The CTMC-Heston model: calibration and exotic option pricing with SWIFT

This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model. In particular, we propose the use of a finite state continuous time Markov chain (CTMC) model, which closely approximates the classic Heston model but enables a simplified approach for consistently pricing a wide variety of financial derivatives (...

SWIFT valuation of discretely monitored arithmetic Asian options

In this work, we propose an efficient and robust valuation of discretely monitored arithmetic Asian options based on Shannon wavelets. We employ the so-called SWIFT method, a Fourier inversion numerical technique with several important advantages with respect to the existing related methods. Particularly interesting is that SWIFT provides mechanisms to determine all the free-parameters in the method, based on a prescribed precision in the density approximation. The method is applied to two general classes of dynamics: exponential Lévy models and square-root diffusions. Through the numerical experiments, we show that SWIFT outperforms state-of-the-art methods in terms of accuracy and robustness, and shows an impressive speed in execution time

On the data-driven COS method

In this paper, we present the data-driven COS method, ddCOS. It is a Fourier-based financial option valuation method which assumes the availability of asset data samples: a characteristic function of the underlying asset probability density function is not required. As such, the presented technique represents a generalization of the well-known COS method [1]. The convergence of the proposed method is in line with Monte Carlo methods for pricing financial derivatives. The ddCOS method is then particularly interesting for density recovery and also for the efficient computation of the option's sensitivities Delta and Gamma. These are often used in risk management, and can be obtained at a higher accuracy with ddCOS than with plain Monte Carlo methods

Non-alcoholic beverages and risk of bladder cancer in Uruguay

BACKGROUND: Bladder cancer is the fourth most frequent malignancy among Uruguayan men. A previous study from Uruguay suggested a high risk of bladder cancer associated with maté drinking. We conducted an additional case-control study in order to further explore the role of non-alcoholic beverages in bladder carcinogenesis. METHODS: In the time period 1996–2000, 255 incident cases with transitional cell carcinoma of the bladder and 501 patients treated in the same hospitals and in the same time period were frequency matched on age, sex, and residence. Both cases and controls were face-to-face interviewed on occupation, tobacco smoking, alcohol drinking and intake of maté, coffee, tea, and soft drinks. Statistical analysis was carried out by unconditional multiple logistic regression. RESULTS: Ever maté drinking was positively associated with bladder cancer (odds ratio [OR] 2.2, 95% confidence interval [CI] 1.2–3.9) and the risk increased for increasing duration and amount of maté drinking. Both coffee and tea were strongly associated with bladder cancer risk (OR for coffee drinking 1.6, 95% CI 1.2–2.3; OR for tea drinking 2.3, 95% CI 1.5–3.4). These results were confirmed in a separate analysis of never-smokers. CONCLUSION: Our results suggest that drinking of maté, coffee and tea may be risk factors for bladder carcinoma in Uruguay

Comparative effectiveness and safety of non-vitamin K antagonists for atrial fibrillation in clinical practice: GLORIA-AF Registry

Background and purpose: Prospectively collected data comparing the safety and effectiveness of individual non-vitamin K antagonists (NOACs) are lacking. Our objective was to directly compare the effectiveness and safety of NOACs in patients with newly diagnosed atrial fibrillation (AF). Methods: In GLORIA-AF, a large, prospective, global registry program, consecutive patients with newly diagnosed AF were followed for 3 years. The comparative analyses for (1) dabigatran vs rivaroxaban or apixaban and (2) rivaroxaban vs apixaban were performed on propensity score (PS)-matched patient sets. Proportional hazards regression was used to estimate hazard ratios (HRs) for outcomes of interest. Results: The GLORIA-AF Phase III registry enrolled 21,300 patients between January 2014 and December 2016. Of these, 3839 were prescribed dabigatran, 4015 rivaroxaban and 4505 apixaban, with median ages of 71.0, 71.0, and 73.0 years, respectively. In the PS-matched set, the adjusted HRs and 95% confidence intervals (CIs) for dabigatran vs rivaroxaban were, for stroke: 1.27 (0.79–2.03), major bleeding 0.59 (0.40–0.88), myocardial infarction 0.68 (0.40–1.16), and all-cause death 0.86 (0.67–1.10). For the comparison of dabigatran vs apixaban, in the PS-matched set, the adjusted HRs were, for stroke 1.16 (0.76–1.78), myocardial infarction 0.84 (0.48–1.46), major bleeding 0.98 (0.63–1.52) and all-cause death 1.01 (0.79–1.29). For the comparison of rivaroxaban vs apixaban, in the PS-matched set, the adjusted HRs were, for stroke 0.78 (0.52–1.19), myocardial infarction 0.96 (0.63–1.45), major bleeding 1.54 (1.14–2.08), and all-cause death 0.97 (0.80–1.19). Conclusions: Patients treated with dabigatran had a 41% lower risk of major bleeding compared with rivaroxaban, but similar risks of stroke, MI, and death. Relative to apixaban, patients treated with dabigatran had similar risks of stroke, major bleeding, MI, and death. Rivaroxaban relative to apixaban had increased risk for major bleeding, but similar risks for stroke, MI, and death. Registration: URL: https://www.clinicaltrials.gov. Unique identifiers: NCT01468701, NCT01671007. Date of registration: September 2013

A social and ecological assessment of tropical land uses at multiple scales: the Sustainable Amazon Network

Science has a critical role to play in guiding more sustainable development trajectories. Here, we present the Sustainable Amazon Network (Rede Amazonia Sustentavel, RAS): a multidisciplinary research initiative involving more than 30 partner organizations working to assess both social and ecological dimensions of land-use sustainability in eastern Brazilian Amazonia. The research approach adopted by RAS offers three advantages for addressing land-use sustainability problems: (i) the collection of synchronized and co-located ecological and socioeconomic data across broad gradients of past and present human use; (ii) a nested sampling design to aid comparison of ecological and socioeconomic conditions associated with different land uses across local, landscape and regional scales; and (iii) a strong engagement with a wide variety of actors and non-research institutions. Here, we elaborate on these key features, and identify the ways in which RAS can help in highlighting those problems in most urgent need of attention, and in guiding improvements in land-use sustainability in Amazonia and elsewhere in the tropics. We also discuss some of the practical lessons, limitations and realities faced during the development of the RAS initiative so far.Keywords: Social–ecological systems, Tropical forests, Land use, Interdisciplinary research, Sustainability, Trade-off

Model-free computation of risk contributions in credit portfolios

In this work, we propose a non-parametric density estimation technique for measuring the risk in a credit portfolio, aiming at efficiently computing the marginal risk contributions. The novel method is based on wavelets, and we derive closed-form expressions to calculate the Value-at-Risk (VaR), the Expected Shortfall (ES) as well as the individual risk contributions to VaR (VaRC) and ES (ESC). We consider the multi-factor Gaussian and t-copula models for driving the defaults. The results obtained along the numerical experiments show the impressive accuracy and speed of this method when compared with crude Monte Carlo simulation (...

Rolling Adjoints: Fast Greeks along Monte Carlo scenarios for early-exercise options

In this paper we extend the Stochastic Grid Bundling Method (SGBM), a regress-later Monte Carlo scheme for pricing early-exercise options, with an adjoint method to compute in a highly efficient manner the option sensitivities (the ``Greeks'') along the Monte Carlo paths, with reasonable accuracy. The path-wise SGBM Greeks computation is based on the conventional path-wise sensitivity analysis, however, for a regress-later technique. The resulting sensitivities at the end of the monitoring period are implicitly rolled over into the sensitivities of the regression coefficients of the previous monitoring date. For this reason, we name the method Rolling Adjoints, which facilitates Smoking Adjoints M. Giles, P. Glasserman, Smoking adjoints: fast Monte Carlo Greeks, Risk 19 (1) (2006) 88-92] to compute conditional sensitivities along the paths for options with early-exercise features