Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.

Incidence and consequence of major bleeding in primary percutaneous intervention for ST-elevation myocardial infarction in the era of radial access: an analysis of the international randomized Acute myocardial infarction Treated with primary angioplasty and intravenous enoxaparin Or unfractionated heparin to Lower ischemic and bleeding events at short- and Long-term follow-up trial.

AIMS: The aims of the study are to compare the outcome with and without major bleeding and to identify the independent correlates of major bleeding complications and mortality in patients described in the ATOLL study. METHODS: The ATOLL study included 910 patients randomly assigned to either 0.5 mg/kg intravenous enoxaparin or unfractionated heparin before primary percutaneous coronary intervention. Incidence of major bleeding and ischemic end points was assessed at 1 month, and mortality, at 1 and 6 months. Patients with and without major bleeding complication were compared. A multivariate model of bleeding complications at 1 month and mortality at 6 months was realized. Intention-to-treat and per-protocol analyses were performed. RESULTS: The most frequent bleeding site appears to be the gastrointestinal tract. Age >75 years, cardiac arrest, and the use of insulin or >1 heparin emerged as independent correlates of major bleeding at 1 month. Patients presenting with major bleeding had significantly higher rates of adverse ischemic complications. Mortality at 6 months was higher in bleeders. Major bleeding was found to be one of the independent correlates of 6-month mortality. The addition or mixing of several anticoagulant drugs was an independent factor of major bleeding despite the predominant use of radial access. CONCLUSIONS: This study shows that major bleeding is independently associated with poor outcome, increasing ischemic events, and mortality in primary percutaneous coronary intervention performed mostly with radial access.

The Spatial Distribution of Human Capital: Can It Really Be Explained by Regional Differences in Market Access?

This paper tests the robustness of estimates of market access impact on regional variability in human capital, as previously derived in the NEG literature. Our hypothesis is that these estimates of the coefficient of market access, in fact, capture the effects of regional differences in the industrial mix and the spatial dependence in the distribution of human capital. Results for the Spanish provinces indicate that the estimated impact of market access vanishes and becomes non-significant once these two elements are included in the empirical analysis.

Handover aspects in Unlicensed Mobile Access Technology

Fixed Mobile Convergence is the recent buzz in the field of telecommunication technology. Unlicensed Mobile Access (UMA) technology is a realistic implementation of Fixed Mobile Convergence. UMA involves communication between different types of networks. Handover is a very important issue in UMA. The study is an analysis of theoretical handover mechanism and practical test results. It includes a new proposal for handover performance test in UMA. It also provides an overview of basic handover operation on different scenarios in UMA. The practical test involves an experiment on handover performance test using network analyzers. The new proposal provides a different approach for an experimental setting on handover performance test without using network analyzers. The approach is not be implemented because of some technical problem in a network equipment in UMA. The analysis of the test results reveals that time of handover between UMA and Global System for Mobile Communication (GSM) network is similar to time of handover between inter base station controller (BSC) handover in GSM networks. The new approach is simple and provides measurement at the end point communicating entities. The study gives a general understanding of handover operation, an analysis of handover performance in UMA and specifically provides a new approach useful for further study of handover in different real world environments and scenarios.

Référentiel de pratiques professionnelles: soins et surveillance des accès veineux centraux de l'adulte pour la nutrition parentérale [Formative assessment in clinical nutrition: Care management of parenteral nutrition central venous access]

Les voies veineuses centrales (VVC) sont essentielles pour l'administration de la nutrition parentérale. Le risque de complications est dépendant de la qualité des soins apportés à la VVC qui influence de ce fait la qualité de vie des patients et le coût des soins. Beaucoup de complications des VVC, infectieuses ou non, peuvent être prévenues par l'existence de protocoles de soins appropriés et standardisés. L'information sur les soins des VVC et les éventuelles complications est essentielle pour le dépistage et le traitement précoce de ces complications ; elle doit faire l'objet de protocoles partagés entre les patients et les soignants. Cet article décrit une évaluation des pratiques professionnelles sous la forme d'un audit clinique destiné à améliorer la qualité de soins des patients en nutrition parentérale porteurs de VVC. Central venous access devices (CVAD) are essential for the administration of parenteral nutrition. The quality of the care of CVAD influences the risk of complications and so the quality of life of the patients and the costs of care. Numerous infectious or non-infectious complications of CVAD can be prevented by appropriate, standardized protocols of care. Information about the care of CVAD and complications is essential for the early recognition and treatment of complications and should be shared between patients and caregivers. This article describes an audit for CAVD care that can be used to improve quality of care in a professional practice evaluation program.

Performance persistence of equity funds in the Russian stock market

This thesis investigates performance persistence among the equity funds investing in Russia during 2003-2007. Fund performance is measured using several methods including the Jensen alpha, the Fama-French 3- factor alpha, the Sharpe ratio and two of its variations. Moreover, we apply the Bayesian shrinkage estimation in performance measurement and evaluate its usefulness compared with the OLS 3-factor alphas. The pattern of performance persistence is analyzed using the Spearman rank correlation test, cross-sectional regression analysis and stacked return time series. Empirical results indicate that the Bayesian shrinkage estimates may provide better and more accurate estimates of fund performance compared with the OLS 3-factor alphas. Secondly, based on the results it seems that the degree of performance persistence is strongly related to length of the observation period. For the full sample period the results show strong signs of performance reversal whereas for the subperiod analysis the results indicate performance persistence during the most recent years.

Observations of Industry Momentum Effect in European Equity Indices

This thesis examines the existence and nature of momentum effect in European equity indices. A set of predefined indicators is used to compose momentum portfolios and different holding periods are used to test the strategies over variable time periods as well as under different economical conditions. The data consists of daily closing prices of STOXX Europe 600 index and its 18 super sector indices. Over the study period we follow the performances of a long position in the Winner portfolio, a position in the market neutral zero-cost portfolio and also a position in the risk-controlled zero-cost portfolio. The investment ratio of the risk-controlled zero-cost portfolio is negatively correlated with the realized market volatility. The results show that momentum effect is present in European industries and is most prominent in the short-term. Indicators that are based on short-term performance tend predict the over- and underperformers for the 1-month holding period more reliably than any other indicator/holding period combination. The examination of the strategies under different economical conditions shows that the market neutral approach can create significant returns in times of recession but in times of economic boom the long position in Winner portfolio outperforms the market neutral portfolio by an extensive margin.

ICT Disparities In Finland - Access and Implications

The Internet and other new information and communication technologies (ICTs) have become an integral part of most Western societies, from the perspective of both individuals and organizations. In this dissertation the evolving role of the Internet and other new ICTs in Finland over the past decade is studied from the perspective of disparity. The ICT disparities are seen to be constructed from two interconnecting elements, access and implications. The main goal of this dissertation is to examine how access, different user purposes, as well as implications, reflect disparities among different socio-demographic and socioeconomic population groups. For the purposes of this work, four research studies, each with its own, specific topic, were constructed. According to the results, age is clearly the most significant element associated with both access and implications for the new ICTs in Finland. Although other examined factors were also significant, they were often associated with individual research topics. In addition, the dissertation will also provide new research elements for future reference.

Open Access in Sweden and the programme OpenAccess.se

Presentation at the Nordic Perspectives on Open Access and Open Science seminar, Helsinki, October 15, 2013

Bridge over troubled water - using the CRIS in building Open Access infrastructures

Presentation at the Nordic Perspectives on Open Access and Open Science seminar, Helsinki, October 15, 2013

How is OpenAIRE supporting open access policies and infrastructures in Europe? A Nordic point of view!

Presentation at the Nordic Perspectives on Open Access and Open Science seminar, Helsinki, October 15, 2013

The Use of Data Envelopment Analysis as Equity Portfolio Selection Criterion in the Finnish Stock Market

This thesis examines the application of data envelopment analysis as an equity portfolio selection criterion in the Finnish stock market during period 2001-2011. A sample of publicly traded firms in the Helsinki Stock Exchange is examined in this thesis. The sample covers the majority of the publicly traded firms in the Helsinki Stock Exchange. Data envelopment analysis is used to determine the efficiency of firms using a set of input and output financial parameters. The set of financial parameters consist of asset utilization, liquidity, capital structure, growth, valuation and profitability measures. The firms are divided into artificial industry categories, because of the industry-specific nature of the input and output parameters. Comparable portfolios are formed inside the industry category according to the efficiency scores given by the DEA and the performance of the portfolios is evaluated with several measures. The empirical evidence of this thesis suggests that with certain limitations, data envelopment analysis can successfully be used as portfolio selection criterion in the Finnish stock market when the portfolios are rebalanced at annual frequency according to the efficiency scores given by the data envelopment analysis. However, when the portfolios were rebalanced every two or three years, the results are mixed and inconclusive.

Virtual Cellar of the Estonian Literary Museum: the Challenges of the Open Access in the Digital Era

Poster at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014

The ETH Zurich DOI Desk: DOIs as standard persistent identifier and best practice in Swiss Open Access repositories

Presentation at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014