Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

Resonant power conversion topologies for inductive charging of electrical vehicle batteries

This thesis is concerned with inductive charging of electric vehicle batteries. Rectified power form the 50/60 Hz utility feeds a dc-ac converter which delivers high-frequency ac power to the electric vehicle inductive coupling inlet. The inlet configuration has been defined by the Society of Automotive Engineers in Recommended Practice J-1773. This thesis studies converter topologies related to the series resonant converter. When coupled to the vehicle inlet, the frequency-controlled series-resonant converter results in a capacitively-filtered series-parallel LCLC (SP-LCLC) resonant converter topology with zero voltage switching and many other desirable features. A novel time-domain transformation analysis, termed Modal Analysis, is developed, using a state variable transformation, to analyze and characterize this multi-resonant fourth-orderconverter. Next, Fundamental Mode Approximation (FMA) Analysis, based on a voltage-source model of the load, and its novel extension, Rectifier-Compensated FMA (RCFMA) Analysis, are developed and applied to the SP-LCLC converter. The RCFMA Analysis is a simpler and more intuitive analysis than the Modal Analysis, and provides a relatively accurate closed-form solution for the converter behavior. Phase control of the SP-LCLC converter is investigated as a control option. FMA and RCFMA Analyses are used for detailed characterization. The analyses identify areas of operation, which are also validated experimentally, where it is advantageous to phase control the converter. A novel hybrid control scheme is proposed which integrates frequency and phase control and achieves reduced operating frequency range and improved partial-load efficiency. The phase-controlled SP-LCLC converter can also be configured with a parallel load and is an excellent option for the application. The resulting topology implements soft-switching over the entire load range and has high full-load and partial-load efficiencies. RCFMA Analysis is used to analyze and characterize the new converter topology, and good correlation is shown with experimental results. Finally, a novel single-stage power-factor-corrected ac-dc converter is introduced, which uses the current-source characteristic of the SP-LCLC topology to provide power factor correction over a wide output power range from zero to full load. This converter exhibits all the advantageous characteristics of its dc-dc counterpart, with a reduced parts count and cost. Simulation and experimental results verify the operation of the new converter.

Ireland's knowledge economy policy: beliefs, drivers and prospects

This dissertation critically examines Ireland’s knowledge economy policy, the country’s basis for economic recovery and growth, to enhance future policy decisions and debate. Much has been written internationally on the ‘knowledge economy’ with its emergence closely related to globalisation and technological progression in the 1990s. Since the late 1990s, Irish policy-makers have been firmly committed to positioning Ireland as a leading knowledge economy. Transforming the country’s competitive base to a knowledge economy is pivotal, directly shaping the course of Ireland’s economy and society. Given Ireland’s current economic crisis, limited resources, global competition from leaders in science and technology and growing challenges from emerging economies, a systematic study of Ireland’s major competitive policy is imperative. Above all, this study explores the processes behind the policy and the multiple actors from different institutions who follow and seek to influence decisions. The advocacy coalition framework is used to identify the advocacy coalition operating in the knowledge economy policy subsystem. The theoretical insights of this framework are also combined with other public policy approaches, providing complementary insights into the policy process. The research is framed around three elements - the beliefs underpinning the policy; who is driving the policy; and the prospects of the policy. Primary information is collected by way of semi-structured in-depth interviews with 49 Irish elites (politicians, senior bureaucrats, academics and business leaders) involved in the formation and implementation of the policy. This study finds that a strong advocacy coalition has formed in this policy subsystem whose members are collectively driving the policy. Both exogenous and endogenous forces help frame a common perception of the problems the policy addresses and the solutions it offers. Evidence suggests that this policy is a sustainable option for Ireland’s economic future and the study concludes with policy recommendations for advancing Ireland’s knowledge economy.

Voltage properties of optically injected long wavelength VCSELs: Theory and experiment

Future high speed communications networks will transmit data predominantly over optical fibres. As consumer and enterprise computing will remain the domain of electronics, the electro-optical conversion will get pushed further downstream towards the end user. Consequently, efficient tools are needed for this conversion and due to many potential advantages, including low cost and high output powers, long wavelength Vertical Cavity Surface Emitting Lasers (VCSELs) are a viable option. Drawbacks, such as broader linewidths than competing options, can be mitigated through the use of additional techniques such as Optical Injection Locking (OIL) which can require significant expertise and expensive equipment. This thesis addresses these issues by removing some of the experimental barriers to achieving performance increases via remote OIL. Firstly, numerical simulations of the phase and the photon and carrier numbers of an OIL semiconductor laser allowed the classification of the stable locking phase limits into three distinct groups. The frequency detuning of constant phase values (ø) was considered, in particular ø = 0 where the modulation response parameters were shown to be independent of the linewidth enhancement factor, α. A new method to estimate α and the coupling rate in a single experiment was formulated. Secondly, a novel technique to remotely determine the locked state of a VCSEL based on voltage variations of 2mV−30mV during detuned injection has been developed which can identify oscillatory and locked states. 2D & 3D maps of voltage, optical and electrical spectra illustrate corresponding behaviours. Finally, the use of directly modulated VCSELs as light sources for passive optical networks was investigated by successful transmission of data at 10 Gbit/s over 40km of single mode fibre (SMF) using cost effective electronic dispersion compensation to mitigate errors due to wavelength chirp. A widely tuneable MEMS-VCSEL was established as a good candidate for an externally modulated colourless source after a record error free transmission at 10 Gbit/s over 50km of SMF across a 30nm single mode tuning range. The ability to remotely set the emission wavelength using the novel methods developed in this thesis was demonstrated.

Surveillance during pregnancy: methods and response rates from a hospital based pilot study of the Pregnancy Risk Assessment Monitoring System in Ireland

Background: Many European countries including Ireland lack high quality, on-going, population based estimates of maternal behaviours and experiences during pregnancy. PRAMS is a CDC surveillance program which was established in the United States in 1987 to generate high quality, population based data to reduce infant mortality rates and improve maternal and infant health. PRAMS is the only on-going population based surveillance system of maternal behaviours and experiences that occur before, during and after pregnancy worldwide.Methods: The objective of this study was to adapt, test and evaluate a modified CDC PRAMS methodology in Ireland. The birth certificate file which is the standard approach to sampling for PRAMS in the United States was not available for the PRAMS Ireland study. Consequently, delivery record books for the period between 3 and 5 months before the study start date at a large urban obstetric hospital [8,900 births per year] were used to randomly sample 124 women. Name, address, maternal age, infant sex, gestational age at delivery, delivery method, APGAR score and birth weight were manually extracted from records. Stillbirths and early neonatal deaths were excluded using APGAR scores and hospital records. Women were sent a letter of invitation to participate including option to opt out, followed by a modified PRAMS survey, a reminder letter and a final survey.Results: The response rate for the pilot was 67%. Two per cent of women refused the survey, 7% opted out of the study and 24% did not respond. Survey items were at least 88% complete for all 82 respondents. Prevalence estimates of socially undesirable behaviours such as alcohol consumption during pregnancy were high [>50%] and comparable with international estimates.Conclusion: PRAMS is a feasible and valid method of collecting information on maternal experiences and behaviours during pregnancy in Ireland. PRAMS may offer a potential solution to data deficits in maternal health behaviour indicators in Ireland with further work. This study is important to researchers in Europe and elsewhere who may be interested in new ways of tailoring an established CDC methodology to their unique settings to resolve data deficits in maternal health.

A study of the Hobson and Rogers volatility model

We firstly examine the model of Hobson and Rogers for the volatility of a financial asset such as a stock or share. The main feature of this model is the specification of volatility in terms of past price returns. The volatility process and the underlying price process share the same source of randomness and so the model is said to be complete. Complete models are advantageous as they allow a unique, preference independent price for options on the underlying price process. One of the main objectives of the model is to reproduce the `smiles' and `skews' seen in the market implied volatilities and this model produces the desired effect. In the first main piece of work we numerically calibrate the model of Hobson and Rogers for comparison with existing literature. We also develop parameter estimation methods based on the calibration of a GARCH model. We examine alternative specifications of the volatility and show an improvement of model fit to market data based on these specifications. We also show how to process market data in order to take account of inter-day movements in the volatility surface. In the second piece of work, we extend the Hobson and Rogers model in a way that better reflects market structure. We extend the model to take into account both first and second order effects. We derive and numerically solve the pde which describes the price of options under this extended model. We show that this extension allows for a better fit to the market data. Finally, we analyse the parameters of this extended model in order to understand intuitively the role of these parameters in the volatility surface.

The effects of copayment policies on adherence to prescription medicines in publicly insured populations

Introduction: Copayments for prescriptions are associated with decreased adherence to medicines resulting in increased health service utilisation, morbidity and mortality. In October 2010 a 50c copayment per prescription item was introduced on the General Medical Services (GMS) scheme in Ireland, the national public health insurance programme for low-income and older people. The copayment was increased to €1.50 per prescription item in January 2013. To date, the impact of these copayments on adherence to prescription medicines on the GMS scheme has not been assessed. Given that the GMS population comprises more than 40% of the Irish population, this presents an important public health problem. The aim of this thesis was to assess the impact of two prescription copayments, 50c and €1.50, on adherence to medicines.Methods: In Chapter 2 the published literature was systematically reviewed with meta-analysis to a) develop evidence on cost-sharing for prescriptions and adherence to medicines and b) develop evidence for an alternative policy option; removal of copayments. The core research question of this thesis was addressed by a large before and after longitudinal study, with comparator group, using the national pharmacy claims database. New users of essential and less-essential medicines were included in the study with sample sizes ranging from 7,007 to 136,111 individuals in different medication groups. Segmented regression was used with generalised estimating equations to allow for correlations between repeated monthly measurements of adherence. A qualitative study involving 24 individuals was conducted to assess patient attitudes towards the 50c copayment policy. The qualitative and quantitative findings were integrated in the discussion chapter of the thesis. The vast majority of the literature on this topic area is generated in North America, therefore a test of generalisability was carried out in Chapter 5 by comparing the impact of two similar copayment interventions on adherence, one in the U.S. and one in Ireland. The method used to measure adherence in Chapters 3 and 5 was validated in Chapter 6. Results: The systematic review with meta-analysis demonstrated an 11% (95% CI 1.09 to 1.14) increased odds of non-adherence when publicly insured populations were exposed to copayments. The second systematic review found moderate but variable improvements in adherence after removal/reduction of copayments in a general population. The core paper of this thesis found that both the 50c and €1.50 copayments on the GMS scheme were associated with larger reductions in adherence to less-essential medicines than essential medicines directly after the implementation of policies. An important exception to this pattern was observed; adherence to anti-depressant medications declined by a larger extent than adherence to other essential medicines after both copayments. The cross country comparison indicated that North American evidence on cost-sharing for prescriptions is not automatically generalisable to the Irish setting. Irish patients had greater immediate decreases of -5.3% (95% CI -6.9 to -3.7) and -2.8% (95% CI -4.9 to -0.7) in adherence to anti-hypertensives and anti-hyperlipidaemic medicines, respectively, directly after the policy changes, relative to their U.S. counterparts. In the long term, however, the U.S. and Irish populations had similar behaviours. The concordance study highlighted the possibility of a measurement bias occurring for the measurement of adherence to non-steroidal anti-inflammatory drugs in Chapter 3. Conclusions: This thesis has presented two reviews of international cost-sharing policies, an assessment of the generalisability of international evidence and both qualitative and quantitative examinations of cost-sharing policies for prescription medicines on the GMS scheme in Ireland. It was found that the introduction of a 50c copayment and its subsequent increase to €1.50 on the GMS scheme had a larger impact on adherence to less-essential medicines relative to essential medicines, with the exception of anti-depressant medications. This is in line with policy objectives to reduce moral hazard and is therefore demonstrative of the value of such policies. There are however some caveats. The copayment now stands at €2.50 per prescription item. The impact of this increase in copayment has yet to be assessed which is an obvious point for future research. Careful monitoring for adverse effects in socio-economically disadvantaged groups within the GMS population is also warranted. International evidence can be applied to the Irish setting to aid in future decision making in this area, but not without placing it in the local context first. Patients accepted the introduction of the 50c charge, however did voice concerns over a rising price. The challenge for policymakers is to find the ‘optimal copayment’ – whereby moral hazard is decreased, but access to essential chronic disease medicines that provide advantages at the population level is not deterred. This evidence presented in this thesis will be utilisable for future policy-making in Ireland.

Biogas production from novel substrates

Biogas production is the conversion of the organic material into methane (CH4) and carbon dioxide (CO2) under anaerobic conditions. Anaerobic digestion (AD) is widely used in continental and Scandinavian communities as both a waste treatment option and a source of renewable energy. Ireland however lags behind this European movement. Numerous feedstocks exist which could be digested and used to fuel a renewable transport fleet in Ireland. An issue exists with the variety of feedstocks; these need to be assessed and quantified to ascertain their potential resource and application to AD. From literature the ideal C:N ratio is between 25 and 30:1. Low levels of C:N (<15) can lead to problems with ammonia inhibition. Within the digester a plentiful supply of nutrients and a balanced C:N is required for stable performance. Feedstocks were sampled from a range of over 100 different substrates in Ireland including for first, second and third generation feedstocks. The C:N ranged from 81:1 (Winter Oats) to 7:1 (Silage Effluent). The BMP yields were recorded ranging from 38 ± 2.0 L CH4 kg−1 VS for pig slurry (weaning pigs) to 805 ± 57 L CH4 kg−1 VS for used cooking oil (UCO). However the selection of the best preforming feedstock in terms of C:N ratio or BMP yield alone is not sufficiently adequate. A total picture has to be created which includes C:N ratio, BMP yield, harvest yield and availability. Potential feedstocks which best meet these requirements include for Grass silage, Milk processing waste (MPW) and Saccharina latissima. MPW has a potential of meeting over 6 times the required energy for Ireland’s 2020 transport in energy targets. S. Latissima recorded a yield of over 10,000 GJ ha-1 yr-1 which out ranks traditional second generation biofuels by a factor of more than 4.

A new proposition on the martingale representation theorem and on the approximate hedging of contingent claim in mean-variance criterion

In this work we revisit the problem of the hedging of contingent claim using mean-square criterion. We prove that in incomplete market, some probability measure can be identified so that becomes -martingale under .This is in fact a new proposition on the martingale representation theorem. The new results also identify a weight function that serves to be an approximation to the Radon-Nikodým derivative of the unique neutral martingale measure.

Adjuvant chemotherapy in elderly patients with breast cancer: a survey of the Breast International Group (BIG).

BACKGROUND: To collect oncologists' experience and opinion on adjuvant chemotherapy in elderly breast cancer patients. MATERIALS AND METHODS: A questionnaire was circulated among the members of the Breast International Group. RESULTS: A total of 277 oncologists from 28 countries participated in the survey. Seventy years is the age cut-off commonly used to define a patient as elderly. Biological age and the biological characteristics of the tumor are the most frequently used criteria to propose adjuvant chemotherapy to an elderly patient. Combination therapy with cyclophosphamide, methotrexate and fluorouracil on days 1 and 8 is the most frequently prescribed regimen. Great interest exists in oral chemotherapy. CONCLUSION: There is interest among those who responded to the survey to validate a comprehensive geriatric assessment for use as a predictive instrument of toxicity and/or activity of anticancer therapy and to evaluate the role of a treatment option that is potentially less toxic and possibly as effective as polychemotherapy.

Fertility preservation: Successful transplantation of cryopreserved ovarian tissue in a young patient previously treated for Hodgkin's disease

Cryopreservation of ovarian tissue is now offered as an experimental procedure to preserve the fertility of young patients with a high risk for premature ovarian failure resulting from cancer therapy. This is the only available option to preserve the fertility of prepubertal patients treated with gonadotoxic chemotherapy. At present, thousands of patients all over the world have undergone this procedure with the hope of later restoring their fertility. Although the efficiency of the transplantation of cryopreserved ovarian tissue to restore ovarian function has been established, reports of pregnancy are still very scarce. Here, we describe the second published full-term spontaneous pregnancy after an orthotopic and heterotopic transplantation of cryopreserved ovarian tissue in a 31-year-old woman previously treated by conditioning therapy for bone marrow transplantation for Hodgkin's disease. This birth gives compelling evidence for the graft origin of the gamete and confirms the efficacy of ovarian tissue transplantation in restoring human natural fertility after oncological treatment. This case report stresses the importance of proposing the ovarian tissue cryopreservation procedure to all young patients who require potentially sterilizing treatment, with all alternative options to preserve fertility being duly taken into consideration.

Long-term equity anticipation securities and stock market volatility dynamics

Recent empirical findings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing time-series-based evidence by comparing the risk-neutralized option pricing distributions from various ARCH-type formulations. Utilizing a panel data set consisting of newly created exchange traded long-term equity anticipation securities, or leaps, on the Standard and Poor's 500 stock market index with maturity times ranging up to three years, we find that the degree of mean reversion in the volatility process implicit in these prices is best described by a Fractionally Integrated EGARCH (FIEGARCH) model. © 1999 Elsevier Science S.A. All rights reserved.

Can prospect theory explain risk-seeking behavior by terminally ill patients?

Patients with life-threatening conditions sometimes appear to make risky treatment decisions as their condition declines, contradicting the risk-averse behavior predicted by expected utility theory. Prospect theory accommodates such decisions by describing how individuals evaluate outcomes relative to a reference point and how they exhibit risk-seeking behavior over losses relative to that point. The authors show that a patient's reference point for his or her health is a key factor in determining which treatment option the patient selects, and they examine under what circumstances the more risky option is selected. The authors argue that patients' reference points may take time to adjust following a change in diagnosis, with implications for predicting under what circumstances a patient may select experimental or conventional therapies or select no treatment.

A cross-site, comparative effectiveness study of an integrated HIV and substance use treatment program.

Co-occurrence of HIV and substance abuse is associated with poor outcomes for HIV-related health and substance use. Integration of substance use and medical care holds promise for HIV patients, yet few integrated treatment models have been reported. Most of the reported models lack data on treatment outcomes in diverse settings. This study examined the substance use outcomes of an integrated treatment model for patients with both HIV and substance use at three different clinics. Sites differed by type and degree of integration, with one integrated academic medical center, one co-located academic medical center, and one co-located community health center. Participants (n=286) received integrated substance use and HIV treatment for 12 months and were interviewed at 6-month intervals. We used linear generalized estimating equation regression analysis to examine changes in Addiction Severity Index (ASI) alcohol and drug severity scores. To test whether our treatment was differentially effective across sites, we compared a full model including site by time point interaction terms to a reduced model including only site fixed effects. Alcohol severity scores decreased significantly at 6 and 12 months. Drug severity scores decreased significantly at 12 months. Once baseline severity variation was incorporated into the model, there was no evidence of variation in alcohol or drug score changes by site. Substance use outcomes did not differ by age, gender, income, or race. This integrated treatment model offers an option for treating diverse patients with HIV and substance use in a variety of clinic settings. Studies with control groups are needed to confirm these findings.

Contemporary results of focal therapy for prostate cancer using cryoablation.

The concept of focal therapy is rapidly evolving and gaining popularity from both physician and patient perspectives. We review the rationale, candidate selection, and results of the first clinical studies of focal cryoablation for selected patients with low volume and low- to low-moderate-risk features of prostate cancer as an alternative to whole-gland treatment. In spite of improved understanding of the tumor biology of early stage disease, we currently have limited tools to select appropriate patients with low- to low-moderate risk unifocal or unilateral prostate cancer who may be amenable to focal therapy. From a technical point, a number of ablative treatment options for focal therapy are available, with cryoablation having the most clinical experience. Recently, several reports have been published from single and multi-institutional studies that discuss focal therapy as a reasonable balance between cancer control and quality-of-life outcomes. Retrospective pathologic data from large prostatectomy series, however, do not clearly reveal valid and reproducible criteria to select appropriate candidates for focal cryoablation because of the complexity of tumorigenesis in early stage disease. At this time, a more feasible option remains hemiablation of the prostate with reasonable certainty about the absence of clinically significant cancer lesion(s) on the contralateral side of the prostate based on three-dimensional transperineal prostate biopsy mapping studies. Minimally invasive, parenchyma-preserving cryoablation can be considered as a potential feasible option in the treatment armamentarium of early stage, localized prostate cancer in appropriately selected candidates. There is a need to further test this technique in randomized, multicenter clinical trials.