A note on the alpha-quantile option

In this communication, we discuss some properties of a class of path dependent options based on the α-quantiles of Brownian motion. In particular we show that such options are well behaved in relation to standard options and comparatively cheaper than an equivalent class of lookback options

Estimation of Multivariate Asset Models with Jumps

We propose a consistent and computationally efficient 2-step methodology for the estimation of multidimensional non-Gaussian asset models built using L´evy processes. The proposed framework allows for dependence between assets and different tail-behaviors and jump structures for each asset. Our procedure can be applied to portfolios with a large number of assets as it is immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at Risk and intra-horizon Value at Risk, as we show in detail in an empirical illustration

Valuation of guaranteed annuity conversion options

In this note we introduce a theoretical model for the pricing and valuation of guaranteed annuity conversion options associated with certain deferred annuity pension-type contracts in the UK. The valuation approach is based on the similarity between the payoff structure of the contract and a call option written on a coupon-bearing bond. The model makes use of a one-factor Heath–Jarrow–Morton framework for the term structure of interest rates. Numerical results are investigated and the sensitivity of the price of the option to changes in the key parameters is also analyzed

Multivariate FX models with jumps: triangles, Quantos and implied correlation

We propose an integrated model of the joint dynamics of FX rates and asset prices for the pricing of FX derivatives, including Quanto products; the model is based on a multivariate construction for Levy processes which proves to be analytically tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives access to market consistent information on dependence between the relevant variables. A successful joint calibration to real market data is presented for the particular case of the Variance Gamma process

An EEG-fMRI Study on the Termination of Generalized Spike-And-Wave Discharges in Absence Epilepsy

INTRODUCTION: Different studies have investigated by means of EEG-fMRI coregistration the brain networks related to generalized spike-and-wave discharges (GSWD) in patients with idiopathic generalized epilepsy (IGE). These studies revealed a widespread GSWD-related neural network that involves the thalamus and regions of the default mode network. In this study we investigated which brain regions are critically involved in the termination of absence seizures (AS) in a group of IGE patients. METHODS: Eighteen patients (6 male; mean age 25 years) with AS were included in the EEG-fMRI study. Functional data were acquired at 3T with continuous simultaneous video-EEG recording. Event-related analysis was performed with SPM8 software, using the following regressors: (1) GSWD onset and duration; (2) GSWD offset. Data were analyzed at single-subject and at group level with a second level random effect analysis. RESULTS: A mean of 17 events for patient was recorded (mean duration of 4.2 sec). Group-level analysis related to GSWD onset respect to rest confirmed previous findings revealing thalamic activation and a precuneus/posterior cingulate deactivation. At GSWD termination we observed a decrease in BOLD signal over the bilateral dorsolateral frontal cortex respect to the baseline (and respect to GSWD onset). The contrast GSWD offset versus onset showed a BOLD signal increase over the precuneus-posterior cingulate region bilaterally. Parametric correlations between electro-clinical variables and BOLD signal at GSWD offset did not reveal significant effects. CONCLUSION: The role of the decreased neural activity of lateral prefrontal cortex at GSWD termination deserve future investigations to ascertain if it has a role in promoting the discharge offset, as well as in the determination of the cognitive deficits often present in patients with AS. The increased BOLD signal at precuneal/posterior cingulate cortex might reflect the recovery of neural activity in regions that are "suspended" during spike and waves activity, as previously hypothesized

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

Serological and cellular response to mRNA-SARS-CoV2 vaccine in patients with hematological lymphoid malignancies: Results of the study “Cervax”

messenger RNA (mRNA)-Severe acute respiratory syndrome coronavirus 2 (SARS-CoV2) vaccines such as BNT162b2 became available in late 2020, but hematological malignancy patients (HM pts) were not evaluated in initial registration trials. We hereby report the results of a prospective, unicentric, observational study Response to COVID-19 Vaccination in hEmatological malignancies (CERVAX) developed to assess the postvaccine serological and T-cell-mediated response in a cohort of SARS-CoV2-negative HM pts vaccinated with BNT162b2. Patients with lymphomas [non-Hodgkin lymphoma (NHL) and Hodgkin lymphoma (HL)], chronic lymphocytic leukemia (CLL), and multiple myeloma (MM); off-therapy for at least 3 months; in a watch-and-wait program; or in treatment with ibrutinib, venetoclax, and lenalidomide were included. Different time points were considered to assess the serological response to the vaccine: before the second dose (T1), at 3–6–12 months after the first dose (T2–3–4, respectively). Since March 2021, 39 pts have been enrolled: 15 (38%) NHL, 12 (31%) CLL, and 12 (31%) MM. There were 13 of the 39 pts (33%) seroconverted at T1; an increase of the serological response was registered after the second dose (T2) (22/39 pts, 56%) and maintained after 6 months (22/39 pts, 56%) and 12 months (24/39 pts, 61%) from the first dose (T3–T4, respectively). Non-serological responders at T4 were 7/39 (18%): 0/15 NHL, 1/12 MM (8%), and 6/12 CLL (50%). All of them were on therapy (one lenalidomide, three ibrutinib, and three venetoclax). SARS-CoV2-reactive T-cell analysis (interferon gamma release assays) was available since June 2022 and was evaluated at 12 months (T4) from the first dose of vaccine in 31/39 pts (79%). T-cell-mediated-responders were 17/31 (55%): most of them were NHL and MM (47%, 41% and 12% for NHL, MM, and CLL, respectively). Both serological and T-cell non-responders were represented by pts on active therapy (venetoclax/ibrutinib). During the period of observation, eight (20.5%) pts developed mild SARS-CoV2 infection; no coronavirus disease 19 (COVID-19)-related deaths or hospitalizations were registered. In conclusion, in our cohort of lymphoproliferative pts receiving BNT162b2, CLL diagnosis and venetoclax/ibrutinib seem to be related with a lower humoral or T-mediated response. Nevertheless, the efficacy of mRNA vaccine in HM pts and the importance to continue the vaccine program even in non-responders after the first dose are supported in our study by demonstrating that a humoral and T-cell-mediated seroconversion should be observed even in the subsets of heavily immunocompromised pts

Risk management of climate impact for tourism operators: An empirical analysis on ski resorts

The aim of this paper is to analyze the performance of hedging strategies based on snow andtemperature options developed by ski operators to protect their profitability under adversechanges in climatic conditions. The setup is based on a joint non-parametric model for snowand temperature aimed at providing a modelling support for the assessment of the impact ofthese weather variables on the number of visitors at the ski resort. The analysis is carried outconsidering the case of Austrian Alps, and examines: i) the ability of the proposed approach toprovide a realistic representation of the true data-generating process; ii) the variability reductionin the Profit and Loss of the ski operator offered by the suggested strategies; and iii) the tradeoffbetween the budget earmarked for hedging and profitability protection

ECMO for COVID-19 patients in Europe and Israel

Since March 15th, 2020, 177 centres from Europe and Israel have joined the study, routinely reporting on the ECMO support they provide to COVID-19 patients. The mean annual number of cases treated with ECMO in the participating centres before the pandemic (2019) was 55. The number of COVID-19 patients has increased rapidly each week reaching 1531 treated patients as of September 14th. The greatest number of cases has been reported from France (n = 385), UK (n = 193), Germany (n = 176), Spain (n = 166), and Italy (n = 136) .The mean age of treated patients was 52.6 years (range 16–80), 79% were male. The ECMO configuration used was VV in 91% of cases, VA in 5% and other in 4%. The mean PaO2 before ECMO implantation was 65 mmHg. The mean duration of ECMO support thus far has been 18 days and the mean ICU length of stay of these patients was 33 days. As of the 14th September, overall 841 patients have been weaned from ECMO support, 601 died during ECMO support, 71 died after withdrawal of ECMO, 79 are still receiving ECMO support and for 10 patients status n.a. . Our preliminary data suggest that patients placed on ECMO with severe refractory respiratory or cardiac failure secondary to COVID-19 have a reasonable (55%) chance of survival. Further extensive data analysis is expected to provide invaluable information on the demographics, severity of illness, indications and different ECMO management strategies in these patients