We will begin with a review of key financial topics and outline many of the crucial ideas utilized in the latter half of the paper. Formal notation for important variables will also be established. Then, a derivation of the Black-Scholes equation will lead to a discussion of its shortcomings, and the introduction of stochastic volatility models. Chapter 2 will focus on a variation of the CIR Model using stock price in the volatility driving process, and its behavior to a greater degree. The key area of discussion will be to approximate a hedging function for European call option prices by Taylor Expansion. We will apply this estimation to real data, and analyze the behavior of the price correction. Then make conclusions about whether stock price has any positive effects on the model.

High Speed Downlink Packet Access (HSDPA) is a cellular system that was standardized by the 3rd Generation Partnership Project (3GPP). HSDPA can support data rates of up to 14.4 Mbps through the use of a shared channel. Due to its high transmission rates, the highly popular multimedia applications are converging over this network. Moreover, as the shared channel is assigned to a single user in a given time interval, the scheduling decision is considered as a crucial one. Conventional HSDPA scheduling schemes utilize the fluctuations in channel condition to maximize system throughput by selecting users with relatively good radio conditions. However, this raises the issue of fairness as users with relatively poor channel conditions might not be served and consequently may suffer from starvation. Furthermore, Real-Time (RT) applications have strict delay constraints and require that packets are transmitted within a certain delay threshold. In this thesis, a Delay Based Scheduler (DBS) is proposed for HSDPA which aims at minimizing the average queuing delay at the packet scheduler without compromising system throughput and fairness. In addition, the scheme can balance the tradeoff between throughput maximization and the minimization of queuing delay through the attunement of a parameter, thus allowing the service provider to choose between these two metrics. The DBS maintains the delay constraints of RT applications by defining delay thresholds for each traffic class and dropping packets that exceed their delay limit. The DBS accommodates Quality of Service (QoS) prioritization by defining and utilizing desired QoS parameters in the scheduling assignment. Finally, it was mathematically shown that the DBS can converge to a Non-Real-Time (NRT) scheme known as the Max CIR algorithm, allowing the scheduler to support RT and NRT applications simultaneously. The performance of the DBS was evaluated and compared to other well known schemes. It was found that the DBS can minimize the aggregate queuing delay of the system and maintain similar throughput and fairness. / Thesis (Master, Computing) -- Queen's University, 2007-08-15 16:12:36.22

Determinar los factores asociados a lesión de vías biliares en pacientes sometidos a colecistectomía laparoscópica por patología biliar litiásica en el Hospital Nacional de la Policía Luis N. Sáenz durante el período 2011-2016. MATERIAL Y METODOS: Estudio de tipo observacional, retrospectivo, caso- control. El universo fue de 6997 pacientes sometidos a colecistectomía laparoscópica, se identificaron 7 casos y se eligieron 56 controles por muestreo sistemático. El análisis estadístico para determinar la intensidad de asociación entre las variables dependientes (Lesión de vía biliar) e independientes (edad, sexo, tipo de colecistitis, modalidad quirúrgica y experiencia del cirujano), fue la estimación de riesgomediante Odds Ratio (OR). Todas las comparaciones se realizaron con un IC 95% a través del procesador de datos estadísticos SPSS Statistics V 23. RESULTADOS: Durante el periodo 2011-2016 se realizaron 6997 colecistectomías laparoscópicas, identificándose 7 casos de Lesión de Vía Biliar, calculándose una prevalencia del 0.1 %.Se dieron 4 casos (57,1%) en pacientes del sexo masculino y 3 casos (42,9 %) en el sexo femenino, con una edad promedio de 52 años. Los factores de riesgo asociados fueron: sexo masculino (OR= 5.45, IC 95 %= 1,06-27,99), tipo de colecistitis (OR= 5,73, IC 95 % = 1,01-32,54), edad mayor a 40 años (OR= 9,25, IC 95 %= 1,04- 82,34). La modalidad quirúrgicaelectiva tuvo un OR= 0,17 (IC 95 %=0,03-0,98). EL factor experiencia del cirujano obtuvo un OR= 1,075 (IC 95 %= 0,22-5,25), 4/7 lesiones ocasionadas por cirujanos formados antes de 1992. CONCLUSION: Existe asociación entre el sexo, edad, tipo de colecistitis, modalidad quirúrgica y lesión de vía biliar. Por lo que se recomienda poner mayor énfasis en el estudio de aquellos pacientes que son intervenidos por modalidad electiva. Y promover un mayor entrenamiento, implementando simuladores virtuales en todos los centros en donde se realice laparoscopía.

En transplantation d’organe solide, les Inhibiteurs de la Calcineurine (ICN), Cyclosporine A et Tacrolimus, ont permis un amélioration significative de la survie à court terme du greffon en prévenant le rejet d’allogreffe. Cette évolution positive est contrebalancée par une néphrotoxicité susceptible de contribuer au développement complexe et multifactoriel de la dysfonction chronique du greffon, facteur pronostique majeur d’une insuffisance rénale terminale. L’objectif principal de ce travail a été de combiner deux approches expérimentales complémentaires, afin de mettre en lumière des aspects inédits de la physiopathologie des ICN. La première approche repose sur l’application de la technique de protéomique quantitative« shotgun » iTRAQ (« isobaric Tags for Relative & Absolute Quantitation ») à l’analyse non ciblée du protéome de cellules tubulaires proximales. La seconde approche applique de manière ciblée les outils classiques de biologie moléculaire à l’étude du cytosquelette d’Actine de cellules tubulaires proximales. La combinaison de ces deux stratégies complémentaires a permis de mettre en lumière un rôle inédit du cytosquelette d’Actine dans les effets physiopathologiques de la Cyclosporine A en apportant des éléments en faveur d’un mécanisme reposant sur une régulation originale de la dynamique intracellulaire de l’Actine. / In solid organ transplantation, Calcineurin Inhibitors, Cyclosporin A and Tacrolimus, prevent allograft rejection and ensure short-term allograft survival. However, CNI elicit nephrotoxic side effects whose mechanisms remain widely unsolved and are thought to participate to the multifactorial development of chronic kidney disease, leading to renal failure. The aim of thiswork was to combine targeted and untargeted experimental strategies to better understand CNI-induced physiopathological mechanisms.The first approach was based on the untargeted monitoring of the proximal tubular proteome by the quantitative shotgun proteomic technique, iTRAQ (« isobaric Tags for Relative & Absolute Quantitation »). The second approach consisted in the study of the Actin cytoskeleton of proximal tubular cells by classical molecular biology techniques. In the light of results from both approaches, this work reported that the Actin cytoskeleton of proximal tubular cells may play a part in the pathophysiology of CsA thanks to a mechanism based on an original regulation of the intracellular dynamics of Actin.

In this thesis we will focus on interest rate modelling and related practical aspects. We will explain the significance of generated scenarios of interest rate's movement for economic results of both life and non-life insurance companies. We will analyse presently known ways of approaching this matter and describe the selected models in detail. Taking into consideration the practical focus of this thesis, we will address the applied methods of model's calibration. Furthermore, we will employ these methods in an extensive numerical study, that will aim to reveal the weaknesses and strengths of particular calibration methods while implementing a specific model and to evaluate their potential application in actuarial practice. Central model of this work is CIR (Cox-Ingersoll-Ross) model.

BACKGROUNDFetal growth restriction (FGR), with a prevalence of 5-10% in newborns, is associated with increased cardiovascular mortality in adulthood, but the pathophysiological links of this relationship are only partially understood. The main hypothesis of this thesis was that FGR induces primary cardiac dysfunction and remodelling in utero that persists postnatally and leads to increased cardiovascular risk in adulthood. METHODSCardiovascular function was assessed in a cohort of FGR fetuses and correlated to the severity stages of FGR, presence of preeclampsia and also perinatal data in order to evaluate its potential utility in the clinical management of these fetuses. Finally, cardiac and vascular function was also assessed in childhood.RESULTSIn utero, FGR fetuses showed signs of subclinical cardiac dysfunction measured by echocardiography (increased E/A ratios and isovolumic times with normal cardiac output) from early stages. Cardiac dysfunction deteriorated further with the progression of fetal compromise, together with the appearance of biochemical signs of cell damage (increased heart-fatty acid binding protein concentrations in cord blood). Preeclampsia per se was not associated to cardiac function in FGR fetuses. Cardiac function parameters, such as ductus venosus and myocardial performance index, were independently associated with perinatal death in preterm FGR. Therefore, a combination cardiac parameters may be useful in the clinical management of preterm FGR by stratifying the estimated probability of death. Children with FGR showed changes in cardiac shape (more globular morphology), subclinical cardiac dysfunction (increased heart rate and reduced stroke volume and myocardial peak velocities) and vascular remodelling (increased blood pressure and carotid intima-media thickness). CONCLUSIONSFGR present cardiovascular dysfunction in utero that persists postnatlly. These findings suggest that fetal growth restriction induces primary cardiac changes which could explain the increased predisposition to cardiovascular disease in adult life. Given its high prevalence in the general population, this might have to be taken into account in assessing cardiovascular risk factors and treatment. / INTRODUCCIÓNEl retaso de crecimiento intrauterino (CIR), con una prevalencia del 5-10% de los recién nacidos, se asocial a un aumento de la mortalidad cardiovascular en vida adulta, pero la fisiopatología de esta correlación aun es incierta. La principal hipótesis de esta tesis fue que el CIR induce una disfunción y remodelado cardiovascular primario in útero que después persiste en vida postnatal y condiciona un aumento del riesgo cardiovascular en vida adulta.MÉTODOSEn una cohorte de fetos CIR se evaluó la función cardiovascular y se correlacionó con el grado de severidad del CIR, la presencia de preeclampsia y también los resultados perinatales, para poder evaluar su potencial utilidad en el manejo clínico de estos fetos. Finalmente, la función cardiovascular también fue evaluada postnatalmente.RESULTADOSEn útero, los fetos CIR mostraron signos de disfunción cardiaca subclínica medida mediante eco cardiografía (aumento de los ratios E/A i tiempos isovolumétricos, con gasto cardíaco normal) des de estadios iniciales de severidad. La función cardiaca mostró un deterioro progresivo con el aumento de severidad del CIR, a la vez que aparecieron signos bioquímicos de daño miocárdico en estadios finales de deterioro (aumento de los niveles de heart-fatty acid binding proteins en sangre de cordón). La preeclampsia per se no mostró asociación con el grado de disfunción cardiaca. Algunos parámetros de función cardiaca fetal, como el ductus venoso y el índice de rendimiento miocárdico, mostraron una asociación independiente con la mortalidad perinatal en los casos de CIR pretérmino. A nivel postnatal, los niños con antecedente de CIR mostraron cambios en la morfología cardiaca (más globular), disfunción cardiaca subclínica (aumento de la frecuencia cardiaca, y reducción del volumen de eyección y velocidades miocárdicas) y remodelación vascular (aumento de la presión arterial y grosor de las carótidas).CONCLUSIONESLos casos de CIR presentan una disfunción cardiovascular in útero que persiste postnatalmente. Los resultados sugieren que el CIR induce cambios cardiacos primarios que podría explicar la mayor predisposición a patología cardiovascular en vida adulta.

Affine term structure models (ATSMs) are one set of popular models for yield curve modeling. Given that the models forecast yields based on the speed of mean reversion, under what circumstances can we distinguish one ATSM from another? The objective of my dissertation is to quantify the benefit of knowing the “true” model as well as the cost of being wrong when choosing between ATSMs. In particular, I detail the power of out-of-sample forecasts to statistically distinguish one ATSM from another given that we only know the data are generated from an ATSM and are observed without errors. My study analyzes the power and size of affine term structure models (ATSMs) by evaluating their relative out-of-sample performance. Essay one focuses on the study of the oneactor ATSMs. I find that the model’s predictive ability is closely related to the bias of mean reversion estimates no matter what the true model is. The smaller the bias of the estimate of the mean reversion speed, the better the out-of-sample forecasts. In addition, my finding shows that the models' forecasting accuracy can be improved, in contrast, the power to distinguish between different ATSMs will be reduced if the data are simulated from a high mean reversion process with a large sample size and with a high sampling frequency. In the second essay, I extend the question of interest to the multiactor ATSMs. My finding shows that adding more factors in the ATSMs does not improve models' predictive ability. But it increases the models' power to distinguish between each other. The multiactor ATSMs with larger sample size and longer time span will have more predictive ability and stronger power to differentiate between models.

No description available.

Cette thèse étudie la valorisation des prêts en fonction du risque de crédit, du coût de liquidité et de l’option de prépaiement. Un prêt émis par une banque pour un de ses clients corporate est un accord financier qui est souvent plus flexible qu’un prêt au particulier. Ces options permettent ainsi de répondre aux attentes de leur client, par exemple avec l’option de prépaiement qui permet au client, s’il le souhaite, rembourser par anticipation une partie ou l’intégralité de son emprunt.Le prépaiement est la principale option et il fait l’objet d’une étude dans cette thèse. Afin de décider si l’exercice de l’option est profitable l’emprunteur compare les paiements restants avec le montant restant dû de son prêt. Si la somme des paiements restants est supérieure au montant nominal alors il est optimal pour l’emprunteur de refinancer sa dette à un taux d’intérêt inférieur. Pour une banque, l’option de prépaiement est essentiellement un risque de réinvestissement, ie. le risque qu’un emprunteur décide de prépayer et que la banque ne puisse pas réinvestir son excès de liquidité dans un nouveau prêt avec les mêmes caractéristiques.La résolution du problème de l’option de prépaiement peut être modélisée comme une option américaine sur la dette de l’emprunteur. Nous avons choisi dans cette thèse de valoriser le prix d’un prêt et de son option de prépaiement par une résolution d’un modèle EDP plutôt qu’un modèle d’arbres binomiaux (chronophage) ou que des techniques de Monte-Carlo (problème de convergence). / This PhD thesis investigates the pricing of a corporate loan according to the credit risk, the liquidity cost and the embedded prepayment option. A loan contract issued by a bank for its corporate clients is a financial agreement that often comes with more flexibility than a retail loan contract. These options are designed to meet clients’ expectations and can include e.g., a prepayment option (which entitles the client, if he desires so, to pay all or a fraction of its loan earlier than the maturity). The prepayment is the main option and it will be study in this thesis. In order to decide whether the exercise of the option is worthwhile the borrower compares the remaining payments with the outstanding amount of the loan. If the remaining payments exceed the nominal value then it is optimal for the borrower to refinance his debt at a lower rate. For a bank, the prepayment option is essentially a reinvestment risk, i.e. the risk that the borrower decides to repay earlier his/her loan and that the bank cannot reinvest his/her excess of cash in a new loan with same characteristics.The valuation problem of the prepayment option can be modelled as an embedded compound American option on a risky debt owned by the borrower. We choose in this thesis to price a loan and its prepayment option by resolving the associated PDE instead of binomial trees (time-consuming) or Monte Carlo techniques (slow to converge).

Il sistema delle garanzie finanziarie del mercato assicurativo è, allo stato attuale, oggetto di processi di riforma comunitari (c.d. progetto Solvency II). Le ipotesi fino ad ora elaborate, nonostante siano lontane dal potersi definire conclusive, prevedono l'apprezzamento del margine di solvibilità relativo al rischio di tasso d'interesse (IRR) assumendo che la struttura per scadenza sia oggetto di shift paralleli della curva. Noti i limiti dell'approccio deterministico ed in forza dei principi fino ad ora consolidati, il presente elaborato si propone l'obiettivo di quantificare il requisito di capitale di una compagnia operante nel ramo vita, a fronte dell'IRR, ipotizzando che la dinamica dei tassi sia governata da un processo stocastico nella forma del modello Cox Ingersoll e Ross (CIR). Le simulazioni sono state sviluppate sugli equilibri patrimoniali di una teorica compagnia, al fine di apprezzare in maniera asettica il contributo dell'impostazione promossa. / Nowadays, the financial guarantees system of insurance market is being interested by a Community reform process (Solvency II project). Even if the current hypothesis are far to be definitive, the present guidelines state that the Solvency Capital Requirement (SCR) related to Interest Rate Risk (IRR) has to be quantified assuming deterministic shocks to the yield curve. The aim of the thesis is to improve the assessment of SCR connected to IRR, calculating interest rates according to Cox, Ingersoll and Ross (cir) stochastic model. Simulations are developed on the asset liability equilibria of a theoretical life insurance company, in order to better appreciate the SCR algebra sensitivity to changes in CIR model parameters.