On the efficacy of Fourier series approximations for pricing European options

This paper investigates several competing procedures for computing the prices of vanilla European options, such as puts, calls and binaries, in which the underlying model has a characteristic function that is known in semi-closed form. The algorithms investigated here are the half-range Fourier cosine series, the half-range Fourier sine series and the full-range Fourier series. Their performance is assessed in simulation experiments in which an analytical solution is available and also for a simple affine model of stochastic volatility in which there is no closed-form solution. The results suggest that the half-range sine series approximation is the least effective of the three proposed algorithms. It is rather more difficult to distinguish between the performance of the halfrange cosine series and the full-range Fourier series. However there are two clear differences. First, when the interval over which the density is approximated is relatively large, the full-range Fourier series is at least as good as the half-range Fourier cosine series, and outperforms the latter in pricing out-of-the-money call options, in particular with maturities of three months or less. Second, the computational time required by the half-range Fourier cosine series is uniformly longer than that required by the full-range Fourier series for an interval of fixed length. Taken together,these two conclusions make a case for pricing options using a full-range range Fourier series as opposed to a half-range Fourier cosine series if a large number of options are to be priced in as short a time as possible.

Palliative care problem severity score: Reliability and acceptability in a national study

Background The Palliative Care Problem Severity Score is a clinician-rated tool to assess problem severity in four palliative care domains (pain, other symptoms, psychological/spiritual, family/carer problems) using a 4-point categorical scale (absent, mild, moderate, severe). Aim To test the reliability and acceptability of the Palliative Care Problem Severity Score. Design: Multi-centre, cross-sectional study involving pairs of clinicians independently rating problem severity using the tool. Setting/participants Clinicians from 10 Australian palliative care services: 9 inpatient units and 1 mixed inpatient/community-based service. Results A total of 102 clinicians participated, with almost 600 paired assessments completed for each domain, involving 420 patients. A total of 91% of paired assessments were undertaken within 2 h. Strength of agreement for three of the four domains was moderate: pain (Kappa = 0.42, 95% confidence interval = 0.36 to 0.49); psychological/spiritual (Kappa = 0.48, 95% confidence interval = 0.42 to 0.54); family/carer (Kappa = 0.45, 95% confidence interval = 0.40 to 0.52). Strength of agreement for the remaining domain (other symptoms) was fair (Kappa = 0.38, 95% confidence interval = 0.32 to 0.45). Conclusion The Palliative Care Problem Severity Score is an acceptable measure, with moderate reliability across three domains. Variability in inter-rater reliability across sites and participant feedback indicate that ongoing education is required to ensure that clinicians understand the purpose of the tool and each of its domains. Raters familiar with the patient they were assessing found it easier to assign problem severity, but this did not improve inter-rater reliability.

A randomized trial of fellowships for early career researchers finds a high reliability in funding decisions

Objectives Funding for early career researchers in Australia's largest medical research funding scheme is determined by a competitive peer-review process using a panel of four reviewers. The purpose of this experiment was to appraise the reliability of funding by duplicating applications that were considered by separate grant review panels. Study Design and Methods Sixty duplicate applications were considered by two independent grant review panels that were awarding funding for Australia's National Health and Medical Research Council. Panel members were blinded to which applications were included in the experiment and to whether it was the original or duplicate application. Scores were compared across panels using Bland–Altman plots to determine measures of agreement, including whether agreement would have impacted on actual funding. Results Twenty-three percent of the applicants were funded by both panels and 60 percent were not funded by both, giving an overall agreement of 83 percent [95% confidence interval (CI): 73%, 92%]. The chance-adjusted agreement was 0.75 (95% CI: 0.58, 0.92). Conclusion There was a comparatively high level of agreement when compared with other types of funding schemes. Further experimental research could be used to determine if this higher agreement is due to nature of the application, the composition of the assessment panel, or the characteristics of the applicants.

Association between biomechanical structural stresses of atherosclerotic carotid plaques and subsequent ischaemic cerebrovascular events - A longitudinal in vivo magnetic resonance imaging-based finite element study

Background: High-resolution magnetic resonance (MR) imaging has been used for MR imaging-based structural stress analysis of atherosclerotic plaques. The biomechanical stress profile of stable plaques has been observed to differ from that of unstable plaques; however, the role that structural stresses play in determining plaque vulnerability remains speculative. Methods: A total of 61 patients with previous history of symptomatic carotid artery disease underwent carotid plaque MR imaging. Plaque components of the index artery such as fibrous tissue, lipid content and plaque haemorrhage (PH) were delineated and used for finite element analysis-based maximum structural stress (M-C Stress) quantification. These patients were followed up for 2 years. The clinical end point was occurrence of an ischaemic cerebrovascular event. The association of the time to the clinical end point with plaque morphology and M-C Stress was analysed. Results: During a median follow-up duration of 514 days, 20% of patients (n=12) experienced an ischaemic event in the territory of the index carotid artery. Cox regression analysis indicated that M-C Stress (hazard ratio (HR): 12.98 (95% confidence interval (CI): 1.32-26.67, pZ0.02), fibrous cap (FC) disruption (HR: 7.39 (95% CI: 1.61e33.82), p Z 0.009) and PH (HR: 5.85 (95% CI: 1.27e26.77), p Z 0.02) are associated with the development of subsequent cerebrovascular events. Plaques associated with future events had higher M-C Stress than those which had remained asymptomatic (median (interquartile range, IQR): 330 kPa (229e494) vs. 254 kPa (166-290), p Z0.04). Conclusions: High biomechanical structural stresses, in addition to FC rupture and PH, are associated with subsequent cerebrovascular events.

Smooth bootstrap methods for analysis of longitudinal data

In analysis of longitudinal data, the variance matrix of the parameter estimates is usually estimated by the 'sandwich' method, in which the variance for each subject is estimated by its residual products. We propose smooth bootstrap methods by perturbing the estimating functions to obtain 'bootstrapped' realizations of the parameter estimates for statistical inference. Our extensive simulation studies indicate that the variance estimators by our proposed methods can not only correct the bias of the sandwich estimator but also improve the confidence interval coverage. We applied the proposed method to a data set from a clinical trial of antibiotics for leprosy.

Induced smoothing for rank regression with censored survival times

Adaptions of weighted rank regression to the accelerated failure time model for censored survival data have been successful in yielding asymptotically normal estimates and flexible weighting schemes to increase statistical efficiencies. However, for only one simple weighting scheme, Gehan or Wilcoxon weights, are estimating equations guaranteed to be monotone in parameter components, and even in this case are step functions, requiring the equivalent of linear programming for computation. The lack of smoothness makes standard error or covariance matrix estimation even more difficult. An induced smoothing technique overcame these difficulties in various problems involving monotone but pure jump estimating equations, including conventional rank regression. The present paper applies induced smoothing to the Gehan-Wilcoxon weighted rank regression for the accelerated failure time model, for the more difficult case of survival time data subject to censoring, where the inapplicability of permutation arguments necessitates a new method of estimating null variance of estimating functions. Smooth monotone parameter estimation and rapid, reliable standard error or covariance matrix estimation is obtained.

Factors potentiating the risk of sudden infant death syndrome associated with the prone position

Background. In several studies the sudden infant death syndrome (SIDS) has been significantly associated with sleeping in the prone position. It is not known how the prone position increases the risk of SIDS. Methods. We analyzed data from a case-control study (58 infants with SIDS and 120 control infants) and a prospective cohort study (22 infants with SIDS and 213 control infants) in Tasmania. Interactions were examined in matched analyses with a multiplicative model of interaction. Results. In the case-control study, SIDS was significantly associated with sleeping in the prone position, as compared with other positions (unadjusted odds ratio, 4.5; 95 percent confidence interval, 2.1 to 9.6). The strength of this association was increased among infants who slept on natural-fiber mattresses (P = 0.05), infants who were swaddled (P = 0.09), infants who slept in heated rooms (P = 0.006), and infants who had had a recent illness (P = 0.02). These variables had no significant effect on infants who did not sleep in the prone position. A history of recent illness was significantly associated with SIDS among infants who slept prone (odds ratio, 5.7; 95 percent confidence interval, 1.8 to 19) but not among infants who slept in other positions (odds ratio, 0.83). In the cohort study, the risk of SIDS was greater among infants who slept prone on natural-fiber mattresses (odds ratio, 6.6; 95 percent confidence interval, 1.3 to 33) than among infants who slept prone on other types of mattresses (odds ratio, 1.8). Conclusions. When infants sleep prone, the elevated risk of SIDS is increased by each of four factors: the use of natural-fiber mattresses, swaddling, recent illness, and the use of heating in bedrooms.

Specialisation versus special interest: The Australian podiatry experience

Background Ensuring efficient and effective delivery of health care to an ageing population has been a major driver for a review of the health workforce in Australia. As part of this process a National Registration and Accreditation Scheme (NRAS) has evolved with one goal being to improve workforce flexibility within a nationally consistent model of governance. In addition to increased flexibility, there have been discussions about maintaining standards and the role of specialisation. This study aims to explore the association between practitioners’ self-perceptions about their special interest in musculoskeletal, diabetes related and podopaediatric foot care and the actual podiatry services they deliver in Australia. Methods A cross sectional on-line survey was administered on behalf of the Australasian Podiatry Council and its’ state based member associations. Self-reported data were collected over a 3-week interval and captured information about the practitioners by gender, years of clinical experience, area of work by state, work setting, and location. For those participants that identified with an area of special interest or specialty, further questions were asked regarding support for the area of special interest through education, and activities performed in treating patients in the week prior to survey completion. Queensland University of Technology Human Research Ethics approval was sought and confirmed exemption from review. Results 218 podiatrists participated in the survey. Participants were predominately female and worked in private practices. The largest area of personal interest by the podiatrists was related to the field of musculoskeletal podiatry (n = 65), followed closely by diabetes foot care (n = 61), and a third area identified was in the management of podopaediatric conditions (n = 26). Conclusions Health workforce reform in Australia is in part being managed by the federal government with a goal to meet the health care needs of Australians into the future. The recognition of a specialty registration of podiatric surgery and endorsement for scheduled medicines was established with this workforce reform in mind. Addition of new subspecialties may be indicated based on professional development, to maintain high standards and meet community expectations.

A multi-hierarchical strategy for on-ramp coordination

Ramp metering (RM) is an access control for motorways, in which a traffic signal is placed at on-ramps to regulate the rate of vehicles entering the motorway and thus to preserve the motorway capacity. In general, RM algorithms fall into two categories by their effective scope: local control and coordinated control. Local control algorithm determines the metering rate based on the traffic condition on adjacent motorway mainline and the on-ramp. Conversely, coordinated RM strategies make use of measurements from the entire motorway network to operate individual ramp signals for optimal performance at the network level. This study proposes a multi-hierarchical strategy for on-ramp coordination. The strategy is structured in two layers. At the higher layer, a centralised, predictive controller plans the coordination control within a long update interval based on the location of high-risk breakdown flow. At the lower layer, reactive controllers determine the metering rates of those ramps involved in the ramp coordination with a short update interval. This strategy is modelled and applied to the northbound model of the Pacific Motorway in a micro-simulation platform (AIMSUN). The simulation results show that the proposed strategy effectively delays the onset of congestion and reduces total congestion with better managed on-ramp queues.

Association between endometriosis and the interleukin 1A (IL1A) locus

STUDY QUESTION Are single-nucleotide polymorphisms (SNPs) at the interleukin 1A (IL1A) gene locus associated with endometriosis risk? SUMMARY ANSWER We found evidence for strong association between IL1A SNPs and endometriosis risk. WHAT IS KNOWN ALREADY Genetic factors contribute substantially to the complex aetiology of endometriosis and the disease has an estimated heritability of ∼51%. We, and others, have conducted genome-wide association (GWA) studies for endometriosis, which identified a total of nine independent risk loci. Recently, two small Japanese studies reported eight SNPs (rs6542095, rs11677416, rs3783550, rs3783525, rs3783553, rs2856836, rs1304037 and rs17561) at the IL1A gene locus as suggestively associated with endometriosis risk. There is also evidence of a link between inflammation and endometriosis. STUDY DESIGN, SIZE, DURATION We sought to further investigate the eight IL1A SNPs for association with endometriosis using an independent sample of 3908 endometriosis cases and 8568 controls of European and Japanese ancestry. The study was conducted between October 2013 and July 2014. PARTICIPANTS/MATERIALS, SETTING, METHODS By leveraging GWA data from our previous multi-ethnic GWA meta-analysis for endometriosis, we imputed variants in the IL1A region, using a recent 1000 Genomes reference panel. After combining summary statistics for the eight SNPs from our European and Japanese imputed data with the published results, a fixed-effect meta-analysis was performed. An additional meta-analysis restricted to endometriosis cases with moderate-to-severe (revised American Fertility Society stage 3 or 4) disease versus controls was also performed. MAIN RESULTS AND THE ROLE OF CHANCE All eight IL1A SNPs successfully replicated at P < 0.014 in the European imputed data with concordant direction and similar size to the effects reported in the original Japanese studies. Of these, three SNPs (rs6542095, rs3783550 and rs3783525) also showed association with endometriosis at a nominal P < 0.05 in our independent Japanese sample. Fixed-effect meta-analysis of the eight SNPs for moderate-to-severe endometriosis produced a genome-wide significant association for rs6542095 (odds ratio = 1.21; 95% confidence interval = 1.13–1.29; P = 3.43 × 10−8). LIMITATIONS, REASONS FOR CAUTION The meta-analysis for moderate-to-severe endometriosis included results of moderate-to-severe endometriosis cases from our European data sets and all endometriosis cases from the Japanese data sets, as disease stage information was not available for endometriosis cases in the Japanese data sets. WIDER IMPLICATIONS OF THE FINDINGS SNP rs6542095 is located ∼2.3 kb downstream of the IL1A gene and ∼6.9 kb upstream of cytoskeleton-associated protein 2-like (CKAP2L) gene. The IL1A gene encodes the IL1a protein, a member of the interleukin 1 cytokine family which is involved in various immune responses and inflammatory processes. These results provide important replication in an independent Japanese sample and, for the first time, association of the IL1A locus in endometriosis patients of European ancestry. SNPs within the IL1A locus may regulate other genes, but if IL1A is the target, our results provide supporting evidence for a link between inflammatory responses and the pathogenesis of endometriosis. STUDY FUNDING/COMPETING INTEREST(S) The research was funded by grants from the Australian National Health and Medical Research Council and Wellcome Trust. None of the authors has competing interests for the study.

A mega-analysis of genome-wide association studies for major depressive disorder

Prior genome-wide association studies (GWAS) of major depressive disorder (MDD) have met with limited success. We sought to increase statistical power to detect disease loci by conducting a GWAS mega-analysis for MDD. In the MDD discovery phase, we analyzed more than 1.2 million autosomal and X chromosome single-nucleotide polymorphisms (SNPs) in 18 759 independent and unrelated subjects of recent European ancestry (9240 MDD cases and 9519 controls). In the MDD replication phase, we evaluated 554 SNPs in independent samples (6783 MDD cases and 50 695 controls). We also conducted a cross-disorder meta-analysis using 819 autosomal SNPs with P<0.0001 for either MDD or the Psychiatric GWAS Consortium bipolar disorder (BIP) mega-analysis (9238 MDD cases/8039 controls and 6998 BIP cases/7775 controls). No SNPs achieved genome-wide significance in the MDD discovery phase, the MDD replication phase or in pre-planned secondary analyses (by sex, recurrent MDD, recurrent early-onset MDD, age of onset, pre-pubertal onset MDD or typical-like MDD from a latent class analyses of the MDD criteria). In the MDD-bipolar cross-disorder analysis, 15 SNPs exceeded genome-wide significance (P<5 x 10(-8)), and all were in a 248 kb interval of high LD on 3p21.1 (chr3:52 425 083-53 822 102, minimum P=5.9 x 10(-9) at rs2535629). Although this is the largest genome-wide analysis of MDD yet conducted, its high prevalence means that the sample is still underpowered to detect genetic effects typical for complex traits. Therefore, we were unable to identify robust and replicable findings. We discuss what this means for genetic research for MDD. The 3p21.1 MDD-BIP finding should be interpreted with caution as the most significant SNP did not replicate in MDD samples, and genotyping in independent samples will be needed to resolve its status.

Identification of seven loci affecting mean telomere length and their association with disease

Interindividual variation in mean leukocyte telomere length (LTL) is associated with cancer and several age-associated diseases. We report here a genome-wide meta-analysis of 37,684 individuals with replication of selected variants in an additional 10,739 individuals. We identified seven loci, including five new loci, associated with mean LTL (P < 5 x 10(-8)). Five of the loci contain candidate genes (TERC, TERT, NAF1, OBFC1 and RTEL1) that are known to be involved in telomere biology. Lead SNPs at two loci (TERC and TERT) associate with several cancers and other diseases, including idiopathic pulmonary fibrosis. Moreover, a genetic risk score analysis combining lead variants at all 7 loci in 22,233 coronary artery disease cases and 64,762 controls showed an association of the alleles associated with shorter LTL with increased risk of coronary artery disease (21% (95% confidence interval, 5-35%) per standard deviation in LTL, P = 0.014). Our findings support a causal role of telomere-length variation in some age-related diseases.

Six novel susceptibility Loci for early-onset androgenetic alopecia and their unexpected association with common diseases

Androgenetic alopecia (AGA) is a highly heritable condition and the most common form of hair loss in humans. Susceptibility loci have been described on the X chromosome and chromosome 20, but these loci explain a minority of its heritable variance. We conducted a large-scale meta-analysis of seven genome-wide association studies for early-onset AGA in 12,806 individuals of European ancestry. While replicating the two AGA loci on the X chromosome and chromosome 20, six novel susceptibility loci reached genome-wide significance (p = 2.62x10(-)(9)-1.01x10(-)(1)(2)). Unexpectedly, we identified a risk allele at 17q21.31 that was recently associated with Parkinson's disease (PD) at a genome-wide significant level. We then tested the association between early-onset AGA and the risk of PD in a cross-sectional analysis of 568 PD cases and 7,664 controls. Early-onset AGA cases had significantly increased odds of subsequent PD (OR = 1.28, 95% confidence interval: 1.06-1.55, p = 8.9x10(-)(3)). Further, the AGA susceptibility alleles at the 17q21.31 locus are on the H1 haplotype, which is under negative selection in Europeans and has been linked to decreased fertility. Combining the risk alleles of six novel and two established susceptibility loci, we created a genotype risk score and tested its association with AGA in an additional sample. Individuals in the highest risk quartile of a genotype score had an approximately six-fold increased risk of early-onset AGA [odds ratio (OR) = 5.78, p = 1.4x10(-)(8)(8)]. Our results highlight unexpected associations between early-onset AGA, Parkinson's disease, and decreased fertility, providing important insights into the pathophysiology of these conditions.

Evaluation of polymorphisms in predicted target sites for micro RNAs differentially expressed in endometriosis

Previous microarray analyses identified 22 microRNAs (miRNAs) differentially expressed in paired ectopic and eutopic endometrium of women with and without endometriosis. To investigate further the role of these miRNAs in women with endometriosis, we conducted an association study aiming to explore the relationship between endometriosis risk and single-nucleotide polymorphisms (SNPs) in miRNA target sites for these differentially expressed miRNAs. A panel of 102 SNPs in the predicted miRNA binding sites were evaluated for an endometriosis association study and an ingenuity pathway analysis was performed. Fourteen rare variants were identified in this study. We found SNP rs14647 in the Wolf-Hirschhorn syndrome candidate gene1 (WHSC1) 3'UTR (untranslated region) was associated with endometriosis-related infertility presenting an odds ratio of 12.2 (95% confidence interval = 2.4-60.7, P = 9.03 x 10(-5)). SNP haplotype AGG in the solute carrier family 22, member 23 (SLC22A23) 3'UTR was associated with endometriosis-related infertility and more severe disease. With the individual genotyping data, ingenuity pathways analysis identified the tumour necrosis factor and cyclin-dependant kinase inhibitor as major factors in the molecular pathways. Significant associations between WHSC1 alleles and endometriosis-related infertility and SLC22A23 haplotypes and the disease severe stage were identified. These findings may help focus future research on subphenotypes of this disease. Replication studies in independent large sample sets to confirm and characterize the involvement of the gene variation in the pathogenesis of endometriosis are needed.