Efficient and accurate log-Lévy approximations to Lévy driven LIBOR models

The LIBOR market model is very popular for pricing interest rate derivatives, but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift term is growing exponentially fast (as a function of the tenor length). In this work, we consider a L'evy-driven LIBOR model and aim at developing accurate and efficient log-L'evy approximations for the dynamics of the rates. The approximations are based on truncation of the drift term and Picard approximation of suitable processes. Numerical experiments for FRAs, caps and swaptions show that the approximations perform very well. In addition, we also consider the log-L'evy approximation of annuities, which offers good approximations for high volatility regimes

Costing the ex situ conservation of genetic resources: maize and wheat at CIMMYT

Worldwide, the number of genebanks and the amount of seed stored in them has increased substantially over the past few decades. Most attention is focused on the likely benefits from conservation, but conserving germplasm involves costs whose nature and magnitude are largely unknown. In this paper we compile and use a set of cost data for wheat and maize stored in the CIMMYT genebank to address a number of questions. What is the cost of storing an accession of either crop for one more year, or, equivalently what is the benefit in terms of cost savings from eliminating duplicate accessions from the genebank? Relatedly, what is the cost from introducing a new accession into the genebank, given the decision to store it is revisited after one year? Does it make economic sense for CIMMYT to discard accessions that may be available elsewhere? As an extension of this line of inquiry it is possible to value the benefits from either consolidating genebanks or at least networking existing banks to reduce or eliminate duplicate holdings not needed for backup safety purposes. We present estimates of the size and scale economies evident in the CIMMYT operation as a basis for assessing the economics of consolidation. Genebanks represent a commitment to conserve seeds for the very long-run. In this study we report on these long-run costs for the CIMMYT genebank costs that are sensitive to the interest rate used and the protocols for periodically replenishing accessions that are shared with others or regenerating accessions whose viability gradually diminishes with age.Germplasm conservation., Gene banks, Plant., Maize Breeding., Wheat Breeding., Rate of return.,

Affine LIBOR models with multiple curves: Theory, examples and calibration

We introduce a multiple curve LIBOR framework that combines tractable dynamics and semi-analytic pricing formulas with positive interest rates and basis spreads. The dynamics of OIS and LIBOR rates are specified following the methodology of the affine LIBOR models and are driven by the wide and flexible class of affine processes. The affine property is preserved under forward measures, which allows to derive Fourier pricing formulas for caps, swaptions and basis swaptions. A model specification with dependent LIBOR rates is developed, that allows for an efficient and accurate calibration to a system of caplet prices

From the factory to the field: considerations of product characteristics for insecticide-treated net (ITN) bioefficacy testing

BACKGROUND: Insecticide-treated nets (ITNs) undergo a series of tests to obtain listing by World Health Organization (WHO) Prequalification. These tests characterize the bioefficacy, physical and chemical properties of the ITN. ITN procurers assume that product specifications relate to product performance. Here, ITN test methods and their underlying assumptions are discussed from the perspective of the ITN manufacturing process and product characteristics. METHODS: Data were extracted from WHO Pesticide Evaluation Scheme (WHOPES) meeting reports from 2003 to 2017, supplemented with additional chemical analysis to critically evaluate ITNs bioassays with a focus on sampling, washing and wash resistance, and bioefficacy testing. Production methods for ITNs and their impact on testing outcomes are described. RESULTS AND RECOMMENDATIONS: ITNs are not homogenous products. They vary within panels and between the sides and the roof. Running tests of wash resistance using a before/after tests on the same sample or band within a net reduces test variability. As mosquitoes frequently interact with ITN roofs, additional sampling of the roof when evaluating ITNs is advisable because in nets where roof and sides are of the same material, the contribution of roof sample (20-25%) to the average is less than the tolerance for the specification (25%). Mosquito mortality data cannot be reliably used to evaluate net surface concentration to determine regeneration time (RT) and resistance to washing as nets may regenerate beyond the insecticide concentrations needed to kill 100% of susceptible mosquitoes. Chemical assays to quantify surface concentration are needed. The Wash Resistance Index (WRI) averaged over the first four washes is only informative if the product has a log linear loss rate of insecticide. Using a WRI that excludes the first wash off gives more reliable results. Storage conditions used for product specifications are lower than those encountered under product shipping and storage that may exceed 50 degrees C, and should be reconsidered. Operational monitoring of new ITNs and linking observed product performance, such as bioefficacy after 2 or 3 years of use, with product characteristics, such as WRI, will aid the development of more robust test methods and product specifications for new products coming to market

Evaluation of Polyethylene-Based Long Lasting Treated Bed Net Netprotect on Anopheles

We studied the effect on malaria incidence, mosquito abundance, net efficacy, net use rate, chemical analysis, and holes of a long lasting insecticide treated bed net (Netprotect) in western Kenya, 2007–2010. Nets were hung in 150 households 6 months before they were hung in a second, 2 km away. Indoor resting densities were monitored by pyrethrum spray catch and malaria cases by passive detection using clinical manifestations and rapid diagnostic test. The probability of finding An. arabiensis in the control area was 2.6 times higher than that in intervention area during the first 6 months. Human blood feeding index of Anopheles funestus declined 17%. After bed nets were hung in the second area, malaria incidence declined 25% down to the level in the first area. Incidence remained at this low level for 2 years. 90% of collected nets were efficacious after 3-year use. Deltamethrin dosage declined from 1.9 to 0.5 g/kg over 3 years. Attrition rate after 3 years was 21%. WHO hole index changed from 333 to 114 to 381 over the three years. This index summarizes the numbers of holes in size categories and multiplies with the mean hole area per category. It is very sensitive to the impact of big holes in a few nets

Durability associated efficacy of long-lasting insecticidal nets after five years of household use

<p>Abstract</p> <p>Background</p> <p>Long-lasting insecticidal nets (LLINs) have been strongly advocated for use to prevent malaria in sub-Saharan Africa and have significantly reduced human-vector contact. PermaNet^®2.0 is among the five LLINs brands which have been given full approval by the WHO Pesticide Evaluation Scheme (WHOPES). The LLINs are expected to protect the malaria endemic communities, but a number of factors within the community can affect their durability and efficacy. This study evaluated the durability, efficacy and retention of PermaNet^®2.0 after five years of use in a Tanzanian community.</p> <p>Method</p> <p>Two to three day- old non blood-fed female mosquitoes from an insectary susceptible colony (<it>An. gambiae </it>s.s, this colony was established at TPRI from Kisumu, Kenya in 1992) and wild mosquito populations (<it>An. arabiensis </it>and <it>Culex quinquefasciatus</it>) were used in cone bioassay tests to assess the efficacy of mosquito nets.</p> <p>Findings</p> <p>The knockdown effect was recorded after three minutes of exposure, and mortality was recorded after 24 hours post-exposure. Mortality of <it>An. gambiae </it>s.s from insectary colony was 100% while <it>An. arabiensis </it>and <it>Cx.quinquefasciatus </it>wild populations had reduced mortality. Insecticide content of the new (the bed net of the same brand but never used before) and used PermaNet^®2.0 was determined using High Performance Liquid Chromatography (HPLC).</p> <p>Conclusion</p> <p>The results of this study suggest that, in order to achieve maximum protection against malaria, public health education focusing on bed net use and maintenance should be incorporated into the mass distribution of nets in communities.</p

Decreased motivation in the use of insecticide-treated nets in a malaria endemic area in Burkina Faso

<p>Abstract</p> <p>Background</p> <p>The use of insecticide-treated nets (ITN) is an important tool in the Roll Back Malaria (RBM) strategy. For ITNs to be effective they need to be used correctly. Previous studies have shown that many factors, such as wealth, access to health care, education, ethnicity and gender, determine the ownership and use of ITNs. Some studies showed that free distribution and public awareness campaigns increased the rate of use. However, there have been no evaluations of the short- and long-term impact of such motivation campaigns. A study carried out in a malaria endemic area in south-western Burkina Faso indicated that this increased use declined after several months. The reasons were a combination of the community representation of malaria, the perception of the effectiveness and usefulness of ITNs and also the manner in which households are organized by day and by night.</p> <p>Methods</p> <p>PermaNet 2.0^®and Olyset^®were distributed in 455 compounds at the beginning of the rainy season. The community was educated on the effectiveness of nets in reducing malaria and on how to use them. To assess motivation, qualitative tools were used: one hundred people were interviewed, two hundred houses were observed directly and two houses were monitored monthly throughout one year.</p> <p>Results</p> <p>The motivation for the use of bednets decreased after less than a year. Inhabitants' conception of malaria and the inconvenience of using bednets in small houses were the major reasons. Acceptance that ITNs were useful in reducing malaria was moderated by the fact that mosquitoes were considered to be only one of several factors which caused malaria. The appropriate and routine use of ITNs was adversely affected by the functional organization of the houses, which changed as between day and night. Bednets were not used when the perceived benefits of reduction in mosquito nuisance and of malaria were considered not to be worth the inconvenience of daily use.</p> <p>Conclusion</p> <p>In order to bridge the gap between possession and use of bednets, concerted efforts are required to change behaviour by providing accurate information, most particularly by convincing people that mosquitoes are the only source of malaria, whilst recognising that there are other diseases with similar symptoms, caused in other ways. The medical message must underline the seriousness of malaria and the presence of the malaria vector in the dry season as well as the wet, in order to encourage the use of bednets whenever transmission can occur. Communities would benefit from impregnated bednets and other vector control measures being better adapted to their homes, thus reducing the inconvenience of their use.</p