Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations

In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa (2003). Efficient path-generation algorithms, such as Linear Transformation and Principal Component Analysis, exhibit a high computational cost in a market with time-dependent volatilities. We present a new and fast Cholesky algorithm for block matrices that makes the Linear Transformation even more convenient. Moreover, we propose a new-path generation technique based on a Kronecker Product Approximation. This construction returns the same accuracy of the Linear Transformation used for the computation of the deltas and the prices in the case of correlated asset returns while requiring a lower computational time. All these techniques can be easily employed for stochastic volatility models based on the mixture of multi-dimensional dynamics introduced by Brigo et al. (2004).Comment: 16 page

Quantifying compressible groundwater storage by combining cross-hole seismic surveys and head response to atmospheric tides

Groundwater specific storage varies by orders of magnitude, is difficult to quantify, and prone to significant uncertainty. Estimating specific storage using aquifer testing is hampered by the nonuniqueness in the inversion of head data and the assumptions of the underlying conceptual model. We revisit confined poroelastic theory and reveal that the uniaxial specific storage can be calculated mainly from undrained poroelastic properties, namely, uniaxial bulk modulus, loading efficiency, and the Biot-Willis coefficient. In addition, literature estimates of the solid grain compressibility enables quantification of subsurface poroelastic parameters using field techniques such as cross-hole seismic surveys and loading efficiency from the groundwater responses to atmospheric tides. We quantify and compare specific storage depth profiles for two field sites, one with deep aeolian sands and another with smectitic clays. Our new results require bulk density and agree well when compared to previous approaches that rely on porosity estimates. While water in clays responds to stress, detailed sediment characterization from a core illustrates that the majority of water is adsorbed onto minerals leaving only a small fraction free to drain. This, in conjunction with a thorough analysis using our new method, demonstrates that specific storage has a physical upper limit of (Formula presented.) m−1. Consequently, if larger values are derived using aquifer hydraulic testing, then the conceptual model that has been used needs reappraisal. Our method can be used to improve confined groundwater storage estimates and refine the conceptual models used to interpret hydraulic aquifer tests

Hot new directions for quasi-Monte Carlo research in step with applications

This article provides an overview of some interfaces between the theory of quasi-Monte Carlo (QMC) methods and applications. We summarize three QMC theoretical settings: first order QMC methods in the unit cube $[0,1]^s$ and in $\mathbb{R}^s$, and higher order QMC methods in the unit cube. One important feature is that their error bounds can be independent of the dimension $s$ under appropriate conditions on the function spaces. Another important feature is that good parameters for these QMC methods can be obtained by fast efficient algorithms even when $s$ is large. We outline three different applications and explain how they can tap into the different QMC theory. We also discuss three cost saving strategies that can be combined with QMC in these applications. Many of these recent QMC theory and methods are developed not in isolation, but in close connection with applications

Terrestrial water load and groundwater fluctuation in the Bengal Basin

Groundwater-level fluctuations represent hydraulic responses to changes in groundwater storage due to aquifer recharge and drainage as well as to changes in stress that include water mass loading and unloading above the aquifer surface. The latter ‘poroelastic’ response of confined aquifers is a well-established phenomenon which has been demonstrated in diverse hydrogeological environments but is frequently ignored in assessments of groundwater resources. Here we present high-frequency groundwater measurements over a twelve-month period from the tropical, fluvio-deltaic Bengal Aquifer System (BAS), the largest aquifer in south Asia. The groundwater level fluctuations are dominated by the aquifer poroelastic response to changes in terrestrial water loading by processes acting over periods ranging from hours to months; the effects of groundwater flow are subordinate. Our measurements represent the first direct, quantitative identification of loading effects on groundwater levels in the BAS. Our analysis highlights the potential limitations of hydrogeological analyses which ignore loading effects in this environment. We also demonstrate the potential for employing poroelastic responses in the BAS and across other tropical fluvio-deltaic regions as a direct, in-situ measure of changes in terrestrial water storage to complement analyses from the Gravity and Climate Experiment (GRACE) mission but at much higher resolution

2023 International Consensus on Cardiopulmonary Resuscitation and Emergency Cardiovascular Care Science With Treatment Recommendations: Summary From the Basic Life Support; Advanced Life Support; Pediatric Life Support; Neonatal Life Support; Education, Implementation, and Teams; and First Aid Task Forces

The International Liaison Committee on Resuscitation engages in a continuous review of new, peer-reviewed, published cardiopulmonary resuscitation and first aid science. Draft Consensus on Science With Treatment Recommendations are posted online throughout the year, and this annual summary provides more concise versions of the final Consensus on Science With Treatment Recommendations from all task forces for the year. Topics addressed by systematic reviews this year include resuscitation of cardiac arrest from drowning, extracorporeal cardiopulmonary resuscitation for adults and children, calcium during cardiac arrest, double sequential defibrillation, neuroprognostication after cardiac arrest for adults and children, maintaining normal temperature after preterm birth, heart rate monitoring methods for diagnostics in neonates, detection of exhaled carbon dioxide in neonates, family presence during resuscitation of adults, and a stepwise approach to resuscitation skills training. Members from 6 International Liaison Committee on Resuscitation task forces have assessed, discussed, and debated the quality of the evidence, using Grading of Recommendations Assessment, Development, and Evaluation criteria, and their statements include consensus treatment recommendations. Insights into the deliberations of the task forces are provided in the Justification and Evidence-to-Decision Framework Highlights sections. In addition, the task forces list priority knowledge gaps for further research. Additional topics are addressed with scoping reviews and evidence updates

2023 International Consensus on Cardiopulmonary Resuscitation and Emergency Cardiovascular Care Science With Treatment Recommendations: Summary From the Basic Life Support; Advanced Life Support; Pediatric Life Support; Neonatal Life Support; Education, Implementation, and Teams; and First Aid Task Forces

The International Liaison Committee on Resuscitation engages in a continuous review of new, peer-reviewed, published cardiopulmonary resuscitation and first aid science. Draft Consensus on Science With Treatment Recommendations are posted online throughout the year, and this annual summary provides more concise versions of the final Consensus on Science With Treatment Recommendations from all task forces for the year. Topics addressed by systematic reviews this year include resuscitation of cardiac arrest from drowning, extracorporeal cardiopulmonary resuscitation for adults and children, calcium during cardiac arrest, double sequential defibrillation, neuroprognostication after cardiac arrest for adults and children, maintaining normal temperature after preterm birth, heart rate monitoring methods for diagnostics in neonates, detection of exhaled carbon dioxide in neonates, family presence during resuscitation of adults, and a stepwise approach to resuscitation skills training. Members from 6 International Liaison Committee on Resuscitation task forces have assessed, discussed, and debated the quality of the evidence, using Grading of Recommendations Assessment, Development, and Evaluation criteria, and their statements include consensus treatment recommendations. Insights into the deliberations of the task forces are provided in the Justification and Evidence-to-Decision Framework Highlights sections. In addition, the task forces list priority knowledge gaps for further research. Additional topics are addressed with scoping reviews and evidence updates