We consider the problem of computing the credit value adjustment (CVA) of a European option in presence of the wrong way risk in a default intensity setting. Namely we model the asset price evolution ...as solution to a linear equation that might depend on different stochastic factors and we provide an approximate evaluation of the option’s price, by exploiting a correlation expansion approach, introduced in Antonelli and Scarlatti (Finance Stoch 13:269–303, 2009). We also extend our theoretical analysis to include some further value adjustments, for instance due to collateralization and funding costs. Finally, in the CVA case, we compare the numerical performance of our method with the one recently proposed by Brigo and Vrins (Eur J Oper Res 269:1154–1164, 2018) and Brigo et al. (Innovations in insurance, risk and asset management, WSPC proceedings, 2018), in the case of a call option driven by a GBM correlated with a CIR default intensity. We additionally compare with the numerical evaluations obtained by other methods.
Histologic transformation in marginal zone lymphomas Conconi, A.; Franceschetti, S.; Aprile von Hohenstaufen, K. ...
Annals of oncology,
November 2015, 2015-Nov, 2015-11-00, 20151101, Letnik:
26, Številka:
11
Journal Article
Recenzirano
Odprti dostop
Histologic transformation (HT) is a poorly understood event in patients with marginal zone lymphoma (MZL). The aim of this study was to analyze incidence and risk factors for HT in a large series of ...MZL patients.
The studied cohort included 340 MZL patients diagnosed and treated between 1995 and 2012: 157 extranodal MZLs mucosa-associated lymphoid tissue (MALT) lymphoma, 46%, 85 splenic MZLs (SMZLs, 25%) and 37 nodal MZLs (NMZLs, 11%). Sixty-one patients (18%) had bone marrow infiltration at presentation, with or without detectable involvement of peripheral blood, but without other involved sites; they were considered clonal B-cell lymphocytosis of marginal zone origin (CBL-MZ).
With a median follow-up of 4.8 years, the median overall survival and progression-free survival of the whole population were 14.5 and 5 years, respectively. HT was observed in 13 cases 3.8%, 95% confidence interval (95% CI) 2%–6.5%. Elevated lactate dehydrogenase (LDH) at diagnosis was associated with the risk of HT (P = 0.019). HT occurred in 5% of SMZLs, 4% of MALT lymphomas, 3% of NMZLs and 3% of CBL-MZ (P = 0.974). The risk of HT was 5% (95% CI 3–9%) at 5 and 10 years after diagnosis and 10% (95% CI 5%–20%) at 12 years. At the time of HT, most patients had high LDH and B symptoms. At a median follow-up of 12 months after HT, 4 of 13 patients died, all for lymphoma-related causes, with a 2-year post-transformation survival rate of 57% (95% CI 13%–86%).
In this large retrospective series, the risk of HT across all MZL types appeared lower than the one reported for follicular lymphoma.
Knowledge on the impact of pharmacogenetics in predicting outcome and toxicity in diffuse large B-cell lymphoma (DLBCL) is scant. We tested 106 consecutive DLBCL treated with R-CHOP21 for 19 single ...nucleotide polymorphisms (SNPs) from 15 genes potentially relevant to rituximab-CHOP (R-CHOP) pharmacogenetics. Associations of SNPs with event-free survival (EFS) and toxicity were controlled for multiple testing. Genotypic variants of nicotinamide adenine dinucleotide phosphate (NAD(P)H) oxidase p22phox (CYBA rs4673) and alpha1 class glutathione S-transferase (GSTA1 rs3957357) were independent predictors of EFS (CYBA rs4673 TT genotype: HR 2.06, P=0.038; GSTA1 rs3957357 CT/TT genotypes: HR 0.38, P=0.003), after adjusting for International Prognostic Index (IPI). CYBA rs4673 and GSTA1 rs3957357 also predicted outcome in DLBCL subgroups by IPI. Impact of SNPs on toxicity was evaluated in 658 R-CHOP21 courses utilizing generalized estimating equations. NCF4 rs1883112 was an independent predictor against hematologic (odds ratios (OR): 0.45; P=0.018), infectious (OR: 0.46; P=0.003) and cardiac toxicity (OR: 0.37; P=0.023). Overall, host SNPs affecting doxorubicin pharmacodynamics (CYBA rs4673) and alkylator detoxification (GSTA1 rs3957357) may predict outcome in R-CHOP21-treated DLBCL. Also, NCF4 rs1883112, a SNP of NAD(P)H oxidase p40phox, may have a function in protecting against hematologic and nonhematologic toxicity. These results highlight the need to improve characterization of the host genetic background for a better prognostication of DLBCL.
We study the stability of a class of networked control systems with hard bounds on the control authority. The plant dynamics are discrete-time, linear, and time-invariant, with stochastic process ...noise and measurement noise. The controller is designed as a norm-bounded causal history-dependent function of the past outputs perturbed by bounded noise. The resulting control signals are assumed to be transmitted through a lossy channel with packet dropouts. We show that under mild assumptions on the system matrices, the statistics of the process and measurement noise sequences, and the probability of dropouts, it is possible to ensure bounded variance of the system in closed-loop.
Efficient valuation of exchange options with random volatilities while challenging at analytical level, has strong practical implications: in this paper we present a new approach to the problem which ...allows for extensions of previous known results. We undertake a route based on a multi-asset generalization of a methodology developed in Antonelli and Scarlatti (Finan Stoch 13:269–303, 2009) to handle simple European one-asset derivatives with volatility paths described by Ito’s diffusive equations. Our method seems to adapt rather smoothly to the evaluation of Exchange options involving correlations among all the financial quantities that specify the model and it is based on expanding and approximating the theoretical evaluation formula with respect to correlation parameters. It applies to a whole range of models and does not require any particular distributional property. In order to test the quality of our approximation numerical simulations are provided in the last part of the paper.
Aims: Sixty new cases of human dirofilariasis due to Dirofilaria repens, occurring in Italy between 1990 and 1999, are presented. This is the most extensive case study of this zoonosis reported ...worldwide by a single study group. The aim is to utilize this large experience to characterize the different histopathological findings in the parasitic lesions in man.
Methods and results: Diagnosis was performed on histological sections of the nematode enclosed in the nodules excised at biopsy or surgery. The nematode was located in the subcutaneous tissue (49 cases), the epididymis (two cases), the spermatic cord (two cases), the lung (two cases), the breast (two cases), the omentum (two cases) and under the conjunctival tissue (one case). The majority of cases (46) were from Piedmont; the remainder were from Emilia‐Romagna, Sardinia, Sicily, Tuscany, Apulia and Lombardy. The histopathological features of the lesions are described and the clinical and epidemiological aspects of the zoonosis are discussed. The prevalence in Italy in general and in the area of Piedmont in particular, comprising the provinces of Alessandria, Asti, Novara and Vercelli, which is one of the most severely affected areas of the world, is emphasized. The evident increase in the number of cases in the last few years is a clear indication that it is an emergent zoonosis.
Conclusions: We recommend that each and every case observed be recorded, to enable the true extent of human dirofilariasis in Italy to be assessed, and that a reference centre be set up in the area to collate the data. The importance of the histopathologist's role in the diagnosis is stressed.
When decisions are based on empirical observations, a trade-off arises between flexibility of the decision and ability to generalize to new situations. In this paper, we focus on decisions that are ...obtained by the empirical minimization of the Conditional Value-at-Risk (CVaR) and argue that in CVaR the trade-off between flexibility and generalization can be understood on the ground of theoretical results under very general assumptions on the system that generates the observations. The results have implications on topics related to order and structure selection in various applications where the CVaR risk-measure is used. A study on a portfolio optimization problem with real data demonstrates our results.
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