FORWARD-RATE VOLATILITIES AND THE SWAPTION MATRIX: WHY NEITHER TIME-HOMOGENEITY NOR TIME-DEPENDENCE ARE ENOUGH

2006 ◽  
Vol 09 (05) ◽  
pp. 705-746 ◽  
Author(s):  
RICCARDO REBONATO
Keyword(s):  
Markov Chain ◽  
Market Volatility ◽  
Time Dependent ◽  
Forward Rate ◽  
Systematic Analysis ◽  
Option Markets ◽  
Markov Chain Approach ◽  
Major Market ◽  
Volatility Model

This work presents the first systematic analysis of the whole swaption matrix by fitting a parsimonious, nonlinear, financially-inspired volatility model to market data. The study uses several years of data spanning period of major market volatility. We find that the quality of the fits is good (on average of the same magnitude as the bid-offer spread), and better when a displaced-diffusion approach is chosen, but some systematic shortcomings are observed and discussed. The analysis suggests that a two-regime Markov chain approach may be more successful and better financially motivated. More generally, the present study highlights the shortcomings of purely time-dependent or time-homogenous approaches. These findings should be applicable to other option markets as well. Finally, we find that the present (nonlinear) model vastly outperforms PCA-based approaches when in comes to predicting moves in implied volatilities.

A Markov chain approach to periodic queues

1987 ◽  
Vol 24 (1) ◽  
pp. 215-225 ◽  
Author(s):  
Søren Asmussen ◽  
Hermann Thorisson
Keyword(s):  
Markov Chain ◽  
Waiting Times ◽  
Suitable Condition ◽  
Time Dependent ◽  
Interarrival Time ◽  
Traffic Intensity ◽  
Markov Chain Approach ◽  
Periodic Queues ◽  
Queue Lengths ◽  
Dependent Processes

We consider GI/G/1 queues in an environment which is periodic in the sense that the service time of the nth customer and the next interarrival time depend on the phase θ n at the arrival instant. Assuming Harris ergodicity of {θ n} and a suitable condition on the traffic intensity, various Markov chains related to the queue are then again Harris ergodic and provide limit results for the standard customer- and time-dependent processes such as waiting times and queue lengths. As part of the analysis, a result of Nummelin (1979) concerning Lindley processes on a Markov chain is reconsidered.

A Markov chain approach to periodic queues

1987 ◽  
Vol 24 (01) ◽  
pp. 215-225 ◽  
Author(s):  
Søren Asmussen ◽  
Hermann Thorisson
Keyword(s):  
Markov Chain ◽  
Waiting Times ◽  
Suitable Condition ◽  
Time Dependent ◽  
Interarrival Time ◽  
Traffic Intensity ◽  
Markov Chain Approach ◽  
Periodic Queues ◽  
Queue Lengths ◽  
Dependent Processes

We consider GI/G/1 queues in an environment which is periodic in the sense that the service time of the nth customer and the next interarrival time depend on the phase θ n at the arrival instant. Assuming Harris ergodicity of {θ n } and a suitable condition on the traffic intensity, various Markov chains related to the queue are then again Harris ergodic and provide limit results for the standard customer- and time-dependent processes such as waiting times and queue lengths. As part of the analysis, a result of Nummelin (1979) concerning Lindley processes on a Markov chain is reconsidered.

MULTI-STATE START-UP DEMONSTRATION TESTS

2011 ◽  
Vol 18 (02) ◽  
pp. 99-117 ◽  
Author(s):  
MICHELLE L. DEPOY SMITH ◽  
WILLIAM S. GRIFFITH
Keyword(s):  
Markov Chain ◽  
Probabilistic Analysis ◽  
Early Termination ◽  
Test Results ◽  
Practical Advantage ◽  
Markov Chain Approach ◽  
Start Up ◽  
Practical Guidance ◽  
Start Ups

Multistate start-up demonstration tests are proposed and analyzed using a Markov Chain approach. The new demonstration tests are generalizations of the CSTF, TSTF, and CSCF start-up demonstration tests discussed in the literature that have the important practical advantage of allowing for early termination when the quality of successful start-ups is exceptional. When the termination results in acceptance of the equipment, the use of a multi-state startup demonstration test results in an increase in the probability of an early termination of as much as. 35 over the optimal binary start-up test in cases studied. The Markov Chains methodology is used in the probabilistic analysis. Practical guidance on choosing tests, estimation, and comparisons of the various criteria are studied. The Markov Chain approach is then extended to study the non-i.i.d. case.

Menopausal hormone therapy and uterine cancer: the acceptability of the tandem

GYNECOLOGY ◽  
2018 ◽  
Vol 20 (6) ◽  
pp. 42-47
Author(s):  
O V Yakushevskaya ◽  
S V Yureneva ◽  
A E Protasova ◽  
G N Khabas ◽  
M R Dumanovskaya
Keyword(s):  
Hormone Therapy ◽  
Uterine Cancer ◽  
Menopausal Hormone Therapy ◽  
Medical Rehabilitation ◽  
Cytostatic Treatment ◽  
Systematic Analysis ◽  
Strict Adherence ◽  
Patient Profile ◽  
The Past

The aim of the work is to conduct a systematic analysis of the available research results on the possibility of using menopausal hormone therapy (MHT) in patients who successfully completed the treatment of endometrial cancer (EC). Materials and methods. The review includes data from foreign articles published in PubMed and Medline, and domestic works published on elibrary.ru over the past 40 years. Results. The results obtained allow us to consider MHT as an independent method of medical rehabilitation for women who have undergone EC. A clear patient profile should be established, allowing the use of this method, with strict adherence to health monitoring. Conclusion Patients who have successfully completed the treatment of EC require the creation of special rehabilitation conditions in the interests of maintaining health and quality of life and should be under the close attention of the doctor. Argumented approaches to the appointment of MHT in such patients will avoid complications associated with estrogen deficiency after surgery, radiation with or without systemic (cytostatic) treatment methods.

scholarly journals Systematic Analysis of Literature on the Marketing of Healthcare Systems. Challenges for Russian and Romanian Healthcare Systems

Healthcare ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 656
Author(s):  
Vladimir Bulatnikov ◽  
Cristinel Petrişor Constantin
Keyword(s):  
Quality Of Healthcare ◽  
Healthcare Systems ◽  
Business Environment ◽  
Competitive Advantages ◽  
Systematic Analysis ◽  
Scientific Databases ◽  
Advantages And Disadvantages ◽  
Funds Allocation ◽  
New Perspective

This paper aims at finding the most dominant ideas about the marketing of healthcare systems highlighted in the mainstream literature, with a focus on Russia and Romania. To reach this goal, a systematic analysis of literature was conducted and various competitive advantages and disadvantages of the medical models that require special attention from the governments are considered. In this respect we examined 106 papers published during 2006 to 2020 found on four scientific databases. They were selected using inclusion and exclusion criteria according to PRISMA methodology. The main findings of the research consist of the opportunity to use marketing tools in order to improve the quality of healthcare systems in the named countries. Thus, using market orientation, the managers of healthcare systems could stimulate the innovation, the efficiency of funds allocation and the quality of medical services. The results will lead to a better quality of population life and to an increasing of life expectancy. As this paper reviews some articles from Russian literature, it can add a new perspective to the topic. These outcomes have implications for government, business environment, and academia, which should cooperate in order to develop the healthcare system using marketing strategies.

An Evaluation of Volatility Forecasting Techniques

Metamorphosis ◽  
2005 ◽  
Vol 4 (2) ◽  
pp. 113-124
Author(s):  
Madhusudan Karmakar
Keyword(s):  
Stock Market ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Relative Ability ◽  
Conflicting Evidence ◽  
Competing Models ◽  
Relative Quality ◽  
Indian Data ◽  
Naive Model

The existing literature contains conflicting evidence regarding the relative quality of stock market volatility forecasts. This paper employs daily Indian data to examine the relative ability of various models to forecast monthly stock market volatility. The forecasting models which were selected range from naive model to relatively complex GARCH model. While it is difficult to claim superiority of any one model under all measures used to assess the accuracy of the forecast, the overall results clearly identify two competing models i.e., the RWM and GARCH (1, 1).

Estimation of Interregional Trade Flows: A Markov Chain Approach

1986 ◽  
Vol 18 (1) ◽  
pp. 123-132 ◽  
Author(s):  
I Weksler ◽  
D Freeman ◽  
G Alperovich
Keyword(s):  
Markov Chain ◽  
Trade Flows ◽  
Interregional Trade ◽  
Markov Chain Approach

scholarly journals MECHANISMS IN ENDOCRINOLOGY: Aging and anti-aging: a Combo-Endocrinology overview

2017 ◽  
Vol 176 (6) ◽  
pp. R283-R308 ◽  
Author(s):  
Evanthia Diamanti-Kandarakis ◽  
Maurizio Dattilo ◽  
Djuro Macut ◽  
Leonidas Duntas ◽  
Efstathios S Gonos ◽  
...  
Keyword(s):  
Quality Of Life ◽  
Molecular Mechanisms ◽  
Dynamic Effect ◽  
The Elderly ◽  
Time Dependent ◽  
Endocrine Function ◽  
Scientific Society ◽  
Physiological Functions ◽  
Environmental Stimuli

Aging and its underlying pathophysiological background has always attracted the attention of the scientific society. Defined as the gradual, time-dependent, heterogeneous decline of physiological functions, aging is orchestrated by a plethora of molecular mechanisms, which vividly interact to alter body homeostasis. The ability of an organism to adjust to these alterations, in conjunction with the dynamic effect of various environmental stimuli across lifespan, promotes longevity, frailty or disease. Endocrine function undergoes major changes during aging, as well. Specifically, alterations in hormonal networks and concomitant hormonal deficits/excess, augmented by poor sensitivity of tissues to their action, take place. As hypothalamic–pituitary unit is the central regulator of crucial body functions, these alterations can be translated in significant clinical sequelae that can impair the quality of life and promote frailty and disease. Delineating the hormonal signaling alterations that occur across lifespan and exploring possible remedial interventions could possibly help us improve the quality of life of the elderly and promote longevity.

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