Impact of Black-Scholes assumptions on Delta Hedging

In this work we are going to evaluate the different assumptions used in the Black- Scholes-Merton pricing model, namely log-normality of returns, continuous interest rates, inexistence of dividends and transaction costs, and the consequences of using them to hedge different options in real markets, where they often fail to verify. We are going to conduct a series of tests in simulated underlying price series, where alternatively each assumption will be violated and every option delta hedging profit and loss analysed. Ultimately we will monitor how the aggressiveness of an option payoff causes its hedging to be more vulnerable to profit and loss variations, caused by the referred assumptions.

Price manipulation: theoretical models and empirical investigation

Understanding why market manipulation is conducted, under which conditions it is the most profitable and investigating the magnitude of these practices are crucial questions for financial regulators. Closing price manipulation induced by derivatives’ expiration is the primary subject of this thesis. The first chapter provides a mathematical framework in continuous time to study the incentive to manipulate a set of securities induced by a derivative position. An agent holding a European-type contingent claim, depending on the price of a basket of underlying securities, is considered. The agent can affect the price of the underlying securities by trading on each of them before expiration. The elements of novelty are at least twofold: (1) a multi-asset market is considered; (2) the problem is solved by means of both classic optimisation and stochastic control techniques. Both linear and option payoffs are considered. In the second chapter an empirical investigation is conducted on the existence of expiration day effects on the UK equity market. Intraday data on FTSE 350 stocks over a six-year period from 2015-2020 are used. The results show that the expiration of index derivatives is associated with a rise in both trading activity and volatility, together with significant price distortions. The expiration of single stock options appears to have little to no impact on the underlying securities. The last chapter examines the existence of patterns in line with closing price manipulation of UK stocks on option expiration days. The main contributions are threefold: (1) this is one of the few empirical studies on manipulation induced by the options market; (2) proprietary equity orderbook and transaction data sets are used to define manipulation proxies, providing a more detailed analysis; (3) the behaviour of proprietary trading firms is studied. Despite the industry concerns, no evidence is found of this type of manipulative behaviour.

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.

Inferior Vena Cava Filter Placement During Pregnancy: an Adjuvant Option When Medical Therapy Fails

The authors present a case of a 27-year-old multiparous woman, with multiple thrombophilia, whose pregnancy was complicated with deep venous thrombosis requiring placement of a vena cava filter. At 15th week of gestation, following an acute deep venous thrombosis of the right inferior limb, anticoagulant therapy with low-molecular-weight heparin (LMWH) was instituted without improvement in her clinical status. Subsequently, at 18 weeks of pregnancy, LMWH was switched to warfarin. At 30th week of gestation, the maintenance of high thrombotic risk was the premise for placement of an inferior vena cava filter for prophylaxis of pulmonary embolism during childbirth and postpartum. There were no complications and a vaginal delivery was accomplished at 37 weeks of gestation. Venal placement of inferior vena cava filters is an attractive option as prophylaxis for pulmonary embolism during pregnancy.

Hedging in a discontinuous market: the barrier option

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Efficiency optimization of the transportation supply chain activity: the maritime option for Volkswagen Autoeuropa

Field Lab of Entrepreneurial Innovative Ventures