Non-Parametric Extraction of Implied Asset Price Distributions

Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk (VaR) calculations than implied volatility alone [1]. Typically, RNDs are deduced from option prices by making a distributional assumption, or relying on implied volatility [2]. We present a fully non-parametric method for extracting RNDs from observed option prices. The aim is to obtain a continuous, smooth, monotonic, and convex pricing function that is twice differentiable. Thus, irregularities such as negative probabilities that afflict many existing RND estimation techniques are reduced. Our method employs neural networks to obtain a smoothed pricing function, and a central finite difference approximation to the second derivative to extract the required gradients. This novel technique was successfully applied to a large set of FTSE 100 daily European exercise (ESX) put options data and as an Ansatz to the corresponding set of American exercise (SEI) put options. The results of paired t-tests showed significant differences between RNDs extracted from ESX and SEI option data, reflecting the distorting impact of early exercise possibility for the latter. In particular, the results for skewness and kurtosis suggested different shapes for the RNDs implied by the two types of put options. However, both ESX and SEI data gave an unbiased estimate of the realised FTSE 100 closing prices on the options' expiration date. We confirmed that estimates of volatility from the RNDs of both types of option were biased estimates of the realised volatility at expiration, but less so than the LIFFE tabulated at-the-money implied volatility.Comment: Paper based on Application of Physics in Financial Analysis,APFA5, Conference Presentation, Torino, Italy. 11.5 Page

Molecular Imaging of Pulmonary Tuberculosis in an Ex-Vivo Mouse Model Using Spectral Photon-Counting Computed Tomography and Micro-CT

Assessment of disease burden and drug efficacy is achieved preclinically using high resolution micro computed tomography (CT). However, micro-CT is not applicable to clinical human imaging due to operating at high dose. In addition, the technology differences between micro-CT and standard clinical CT prevent direct translation of preclinical applications. The current proof-of-concept study presents spectral photon-counting CT as a clinically translatable, molecular imaging tool by assessing contrast uptake in an ex-vivo mouse model of pulmonary tuberculosis (TB). Iodine, a common contrast used in clinical CT imaging, was introduced into a murine model of TB. The excised mouse lungs were imaged using a standard micro-CT subsystem (SuperArgus) and the contrast enhanced TB lesions quantified. The same lungs were imaged using a spectral photoncounting CT system (MARS small-bore scanner). Iodine and soft tissues (water and lipid) were materially separated, and iodine uptake quantified. The volume of the TB infection quantified by spectral CT and micro-CT was found to be 2.96 mm(3) and 2.83 mm(3), respectively. This proof-of-concept study showed that spectral photon-counting CT could be used as a predictive preclinical imaging tool for the purpose of facilitating drug discovery and development. Also, as this imaging modality is available for human trials, all applications are translatable to human imaging. In conclusion, spectral photon-counting CT could accelerate a deeper understanding of infectious lung diseases using targeted pharmaceuticals and intrinsic markers, and ultimately improve the efficacy of therapies by measuring drug delivery and response to treatment in animal models and later in humans

The impact of immediate breast reconstruction on the time to delivery of adjuvant therapy: the iBRA-2 study

Background: Immediate breast reconstruction (IBR) is routinely offered to improve quality-of-life for women requiring mastectomy, but there are concerns that more complex surgery may delay adjuvant oncological treatments and compromise long-term outcomes. High-quality evidence is lacking. The iBRA-2 study aimed to investigate the impact of IBR on time to adjuvant therapy. Methods: Consecutive women undergoing mastectomy ± IBR for breast cancer July–December, 2016 were included. Patient demographics, operative, oncological and complication data were collected. Time from last definitive cancer surgery to first adjuvant treatment for patients undergoing mastectomy ± IBR were compared and risk factors associated with delays explored. Results: A total of 2540 patients were recruited from 76 centres; 1008 (39.7%) underwent IBR (implant-only [n = 675, 26.6%]; pedicled flaps [n = 105,4.1%] and free-flaps [n = 228, 8.9%]). Complications requiring re-admission or re-operation were significantly more common in patients undergoing IBR than those receiving mastectomy. Adjuvant chemotherapy or radiotherapy was required by 1235 (48.6%) patients. No clinically significant differences were seen in time to adjuvant therapy between patient groups but major complications irrespective of surgery received were significantly associated with treatment delays. Conclusions: IBR does not result in clinically significant delays to adjuvant therapy, but post-operative complications are associated with treatment delays. Strategies to minimise complications, including careful patient selection, are required to improve outcomes for patients

Computational knowledge discovery techniques and their application to options market databases

EThOS - Electronic Theses Online ServiceGBUnited Kingdo

Interactive Image Segmentation of MARS Datasets Using Bag of Features

In this article, we propose a slice-based interactive segmentation of spectral CT datasets using a bag of features method. The data are acquired from a MARS scanner that divides up the X-ray spectrum into multiple energy bins for imaging. In literature, most existing segmentation methods are limited to performing a specific task or tied to a particular imaging modality. Therefore, when applying generalized methods to MARS datasets, the additional energy information acquired from the scanner cannot be sufficiently utilized. We describe a new approach that circumvents this problem by effectively aggregating the data from multiple channels. Our method solves a classification problem to get the solution for segmentation. Starting with a set of labeled pixels, we partition the data using superpixels. Then, a set of local descriptors, extracted from each superpixel, are encoded into a codebook and pooled together to create a global superpixel-level descriptor (bag of features representation). We propose to use the vector of locally aggregated descriptors as our encoding/pooling strategy, as it is efficient to compute and leads to good results with simple linear classifiers. A linear support vector machine is then used to classify the superpixels into different labels. The proposed method was evaluated on multiple MARS datasets. Experimental results show that our method achieved an average of more than 10% increase in the accuracy over other state-of-the-art methods