Incorporating statistical model error into the calculation of acceptability prices of contingent claims

The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However, the model for the underlying asset price process is typically based on data and found by a statistical estimation procedure. We define a confidence set of possible estimated models by a nonparametric neighborhood of a baseline model. This neighborhood serves as ambiguity set for a multi-stage stochastic optimization problem under model uncertainty. We obtain distributionally robust solutions of the acceptability pricing problem and derive the dual problem formulation. Moreover, we prove a general large deviations result for the nested distance, which allows to relate the bid and ask prices under model ambiguity to the quality of the observed data.Comment: 27 pages, 2 figure

Cost-effectiveness analysis of the use of immunotherapy in metastatic solid tumours in Austria by applying the ESMO-magnitude of clinical benefit scale (ESMO-MCBS) version 1.1

BACKGROUND: Immune checkpoint inhibitors (ICIs) treatment is a breakthrough in managing metastatic solid tumours, but its use is associated with a high financial burden for public health care systems. Validated tools such as the European Society for Medical Oncology-Magnitude of Clinical Benefit Scale (ESMO-MCBS) are frameworks that might help to better assess the clinical benefit of these novel innovative cancer drugs. METHODS: Here, we systematically analysed the number of European Medicines Agency-approved ICIs labels with an ESMO-MCBS grade <4 and the impact of the ICIs on incremental costs, gain of life years (LYs), quality-adjusted life years (QALYs) and the incremental cost-effectiveness ratio in the Austrian population. RESULTS: Of 23 ICIs treatment settings, we identified three clinical scenarios in metastatic solid cancers with an ESMO-MCBS grade <4 with no otherwise approved alternatives. In triple-negative breast cancer (TNBC), the addition of first-line atezolizumab increased QALYs by 0.33 compared with nab-paclitaxel only, with an incremental cost per QALY of €143 853. In small-cell lung cancer (SCLC), the addition of first-line atezolizumab increased the QALY by 0.09, with an incremental cost per QALY of €373 256, and the addition of first-line durvalumab increased the QALYs by 0.11, with an incremental cost per QALY of €589 527. CONCLUSIONS: Overall, most of the approved ICIs carry significant clinical benefit (≥4). Although TNBC and SCLC are challenging treatment scenarios, currently approved ICIs with an ESMO-MCBS grade <4 substantially increase the cost of medical treatment, and under a willingness-to-pay threshold of €100 000, they do not have a cost-effective comparative benefit

MicroRNAs in cancer: from developmental genes in worms to their clinical application in patients

Several discoveries have paved the way to personalise cancer medicine and a tremendous gain of knowledge in genomics and molecular mechanisms of cancer progression cumulated over the last years. Big stories in biology commonly start in a simple model system. No wonder microRNAs have been identified as regulators of embryonic development in the nematode Caenorhabditis elegans. From the first identification in worms to the first-in-man microRNA-based clinical trial in humans, almost 20 years passed. In this review we follow the story of understanding microRNA alterations in cancer, describe recent developments in the microRNA field and critically discuss their potential as diagnostic, prognostic and therapeutics factors in cancer medicine. We will explain the rationale behind the use of microRNAs in cancer diagnosis and prognosis prediction, but also discuss the limitations and pitfalls associated with this. Novel developments of combined microRNA/siRNA pharmacological approaches will be discussed and most recently data about MXR34, the first-tested microRNA drug will be described

New bulk scalar field solutions in brane worlds

We use nonlinear perturbation theory to obtain new solutions for brane world models that incorporate a massive bulk scalar field. We then consider tensor perturbations and show that Newtonian gravity is recovered on the brane for both a light scalar field and for a bulk field with large negative mass. This latter result points to the viability of higher-derivative theories of gravity in the context of bulk extra dimensions.Comment: 4+\epsilon pages, no figure

What doesn’t kill you makes you stronger? The Impact of the 1918 Spanish Flu Epidemic on Economic Performance in Sweden

We study the impact of the 1918 influenza pandemic on economic performance in Sweden. The pandemic was one of the severest and deadliest pandemics in human history, but it has hitherto received only scant attention in the economic literature – despite important implications for modern-day pandemics. In this paper, we exploit seemingly exogenous variation in incidence rates between Swedish regions to estimate the impact of the pandemic. Using difference-in-differences and high-quality administrative data from Sweden, we estimate the effects on earnings, capital returns and poverty. We find that the pandemic led to a significant increase in poverty rates. There is also relatively strong evidence that capital returns were negatively affected by the pandemic. On the other hand, we find robust evidence that the influenza had no discernible effect on earnings. This finding is surprising since it goes against most previous empirical studies as well as theoretical predictions

Isochromosome 12p formation regulates vitamin D metabolism in testicular cancer

Isochromosome 12p (iChr12p) is typical in almost all invasive testicular cancers. Increased copy number of genes on 12p is associated with the development of a clinically manifest tumor; however, the causative genes have not yet been identified. Chromosome 12 harbors many genes involved in Vitamin D metabolism. RNAseq analysis of Vitamin D receptor (VDR) genes from the TCGA cohort revealed that clustering of VDR expression signatures could differentiate between pure seminomas and non-seminomatous germ cell tumors (NSGCT). Using TCGA mRNA expression of anabolic (CYP2R1, CYP27A1 and CYP27B1) and catabolic (CYP24A1) Vitamin D enzymes, positive (PTHLH, IFNG, and TNF) and negative (FGF23) feedback regulators could also clearly distinguish between pure seminomas and NSGCT. We hypothesize that the regulation of Vitamin D metabolism might be disturbed through iChr12p formation, influencing testicular carcinogenesis via increased FGF23 and PTHLH expression. While FGF23 represses CYP27B1 and activates catabolism of active hormone, increased PTHLH secretion can lead to hypercalcemia via inactivation of VDR. In conclusion, testicular cancer is associated with extensive modifications in intratesticular Vitamin D homeostasis. Further research is needed to clarify whether Vitamin D deficiency causes the formation of iChr12p and whether Vitamin D deficiency via iChr12p genomic aberration is involved in testicular carcinogenesis