On the pricing of bivariate options in the presence of a discrete dividend payment

A Work Project, presented as part of the requirements for the Award of a Master's Double Degree in Finance from the NOVA School of Business and Economics / Masters Degree in Economics from Insper

Univariate and bivariate truncated von Mises distributions

In this article we study the univariate and bivariate truncated von Mises distribution, as a generalization of the von Mises distribution (\cite{jupp1989}), (\cite{mardia2000directional}). This implies the addition of two or four new truncation parameters in the univariate and, bivariate cases, respectively. The results include the definition, properties of the distribution and maximum likelihood estimators for the univariate and bivariate cases. Additionally, the analysis of the bivariate case shows how the conditional distribution is a truncated von Mises distribution, whereas the marginal distribution that generalizes the distribution introduced in \cite{repe}. From the viewpoint of applications, we test the distribution with simulated data, as well as with data regarding leaf inclination angles (\cite{safari}) and dihedral angles in protein chains (\cite{prote}). This research aims to assert this probability distribution as a potential option for modelling or simulating any kind of phenomena where circular distributions are applicable.\par

Dynamic models of exchange rate dependence using option prices and historical returns

Models for the conditional joint distribution of the U.S. Dollar/Japanese Yen and Euro/Japanese Yen exchange rates, from November 2001 until June 2007, are evaluated and compared. The conditional dependency is allowed to vary across time, as a function of either historical returns or a combination of past return data and option-implied dependence estimates. Using prices of currency options that are available in the public domain, risk-neutral dependency expectations are extracted through a copula repre- sentation of the bivariate risk-neutral density. For this purpose, we employ either the one-parameter \Normal" or a two-parameter \Gumbel Mixture" specification. The latter provides forward-looking information regarding the overall degree of covariation, as well as, the level and direction of asymmetric dependence. Specifications that include option-based measures in their information set are found to outperform, in-sample and out-of-sample, models that rely solely on historical returns.

Additive genetic relationship of longevity with fertility and production traits in Nellore cattle based on bivariate models

Survival or longevity is an economically important trait in beef cattle. The main inconvenience for its inclusion in selection criteria is delayed recording of phenotypic data and the high computational demand for including survival in proportional hazard models. Thus, identification of a longevity-correlated trait that could be recorded early in life would be very useful for selection purposes. We estimated the genetic relationship of survival with productive and reproductive traits in Nellore cattle, including weaning weight (WW), post-weaning growth (PWG), muscularity (MUSC), scrotal circumference at 18 months (SC18), and heifer pregnancy (HP). Survival was measured in discrete time intervals and modeled through a sequential threshold model. Five independent bivariate Bayesian analyses were performed, accounting for cow survival and the five productive and reproductive traits. Posterior mean estimates for heritability (standard deviation in parentheses) were 0.55 (0.01) for WW, 0.25 (0.01) for PWG, 0.23 (0.01) for MUSC, and 0.48 (0.01) for SC18. The posterior mean estimates (95% confidence interval in parentheses) for the genetic correlation with survival were 0.16 (0.13-0.19), 0.30 (0.25-0.34), 0.31 (0.25-0.36), 0.07 (0.02-0.12), and 0.82 (0.78-0.86) for WW, PWG, MUSC, SC18, and HP, respectively. Based on the high genetic correlation and heritability (0.54) posterior mean estimates for HP, the expected progeny difference for HP can be used to select bulls for longevity, as well as for post-weaning gain and muscle score.

Control charts for individual observations of a bivariate Poisson process

In this paper, three single-control charts are proposed to monitor individual observations of a bivariate Poisson process. The specified false-alarm risk, their control limits, and ARLs were determined to compare their performances for different types and sizes of shifts. In most of the cases, the single charts presented better performance rather than two separate control charts ( one for each quality characteristic). A numerical example illustrates the proposed control charts.

Is ultra-rapid opioid detoxification a viable option in the treatment of opioid dependence?

Ultra-rapid opioid detoxification (UROD) involves the acceleration of opioid withdrawal hv administering thp opioid receptor antagonist naltrexone under general anaesthesia. There is evidence from uncontrolled and a few controlled studies that UROD accelerates opioid withdrawal and that it achieves high rates of completion of acute opioid withdrawal. However, there is clear evidence that the use of a general anaesthetic is not required to accelerate withdrawal or to achieve high rates of completion of acute opioid withdrawal. These goals can be achieved by using naltrexone or naloxone to accelerate withdrawal under light sedation, a procedure known as rapid opioid detoxification under sedation (ROD). There is also evidence that use of an opioid antagonist is not required to achieve a high rate of completion of acute opioid withdrawal. The mixed agonist-antagonist buprenorphine has achieved comparable rates of completion in similarly selected patients with fewer withdrawal symptoms. There is no evidence from controlled trials that either UROD or ROD increases the rate of abstinence from opioids 6 or 12 months after withdrawal. UROD and ROD may increase the number of patients who are inducted onto naltrexone maintenance (NM) therapy but extensive experience with NM therapy suggests that it only has a limited role in selected patients. Given the lack of evidence of substantially increased rates of abstinence, and the need for anaesthetists and high dependency beds, UROD has at best a very minor role in the treatment of a handful of opioid dependent patients who are unable to complete withdraw in any other way. ROD may have more of a role as one option for opioid withdrawal in well motivated patients who want to be rapidly inducted onto NM therapy or who want to enter other types of abstinence-oriented treatment.

Laryngeal split and rib cartilage interpositional grafting: Treatment option for glottic/subglottic stenosis in adults

Objectives: Severe glottic/subglottic stenosis (complex laryngotracheal stenosis) is a rare but challenging complication of endotracheal intubation. Laryngotracheal reconstruction with cartilage graft and an intralaryngeal stent is a procedure described for complex laryngotracheal stenosis management in children; however, for adults, few options remain. Our aim was to analyze the results of laryngotracheal reconstruction as a treatment for complex laryngotracheal stenosis in adults, considering postoperative and long-term outcome. Methods: Laryngotracheal reconstruction (laryngeal split with anterior and posterior interposition of a rib cartilage graft) has been used in our institution to manage glottic/subglottic stenosis restricted to the larynx; laryngotracheal reconstruction associated with cricotracheal resection has been used to treat glottic/subglottic/upper tracheal stenosis (extending beyond the second tracheal ring). A retrospective study was conducted, including all patients with complex laryngotracheal stenosis treated surgically in our institution from January of 2002 until December of 2005. Results: Twenty patients (10 male and 10 female patients; average age, 36.13 years; age range, 18-54 years) were included. There were no deaths, and the postoperative complications were as follows: dysphonia, 25%; subcutaneous emphysema, 10%; tracheocutaneous fistula, 20%; wound infection, 15%; and bleeding, 5.0%. Eighty percent of the patients were completely decannulated after a mean of 23.4 months of follow-up (range, 4 -55 months). Conclusions: Laryngeal split with anterior and posterior cartilage graft interposition as an isolated procedure or associated with a cricotracheal resection is a feasible and low-morbidity alternative for complex laryngotracheal stenosis treatment.

Therapeutic Option for Infected Urinary Tract Fistulas in Renal Transplantation

Background. Approximately 20% of urinary tract fistulas after renal allografting are complicated by urinary tract infection, which presents a therapeutic challenge. Objective. To evaluate an option for treatment of urinary tract fistulas associated with urinary tract infection and unsuitable for minimally invasive or primary surgical urinary tract repair. Patients and Methods. The study included 650 recipients who underwent transplantation over 17 years. Urinary leakage was initially treated with indwelling bladder catheterization. Patients with fistulas refractory to treatment underwent surgical intervention to repair the urinary tract. In patients who were not candidates for primary repair of the urinary tract, temporary urinary diversion was performed, rather than classic percutaneous or open nephrostomy, using a ureteral stent (ie, a 6F or 8F Foley catheter with the balloon placed inside the renal pelvis). Results. Overall, urinary leakage occurred in 36 patients (5.5%). Conservative management was successful in 14 vesical fistulas (42.4%) and no ureteral fistulas (0%). Three patients died of sepsis during conservative treatment, before the new surgical approach. Five of 36 urinary leaks (13.9%) were managed using ureteral intubation with an 8F Foley catheter, with a success rate of 80%. Conclusion. Ureteral catheterization with an 8F Foley catheter is a feasible therapeutic option to treat complicated urinary tract fistulas unsuitable for primary surgical repair of the urinary tract.

Thiele massage as a therapeutic option for women with chronic pelvic pain caused by tenderness of pelvic floor muscles

Aims and objectives Musculoskeletal system has been found to be involved in genesis and perpetuation of chronic pelvic pain (CPP) and has strong evidences that up to 80% of women with CPP present dysfunction of the musculoskeletal system. In this study, we report a series of women with CPP caused by tenderness of pelvic floor muscles successfully treated with Thiele massage. Methods Were included in this study six women with CPP caused by tenderness of the levator ani muscle that underwent transvaginal massage using the Thiele technique, over a period of 5 minutes repeated once a week for 4 weeks. After 1 month, the women returned for follow-up. Results The median tenderness score for the six women evaluated was 3 at the first evaluation and 0 after 1 month of follow-up (P < 0.01). The mean Visual Analogue Scale and McGill Pain Index scores were 8.1 and 34, respectively, at the first evaluation, and 1.5 and 16.6 at follow-up (P < 0.01). Conclusion Thiele massage appears to be very helpful for women with CPP caused by tenderness of the levator ani muscle. However, these results are preliminary and a larger number of women are necessary to obtain more conclusive results.

Liver transplantation as a therapeutic option for hepatocellular carcinoma

Better outcomes of the patients receiving liver transplantation for viral hepatitis and hepatocellular carcinoma (HCC) are achieved by improved patient selection and perioperative treatment with antiviral agents including lamivudine, ribavirin and interferon. Patient selection is accomplished by high-quality imaging as well as exclusion of patients with large tumors, obvious extrahepatic disease or macroscopic vascular invasion. Using such criteria, a 5-year survival of 92% has been reached in the Queensland Liver Transplant Service on a small number of highly selected patients with HCC. The treatment algorithm of Makuuchi has guided us in recommending resection, estimating to what extent the liver resection can be performed safely, and timing liver transplantation when it is the only option. Adult-to-adult living-donor liver transplantation is being performed safely in many centers worldwide. The transplantation of liver from living donors to HCC patients, when standard criteria for the likelihood of good outcomes are fulfilled, will increase in Japan in the near future. Copyright (C) 2002 S. Karger AG, Basel.