Multiasset Derivatives and Joint Distributions of Asset Prices

Several of multiasset derivatives like basket options or options on the weighted maximum of assets exhibit the property that their prices determine uniquely the underlying asset distribution. Related to that the question how to retrieve this distributions from the corresponding derivatives quotes will be discussed. On the contrary, the prices of exchange options do not uniquely determine the underlying distributions of asset prices and the extent of this non-uniqueness can be characterised. The discussion is related to a geometric interpretation of multiasset derivatives as support functions of convex sets. Following this, various symmetry properties for basket, maximum and exchange options are discussed alongside with their geometric interpretations and some decomposition results for more general payoff functions.

Epidemiological, social, diagnostic and economic evaluation of population screening for genital chlamydial infection

OBJECTIVES: To investigate epidemiological, social, diagnostic and economic aspects of chlamydia screening in non-genitourinary medicine settings. METHODS: Linked studies around a cross-sectional population-based survey of adult men and women invited to collect urine and (for women) vulvovaginal swab specimens at home and mail these to a laboratory for testing for Chlamydia trachomatis. Specimens were used in laboratory evaluations of an amplified enzyme immunoassay (PCE EIA) and two nucleic acid amplification tests [Cobas polymerase chain reaction (PCR), Becton Dickinson strand displacement amplification (SDA)]. Chlamydia-positive cases and two negative controls completed a risk factor questionnaire. Chlamydia-positive cases were invited into a randomised controlled trial of partner notification strategies. Samples of individuals testing negative completed psychological questionnaires before and after screening. In-depth interviews were conducted at all stages of screening. Chlamydia transmission and cost-effectiveness of screening were investigated in a transmission dynamic model. SETTING AND PARTICIPANTS: General population in the Bristol and Birmingham areas of England. In total, 19,773 women and men aged 16-39 years were randomly selected from 27 general practice lists. RESULTS: Screening invitations reached 73% (14,382/19,773). Uptake (4731 participants), weighted for sampling, was 39.5% (95% CI 37.7, 40.8%) in women and 29.5% (95% CI 28.0, 31.0%) in men aged 16-39 years. Chlamydia prevalence (219 positive results) in 16-24 year olds was 6.2% (95% CI 4.9, 7.8%) in women and 5.3% (95% CI 4.4, 6.3%) in men. The case-control study did not identify any additional factors that would help target screening. Screening did not adversely affect anxiety, depression or self-esteem. Participants welcomed the convenience and privacy of home-sampling. The relative sensitivity of PCR on male urine specimens was 100% (95% CI 89.1, 100%). The combined relative sensitivities of PCR and SDA using female urine and vulvovaginal swabs were 91.8% (86.1, 95.7, 134/146) and 97.3% (93.1, 99.2%, 142/146). A total of 140 people (74% of eligible) participated in the randomised trial. Compared with referral to a genitourinary medicine clinic, partner notification by practice nurses resulted in 12.4% (95% CI -3.7, 28.6%) more patients with at least one partner treated and 22.0% (95% CI 6.1, 37.8%) more patients with all partners treated. The health service and patients costs (2005 prices) of home-based postal chlamydia screening were 21.47 pounds (95% CI 19.91 pounds, 25.99) per screening invitation and 28.56 pounds (95% CI 22.10 pounds, 30.43) per accepted offer. Preliminary modelling found an incremental cost-effectiveness ratio (2003 prices) comparing screening men and women annually to no screening in the base case of 27,000 pounds/major outcome averted at 8 years. If estimated screening uptake and pelvic inflammatory disease incidence were increased, the cost-effectiveness ratio fell to 3700 pounds/major outcome averted. CONCLUSIONS: Proactive screening for chlamydia in women and men using home-collected specimens was feasible and acceptable. Chlamydia prevalence rates in men and women in the general population are similar. Nucleic acid amplification tests can be used on first-catch urine specimens and vulvovaginal swabs. The administrative costs of proactive screening were similar to those for opportunistic screening. Using empirical estimates of screening uptake and incidence of complications, screening was not cost-effective.

The Nestlé crash

On November 17, 1988, the board of directors of Nestlé AG decided to allow foreign investors to hold Nestlé registered stock, reversing a longstanding practice. This decision had a tremendous impact on the prices of the firm's three classes of common stock, as well as on the prices of several other corporations traded on the Zürich stock exchange. These price changes can be explained by the hypothesis that demand curves slope down.

Static replications with traffic light options

It is well known that sufficiently regular, one-dimensional payoff functions have an explicit static hedge by bonds, forward contracts, and options in a continuum of strikes. An easy and natural extension of the corresponding representation leads to static hedges based on the same instruments along with traffic light options, which have recently been introduced in the market. It is well known that the second strike derivative of non-discounted prices of vanilla options is related to the risk-neutral density of the underlying asset price in the corresponding absolutely continuous settings. Similar statements hold for traffic light options in sufficiently regular, bivariate settings.