Smart expansion and fast calibration for jump diffusion

Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of the payoff function. Our approach relies on an asymptotic expansion related to small diffusion and small jump frequency/size. Our formula has excellent accuracy (the error on implied Black-Scholes volatilities for call option is smaller than 2 bp for various strikes and maturities). Additionally, model calibration becomes very rapid.Comment: in Finance and Stochastics (2009) a paraitr

Smart expansion and fast calibration for jump diffusion

Using Malliavin calculus techniques, we derive an analytical formula for the price of European options, for any model including local volatility and Poisson jump process. We show that the accuracy of the formula depends on the smoothness of the payoff function. Our approach relies on an asymptotic expansion related to small diffusion and small jump frequency/size. Our formula has excellent accuracy (the error on implied Black-Scholes volatilities for call option is smaller than 2 bp for various strikes and maturities). Additionally, model calibration becomes very rapid.asymptotic expansion; Malliavin calculus; volatility skew and smile; small diffusion process; small jump frequency/size

Closed forms for European options in a local volatility model

Because of its very general formulation, the local volatility model does not have an analytical solution for European options. In this article, we present a new methodology to derive closed form solutions for the price of any European options. The formula results from an asymptotic expansion, terms of which are Black-Scholes price and related Greeks. The accuracy of the formula depends on the payoff smoothness and it converges with very few terms.

Numerical analysis termal fluid in a heat exchanger with baffles inclination

A research on Thermo-hydraulic performance carried out on three types of heat exchanger with different baffles inclination 15°, 25°, 45° by the computer code Fluent, the model achievable is turbulence . The results show big recirculation zones and lower temperature peaks on the outlet for the decreased angles, the average heat transfer coefficient decreased by 1 %, pressure loss decreased by 1.2%, amount of heat exchanged between the tubes and the water increases by 1.2%

Rupture du tendon rotulien avec fracture fermée distale du fémur homolatéral

Un patient de 45 ans a subi un traumatisme du genou droit à la suite d'un accident de la voie publique occasionnant chez lui une fracture distale supra condylienne comminutive du fémur droit et une rupture du tendon rotulien ipsilatérale. Cette association est exceptionnelle et aucun cas n'a été retrouvé dans la littérature. Un diagnostic précis clinique et radiologique suivi d'une prise en charge précoce et adaptée par une ostéosynthèse interne et une rééducation fonctionnelle précoce et adaptée ont permis d'obtenir de bons résultats à long terme

Management of hepatitis C virus genotype 4: recommendations of an international expert panel.

HCV has been classified into no fewer than six major genotypes and a series of subtypes. Each HCV genotype is unique with respect to its nucleotide sequence, geographic distribution, and response to therapy. Genotypes 1, 2, and 3 are common throughout North America and Europe. HCV genotype 4 (HCV-4) is common in the Middle East and in Africa, where it is responsible for more than 80% of HCV infections. It has recently spread to several European countries. HCV-4 is considered a major cause of chronic hepatitis, cirrhosis, hepatocellular carcinoma, and liver transplantation in these regions. Although HCV-4 is the cause of approximately 20% of the 170 million cases of chronic hepatitis C in the world, it has not been the subject of widespread research. Therefore, this document, drafted by a panel of international experts, aimed to review current knowledge on the epidemiology, natural history, clinical, histological features, and treatment of HCV-4 infections

A Glycemia Risk Index (GRI) of Hypoglycemia and Hyperglycemia for Continuous Glucose Monitoring Validated by Clinician Ratings

BackgroundA composite metric for the quality of glycemia from continuous glucose monitor (CGM) tracings could be useful for assisting with basic clinical interpretation of CGM data.MethodsWe assembled a data set of 14-day CGM tracings from 225 insulin-treated adults with diabetes. Using a balanced incomplete block design, 330 clinicians who were highly experienced with CGM analysis and interpretation ranked the CGM tracings from best to worst quality of glycemia. We used principal component analysis and multiple regressions to develop a model to predict the clinician ranking based on seven standard metrics in an Ambulatory Glucose Profile: very low-glucose and low-glucose hypoglycemia; very high-glucose and high-glucose hyperglycemia; time in range; mean glucose; and coefficient of variation.ResultsThe analysis showed that clinician rankings depend on two components, one related to hypoglycemia that gives more weight to very low-glucose than to low-glucose and the other related to hyperglycemia that likewise gives greater weight to very high-glucose than to high-glucose. These two components should be calculated and displayed separately, but they can also be combined into a single Glycemia Risk Index (GRI) that corresponds closely to the clinician rankings of the overall quality of glycemia (r = 0.95). The GRI can be displayed graphically on a GRI Grid with the hypoglycemia component on the horizontal axis and the hyperglycemia component on the vertical axis. Diagonal lines divide the graph into five zones (quintiles) corresponding to the best (0th to 20th percentile) to worst (81st to 100th percentile) overall quality of glycemia. The GRI Grid enables users to track sequential changes within an individual over time and compare groups of individuals.ConclusionThe GRI is a single-number summary of the quality of glycemia. Its hypoglycemia and hyperglycemia components provide actionable scores and a graphical display (the GRI Grid) that can be used by clinicians and researchers to determine the glycemic effects of prescribed and investigational treatments

Analytical formulas for local volatility model with stochastic rates

Special Issue: Themed Issue on VolatilityInternational audienceThis paper presents new approximation formulae of European options in a local volatility model with stochastic interest rates. This is a companion paper to our work on perturbation methods for local volatility models for the case of stochastic interest rates. The originality of this approach is to model the local volatility of the discounted spot and to obtain accurate approximations with tight estimates of the error terms. This approach can also be used in the case of stochastic dividends or stochastic convenience yields. We finally provide numerical results to illustrate the accuracy with real market data

Expansion formulas for European options in a local volatility model

International audienceBecause of its very general formulation, the local volatility model does not have an analytical solution for European options. In this article, we present a new methodology to derive closed form solutions for the price of any European options. The formula results from an asymptotic expansion, terms of which are Black-Scholes price and related Greeks. The accuracy of the formula depends on the payoff smoothness and it converges with very few terms

Evolution rapide de la cirrhose au cours de la co-infection VIH/VHC (à propos de sept cas)

PARIS6-Bibl.Pitié-Salpêtrie (751132101) / SudocPARIS-BIUM (751062103) / SudocSudocFranceF