Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model

We consider a two-country multi-factor quadratic Gaussian model and provide efficient formulas for the price of default free bonds and the calibration of the model to the default free discount term structure. We also provide approximations for the price of default free swaptions in such a model indicating the limitation of using an approach based on replacing certain martingales by their expectation.

Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model

We present the multi-factor quadratic reduced form model for pricing of credit risky securities. We use quadratic Gaussian processes to model the short term interest rate and the intensity of default showing that we get tractable formulas for the price of credit default swaps and credit default swaptions.

Pricing swaptions and credit default swaptions in the quadratic Gaussian factor model

University of Technology, Sydney. Faculty of Business.In this thesis we show how the multi-factor quadratic Gaussian model can be used to price default free and defaultable securities. The mathematical tools used include the theory of stochastic processes, the theory of matrix Riccati equations, the change of measure technique, Ito's formula, use of Fourier Transforms in swaption valuation and approximation methods based on replacing the values of some stochastic processes by their time zero values. The first chapter of the thesis deals with the derivation of efficient closed form formulas for the price of zero coupon bonds in the multi-factor quadratic Gaussian model and the calibration of the multi-factor quadratic Gaussian model to the domestic and foreign forward rate term structures through closed form formulas. In the second chapter of the thesis, we derive approximations for the price of default free swaptions which are based on log-quadratic Gaussian processes. Using numerical experiments, we show the limitations of these approximations. We also give some numerical results for the pricing of a default free swaption using moment-based density approximants of the probability density function of the swaption's payoff. The third chapter of the thesis deals with the calibration of a quadratic Gaussian reduced form model of credit risk to the default free forward rate curve and to the survival probability of an obligor. We also consider different approximations for the price of credit default swaptions. Using numerical experiments, we show the limitations of the approximations. The final chapter of this thesis considers a two country reduced form model of credit risk. We examine the relationship between the domestic forward credit spread and the foreign forward credit spread of an obligor and provide quanto adjustment formulas for the probability of survival of an obligor. In the final part of this chapter, we show that the valuation of a quanto default swap is tractable in a contagion type reduced form model of credit risk which assumes that underlying processes are modelled by quadratic Gaussian processes

Sleep Apnea – Recent Updates

Sleep apnea is highly prevalent and underdiagnosed. It is associated with multiple medical conditions including cardiac dysrhythmia, stroke, hypertension, diabetes and congestive heart failure. In the last few decades, advances in diagnosis and treatment of sleep apnea have been robust. In this review, we will emphasize primarily developments in the area of sleep apnea that occurred in the past 5 years. These include changes in the nomenclature of sleep apnea in the International Classification in Sleep Disorders (ICSD)-3, physiologic approach of treating sleep apnea, eligibility for CPAP (continuous positive airway pressure) treatment, home sleep testing (HST), sleep apnea in pregnancy, updates in oral device treatment and other emerging concepts on sleep apnea

Potential Drug-Drug Interactionsamong Adult Patients Admitted to MedicalWards at a Tertiary Teaching Hospital inEthiopia

  Abstract Introduction: A Drug-drug interaction (DDI) is a decrease or increase in the pharmacological or clinical response to the administration of two or more drugs that are different from the anticipated response they initiate when individually administered. Objectives: To assess the prevalence and factors associated with potential DDIs among adult inpatients admitted to the medical wards of a tertiary teaching Hospital in Ethiopia. Methods: A retrospective cross-sectional study design was employed on adult patients who were admitted to the medical ward in one year period. A total of 384patients’ medical records were checked for a possible DDI using Micromedex DrugReax® drug interaction database and analyzed consecutively using SPSS version 20.0. Results: Among 384 adult patients enrolled in the study, 209 (54.4%) of them had medications with at least one potential DDI in their prescriptions. Of the 209 potential DDI, 26.3% were with a minimum of one major potential DDI. The median number of potential DDI per patient was 2.2. Overall, 296 potential DDI were identified in the current study. Among 296 identified potential drug-drug interactions, most of the interaction (49.7%) had good documentation. The number of medication prescribed per patient showed a significant (p< 0.001) association with the occurrence of potential DDIs. Conclusion: More than half of the patients’ prescription contains potentially interacting medications. This study, additionally, revealed that there is a significant association between potential DDIs and number of medications prescribed per patient. Key words: Drug-drug interactions, pharmacokinetic interaction, pharmacodynamic interaction, internal medicin

Improving adaptation to drought stress in white pea bean (Phaseolus vulgaris L.): Genotypic effects on grain yield, yield components and pod harvest index

Common bean (Phaseolus vulgaris L.) is the most important food legume crop in Africa and Latin America where rainfall pattern is unpredictable. The objectives were to identify better yielding common bean lines with good canning quality under drought, and to identify traits that could be used as selection criteria for evaluating drought-tolerant genotypes. In all, 35 advanced lines were developed through single seed descent and evaluated with a standard check under drought and irrigated conditions at two locations over 2 years in Ethiopia. Grain yield (GY), pod number per m2, seed number per m2 and seed weight decreased by 56%, 47%, 49% and 14%, respectively, under drought stress. Eight genotypes had better yield with good canning quality under drought compared to the check. Moderate to high proportion of genetic effects were observed under drought conditions for GY and yield components compared to genotype × environment effects. Significant positive correlations between GY and pod harvest index (PHI) in drought suggest that PHI could be used as an indirect selection criterion for common bean improvement

Measuring performance on the Healthcare Access and Quality Index for 195 countries and territories and selected subnational locations: A systematic analysis from the Global Burden of Disease Study 2016

Copyright © 2018 The Author(s). Published by Elsevier Ltd. Background A key component of achieving universal health coverage is ensuring that all populations have access to quality health care. Examining where gains have occurred or progress has faltered across and within countries is crucial to guiding decisions and strategies for future improvement. We used the Global Burden of Diseases, Injuries, and Risk Factors Study 2016 (GBD 2016) to assess personal health-care access and quality with the Healthcare Access and Quality (HAQ) Index for 195 countries and territories, as well as subnational locations in seven countries, from 1990 to 2016. Methods Drawing from established methods and updated estimates from GBD 2016, we used 32 causes from which death should not occur in the presence of effective care to approximate personal health-care access and quality by location and over time. To better isolate potential effects of personal health-care access and quality from underlying risk factor patterns, we risk-standardised cause-specific deaths due to non-cancers by location-year, replacing the local joint exposure of environmental and behavioural risks with the global level of exposure. Supported by the expansion of cancer registry data in GBD 2016, we used mortality-to-incidence ratios for cancers instead of risk-standardised death rates to provide a stronger signal of the effects of personal health care and access on cancer survival. We transformed each cause to a scale of 0-100, with 0 as the first percentile (worst) observed between 1990 and 2016, and 100 as the 99th percentile (best); we set these thresholds at the country level, and then applied them to subnational locations. We applied a principal components analysis to construct the HAQ Index using all scaled cause values, providing an overall score of 0-100 of personal health-care access and quality by location over time. We then compared HAQ Index levels and trends by quintiles on the Socio-demographic Index (SDI), a summary measure of overall development. As derived from the broader GBD study and other data sources, we examined relationships between national HAQ Index scores and potential correlates of performance, such as total health spending per capita. Findings In 2016, HAQ Index performance spanned from a high of 97·1 (95% UI 95·8-98·1) in Iceland, followed by 96·6 (94·9-97·9) in Norway and 96·1 (94·5-97·3) in the Netherlands, to values as low as 18·6 (13·1-24·4) in the Central African Republic, 19·0 (14·3-23·7) in Somalia, and 23·4 (20·2-26·8) in Guinea-Bissau. The pace of progress achieved between 1990 and 2016 varied, with markedly faster improvements occurring between 2000 and 2016 for many countries in sub-Saharan Africa and southeast Asia, whereas several countries in Latin America and elsewhere saw progress stagnate after experiencing considerable advances in the HAQ Index between 1990 and 2000. Striking subnational disparities emerged in personal health-care access and quality, with China and India having particularly large gaps between locations with the highest and lowest scores in 2016. In China, performance ranged from 91·5 (89·1-93·6) in Beijing to 48·0 (43·4-53·2) in Tibet (a 43·5-point difference), while India saw a 30·8-point disparity, from 64·8 (59·6-68·8) in Goa to 34·0 (30·3-38·1) in Assam. Japan recorded the smallest range in subnational HAQ performance in 2016 (a 4·8-point difference), whereas differences between subnational locations with the highest and lowest HAQ Index values were more than two times as high for the USA and three times as high for England. State-level gaps in the HAQ Index in Mexico somewhat narrowed from 1990 to 2016 (from a 20·9-point to 17·0-point difference), whereas in Brazil, disparities slightly increased across states during this time (a 17·2-point to 20·4-point difference). Performance on the HAQ Index showed strong linkages to overall development, with high and high-middle SDI countries generally having higher scores and faster gains for non-communicable diseases. Nonetheless, countries across the development spectrum saw substantial gains in some key health service areas from 2000 to 2016, most notably vaccine-preventable diseases. Overall, national performance on the HAQ Index was positively associated with higher levels of total health spending per capita, as well as health systems inputs, but these relationships were quite heterogeneous, particularly among low-to-middle SDI countries. Interpretation GBD 2016 provides a more detailed understanding of past success and current challenges in improving personal health-care access and quality worldwide. Despite substantial gains since 2000, many low-SDI and middle- SDI countries face considerable challenges unless heightened policy action and investments focus on advancing access to and quality of health care across key health services, especially non-communicable diseases. Stagnating or minimal improvements experienced by several low-middle to high-middle SDI countries could reflect the complexities of re-orienting both primary and secondary health-care services beyond the more limited foci of the Millennium Development Goals. Alongside initiatives to strengthen public health programmes, the pursuit of universal health coverage hinges upon improving both access and quality worldwide, and thus requires adopting a more comprehensive view - and subsequent provision - of quality health care for all populations