Continuous-time VIX dynamics: on the role of stochastic volatility of volatility

This paper examines the ability of several different continuous-time one- and two-factor jump-diffusion models to capture the dynamics of the VIX volatility index for the period between 1990 and 2010. For the one-factor models we study affine and non-affine specifications, possibly augmented with jumps. Jumps in one-factor models occur frequently, but add surprisingly little to the ability of the models to explain the dynamic of the VIX. We present a stochastic volatility of volatility model that can explain all the time-series characteristics of the VIX studied in this paper. Extensions demonstrate that sudden jumps in the VIX are more likely during tranquil periods and the days when jumps occur coincide with major political or economic events. Using several statistical and operational metrics we find that non-affine one-factor models outperform their affine counterparts and modeling the log of the index is superior to modeling the VIX level directly

On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory

In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derived under which the solutions of these three optimization procedures coincide and are lying on the efficient frontier, the set of mean-variance optimal portfolios. It is shown that the solutions of the Markowitz optimization problem and the quadratic utility problem are not always mean-variance efficient. The conditions for the mean-variance efficiency of the solutions depend on the unknown parameters of the asset returns. We deal with the problem of parameter uncertainty in detail and derive the probabilities that the estimated solutions of the Markowitz problem and the quadratic utility problem are mean-variance efficient. Because these probabilities deviate from one the above mentioned quadratic optimization problems are not stochastically equivalent. The obtained results are illustrated by an empirical study.Comment: Revised preprint. To appear in European Journal of Operational Research. Contains 18 pages, 6 figure

Corridor Volatility Risk and Expected Returns

This paper examines the pricing of volatility risk using SPX corridor implied volatility. We decompose model-free implied volatility into various components using different segments of the cross-section of out-of-the money put and call option prices. We find that only model-free volatility computed from the cross-section of out-of-the-money call option prices carries a significant negative risk premium in the cross-section of stock returns and subsumes all relevant information for forecasting future volatility. Our empirical results provide strong evidence that SPX out-of-the money put option prices do not contain useful information for pricing aggregate volatility risk in the cross-section of stock returns

Patient preference for second- and third-line therapies in type 2 diabetes:a prespecified secondary endpoint of the TriMaster study

Patient preference is very important for medication selection in chronic medical conditions, like type 2 diabetes, where there are many different drugs available. Patient preference balances potential efficacy with potential side effects. As both aspects of drug response can vary markedly between individuals, this decision could be informed by the patient personally experiencing the alternative medications, as occurs in a crossover trial. In the TriMaster (NCT02653209, ISRCTN12039221), randomized double-blind, three-way crossover trial patients received three different second- or third-line once-daily type 2 diabetes glucose-lowering drugs (pioglitazone 30 mg, sitagliptin 100 mg and canagliflozin 100 mg). As part of a prespecified secondary endpoint, we examined patients’ drug preference after they had tried all three drugs. In total, 448 participants were treated with all three drugs which overall showed similar glycemic control (HbA1c on pioglitazone 59.5 sitagliptin 59.9, canagliflozin 60.5 mmol mol−1, P = 0.19). In total, 115 patients (25%) preferred pioglitazone, 158 patients (35%) sitagliptin and 175 patients (38%) canagliflozin. The drug preferred by individual patients was associated with a lower HbA1c (mean: 4.6; 95% CI: 3.9, 5.3) mmol mol−1 lower versus nonpreferred) and fewer side effects (mean: 0.50; 95% CI: 0.35, 0.64) fewer side effects versus nonpreferred). Allocating therapy based on the individually preferred drugs, rather than allocating all patients the overall most preferred drug (canagliflozin), would result in more patients achieving the lowest HbA1c for them (70% versus 30%) and the fewest side effects (67% versus 50%). When precision approaches do not predict a clear optimal therapy for an individual, allowing patients to try potential suitable medications before they choose long-term therapy could be a practical alternative to optimizing treatment for type 2 diabetes

The exchange rate exposure puzzle: The long and the short of it

The exchange rate exposure puzzle has remained robust to empirical scrutiny however evidence suggests the puzzle abates when longer horizons are considered. This paper applies inference that is appropriate in a long horizon setting and finds this evidence is illusory

Refining a model of collaborative care for people with a diagnosis of bipolar, schizophrenia or other psychoses in England: a qualitative formative evaluation

This is the final version. Available on open access from BMC via the DOI in this recordAvailability of data and materials: Transcripts will not be shared in their entirety to protect the anonymity of service users and care partners delivering the intervention. However, requests for excerpts of the data will be considered on an individual basis. Please contact the corresponding author.Background Many people diagnosed with schizophrenia, bipolar or other psychoses in England receive the majority of their healthcare from primary care. Primary care practitioners may not be well equipped to meet their needs and there is often poor communication with secondary care. Collaborative care is a promising alternative model but has not been trialled specifically with this service user group in England. Collaborative care for other mental health conditions has not been widely implemented despite evidence of its effectiveness. We carried out a formative evaluation of the PARTNERS model of collaborative care, with the aim of establishing barriers and facilitators to delivery, identifying implementation support requirements and testing the initial programme theory. Methods The PARTNERS intervention was delivered on a small scale in three sites. Qualitative data was collected from primary and secondary care practitioners, service users and family carers, using semi-structured interviews, session recordings and tape-assisted recall. Deductive and inductive thematic analysis was carried out; themes were compared to the programme theory and used to inform an implementation support strategy. Results Key components of the intervention that were not consistently delivered as intended were: interaction with primary care teams, the use of coaching, and supervision. Barriers and facilitators identified were related to service commitment, care partner skills, supervisor understanding and service user motivation. An implementation support strategy was developed, with researcher facilitation of communication and supervision and additional training for practitioners. Some components of the intervention were not experienced as intended; this appeared to reflect difficulties with operationalising the intervention. Analysis of data relating to the intended outcomes of the intervention indicated that the mechanisms proposed in the programme theory had operated as expected. Conclusions Additional implementation support is likely to be required for the PARTNERS model to be delivered; the effectiveness of such support may be affected by practitioner and service user readiness to change. There is also a need to test the programme theory more fully. These issues will be addressed in the process evaluation of our full trial.National Institute for Health Research (NIHR

Non-adherence to medication and doctor-patient relationship: Evidence from a European survey

Objective: Studies on the determinants of non-adherence to medication have put emphasis in understanding the role of the doctor-patient relationship in individuals’ decision to follow recommendations. Yet, evidence on general perceptions that individuals hold about doctors and their impact on their decision to non-adhere is lacking. This paper aims to explore the issue using data from the European Social Survey (ESS). Methods: The ESS was conducted in 2004/2005 and included 45,700 participants from 24 countries in Europe. A Heckman probit model with sample selection was used for the analysis. Results: The results show that perceptions about doctors constitute the model that better explains non-adherence to prescribed medication. Conclusion and Practice Implications: Our findings confirm that general beliefs individuals have about the doctor-patient relationship impact significantly on their decision to non-adhere to prescribed medication. Key points were shown to be involvement in the decision making process, treating patients as equals and avoiding leaving unresolved issues when prescribing

Accounting for risk of non linear portfolios: a novel Fourier approach

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.