Parallel random number generators in Monte Carlo derivative pricing: An application-based test

Parallel pseudorandom number generators (PPRNG) that satisfy classical statistical tests may still demonstrate intra-stream and inter-stream correlations in real life applications. In order to investigate the suitability of a PPRNG for use in Monte Carlo pricing of financial derivatives, an application-based test is proposed to evaluate the bias and the standard error of the mean (SE) associated with the PPRNG as a gauge of intrastream and inter-stream correlations respectively. This test involves estimating the price of a vanilla European call option via Monte Carlo simulation, where the asset price at maturity is estimated by propagating the Black-Scholes stochastic differential equation via the Euler-Maruyama discretization scheme. The mean and SE profiles of the numerical results based on three PPRNG libraries (RNGSTREAM, TRNG and SPRNG) that implement parallel random numbers via sequence splitting strategies (RNGSTREAM and TRNG) and parameterization strategy (SPRNG) are compared. In terms of the bias and SE profiles, the best performing PPRNG constructed using the sequence splitting strategy is comparable to that constructed using parameterization, both use multiple recursive generators in their kernel. © de Gruyter 2012

“Early Rupture of Membranes” during Induced Labor as a Risk Factor for Cesarean Delivery in Term Nulliparas

OBJECTIVE: To determine if "early rupture of membranes" (early ROM) during induction of labor is associated with an increased risk of cesarean section in term nulliparas. STUDY DESIGN: The rate of cesarean section and the timing of ROM during the course of labor were examined in term singleton nulliparas whose labor was induced. Cases were divided into 2 groups according the timing of ROM: 1)"early ROM", defined as ROM at a cervical dilatation<4 cm during labor; and 2) "late ROM", ROM at a cervical dilatation≥4 cm during labor. Nonparametric techniques were used for statistical analysis. RESULTS: 1) In a total of 500 cases of study population, "early ROM" occurred in 43% and the overall cesarean section rate was 15.8%; 2) patients with "early ROM" had a higher rate of cesarean section and cesarean section due to failure to progress than did those with "late ROM" (overall cesarean section rate: 24%[51/215] vs. 10%[28/285], p<0.01; cesarean section rate due to failure to progress: 18%[38/215] vs. 8%[22/285], p<0.01 for each) and this difference remained significant after adjusting for confounding variables. CONCLUSION: "Early ROM" during the course of induced labor is a risk factor for cesarean section in term singleton nulliparas

The IRYSS-COPD appropriateness study: objectives, methodology, and description of the prospective cohort

<p>Abstract</p> <p>Background</p> <p>Patients with chronic obstructive pulmonary disease (COPD) often experience exacerbations of the disease that require hospitalization. Current guidelines offer little guidance for identifying patients whose clinical situation is appropriate for admission to the hospital, and properly developed and validated severity scores for COPD exacerbations are lacking. To address these important gaps in clinical care, we created the IRYSS-COPD Appropriateness Study.</p> <p>Methods/Design</p> <p>The RAND/UCLA Appropriateness Methodology was used to identify appropriate and inappropriate scenarios for hospital admission for patients experiencing COPD exacerbations. These scenarios were then applied to a prospective cohort of patients attending the emergency departments (ED) of 16 participating hospitals. Information was recorded during the time the patient was evaluated in the ED, at the time a decision was made to admit the patient to the hospital or discharge home, and during follow-up after admission or discharge home. While complete data were generally available at the time of ED admission, data were often missing at the time of decision making. Predefined assumptions were used to impute much of the missing data.</p> <p>Discussion</p> <p>The IRYSS-COPD Appropriateness Study will validate the appropriateness criteria developed by the RAND/UCLA Appropriateness Methodology and thus better delineate the requirements for admission or discharge of patients experiencing exacerbations of COPD. The study will also provide a better understanding of the determinants of outcomes of COPD exacerbations, and evaluate the equity and variability in access and outcomes in these patients.</p

On limit distributions of estimators in irregular statistical models and a new representation of fractional Brownian motion

© 2018 Elsevier B.V. We provide new results concerning the limit distributions of Bayesian estimators (BE) and maximum likelihood estimators (MLE) of location parameters of cusp-type signals in “signal plus white noise” models. The limit distributions of BE and MLE are expressed in terms of fractional Brownian motion (fBm) with the Hurst parameter H, 0<H<1 as the noise intensity tends to zero. A new representation of fBm is given in terms of cusp functions. Simulation results for the densities and variances of the limit distributions of BE and MLE are also discussed

Spatial Dynamics and Fine-Scale Vertical Behaviour of Immature Eastern Australasian White Sharks (Carcharodon carcharias).

Knowledge of the 3-dimensional space use of large marine predators is central to our understanding of ecosystem dynamics and for the development of management recommendations. Horizontal movements of white sharks, Carcharodon carcharias, in eastern Australian and New Zealand waters have been relatively well studied, yet vertical habitat use is less well understood. We dual-tagged 27 immature white sharks with Pop-Up Satellite Archival Transmitting (PSAT) and acoustic tags in New South Wales coastal shelf waters. In addition, 19 of these individuals were also fitted with Smart Position or Temperature Transmitting (SPOT) tags. PSATs of 12 sharks provided useable data; four tags were recovered, providing highly detailed archival data recorded at 3-s intervals. Horizontal movements ranged from southern Queensland to southern Tasmania and New Zealand. Sharks made extensive use of the water column (0-632 m) and experienced a broad range of temperatures (7.8-28.9 °C). Archival records revealed pronounced diel-patterns in distinct fine-scale oscillatory behaviour, with sharks occupying relatively constant depths during the day and exhibiting pronounced yo-yo diving behaviour (vertical zig-zag swimming through the water column) during the night. Our findings provide valuable new insights into the 3-dimensional space use of Eastern Australasian (EA) white sharks and contribute to the growing body on the general ecology of immature white sharks

Demand elasticities at the intensive and extensive margins for advertising mail traffic in the UK

National audienceThis book addresses major issues facing postal and delivery services throughout the world. Worldwide, there is currently a considerable amount of interest in postal and delivery economics. The industry is reacting to a state of near crisis and is implementing different drastic changes. The European Commission and member States are still wrestling with the problem of how to implement entry liberalization into postal markets, how to address digital competition, and how to maintain the Universal Service Obligation (USO).Digitalization, technological development and online platforms are strongly affecting both the way postal and delivery operators are managing their services, as well as their role on the market. Strong emphasis was attributed to the assets of Postal Operators (POs) and their added value in the digital age, as well as on new business strategies. This volume presents original essays by prominent researchers in the field, selected and edited from papers presented at the 27th Conference on Postal and Delivery Economics held in Dublin, Ireland, 22-25 May, 2019. Topics addressed by this volume include the fragmentation of the postal supply chain, blockchain and digital postal services, and the fading of traditional postal market boundaries. This book will be a useful tool not only for graduate students and professors, but also for postal administrations, consulting firms, and federal government departments

On the implied market price of risk under the stochastic numéraire

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a numéraire. An equivalent martingale measure is not unique for this market, and there are non-replicable claims. Some rational choices of the equivalent martingale measures are suggested and discussed, including implied measures calculated from bond prices constructed as a risk-free investment with deterministic payoff at the terminal time. This leads to possibility to infer a implied market price of risk process from observed historical bond prices