Adaptive designs for Phase I dose-finding studies

Improving methodology for Phase I dose-finding studies is currently of great interest in pharmaceutical and medical research. This article discusses the current atmosphere and attitude towards adaptive designs and focuses on the influence of Bayesian approaches.

Closed form approximations for spread options

This article expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new closed form approximation for the price of a European spread option and a corresponding approximation for each of its price, volatility and correlation hedge ratios. Our approach has many advantages over existing analytical approximations, which have limited validity and an indeterminacy that renders them of little practical use. The compound exchange option approximation for European spread options is then extended to American spread options on assets that pay dividends or incur costs. Simulations quantify the accuracy of our approach; we also present an empirical application to the American crack spread options that are traded on NYMEX. For illustration, we compare our results with those obtained using the approximation attributed to Kirk (1996, Correlation in energy markets. In: V. Kaminski (Ed.), Managing Energy Price Risk, pp. 71–78 (London: Risk Publications)), which is commonly used by traders.

Reducing contamination by exposure plus safety behaviour

Background and objectives: It has been proposed that the judicious use of safety behaviour can facilitate improvements in the acceptability of cognitive behaviour therapy (CBT). It was decided to explore the possibility of facilitating CBT by introducing a form of safety behaviour.We sought to assess the degree to which Exposure plus Safety Behaviour (E þ SB) is an effective intervention for contamination fears. Methods: A comparison was made between the effects of a control condition (Exposure and Response Prevention; ERP) and an experimental condition (Exposure plus Safety Behaviour; E þ SB) in which each exposure to a contaminant was followed by the use of a hygienic wipe in a sample of (n ¼ 80) undergraduate students. In session one, each participant touched a confirmed contaminant 20 times. After each exposure participants were asked to report their feelings of contamination, fear, disgust, and danger. In the second session, two weeks later, the same procedure was carried out for a further 16 trials. Results: The ERP and the E þ SB conditions both produced large, significant and stable reductions in contamination. Significant reductions in fear, danger and disgust were also reported in both conditions. Limitations: The treatment was provided to an analogue sample and over two sessions. Conclusions: The use of hygienic wipes, the safety behaviour used in this experiment, did not preclude significant reductions in contamination, disgust, fear and danger. If it is replicated and extended over a longer time-frame, this finding may enable practitioners to enhance the acceptability of cognitive behavioural treatments and boost their effectiveness.

Structural characterization of a new crystal form of the four-way Holliday junction formed by the DNA sequence d(CCGGTACCGG)2: sequence versus lattice?

DNA-strand exchange is a vital step in the recombination process, of which a key intermediate is the four-way DNA Holliday junction formed transiently in most living organisms. Here, the single-crystal structure at a resolution of 2.35 Å of such a DNA junction formed by d(CCGGTACCGG)2, which has crystallized in a more highly symmetrical packing mode to that previously observed for the same sequence, is presented. In this case, the structure is isomorphous to the mismatch sequence d(CCGGGACCGG)2, which reveals the roles of both lattice and DNA sequence in determining the junction geometry. The helices cross at the larger angle of 43.0° (the previously observed angle for this sequence was 41.4°) as a right-handed X. No metal cations were observed; the crystals were grown in the presence of only group I counter-cations.

An extreme value theory approach to calculating minimum capital risk requirements

This paper investigates the frequency of extreme events for three LIFFE futures contracts for the calculation of minimum capital risk requirements (MCRRs). We propose a semiparametric approach where the tails are modelled by the Generalized Pareto Distribution and smaller risks are captured by the empirical distribution function. We compare the capital requirements form this approach with those calculated from the unconditional density and from a conditional density - a GARCH(1,1) model. Our primary finding is that both in-sample and for a hold-out sample, our extreme value approach yields superior results than either of the other two models which do not explicitly model the tails of the return distribution. Since the use of these internal models will be permitted under the EC-CAD II, they could be widely adopted in the near future for determining capital adequacies. Hence, close scrutiny of competing models is required to avoid a potentially costly misallocation capital resources while at the same time ensuring the safety of the financial system.