Derivative pricing and optimal execution of portfolio transactions in finitely liquid markets

In real markets, to some degree, every trade will incur a non-zero cost and will influence the price of the asset traded. In situations where a dynamic trading strategy is implemented these liquidity effects can play a significant role. In this thesis we examine two situations in which such trading strategies are inherent to the problem; that of pricing a derivative contingent on the asset and that of executing a large portfolio transaction in the asset. The asset's finite liquidity has been incorporated explicitly into its price dynamics using the Bakstein-Howison model [4]. Using this model we have derived the no-arbitrage price of a derivative on the asset and have found a true continuous-time equation when the bid-ask spread in the asset is neglected. Focussing on this pure liquidity case we then employ an asymptotic analysis to examine the price of a European call option near strike and expiry where the liquidity effects are shown to be most significant and closed-form expressions for the price are derived in this region. The asset price model is then extended to incorporate the empirical fact that an asset's liquidity mean reverts stochastically. In this situation the pricing equation is analyzed using the multiscale asymptotic technique developed by Fouque, Papanicolaou, and Sircar [22] and a simplified pricing and calibration framework is developed for an asset possessing liquidity risk. Finally, the derivative pricing framework (both with and without liquidity risk) is applied to a new contract termed the American forward which we present as a possible hedge against an asset's liquidity risk. In the second part of the thesis we investigate how to optimally execute a large transaction of a finitely liquid asset. Using stochastic dynamic programming and attempting only to minimize the transaction's cost, we first find that the optimal strategy is static and contains the naive strategy found in previous studies, but with an extra term to account for interest rates neglected by those studies. Including time risk into the optimization procedure we find expressions for the optimal strategy in the extreme cases when the trader's aversion to this risk is very small and very large. In the former case the optimal strategy is simply the cost-minimization strategy perturbed by a small correction proportional to the trader's level of risk aversion. In the latter case the problem is shown to be much more difficult; we analyze and derive implicit closed-form solutions to the much-simplified perfect liquidity case and show numerical results to demonstrate the agreement of the solution with our intuition

Managing healthcare budgets in times of austerity: the role of program budgeting and marginal analysis

Given limited resources, priority setting or choice making will remain a reality at all levels of publicly funded healthcare across countries for many years to come. The pressures may well be even more acute as the impact of the economic crisis of 2008 continues to play out but, even as economies begin to turn around, resources within healthcare will be limited, thus some form of rationing will be required. Over the last few decades, research on healthcare priority setting has focused on methods of implementation as well as on the development of approaches related to fairness and legitimacy and on more technical aspects of decision making including the use of multi-criteria decision analysis. Recently, research has led to better understanding of evaluating priority setting activity including defining ‘success’ and articulating key elements for high performance. This body of research, however, often goes untapped by those charged with making challenging decisions and as such, in line with prevailing public sector incentives, decisions are often reliant on historical allocation patterns and/or political negotiation. These archaic and ineffective approaches not only lead to poor decisions in terms of value for money but further do not reflect basic ethical conditions that can lead to fairness in the decision-making process. The purpose of this paper is to outline a comprehensive approach to priority setting and resource allocation that has been used in different contexts across countries. This will provide decision makers with a single point of access for a basic understanding of relevant tools when faced with having to make difficult decisions about what healthcare services to fund and what not to fund. The paper also addresses several key issues related to priority setting including how health technology assessments can be used, how performance can be improved at a practical level, and what ongoing resource management practice should look like. In terms of future research, one of the most important areas of priority setting that needs further attention is how best to engage public members

Priority setting: what constitutes success? A conceptual framework for successful priority setting

BACKGROUND: The sustainability of healthcare systems worldwide is threatened by a growing demand for services and expensive innovative technologies. Decision makers struggle in this environment to set priorities appropriately, particularly because they lack consensus about which values should guide their decisions. One way to approach this problem is to determine what all relevant stakeholders understand successful priority setting to mean. The goal of this research was to develop a conceptual framework for successful priority setting. METHODS: Three separate empirical studies were completed using qualitative data collection methods (one-on-one interviews with healthcare decision makers from across Canada; focus groups with representation of patients, caregivers and policy makers; and Delphi study including scholars and decision makers from five countries). RESULTS: This paper synthesizes the findings from three studies into a framework of ten separate but interconnected elements germane to successful priority setting: stakeholder understanding, shifted priorities/reallocation of resources, decision making quality, stakeholder acceptance and satisfaction, positive externalities, stakeholder engagement, use of explicit process, information management, consideration of values and context, and revision or appeals mechanism. CONCLUSION: The ten elements specify both quantitative and qualitative dimensions of priority setting and relate to both process and outcome components. To our knowledge, this is the first framework that describes successful priority setting. The ten elements identified in this research provide guidance for decision makers and a common language to discuss priority setting success and work toward improving priority setting efforts

Axial speed of sound is related to tendon's nonlinear elasticity.

PublishedJournal ArticleResearch Support, Non-U.S. Gov'tAxial speed of sound (SOS) measurements have been successfully applied to noninvasively evaluate tendon load, while preliminary studies showed that this technique also has a potential clinical interest in the follow up of tendon injuries. The ultrasound propagation theory predicts that the SOS is determined by the effective stiffness, mass density and Poisson's ratio of the propagating medium. Tendon stiffness characterizes the tissue's mechanical quality, but it is often measured in quasi-static condition and for entire tendon segments, so it might not be the same as the effective stiffness which determines the SOS. The objectives of the present study were to investigate the relationship between axial SOS and tendon's nonlinear elasticity, measured in standard laboratory conditions, and to evaluate if tendon's mass density and cross-sectional area (CSA) affect the SOS level. Axial SOS was measured during in vitro cycling of 9 equine superficial digital tendons. Each tendon's stiffness was characterized with a tangent modulus (the continuous derivative of the true stress/true strain curve) and an elastic modulus (the slope of this curve's linear region). Tendon's SOS was found to linearly vary with the square root of the tangent modulus during loading; tendon's SOS level was found correlated to the elastic modulus's square root and inversely correlated to the tendon's CSA, but it was not affected by tendon's mass density. These results confirm that tendon's tangent and elastic moduli, measured in laboratory conditions, are related to axial SOS and they represent one of its primary determinants.Direction Générale de l’Enseignement et de la Recherche (French Ministry of Agriculture)Région Basse-NormandieInstitut National de la Recherche Agronomiqu

Cygnus PFL Switch Jitter

The Cygnus Dual Beam Radiographic Facility consists of two identical radiographic sources: Cygnus 1 and Cygnus 2. Each source has the following X-ray output: 1-mm diameter spot size, 4 rads at 1 m, 50-ns full-widthhalf-maximum. The diode pulse has the following electrical specifications: 2.25 MV, 60 kA, 60 ns. This Radiographic Facility is located in an underground tunnel test area at the Nevada Test Site (NTS). The sources were developed to produce high-resolution images on subcritical tests performed at NTS. Subcritical tests are single-shot, high-value events. For this application, it is desirable to maintain a high level of reproducibility in source output. The major components of the Cygnus machines are Marx generator, water-filled pulse forming line (PFL), water-filled coaxial transmission line, threecell inductive voltage adder, and rod-pinch diode. A primary source of fluctuation in Cygnus shot-to-shot performance may be jitter in breakdown of the main PFL switch, which is a “self-break” switch. The PFL switch breakdown time determines the peak PFL charging voltage, which ultimately affects the source X-ray spectrum and dose. Therefore, PFL switch jitter may contribute to shot-to-shot variation in these parameters, which are crucial to radiographic quality. In this paper we will present PFL switch jitter analysis for both Cygnus machines and present the correlation with dose. For this analysis, the PFL switch on each machine was maintained at a single gap setting, which has been used for the majority of shots at NTS. In addition the PFL switch performance for one larger switch gap setting will be examined

Cygnus Trigger System

The Cygnus Dual Beam Radiographic Facility consists of two radiographic sources (Cygnus 1, Cygnus 2) each with a dose rating of 4 rads at 1 m, and a 1-mm diameter spot size. The electrical specifications are: 2.25 MV, 60 kA, 60 ns. This facility is located in an underground environment at the Nevada Test Site (NTS). These sources were developed as a primary diagnostic for subcritical tests, which are single-shot, high-value events. In such an application there is an emphasis on reliability and reproducibility. A robust, low-jitter trigger system is a key element for meeting these goals. The trigger system was developed with both commercial and project-specific equipment. In addition to the traditional functions of a trigger system there are novel features added to protect the investment of a high-value shot. Details of the trigger system, including elements designed specifically for a subcritical test application, will be presented. The individual electronic components have their nominal throughput, and when assembled have a system throughput with a measured range of jitter. The shot-to-shot jitter will be assessed both individually and in combination. Trigger reliability and reproducibility results will be presented for a substantial number of shots executed at the NTS

Comparison of small intestinal contrast ultrasound with magnetic resonance enterography in pediatric Crohn's disease

Aim To compare the diagnostic yield of small intestinal contrast ultrasonography (SICUS) with magnetic resonance enterography (MRE) in routine clinical practice in a cohort of pediatric patients investigated for Crohn's disease (CD) attending a UK tertiary center. Methods and Results Patients with suspected or established CD who underwent SICUS were identified retrospectively. SICUS was compared to conventional transabdominal ultrasound (TUS), ileocolonoscopy (IC), and MRE. The accuracy and agreement of SICUS in detecting small bowel lesions and CD‐related complications were assessed using kappa (κ) coefficient statistics. A total of 93 patients (median age 15 years, range 2–17, 49 male) underwent SICUS; 58 had suspected and 35 had established CD. In suspected CD, sensitivity and specificity of SICUS in detecting CD small bowel lesions were 81.8 and 100% and for TUS 85.7 and 87.5%, respectively. In established CD, sensitivity and specificity of SICUS were 98.7 and 100% and TUS 80 and 100%, respectively. Agreement between SICUS and IC was substantial for the presence of lesions (κ = 0.73) but fair in TUS (κ = 0.31). Agreement between SICUS and IC was almost perfect for detecting strictures (κ = 0.84), with a sensitivity of 100% and specificity of 97.6%. When comparing SICUS and TUS with MRE, agreement for the presence of lesions was substantial (κ = 0.63) and moderate (κ = 0.53), respectively. Agreement between SICUS and MRE was substantial for detecting strictures (κ = 0.77) and dilatation (κ = 0.68). Conclusions SICUS offers a radiation‐free alternative for assessing pediatric small bowel CD, with diagnostic accuracy that is comparable to MRE and IC, supporting its wider use in routine practice

True stress and Poisson's ratio of tendons during loading.

PublishedJournal ArticleResearch Support, Non-U.S. Gov'tExcessive axial tension is very likely involved in the aetiology of tendon lesions, and the most appropriate indicator of tendon stress state is the true stress, the ratio of instantaneous load to instantaneous cross-sectional area (CSA). Difficulties to measure tendon CSA during tension often led to approximate true stress by assuming that CSA is constant during loading (i.e. by the engineering stress) or that tendon is incompressible, implying a Poisson's ratio of 0.5, although these hypotheses have never been tested. The objective of this study was to measure tendon CSA variation during quasi-static tensile loading, in order to assess the true stress to which the tendon is subjected and its Poisson's ratio. Eight equine superficial digital flexor tendons (SDFT, about 30cm long) were tested in tension until failure while the CSA of each tendon was measured in its metacarpal part by means of a linear laser scanner. Axial elongation and load were synchronously recorded during the test. CSA was found to linearly decrease with strain, with a mean decrease at failure of -10.7±2.8% (mean±standard deviation). True stress at failure was 7.1-13.6% higher than engineering stress, while stress estimation under the hypothesis of incompressibility differed from true stress of -6.6 to 2.3%. Average Poisson's ratio was 0.55±0.12 and did not significantly vary with load. From these results on equine SDFT it was demonstrated that tendon in axial quasi-static tension can be considered, at first approximation, as an incompressible material.Direction Générale de l’Enseignement et de la Recherche (French Ministry of Agriculture)Région Basse-NormandieInstitut National de la Recherche Agronomiqu

Genetic diversity and population structure of Angiostrongylus vasorum parasites within and between local urban foxes (Vulpes Vulpes)

Angiostrongylus vasorum is a nematode parasite of the pulmonary arteries and heart that infects domestic and wild canids. Dogs (Canis familiaris) and red foxes (Vulpes vulpes) are the most commonly affected definitive hosts. Recent studies suggest that angiostrongylosis is an emerging disease, and that red foxes may play an important role in the epidemiology of the parasite. Genetic analyses of parasites collected from dogs and foxes throughout Europe have shown that the same parasite haplotypes are commonly shared between different host species. However, the extent of genetic diversity within local A. vasorum populations and individual hosts is unknown. The objective of the present study was to assess the occurrence of genetic diversity among A. vasorum (a) recovered from different foxes within the Greater London area (a localised population, single worm per fox dataset); and (b) hosted within single foxes (multiple worms per fox dataset). During 2016, A. vasorum worms were collected from foxes culled for other purposes in London. DNA was extracted from each parasite and a partial fragment of the mitochondrial cytochrome oxidase subunit 1 (mtCOI) gene was amplified and sequenced. Sequences from the single worm dataset were compared with those published elsewhere. Combined, 19 haplotypes were described of which 15 were identified from foxes found in London, indicating that considerable genetic diversity can be detected within a local geographic area. Analysis of the multiple worm dataset identified 22 haplotypes defining worms recovered from just six foxes, emphasising the relevance of wild canines as reservoirs of genetic diversity. This is the first study to explore the genetic complexity of individual fox-hosted A. vasorum population

Evaluating priority setting success in healthcare: a pilot study

<p>Abstract</p> <p>Background</p> <p>In healthcare today, decisions are made in the face of serious resource constraints. Healthcare managers are struggling to provide high quality care, manage resources effectively, and meet changing patient needs. Healthcare managers who are constantly making difficult resource decisions desire a way to improve their priority setting processes. Despite the wealth of existing priority setting literature (for example, program budgeting and marginal analysis, accountability for reasonableness, the 'describe-evaluate-improve' strategy) there are still no tools to evaluate how healthcare resources are prioritised. This paper describes the development and piloting of a process to evaluate priority setting in health institutions. The evaluation process was designed to examine the procedural and substantive dimensions of priority setting using a multi-methods approach, including a staff survey, decision-maker interviews, and document analysis.</p> <p>Methods</p> <p>The evaluation process was piloted in a mid-size community hospital in Ontario, Canada while its leaders worked through their annual budgeting process. Both qualitative and quantitative methods were used to analyze the data.</p> <p>Results</p> <p>The evaluation process was both applicable to the context and it captured the budgeting process. In general, the pilot test provided support for our evaluation process and our definition of success, (i.e., our conceptual framework).</p> <p>Conclusions</p> <p>The purpose of the evaluation process is to provide a simple, practical way for an organization to better understand what it means to achieve success in its priority setting activities and identify areas for improvement. In order for the process to be used by healthcare managers today, modification and contextualization of the process are anticipated. As the evaluation process is applied in more health care organizations or applied repeatedly in an organization, it may become more streamlined.</p