196,113 research outputs found
Optimal solution of the nearest correlation matrix problem by minimization of the maximum norm
No full textThe nearest correlation matrix problem is to find a valid (positive semidefinite) correlation matrix, R(m,m), that is nearest to a given invalid (negative semidefinite) or pseudo-correlation matrix, Q(m,m); m larger than 2. In the literature on this problem, 'nearest' is invariably defined in the sense of the least Frobenius norm. Research works of Rebonato and Jaeckel (1999), Higham (2002), Anjos et al. (2003), Grubisic and Pietersz (2004), Pietersz, and Groenen (2004), etc. use Frobenius norm explicitly or implicitly. However, it is not necessary to define 'nearest' in this conventional sense. The thrust of this paper is to define 'nearest' in the sense of the least maximum norm (LMN) of the deviation matrix (R-Q), and to obtain R nearest to Q. The LMN provides the overall minimum range of deviation of the elements of R from those of Q. We also append a computer program (source codes in FORTRAN) to find the LMN R from a given Q. Presently we use the random walk search method for optimization. However, we suggest that more efficient methods based on the Genetic algorithms may replace the random walk algorithm of optimization.Nearest correlation matrix problem; Frobenius norm; maximum norm; LMN correlation matrix; positive semidefinite; negative semidefinite; positive definite; random walk algorithm; Genetic algorithm; computer program; source codes; FORTRAN; simulation
Statistical Properties of Forward Libor Rates
No full texthistorical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999, 2000), Longstaff, Santa Clara and Schwartz (1999), Rebonato (1999a,b,c), Rebonato and Joshi (2001) and many others - a Libor yield curve needs to be fit to the available data on spot libor rates, forward rate agreements (FRAs) or futures, and swap rates. This paper compares the statistical properties of the time series of forward rates that are obtained using three different yield curve fitting techniques. Introduced by McCulloch (1975), Steely (1991) and Svensson (1994), each of the three techniques is well known for its application to the construction of bond yield curves. Our work focuses on the eigenstructure of estimated forward rate correlation matrices. These are shown to be dominated by the semi-parametric or parametric form that is used in the yield curve model. The spectral decomposition of forward rate correlation - and covariance - matrices is considered in some detail, and in particular we test the common principal component hypothesis of Flury (1988), which has been applied to the lognormal forward rate model by Alexander (2003). We conclude that, if historical data are used to calibrate the lognormal forward rate model, it is best to use Svensson forward rate correlation matrices. However, the empirical evidence is strongly in favour of the common principal component hypothesis, where the three principal eigenvectors in all correlation matrices of the same dimension are identical. Hence we further conclude that a parsimonious parameterisation of forward rate correlations is possible, and this allows for direct calibration of forward rate correlations to market data, so historical data are not necessary.Yield curve fitting, common principal component analysis, volatility, correlation, covariance, lognormal formal rate model
Appendectomy in women. Is the laparoscopic approach always better than the "open" approach in uncomplicated appendicitis?
No full textBACKGROUND:Acute appendicitis is the most common emergency in abdominal surgery, but remains a continuing controversy regarding the most appropriate method of removing the inflamed appendix.
MATERIALS AND METHODS: From January 2002 to December 2012, 1037 women underwent appendectomy (average age: 25±15.7 y; range: 6 to 91 y). Of these, 519 underwent open appendectomy (OA) and 518 underwent laparoscopic appendectomy (LA). For all the patients we determined the postoperative hospital stay, the eventual readmissions within 30 days after discharge, the length of surgical procedures (data were available only for the period from January 2008 to December 2012), the costs for the OA and LA, and the rate of negative appendicitis.
RESULTS:
In our cohort of patients, 189 women (18.2%) had a negative appendectomy. Considering the postoperative hospital stay (average: 4.2±3.6 d; range: 1 to 32 d in OA group and average: 3.9±3.1 d; range: 1 to 21 d in LA group; P=0.15) there were no statistical differences between 2 groups. The average length of surgical procedures in LA group was 42.3±18.4 minutes (range: 8 to 135 min) and 43.2±19 minutes in the OA group (range: 10 to 135 min) (P=0.63). The average net cost of LA was 1203.61 euros, whereas for OA it was 95.18 euros. In this study, we considered only the surgical materials.
CONCLUSIONS: LAs are not associated with a lower complication rate than the OAs and, above all, LAs are more expensive than OAs. Also we believe that laparoscopic approach should be used only in case of unclear abdominal pain and not for the treatment of clear acute and uncomplicated appendicitis
Endovascular exclusion of visceral artery aneurysms with stent-grafts: technique and long-term follow-up.
No full textThis paper describes four cases of visceral artery aneurysms (VAAs) successfully treated with endovascular stent-grafts and discusses the endovascular approach to VAAs and the long-term results. Four balloon expandable stent-grafts were used to treat three splenic artery aneurysms and one bleeding common hepatic artery pseudoaneurysm. The percutaneous access site and the materials were chosen on the basis of CT angiography findings. In all cases the aneurysms were successfully excluded. In one case a splenic infarction occurred, with nonrelevant clinical findings. At 16- to 24-month follow-up three patients had patent stents and complete exclusion and shrinkage of the aneurysms. One patient died due to pancreatitis and sepsis, 16 days after successful stenting and exclusion of a bleeding pseudoaneurysm. We conclude that endovascular treatment using covered stent-grafts is a valid therapeutic option for VAAs. Multislice CT preoperative study helps in planning stent-graft positionin
Pneumatosis cystoides intestinalis of the ascending colon.
No full textPneumatosis cystoides intestinalis (PCI) is
a rare condition in which multiple submucosal
or subserosal air-filled cysts develop
in the submucosa or in subserosa of
the colon. The etiological mechanisms
are not clear
Common Correlation and Calibrating the Lognormal Forward Rate Model
No full text1997 three papers that introduced very similar lognormal diffusion processes for interest rates appeared virtuously simultaneously. These models, now commonly called the 'LIBOR models' are based on either lognormal diffusions of forward rates as in Brace, Gatarek & Musiela (1997) and Miltersen, Sandermann & Sondermann (1997) or lognormal diffusions of swap rates, as in Jamshidian (1997). The consequent research interest in the calibration of the LIBOR models has engendered a growing empirical literature, including many papers by Brigo and Mercurio, and Riccardo Rebonato (www.fabiomercurio.it and www.damianobrigo.it and www.rebonato.com). The art of model calibration requires a reasonable knowledge of option pricing and a thorough background in statistics - techniques that are quite different to those required to design no-arbitrage pricing models. Researchers will find the book by Brigo and Mercurio (2001) and the forthcoming book by Rebonato (2002) invaluable aids to their understanding.
Coherent Asset Allocation and Diversification in the Presence of Stress Events
No full textWe propose a method to integrate frequentist and subjective probabilities in order to obtain a coherent asset allocation in the presence of stress events. Our working assumption is that in normal market asset returns are sufficiently regular for frequentist statistical techniques to identify their joint distribution, once the outliers have been removed from the data set. We also argue, however, that the exceptional events facing the portfolio manager at any point in time are specific to the each individual crisis, and that past regularities cannot be relied upon. We therefore deal with exceptional returns by eliciting subjective probabilities, and by employing the Bayesian net technology to ensure logical consistency. The portfolio allocation is then obtained by utility maximization over the combined (normal plus exceptional) distribution of returns. We show the procedure in detail in a stylized case.Stress tests, asset allocation, Bayesian Networks
L'esperienza dei Piani Locali Giovani
No full textRebonato M., L'esperienza dei Piani Locali Giovani, Intervento a "Verso un'economia relazionale. Politiche di partecipazione e strategie di cittadinanza sociale", Roma, Isfol, 1 dicembre 2011. Isfol OA: Presentation. Nel contesto dei modelli d’intervento e strumenti partecipativi per lo sviluppo strategico dei sistemi territoriali, viene presentata l'esperienza del "Piano Locale Giovani". Si tratta di un modello che, dopo essere stato messo a punto nel 2006 dalla Rete ITER nell'ambito del progetto "Diritti al futuro", negli anni 2008-2010 è stato sperimentato e applicato in diversi ambiti locali che hanno interessato una dozzina di regioni italiane. 06/12/2011Unione europea, Fondo sociale europeo; Ministero del lavoro e delle politiche sociali, Direzione generale per le politiche attive e passive del lavoro; fse per il tuo futuro, Programmi operativi nazionali per la formazione e l'occupazionepresentation. nel contesto dei modelli d’intervento e strumenti partecipativi per lo sviluppo strategico dei sistemi territoriali, viene presentata l'esperienza del "piano locale giovani". si tratta di un modello che, dopo essere stato messo a punto nel 2006 dalla rete iter nell'ambito del progetto "diritti al futuro", negli anni 2008-2010 è stato sperimentato e applicato in diversi ambiti locali che hanno interessato una dozzina di regioni italiane. 06/12/2011 l'esperienza dei piani locali giovani martino rebonat
Small renal oncocytoma (≤4 cm): enhancement patterns on triphasic spiral computed tomography [Oncocitoma renale di piccole dimensioni (≤4 cm): Pattern di enhancement quali-quantitativi alla TC spirale trifasica]
No full textGli autori determinano criteri semeiologici qua- li-quantitativi per l’oncocitoma renale (OR) di piccole di- mensioni (≤4 cm) mediante TC trifasica.
In 18 pazienti con 19 OR in fase cortico-midollare (FCM) le lesioni sono risultate ipervascolari (n=9) e ipovascolari (n=10). Gli OR ipervascolari hanno mostrato un incremento densitometrico in FCM (151,4±38,5 UH) ed un graduale wash-out in FN (133,8±34,6 UH) e in FP (79±23 UH). Gli OR ipovascolari hanno evidenziato un incremento densitome- trico in FCM (87,8±20,1 UH) ed un graduale wash-out in FN (100,3±33 UH) e in FP (86,9±20,9 UH)
Current Status of Interventional Radiology in the Management of Gastro-Entero-Pancreatic Neuroendocrine Tumours (GEP-NETs)
No full textWithin the group of Gastro-Entero-Pancreatic Neuroendocrine tumours (GEP-NETs), several heterogeneous malignancies are included with a variety of clinical manifestations and imaging characteristics. Often these cases are inoperable and minimal invasive treatment offered by image-guided procedures appears to be the only option. Interventional radiology offers a valid solution in the management of primary and metastatic GEP-NETs. The purpose of this review article is to describe the current status of the role of Interventional Radiology in the management of GEP-NETs
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