169,922 research outputs found
Principal Component Analysis of Volatility Smiles and Skews
No full textSeveral principal component models of volatility smiles and skews have been based on daily changes in implied volatilities, by strike and/or by moneyness. Derman and Kamal (1997) analyze S&P500 and Nikkei 225 index options where the daily change in the volatility surface is specified by delta and maturity. Skiadopoulos, Hodges and Clewlow (1998) apply PCA to first differences of implied volatilities for fixed maturity buckets, across both strike and moneyness metrics. And Fengler et. al. (2000) employ a common PCA that allows options on equities in the DAX of different maturities to be analyzed simultaneously.
Practical pain control in pediatric oncology
No full textIn pediatric oncology, optimal pain control is still a challenge. A structured pain history and the regular scoring of pain intensity using age-adapted measuring tools are hallmarks of optimal pain control. Psychological measures are as important as drug therapy in the prophylaxis or control of pain, especially when performing invasive procedures. Pain control is oriented toward the WHO multistep therapeutic schedule. On no account should the pediatric patient have to climb up the "analgesic ladder" - strong pain requires the primary use of strong opioids. Give opioids preferably by the oral route and by the clock - short-acting opioids should be used to treat breakthrough pain. Alternatives are i.v. infusion, patient-controlled analgesia, and transdermal applications. Constipation is the adverse effect most often seen with (oral) opioid therapy. Adverse effects should be anticipated, and prophylactic treatment should be given consistently. The assistance of pediatric nurses is of the utmost importance in pediatric pain control. Nurses deliver the basis for rational and effective pain control by scoring pain intensity and documenting drug administration as well as adverse effects. The nurses' task is also to prepare the patient for and monitor the patient during painful procedures. It is the responsibility of both nurse and doctor to guarantee emergency intervention during sedation whenever needed. In our guideline we comment on drug selection and dosage, pain measurement tools, and documentation tools for the purpose of pain control. Those tools may be easily integrated into daily routine
Option data and modeling BSM implied volatility
No full textThis contribution to the Handbook of Computational Finance, Springer-Verlag, gives an overview on modeling implied volatility data. After introducing the concept of Black-Scholes-Merton implied volatility (IV), the empirical stylized facts of IV data are reviewed. We then discuss recent results on IV surface dynamics and the computational aspects of IV. The main focus is on various parametric, semi- and nonparametric modeling strategies for IV data, including ones which respect no-arbitrage bounds.Implied volatility
Going Beyond Counting First Authors in Author Co-citation Analysis
No full textThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Mitomycin C in highly myopic eyes - Author reply
No full textOphthalmology. 2005 Feb;112(2):208-18; discussion 219.
Mitomycin C modulation of corneal wound healing after photorefractive keratectomy in highly myopic eyes.
Gambato C, Ghirlando A, Moretto E, Busato F, Midena E.
SourceRefractive Surgery Service and Antimetabolite Therapy Research Unit, Department of Ophthalmology, University of Padova, Padova, Italy.
Abstract
PURPOSE: To evaluate the role of topical mitomycin C in corneal wound healing (CWH) after photorefractive keratectomy (PRK) in highly myopic eyes.
DESIGN: Prospective, double-masked, randomized clinical trial.
PARTICIPANTS: Seventy-two eyes of 36 patients affected by high (>7 diopters) myopia.
METHODS: In each patient, one eye was randomly assigned to PRK with intraoperative topical 0.02% mitomycin C application, and the fellow eye was treated with a placebo. Postoperatively, mitomycin C-treated eyes received artificial tears (3 times daily, tapered in 3 months), whereas the fellow eye was treated with fluorometholone sodium 2% and artificial tears (3 times daily, tapered in 3 months).
MAIN OUTCOME MEASURES: Uncorrected visual acuity (UCVA) and best-corrected visual acuity (BCVA), contrast sensitivity, manifest refraction, and biomicroscopy. Contrast sensitivity was determined using the Pelli-Robson chart. Corneal confocal microscopy documented CWH.
RESULTS: Mean follow-up was 18 months (range, 12-36). No side effects or toxic effects were documented. At 12-month follow-up examination, UCVAs (logarithm of the minimum angle of resolution) were 0.4+/-0.48 and 0.5+/-0.53 (P = .03) in mitomycin C-treated eyes and corticosteroid-treated eyes, respectively. At 1 year, corneal haze developed in 20% of corticosteroid-treated eyes, versus 0% of mitomycin C-treated eyes. At 12, 24, and 36 months, corneal confocal microscopy showed activated keratocytes and extracellular matrix significantly more evident in untreated eyes (Ps = 0.004, 0.024, and 0.046, respectively).
CONCLUSION: Topical intraoperative application of 0.02% mitomycin C can reduce haze formation in highly myopic eyes undergoing PRK.
Comment in
Ophthalmology. 2006 Feb;113(2):357; author reply 357-8
Cultures of accountability – or global trends in media accountability? : the Hallin and Mancini model revisited
No full textDispelling the Myths Behind First-author Citation Counts
No full textWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
Arbitrage-Free Smoothing of the Implied Volatility Surface
No full textThe pricing accuracy and pricing performance of local volatility models crucially depends on absence of arbitrage in the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in negative transition probabilities and/ or negative local volatilities, and ultimately, into mispricings. The common smoothing algorithms of the implied volatility surface cannot guarantee the absence arbitrage. Here, we propose an approach for smoothing the implied volatility smile in an arbitrage-free way. Our methodology is simple to implement, computationally cheap and builds on the well-founded theory of natural smoothing splines under suitable shape constraints. Unlike other methods, our approach also works when input data are scarce and not arbitrage-free. Thus, it can easily be integrated into standard local volatility pricers.Arbitrage-Free Smoothing, Volatility, Implied Volatility Surface
DSFM fitting of Implied Volatility Surfaces
No full textThe implied volatility became one of the key issues in modern quantitative finance, since the plain vanilla option prices contain vital information for pricing and hedging of exotic and illiquid options. European plain vanilla options are nowadays widely traded, which results in a great amount of high-dimensional data especially on an intra day level. The data reveal a degenerated string structure. Dynamic Semiparametric Factor Models (DSFM) are tailored to handle complex, degenerated data and yield low dimensional representation of the implied volatility surface (IVS). We discuss estimation issues of the model and apply it to DAX option prices.dynamic semiparametric factor model, implied volatility, vanilla options, DAX option prices
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