A highly efficient pricing method for European-style options based on Shannon wavelets

In the search for robust, accurate and highly efficient financial option valuation techniques, we present here the SWIFT method (Shannon Wavelets Inverse Fourier Technique), based on Shannon wavelets. SWIFT comes with control over approximation errors made by means of sharp quantitative error bounds. The nature of the local Shannon wavelets basis enables us to adaptively determine the proper size of the computational interval. Numerical experiments on European-style options confirm the bounds, robustness and efficiency

Pricing early-exercise and discrete barrier options by Shannon wavelet expansions

We present a pricing method based on Shannon wavelet expansions for early-exercise and discretely-monitored barrier options under exponential Lévy asset dynamics. Shannon wavelets are smooth, and thus approximate the densities that occur in finance well, resulting in exponential convergence. Application of the Fast Fourier Transform yields an efficient implementation and since wavelets give local approximations, the domain boundary errors can be naturally resolved, which is the main improvement over existing methods

Quantifying credit portfolio losses under multi-factor models

In this work, we investigate the challenging problem of estimating credit risk measures of portfolios with exposure concentration under the multi-factor Gaussian and multi-factor t-copula models. It is well-known that Monte Carlo (MC) methods are highly demanding from the computational point of view in the aforementioned situations. We present efficient and robust numerical techniques based on the Haar wavelets theory for recovering the cumulative distribution function of the loss variable from its characteristic function. To the best of our knowledge, this is the first time that multi-factor t-copula models are considered outside the MC framework. The analysis of the approximation error and the results obtained in the numerical experiments section show a reliable and useful machinery for credit risk capital measurement purposes in line with Pillar II of the Basel Accords

On the data-driven COS method

In this paper, we present the data-driven COS method, ddCOS. It is a Fourier-based finan- cial option valuation method which assumes the availability of asset data samples: a char- acteristic 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 O(1 / √ n ) , in line with Monte Carlo meth- ods 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

A genome-wide association study follow-up suggests a possible role for PPARG in systemic sclerosis susceptibility

Introduction: A recent genome-wide association study (GWAS) comprising a French cohort of systemic sclerosis (SSc) reported several non-HLA single-nucleotide polymorphisms (SNPs) showing a nominal association in the discovery phase. We aimed to identify previously overlooked susceptibility variants by using a follow-up strategy.<p></p> Methods: Sixty-six non-HLA SNPs showing a P value <10-4 in the discovery phase of the French SSc GWAS were analyzed in the first step of this study, performing a meta-analysis that combined data from the two published SSc GWASs. A total of 2,921 SSc patients and 6,963 healthy controls were included in this first phase. Two SNPs, PPARG rs310746 and CHRNA9 rs6832151, were selected for genotyping in the replication cohort (1,068 SSc patients and 6,762 healthy controls) based on the results of the first step. Genotyping was performed by using TaqMan SNP genotyping assays. Results: We observed nominal associations for both PPARG rs310746 (PMH = 1.90 × 10-6, OR, 1.28) and CHRNA9 rs6832151 (PMH = 4.30 × 10-6, OR, 1.17) genetic variants with SSc in the first step of our study. In the replication phase, we observed a trend of association for PPARG rs310746 (P value = 0.066; OR, 1.17). The combined overall Mantel-Haenszel meta-analysis of all the cohorts included in the present study revealed that PPARG rs310746 remained associated with SSc with a nominal non-genome-wide significant P value (PMH = 5.00 × 10-7; OR, 1.25). No evidence of association was observed for CHRNA9 rs6832151 either in the replication phase or in the overall pooled analysis.<p></p> Conclusion: Our results suggest a role of PPARG gene in the development of SSc

Anti-tumour necrosis factor discontinuation in inflammatory bowel disease patients in remission: study protocol of a prospective, multicentre, randomized clinical trial

Background: Patients with inflammatory bowel disease who achieve remission with anti-tumour necrosis factor (anti-TNF) drugs may have treatment withdrawn due to safety concerns and cost considerations, but there is a lack of prospective, controlled data investigating this strategy. The primary study aim is to compare the rates of clinical remission at 1?year in patients who discontinue anti-TNF treatment versus those who continue treatment. Methods: This is an ongoing, prospective, double-blind, multicentre, randomized, placebo-controlled study in patients with Crohn?s disease or ulcerative colitis who have achieved clinical remission for ?6?months with an anti-TNF treatment and an immunosuppressant. Patients are being randomized 1:1 to discontinue anti-TNF therapy or continue therapy. Randomization stratifies patients by the type of inflammatory bowel disease and drug (infliximab versus adalimumab) at study inclusion. The primary endpoint of the study is sustained clinical remission at 1?year. Other endpoints include endoscopic and radiological activity, patient-reported outcomes (quality of life, work productivity), safety and predictive factors for relapse. The required sample size is 194 patients. In addition to the main analysis (discontinuation versus continuation), subanalyses will include stratification by type of inflammatory bowel disease, phenotype and previous treatment. Biological samples will be obtained to identify factors predictive of relapse after treatment withdrawal. Results: Enrolment began in 2016, and the study is expected to end in 2020. Conclusions: This study will contribute prospective, controlled data on outcomes and predictors of relapse in patients with inflammatory bowel disease after withdrawal of anti-TNF agents following achievement of clinical remission. Clinical trial reference number: EudraCT 2015-001410-1

The evolution of the ventilatory ratio is a prognostic factor in mechanically ventilated COVID-19 ARDS patients

Background: Mortality due to COVID-19 is high, especially in patients requiring mechanical ventilation. The purpose of the study is to investigate associations between mortality and variables measured during the first three days of mechanical ventilation in patients with COVID-19 intubated at ICU admission. Methods: Multicenter, observational, cohort study includes consecutive patients with COVID-19 admitted to 44 Spanish ICUs between February 25 and July 31, 2020, who required intubation at ICU admission and mechanical ventilation for more than three days. We collected demographic and clinical data prior to admission; information about clinical evolution at days 1 and 3 of mechanical ventilation; and outcomes. Results: Of the 2,095 patients with COVID-19 admitted to the ICU, 1,118 (53.3%) were intubated at day 1 and remained under mechanical ventilation at day three. From days 1 to 3, PaO2/FiO2 increased from 115.6 [80.0-171.2] to 180.0 [135.4-227.9] mmHg and the ventilatory ratio from 1.73 [1.33-2.25] to 1.96 [1.61-2.40]. In-hospital mortality was 38.7%. A higher increase between ICU admission and day 3 in the ventilatory ratio (OR 1.04 [CI 1.01-1.07], p = 0.030) and creatinine levels (OR 1.05 [CI 1.01-1.09], p = 0.005) and a lower increase in platelet counts (OR 0.96 [CI 0.93-1.00], p = 0.037) were independently associated with a higher risk of death. No association between mortality and the PaO2/FiO2 variation was observed (OR 0.99 [CI 0.95 to 1.02], p = 0.47). Conclusions: Higher ventilatory ratio and its increase at day 3 is associated with mortality in patients with COVID-19 receiving mechanical ventilation at ICU admission. No association was found in the PaO2/FiO2 variation

Dietary α‐Linolenic Acid, Marine ω‐3 Fatty Acids, and Mortality in a Population With High Fish Consumption: Findings From the PREvención con DIeta MEDiterránea (PREDIMED) Study

Background: Epidemiological evidence suggests a cardioprotective role of α‐linolenic acid (ALA), a plant‐derived ω‐3 fatty acid. It is unclear whether ALA is beneficial in a background of high marine ω‐3 fatty acids (long‐chain n‐3 polyunsaturated fatty acids) intake. In persons at high cardiovascular risk from Spain, a country in which fish consumption is customarily high, we investigated whether meeting the International Society for the Study of Fatty Acids and Lipids recommendation for dietary ALA (0.7% of total energy) at baseline was related to all‐cause and cardiovascular disease mortality. We also examined the effect of meeting the society's recommendation for long‐chain n‐3 polyunsaturated fatty acids (≥500 mg/day). Methods and Results: We longitudinally evaluated 7202 participants in the PREvención con DIeta MEDiterránea (PREDIMED) trial. Multivariable‐adjusted Cox regression models were fitted to estimate hazard ratios. ALA intake correlated to walnut consumption (r=0.94). During a 5.9‐y follow‐up, 431 deaths occurred (104 cardiovascular disease, 55 coronary heart disease, 32 sudden cardiac death, 25 stroke). The hazard ratios for meeting ALA recommendation (n=1615, 22.4%) were 0.72 (95% CI 0.56–0.92) for all‐cause mortality and 0.95 (95% CI 0.58–1.57) for fatal cardiovascular disease. The hazard ratios for meeting the recommendation for long‐chain n‐3 polyunsaturated fatty acids (n=5452, 75.7%) were 0.84 (95% CI 0.67–1.05) for all‐cause mortality, 0.61 (95% CI 0.39–0.96) for fatal cardiovascular disease, 0.54 (95% CI 0.29–0.99) for fatal coronary heart disease, and 0.49 (95% CI 0.22–1.01) for sudden cardiac death. The highest reduction in all‐cause mortality occurred in participants meeting both recommendations (hazard ratio 0.63 [95% CI 0.45–0.87]). Conclusions: In participants without prior cardiovascular disease and high fish consumption, dietary ALA, supplied mainly by walnuts and olive oil, relates inversely to all‐cause mortality, whereas protection from cardiac mortality is limited to fish‐derived long‐chain n‐3 polyunsaturated fatty acids. Clinical Trial Registration URL: http://www.Controlled-trials.com/. Unique identifier: ISRCTN35739639

Fourier and wavelet option pricing methods

In this overview chapter, we will discuss the use of exponentially converging option pricing techniques for option valuation. We will focus on the pricing of European options, and they are the basic instruments within a calibration procedure when fitting the parameters in asset dynamics. The numerical solution is governed by the solution of the discounted expectation of the pay-off function. For the computation of the expectation, we require knowledge about the corresponding probability density function, which is typically not available for relevant stochastic asset price processes. Many publications regarding highly efficient pricing of these contracts are available, where computation often takes place in the Fourier space. Methods based on quadrature and the Fast Fourier Transform (FFT) [1-3] and methods based on Fourier cosine expansions [4,5] have therefore been developed because for relevant log-asset price processes, the characteristic function appears t