A hybrid commodity and interest rate market model

A joint model of commodity price and interest rate risk is constructed analogously to the multi-currency LIBOR Market Model (LMM). Going beyond a simple 're-interpretation' of the multi-currency LMM, issues arising in the application of the model to actual commodity market data are specifically addressed. Firstly, liquid market prices are only available for options on commodity futures, rather than forwards, thus the difference between forward and futures prices must be explicitly taken into account in the calibration. Secondly, we construct a procedure to achieve a consistent fit of the model to market data for interest options, commodity options and historically estimated correlations between interest rates and commodity prices. We illustrate the model by an application to real market data and derive pricing formulas for commodity spread options. © 2013 Copyright Taylor and Francis Group, LLC

Calibrating a market model with stochastic volatility to commodity and interest rate risk

© 2016 Informa UK Limited, trading as Taylor & Francis Group. Based on the multi-currency LIBOR Market Model, this paper constructs a hybrid commodity interest rate market model with a stochastic local volatility function allowing the model to simultaneously fit the implied volatility surfaces of commodity and interest rate options. Since liquid market prices are only available for options on commodity futures, rather than forwards, a convexity correction formula for the model is derived to account for the difference between forward and futures prices. A procedure for efficiently calibrating the model to interest rate and commodity volatility smiles is constructed. Finally, the model is fitted to an exogenously given correlation structure between forward interest rates and commodity prices (cross-correlation). When calibrating to options on forwards (rather than futures), the fitting of cross-correlation preserves the (separate) calibration in the two markets (interest rate and commodity options), while in the case of futures a (rapidly converging) iterative fitting procedure is presented. The fitting of cross-correlation is reduced to finding an optimal rotation of volatility vectors, which is shown to be an appropriately modified version of the ‘orthonormal Procrustes’ problem in linear algebra. The calibration approach is demonstrated in an application to market data for oil futures

Ageing, adipose tissue, fatty acids and inflammation

A common feature of ageing is the alteration in tissue distribution and composition, with a shift in fat away from lower body and subcutaneous depots to visceral and ectopic sites. Redistribution of adipose tissue towards an ectopic site can have dramatic effects on metabolic function. In skeletal muscle, increased ectopic adiposity is linked to insulin resistance through lipid mediators such as ceramide or DAG, inhibiting the insulin receptor signalling pathway. Additionally, the risk of developing cardiovascular disease is increased with elevated visceral adipose distribution. In ageing, adipose tissue becomes dysfunctional, with the pathway of differentiation of preadipocytes to mature adipocytes becoming impaired; this results in dysfunctional adipocytes less able to store fat and subsequent fat redistribution to ectopic sites. Low grade systemic inflammation is commonly observed in ageing, and may drive the adipose tissue dysfunction, as proinflammatory cytokines are capable of inhibiting adipocyte differentiation. Beyond increased ectopic adiposity, the effect of impaired adipose tissue function is an elevation in systemic free fatty acids (FFA), a common feature of many metabolic disorders. Saturated fatty acids can be regarded as the most detrimental of FFA, being capable of inducing insulin resistance and inflammation through lipid mediators such as ceramide, which can increase risk of developing atherosclerosis. Elevated FFA, in particular saturated fatty acids, maybe a driving factor for both the increased insulin resistance, cardiovascular disease risk and inflammation in older adults

Five insights from the Global Burden of Disease Study 2019

The Global Burden of Diseases, Injuries, and Risk Factors Study (GBD) 2019 provides a rules-based synthesis of the available evidence on levels and trends in health outcomes, a diverse set of risk factors, and health system responses. GBD 2019 covered 204 countries and territories, as well as first administrative level disaggregations for 22 countries, from 1990 to 2019. Because GBD is highly standardised and comprehensive, spanning both fatal and non-fatal outcomes, and uses a mutually exclusive and collectively exhaustive list of hierarchical disease and injury causes, the study provides a powerful basis for detailed and broad insights on global health trends and emerging challenges. GBD 2019 incorporates data from 281 586 sources and provides more than 3.5 billion estimates of health outcome and health system measures of interest for global, national, and subnational policy dialogue. All GBD estimates are publicly available and adhere to the Guidelines on Accurate and Transparent Health Estimate Reporting. From this vast amount of information, five key insights that are important for health, social, and economic development strategies have been distilled. These insights are subject to the many limitations outlined in each of the component GBD capstone papers.Peer reviewe