forward measure
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2021 ◽  
Vol 7 (1) ◽  
pp. 6-13

Background: Neonatal care especially for premature infants may require varying periods of intensive care which may limit parental involvement. Kangaroo mother care (KMC) allows for close contact between mother and infant, widely used by Indigenous populations but now introduced into neonatal nurseries. This paper reviews the growing literature highlighting the physiological and psychological impact of its introduction in the care of preterm infants. Methods: A brief introduction of current practices in the care of preterm infants is followed by discussing the rationale of KMC. The benefits or otherwise of such care is reviewed, drawing on the current literature. Future avenues of study are suggested. Results: KMC has been successfully undertaken of preterm infants. Such care improved the infant’s circulatory physiological parameters which included heart rate variability, oxygen saturations and temperature control. There also appeared to be a reduction in pain scores during uncomfortable neonatal procedures. An increase in successful breastfeeding, improved maternal-infant interaction and better neurodevelopmental progress has also been observed. Further study may utilise vital signs to affirm clinical outcomes. The administration of the relatively straight forward measure of the Alarm Distress Baby Scale may objectively assess infant well-being and their resultant social interactions. Conclusion: The current literature suggests multiple benefits for preterm infants exposed to KMC with improvement in physiological parameters and developmental outcomes. It also empowers mothers to be more intimately involved with their infants. These reported findings encourage the safe introduction of KMC into further nurseries


Author(s):  
Lucas Slot ◽  
Monique Laurent

Abstract We consider a hierarchy of upper approximations for the minimization of a polynomial f over a compact set $$K \subseteq \mathbb {R}^n$$ K ⊆ R n proposed recently by Lasserre (arXiv:1907.097784, 2019). This hierarchy relies on using the push-forward measure of the Lebesgue measure on K by the polynomial f and involves univariate sums of squares of polynomials with growing degrees 2r. Hence it is weaker, but cheaper to compute, than an earlier hierarchy by Lasserre (SIAM Journal on Optimization 21(3), 864–885, 2011), which uses multivariate sums of squares. We show that this new hierarchy converges to the global minimum of f at a rate in $$O(\log ^2 r / r^2)$$ O ( log 2 r / r 2 ) whenever K satisfies a mild geometric condition, which holds, eg., for convex bodies and for compact semialgebraic sets with dense interior. As an application this rate of convergence also applies to the stronger hierarchy based on multivariate sums of squares, which improves and extends earlier convergence results to a wider class of compact sets. Furthermore, we show that our analysis is near-optimal by proving a lower bound on the convergence rate in $$\varOmega (1/r^2)$$ Ω ( 1 / r 2 ) for a class of polynomials on $$K=[-1,1]$$ K = [ - 1 , 1 ] , obtained by exploiting a connection to orthogonal polynomials.


2019 ◽  
Author(s):  
Tim Xiao

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing a shifted forward measure and several novel fast drift approximation methods. This model should achieve the best performance without losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement. Adding this model to the valuation toolkit is actually quite useful; especially for risk management or in the case there is a need for a quick turnaround.


2019 ◽  
Author(s):  
Tim Xiao

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing a shifted forward measure and several novel fast drift approximation methods. This model should achieve the best performance without losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement. Adding this model to the valuation toolkit is actually quite useful; especially for risk management or in the case there is a need for a quick turnaround.


2019 ◽  
Author(s):  
Tim Xiao

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing a shifted forward measure and several novel fast drift approximation methods. This model should achieve the best performance without losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement. Adding this model to the valuation toolkit is actually quite useful; especially for risk management or in the case there is a need for a quick turnaround.


2019 ◽  
Author(s):  
Tim Xiao

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing a shifted forward measure and several novel fast drift approximation methods. This model should achieve the best performance without losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement. Adding this model to the valuation toolkit is actually quite useful; especially for risk management or in the case there is a need for a quick turnaround.


2019 ◽  
Author(s):  
Tim Xiao

The LIBOR Market Model has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice approach to price interest rate products within the LIBOR Market Model by introducing a shifted forward measure and several novel fast drift approximation methods. This model should achieve the best performance without losing much accuracy. Moreover, the calibration is almost automatic and it is simple and easy to implement. Adding this model to the valuation toolkit is actually quite useful; especially for risk management or in the case there is a need for a quick turnaround.


2018 ◽  
Vol 21 (02) ◽  
pp. 1850017 ◽  
Author(s):  
JULIEN HOK ◽  
PHILIP NGARE ◽  
ANTONIS PAPAPANTOLEON

We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure and then consider the price of the quanto option. In order to take the skew/smile effect observed in fixed income and FX markets into account, we consider local volatility models for both the LIBOR and the FX rate. Because of the structure of the local volatility function, a closed form solution for quanto option prices does not exist. Using expansions around a proxy related to log-normal dynamics, we derive approximation formulas of Black–Scholes type for the price, that have the benefit of giving very rapid numerical procedures. Our expansion formulas have the major advantage that they allow for an accurate estimation of the error, using Malliavin calculus, which is directly related to the maturity of the option, the payoff, and the level and curvature of the local volatility function. These expansions also illustrate the impact of the quanto drift adjustment, while the numerical experiments show an excellent accuracy.


Author(s):  
Kerry E. Back

Forward measures are defined. Forward and futures contracts are explained. The spot‐forward parity formula is derived. A forward price is a martingale under the forward measure. A futures price is a martingale under a risk neutral probability. Forward prices equal futures prices when interest rates are nonrandom. The expectations hypothesis is explained. The option pricing formulas of Margabe (exchange options), Black (options on forwards), and Merton (random interest rates) are derived. Implied volatilities and local volatility models are explained. Heston’s stochastic volatility model is derived.


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