Explicit solution of an inverse first-passage time problem for L\'{e}vy processes and counterparty credit risk

For a given Markov process $X$ and survival function $\overline{H}$ on $\mathbb{R}^+$, the inverse first-passage time problem (IFPT) is to find a barrier function $b:\mathbb{R}^+\to[-\infty,+\infty]$ such that the survival function of the first-passage time $\tau_b=\inf \{t\ge0:X(t)<b(t)\}$ is given by $\overline{H}$. In this paper, we consider a version of the IFPT problem where the barrier is fixed at zero and the problem is to find an initial distribution $\mu$ and a time-change $I$ such that for the time-changed process $X\circ I$ the IFPT problem is solved by a constant barrier at the level zero. For any L\'{e}vy process $X$ satisfying an exponential moment condition, we derive the solution of this problem in terms of $\lambda$-invariant distributions of the process $X$ killed at the epoch of first entrance into the negative half-axis. We provide an explicit characterization of such distributions, which is a result of independent interest. For a given multi-variate survival function $\overline{H}$ of generalized frailty type, we construct subsequently an explicit solution to the corresponding IFPT with the barrier level fixed at zero. We apply these results to the valuation of financial contracts that are subject to counterparty credit risk.Comment: Published at http://dx.doi.org/10.1214/14-AAP1051 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Perpetual Options and Canadization Through Fluctuation Theory

In this article it is shown that one is able to evaluate the price of perpetual calls, puts, Russian and integral options directly as the Laplace transform of a stopping time of an appropriate diusion using standard uctuation theory. This approach is oered in contrast to the approach of optimal stopping through free boundary problems [see volume 39,1 of Theory of Probability and its Applications]. Following ideas in [5], we discuss the Canadization of these options as a method of approximation to their nite time counterparts. Fluctuation theory is again used in this case

Microbicide trials for preventing HIV/AIDS in South Africa: Phase II trial participants' experiences and psychological needs

The Microbicide Division of the Department of Medical Microbiology at MEDUNSA, South Africa, recently completed a phase II expanded safety trial of the candidate microbicide Carraguard. A microbicide is a vaginal product that women might use, if proven safe and effective, to protect themselves from HIV and possibly other sexually transmitted infections (STIs). The study participants were from Ga-Rankuwa and its neighbouring areas, an historically disadvantaged residential township near Pretoria. We conducted six focus group discussions with phase II trial participants to evaluate their experiences with trial participation and their psychological needs. Participants spontaneously talked about their experiences with the study gel and speculum examinations. They felt that they had received high quality medical care. They indicated that their personal hygiene and knowledge of the female reproductive system, HIV and other STIs had improved, which helped their families and empowered them as women. Participants valued being able to discuss their anxiety about HIV/AIDS with study staff. They felt that the study provided them with a supportive environment in which their personal problems (not necessarily restricted to HIV/AIDS) could be addressed. Some recommended that the study staff improve their professionalism and punctuality. They suggested the formation of participant support groups, and expressed a preference to remain involved in the trial. Some participants appeared to have become dependent on services provided during the trial. We have taken the results of these focus group discussions into account during planning for a phase III efficacy trial of Carraguard to be conducted in the same and other similar communities. SAHARA-J (2004) 1(2): 78-86 Keywords: HIV prevention, South Africa, microbicide, ethical challenges in microbicide trials. RÉSUMÉ La Division de Microbicide du Département de Microbiologie Médicale de l'Université Médicale d'Afrique Australe, MEDUNSA, Afrique du Sud, a récemment accompli la phase II de l' épreuve de sûreté renforcée du candidat microbicide Carraguard. Un microbicide est un produit vaginal que les femmes pourraient employer, s'il est prouvé sûr et efficace, pour se protéger elles-mêmes contre le VIH et probablement d'autres infections sexuellement transmises (STIs). Les participantes à l'étude étaient de Ga-Rankuwa et de ses environs, une banlieue noire résidentielle historiquement désavantagée près de Pretoria.Nous avons conduit des discussions en six groupes d'étude avec les participants à la phase II de l'épreuve pour évaluer leurs expériences concernant la participation à l'épreuve et leurs besoins psychologiques. Les participantes ont spontanément parlé de leurs expériences relatives aux études du gel et aux examens du speculum. Elles ont estimé qu'elles avaient reçu le soin médical de haute qualité. Elles ont indiqué que leur hygiène et connaissance personnelles du système reproducteur femelle, de VIH et de tout autre STIs s'étaient améliorées, qui ont aidé leurs familles et les ont émancipées comme femmes. Les participantes ont estimé qu'elles étaient en mesure de discuter leur inquiétude au sujet de VIH/SIDA avec le personnel de l'étude. Ils ont estimé que l'étude leur a fourni un environnement de soutien dans lequel leurs problèmes personnels (pas nécessairement limités au VIH/SIDA) pourraient être adressés. Certaines ont recommandé que le personnel d'étude améliore son professionnalisme et ponctualité. Elles ont suggéré la formation des groupes de soutien de participantes, et ont exprimé leur préférence de rester impliquées dans l'épreuve. Quelques participantes ont semblé être devenues dépendantes des services fournis pendant l'épreuve. Nous avons tenu compte des résultats de ces discussions de groupe d'étude pour la planification de la phase III de l'épreuve d'efficacité du Carraguard qui devra être conduite dans la même communauté et d'autres communautés semblables. SAHARA-J (2004) 1(2): 78-86 Mots clés: Prévention de VIH, Afrique du Sud, microbicide, défis éthiques dans des épreuves de microbicid

Evidence for density dependent population regulation in southern elephant seals in the southern Indian Ocean

The means by which populations are regulated form a central theme in conservation biology, and much debate has revolved around density dependence as a mechanism driving population change. Marion Island (46o54'S, 37o45'E) is host to a relatively small breeding population of southern elephant seals, which like its counterparts in the southern Indian and southern Pacific Oceans, have declined precipitously over the past few decades. An intensive mark-recapture study, which commenced in 1983, has yielded a long time-series of resight data on this population. We used the program MARK to estimate adult female survival in this population from resight data collected over the period 1986-1999. Including concurrent population counts as covariates significantly improved our mark-recapture models and suggests density dependent population regulation to be operational in the population. Although predation may have been involved, it is far more likely that density dependent regulation has been based on a limited food supply. A significant increase in adult female survival was evident which is likely to have given rise to recent changes in population growth

The influence of Mn on the tensile properties of SSM-HPDC A1-Cu-Mg-Ag alloy A201

Synopsis: A201 aluminium alloy is a high strength casting alloy with a nominal composition of Al-4.6Cu-0.3Mg-0.6Ag. It is strengthened by the Ω(Al2Cu) phase and the θ’(Al2Cu) phase during heat treatment. Further strengthening of this alloy system can be obtained through the addition of transition elements, but care must be taken as other elements might have adverse effects on the mechanical properties. The objective of this study is to determine the influence of Mn on the tensile properties of rheo-processed Al-Cu-Mg-Ag alloy A201. ThermoCalc software was used to predict the different phases that can be expected in the alloys, and scanning electron microscopy (SEM) with energy dispersive spectroscopy (EDS) was used to investigate the actual phases that formed. The influence of these phases on tensile properties is quantified. SEM and ThermoCalc revealed that there is an increased amount of the Al20Cu2Mn3 with increasing Mn. The tensile properties showed that high amounts of Mn do have adverse effects on the tensile properties of alloy A201, especially the ductility

The fetal profile line:a proposal for a sonographic reference line to classify forehead and mandible anomalies in the second and third trimester

Objectives To test the fetal profile (FP) line, defined as the line that passes through the anterior border of the mandible and the nasion, as a reference line for forehead and mandible anomalies. Methods Volumes of 248 normal and 24 pathological fetuses (1636 and 1937?weeks gestation, respectively) were analysed retrospectively. When the FP line passes anteriorly, across or posteriorly to the frontal bone, this was defined as negative, zero or positive, respectively. When the FP line was positive the distance (F distance) between the FP line and the frontal bone was measured. Results No cases with a negative FP line were found in the normal fetuses. Before 27?weeks gestation the FP line was always zero except in one case. After 27?weeks gestation the FP line was positive in up to 25% (F distance (mean, range): 2.8, 2.13.6?mm). The FP line correctly identified 13 cases with retrognathia, 5 cases with frontal bossing and 3 cases with a sloping forehead. Conclusion Although large prospective studies are needed, the FP line may be a useful tool to detect second trimester profile anomalies such as retrognathia, sloping forehead and frontal bossing with the possibility of quantifying the latter. (c) 2012 John Wiley & Sons, Ltd

Predictive coding in ASD: inflexible weighting of prediction errors when switching from stable to volatile environments

Individuals with autism spectrum disorder (ASD) have been widely reported to show atypicalities in predictive coding, though there remains a controversy regarding what causes such atypical processing. Suggestions range from overestimation of volatility to rigidity in the reaction to environmental changes. Here, we tested two accounts directly using duration reproduction of volatile and non-volatile interval sequences. Critically, both sequences had the same set of intervals but differed in their stimulus presentation orders. Comparing individuals with ASD vs. their matched controls, we found both groups to respond to the volatility in a similar manner, albeit with a generally reduced prior in the ASD group. Interestingly, though, relative to the control group, the ASD group exhibited a markedly reduced trust in the prior in the volatile trial session when this was performed after the non-volatile session, while both groups performed comparably in the reverse session order. Our findings suggest that it is not the learning of environmental volatility that is compromised in ASD. Rather, it is their response to a change of the volatility regimen from stable to volatile, which causes a highly inflexible weighting of prediction errors.Competing Interest StatementThe authors have declared no competing interest

Effectiveness of method improvements to reduce variability of brood termination rate in honey bee brood studies under semi-field conditions

Quantitative assessments of adverse effects of plant protection products on honey bee brood (Apis mellifera L.) may be carried out according to the methods given by the OECD Guidance Document No. 75 (2007). In recent years a number of studies displayed a strong variability in brood termination rates, a key endpoint. Due to these variances no definite conclusions regarding potential brood effects were possible, and the studies needed to be repeated. Due to this, attempts to improve the methodology were initiated by the Working Group ‘Honey bee brood' of the German AG Bienenschutz. In 2011, honey bee brood studies adapted to these identified possible improvements resulted in better results compared to historical data. Based on the analysed results, the working group recommends to improve the method by using bigger colonies with more brood, using 4 instead of 3 replicates for better interpretation of data, starting the study early in the season, avoiding major modifications of the colonies shortly before application and using larger tunnels with effective crop areas preferably &gt; 80 m². To carry out quicker brood cell assessments to reduce stress for the colonies, it is recommended to use digital brood assessment, which allows marking a higher number of cells (e.g. 200 to 400 cells)