106 research outputs found

    Affine term structure models : a time-changed approach with perfect fit to market curves

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    We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or Cox-Ingersoll-Ross (possibly coupled with compounded Poisson jumps, JCIR), are tractable processes but have limited flexibility; they fail to replicate actual market curves. The deterministic shift extension of the latter (Hull-White or JCIR++) is a simple but yet efficient solution that is widely used by both academics and practitioners. However, the shift approach is often not appropriate when positivity is required, which is a common constraint when dealing with credit spreads or default intensities. In this paper, we tackle this problem by adopting a time change approach. On the top of providing an elegant solution to the calibration problem under positivity constraint, our model features additional interesting properties in terms of implied volatilities. It is compared to the shift extension on various credit risk applications such as credit default swap, credit default swaption and credit valuation adjustment under wrong-way risk. The time change approach is able to generate much larger volatility and covariance effects under the positivity constraint. Our model offers an appealing alternative to the shift in such cases.Comment: 44 pages, figures and table

    West Africa International Centers of Excellence for Malaria Research: Drug Resistance Patterns to Artemether-Lumefantrine in Senegal, Mali, and The Gambia.

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    In 2006, artemether-lumefantrine (AL) became the first-line treatment of uncomplicated malaria in Senegal, Mali, and the Gambia. To monitor its efficacy, between August 2011 and November 2014, children with uncomplicated Plasmodium falciparum malaria were treated with AL and followed up for 42 days. A total of 463 subjects were enrolled in three sites (246 in Senegal, 97 in Mali, and 120 in Gambia). No early treatment failure was observed and malaria infection cleared in all patients by day 3. Polymerase chain reaction (PCR)-adjusted adequate clinical and parasitological response (ACPR) was 100% in Mali, and the Gambia, and 98.8% in Senegal. However, without PCR adjustment, ACPR was 89.4% overall; 91.5% in Mali, 98.8% in Senegal, and 64.3% in the Gambia (the lower value in the Gambia attributed to poor compliance of the full antimalarial course). However, pfmdr1 mutations were prevalent in Senegal and a decrease in parasite sensitivity to artesunate and lumefantrine (as measured by ex vivo drug assay) was observed at all sites. Recrudescent parasites did not show Kelch 13 (K13) mutations and AL remains highly efficacious in these west African sites
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