfare. All these case studies employ computer simulation models. In general, models are meant to solve practical problems, which may have ethical implications for the various stakeholders; namely, the modelers, the clients, and the public at large. The article further presents an overview of codes of ethics in a variety of disciples. It discusses the role of mathematical models, focusing on the validation of these models’ assumptions. Documentation of these model assumptions needs special attention. Some ethical norms and values may be quantified through the model’s multiple performance measures, which might be optimized. The uncertainty about the validity of the model leads to risk or uncertainty analysis and to a search for robust models. Ethical questions may be pressing in military models, including war games. However, computer games and the related experimental economics may also provide a special tool to study ethical issues. Finally, the article briefly discusses whistleblowing. Its many references to publications and websites enable further study of ethical issues in modeling