AbstractFor decades, financial institutions have been very motivated in creating structured high‐yield financial products, especially in the economic environment of lower interest rates. Reverse convertible notes (RCNs) are the type of financial instruments, which in recent years first in Europe and then in the US – have become highly desirable financial structured products. They are complex financial structured products because they are neither plain bonds nor stocks. Instead, they are structured products embedding equity options, which involve a significant amount of asset returns' uncertainty. Given this fact, pricing of reverse convertible notes becomes a really big challenge, where both the general Black–Scholes option pricing model and the compound Poisson jump model which are designed to catch large crashes, are not suitable in valuing these kinds of products. In this paper, we propose a new asset‐pricing framework for reverse convertible notes by extending the pure Brownian increments to Lévy jump risks for the underlying stock return movements. Our framework deals with time‐changing volatilities of stock options with Lévy jump processes by considering the stocks' infinite‐jump possibilities. We then use a discrete‐time GARCH with time‐changed dynamics Lévy Jump processes in order to derive the assets' valuations. The results from our new model are close to the market's valuations, especially with the normal‐inverse‐Gaussian model of the Lévy jump family.
In: Political science quarterly: a nonpartisan journal devoted to the study and analysis of government, politics and international affairs ; PSQ, Band 32, Heft 3, S. 487-489
Comparisons between cohort studies and nationally representative 'real-world' samples are limited. The NCDS (1958 British birth cohort) follows those born in Britain in a single week in March 1958 (n=18,558); and the ONS Longitudinal Study (LS) contains linked census data and life events for a 1% sample of the population of England and Wales (> 1 million records; allowing for sub-samples by age, ethnicity, or other socio-demographic factors). Common country-and age-matched socio-demographic variables were extracted from the closest corresponding time-points, NCDS 55-year survey in 2013 (n=8107) and LS respondents aged 55 in 2011 (n=7052). Longitudinal associations between socio-demographic exposures (from the NCDS 46-survey in 2004 and LS respondents aged 45 in 2001) and long-term limiting illness (from NCDS 2013 and LS respondents 2011, aged 55) were assessed using logistic regression. The NCDS 55-year sample had similar characteristics to LS respondents aged 55 for sex and marital status, but the NCDS sample had lower levels of long-term limiting illness (19.7% vs 22.8%), non-white ethnicity (2.1% vs 11.7%) and living in South England (46.9% vs 50.1%), and higher levels of full-time employment (61.2% vs 55.2%), working in professional/higher managerial occupations (35.7% vs 29.2%), and living with a spouse (69.1% vs 64.9%), all p<0.001. Nevertheless, longitudinal associations between socio-demographic exposures and long-term limiting illness were similar in the NCDS and LS samples (all tests of between-study heterogeneity in mutually adjusted models p>0.09) suggesting these NCDS findings are largely generalisable to the population of England and Wales.
Abstract. Climate changes seriously affect people's daily life. Temperature and precipitation have been the focus of many studies dealing with regional climate changes in recent decades. In this study, the climatic trends in Xinjiang, northwest of China during 1961–2008 are analysed in detail on the basis of several parameters: annual and seasonal mean precipitation, and annual mean, minimum, and maximum temperatures. The results show a significant increasing trend of 7.40 mm decade−1 in the annual mean precipitation and a relatively minimal upward trend of 1.45 mm decade−1 in winter in Xinjiang. The annual mean temperature increases significantly in Xinjiang with an increasing trend of 0.30 °C decade−1. There is an increasing trend of 0.25 °C decade−1 in the annual maximum temperature and an increasing trend of 0.52 °C decade−1 in the annual minimum temperature.
Abstract. Extreme precipitation events are major causes of severe floods and droughts worldwide. Therefore, scientific understanding of changing properties of extreme precipitation events is of great scientific and practical merit in the development of human mitigation of natural hazards, such as floods and droughts. Wetness and dryness variations during 1961–2008 in Xinjiang, a region of northwest China characterised by an arid climate, are thoroughly investigated using two extreme precipitation indices. These are annual maximum consecutive dry days (CDD) and annual maximum consecutive wet days (CWD), based on a daily precipitation dataset extracted from 51 meteorological stations across Xinjiang. As a result, we present spatial distributions of mean annual CDD and mean annual CWD and their trends within the study period. The results indicate that: (1) CDD maximize in the Taklimakan and Turban basins of southeast Xinjiang, while minima are found in the Tianshan Mountains and the Ili river valley of northwest Xinjiang. On the contrary, the longest CWD are observed in northwest Xinjiang and the shortest in the southeast part of the region. (2) On an annual basis, CWD temporal variability shows statistically positive trends and a rate of increase of 0.1d/10a. CDD temporal variability shows statistically negative trends and a rate of decrease of 1.7d/10a. (3) Goodness-of-fit analysis for three candidate probability distribution functions, generalised Pareto distribution (GPD), generalised extreme value (GEV) and Gumbel, in terms of probability behaviours of CDD and CWD, indicates that the GEV can well depict changes of CDD and CWD. (4) The CDD and CWD better describe wet and dry conditions than precipitation in the Xinjiang. The results pave the way for scientific evaluation of dryness/wetness variability under the influence of changing climate over the Xinjiang region.
The Welcome Trust Case Control Consortium project was funded by the Wellcome Trust (awards 076113 and 085475). The New Zealand project was funded by the Health Research Council of New Zealand (08–75, 14–155). Recruitment of abdominal aortic aneurysm patients and controls in Belgium, Canada, and Pittsburgh, USA, was funded in part by the National Heart, Lung, and Blood Institute, National Institutes of Health (HL064310 and HL044682). The Geisinger sample collection was funded in part by the Pennsylvania Commonwealth Universal Research Enhancement program, the Geisinger Clinical Research Fund, the American Heart Association, and the Ben Franklin Technology Development Fund of Pennsylvania. The Barts and the Leicester Cardiovascular Biomedical Research Units are funded by the National Institute for Health Research. The eMERGE (electronic Medical Records and Genomics) Network is funded by the National Human Genome Research Institute, with additional funding from the National Institute of General Medical Sciences through the following grants: U01HG004438 to Johns Hopkins University; U01HG004424 to The Broad Institute; U01HG004438 to CIDR; U01HG004610 and U01HG006375 to Group Health Cooperative; U01HG004608 to Marshfield Clinic; U01HG006389 to Essentia Institute of Rural Health; U01HG04599 and U01HG006379 to Mayo Clinic; U01HG004609 and U01HG006388 to Northwestern University; U01HG04603 and U01HG006378 to Vanderbilt University; U01HG006385 to the Coordinating Center; U01HG006382 to Geisinger Health System; U01HG006380 to Icahn School of Medicine Mount Sinai. The generation and management of genome-wide association study (GWAS) data for the Rotterdam Study (control samples for the Dutch GWAS) is supported by the Netherlands Organization of Scientific Research (NWO) Investments (175.010.2005.011, 911-03-012). This study is funded by the Research Institute for Diseases in the Elderly (014-93-015; RIDE2), the Netherlands Genomics Initiative/NWO project nr. 050-060-810. The Italian sample collection were funded by grants from Ente Cassa di Risparmio di Firenze to Fiorgen Foundation, Florence, Italy, and from the Italian Ministry of Health. Sample collections from Poland were funded in part by the National Science Centre in Poland (6P05A03921, NN403250440). The Mayo Vascular Disease Biorepository was funded by a Marriot Award for Individualized Medicine and an Award from the Mayo Center of Individualized Medicine. The Vanderbilt data set(s) were obtained from Vanderbilt University Medical Center's BioVU supported by institutional funding and by the National Center for Research Resources (UL1 RR024975-01, which is now at the National Center for Advancing Translational Sciences, UL1 TR000445-06). The ASAP study (Advanced Study of Aortic Pathology) was supported by the Swedish Research Council, the Swedish Heart-Lung Foundation, the Leducq Foundation (MIBAVA), and a donation by Fredrik Lundberg. S.E. Humphries holds a Chair funded by the British Heart Foundation, and is supported by the British Heart Foundation (BHF; PG08/008) and by the National Institute for Health Research University College London Hospitals Biomedical Research Centre. The Cardiogenics project was supported by the European Union 6th Framework Programme (LSHM-CT-2006–037593). S.C. Harrison was funded by a BHF clinical training fellowship (FS/11/16/28696). The Stockholm-Tartu Atherosclerosis Reverse Network Engineering Task biobank and the generation of the RNASeq data set was funded by Astra-Zeneca Translational Science Centre-Karolinska Institutet, the University of Tartu (SP1GVARENG), the Estonian Research Council (ETF 8853), the Torsten and Ragnar Söderberg Foundation, the Knut and Alice Wallenberg Foundation, the American Heart Association (A14SFRN20840000) and by the National Institute of Health (R01HL71207).
BMWFW (Austria) ; FWF (Austria) ; FNRS (Belgium) ; FWO(Belgium) ; Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) ; Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) ; Fundação de Amparo à Pesquisa do Estado do Rio de Janeiro (FAPERJ) ; Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) ; MES (Bulgaria) ; CERN (China) ; CAS (China) ; MoST (China) ; NSFC (China) ; COLCIENCIAS (Colombia) ; MSES (Croatia) ; CSF (Croatia) ; RPF (Cyprus) ; SENESCYT (Ecuador) ; MoER (Estonia) ; ERC IUT (Estonia) ; ERDF (Estonia) ; Academy of Finland (Finland) ; MEC (Finland) ; HIP (Finland) ; CEA (France) ; CNRS/IN2P3 (France) ; BMBF (Germany) ; DFG (Germany) ; HGF (Germany) ; GSRT (Greece) ; OTKA (Hungary) ; NIH (Hungary) ; DAE (India) ; DST (India) ; IPM (Iran) ; SFI (Ireland) ; INFN (Italy) ; MSIP (Republic of Korea) ; NRF (Republic of Korea) ; LAS (Lithuania) ; MOE (Malaysia) ; UM (Malaysia) ; BUAP (Mexico) ; CINVESTAV (Mexico) ; CONACYT (Mexico) ; LNS (Mexico) ; SEP (Mexico) ; UASLP-FAI (Mexico) ; MBIE (New Zealand) ; PAEC (Pakistan) ; MSHE (Poland) ; NSC (Poland) ; FCT (Portugal) ; JINR (Dubna) ; MON (Russia) ; RosAtom (Russia) ; RAS (Russia) ; RFBR (Russia) ; MESTD (Serbia) ; SEIDI (Spain) ; CPAN (Spain) ; Swiss Funding Agencies (Switzerland) ; MST (Taipei) ; ThEPCenter (Thailand) ; IPST (Thailand) ; STAR (Thailand) ; NSTDA (Thailand) ; TUBITAK (Turkey) ; TAEK (Turkey) ; NASU (Ukraine) ; SFFR (Ukraine) ; STFC (United Kingdom) ; DOE (USA) ; NSF (USA) ; Marie-Curie programme ; European Research Council ; EPLANET (European Union) ; Leventis Foundation ; A. P. Sloan Foundation ; Alexander von Humboldt Foundation ; Belgian Federal Science Policy Office ; Fonds pour la Formation a la Recherche dans l'Industrie et dans l'Agriculture (FRIA-Belgium) ; Agentschap voor Innovatie door Wetenschap en Technologie (IWT-Belgium) ; Ministry of Education, Youth and Sports (MEYS) of the Czech Republic ; Council of Science and Industrial Research, India ; HOMING PLUS programme of the Foundation for Polish Science ; European Union ; Regional Development Fund ; Mobility Plus programme of the Ministry of Science and Higher Education ; National Science Center (Poland) ; EU-ESF ; Greek NSRF ; National Priorities Research Program by Qatar National Research Fund ; Programa Clarin-COFUND del Principado de Asturias ; Rachadapisek Sompot Fund for Postdoctoral Fellowship ; Chulalongkorn University ; Chulalongkorn Academic into Its 2nd Century Project Advancement Project (Thailand) ; Welch Foundation ; National Science Center (Poland): Harmonia 2014/14/M/ST2/00428 ; National Science Center (Poland): Opus 2013/11/B/ST2/04202 ; National Science Center (Poland): 2014/13/B/ST2/02543 ; National Science Center (Poland): 2014/15/B/ST2/03998 ; National Science Center (Poland): Sonata-bis 2012/07/E/ST2/01406 ; Welch Foundation: C-1845 ; The cross section of top quark-antiquark pair production in proton-proton collisions at root s = 13 TeV is measured by the CMS experiment at the LHC, using data corresponding to an integrated luminosity of 2.2 fb(-1). The measurement is performed by analyzing events in which the final state includes one electron, one muon, and two or more jets, at least one of which is identified as originating from hadronization of a b quark. The measured cross section is 815 +/- 9 (stat) +/- 38 (syst) +/- 19 (lumi) pb, in agreement with the expectation from the standard model.
Austrian Federal Ministry of Science, Research and Economy ; Austrian Science Fund ; Belgian Fonds de la Recherche Scientifique ; Fonds voor Wetenschappelijk Onderzoek ; Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq) ; Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES) ; Fundação de Amparo à Pesquisa do Estado do Rio de Janeiro (FAPERJ) ; Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) ; Bulgarian Ministry of Education and Science ; CERN ; Chinese Academy of Sciences ; Ministry of Science and Technology ; National Natural Science Foundation of China ; COLCIENCIAS ; Croatian Ministry of Science, Education and Sport ; Croatian Science Foundation ; Research Promotion Foundation, Cyprus ; Secretariat for Higher Education, Science, Technology and Innovation, Ecuador ; Ministry of Education and Research ; Estonian Research Council ; European Regional Development Fund, Estonia ; Academy of Finland ; Finnish Ministry of Education and Culture ; Helsinki Institute of Physics ; Institut National de Physique Nucleaire et de Physique des Particules / CNRS ; Commissariat a l'Energie Atomique et aux Energies Alternatives / CEA, France ; Bundesministerium fur Bildung and Forschung ; Deutsche Forschungsgemeinschaft ; Helmholtz-Gemeinschaft Deutscher Forschungszentren, Germany ; General Secretariat for Research and Technology, Greece ; National Scientific Research Foundation ; National Innovation Office, Hungary ; Department of Atomic Energy ; Department of Science and Technology, India ; Institute for Studies in Theoretical Physics and Mathematics, Iran ; Science Foundation, Ireland ; Istituto Nazionale di Fisica Nucleare, Italy ; Ministry of Science, ICT and Future Planning ; National Research Foundation (NRF), Republic of Korea ; Lithuanian Academy of Sciences ; Ministry of Education ; University of Malaya (Malaysia) ; BUAP ; CINVESTAV ; CONACYT ; LNS ; SEP ; UASLP-FAI ; Ministry of Business, Innovation and Employment, New Zealand ; Pakistan Atomic Energy Commission ; Ministry of Science and Higher Education ; National Science Centre, Poland ; Fundacao para a Ciencia e a Tecnologia, Portugal ; JINR, Dubna ; Ministry of Education and Science of the Russian Federation ; Federal Agency of Atomic Energy of the Russian Federation ; Russian Academy of Sciences ; Russian Foundation for Basic Research ; Ministry of Education, Science and Technological Development of Serbia ; Secretaria de Estado de Investigacion, Desarrollo e Innovacion ; Programa Consolider-Ingenio, Spain ; ETH Board ; ETH Zurich ; PSI ; SNF ; UniZH ; Canton Zurich ; SER ; Ministry of Science and Technology, Taipei ; Thailand Center of Excellence in Physics ; Institute for the Promotion of Teaching Science and Technology of Thailand ; Special Task Force for Activating Research ; National Science and Technology Development Agency of Thailand ; Scientific and Technical Research Council of Turkey ; Turkish Atomic Energy Authority ; National Academy of Sciences of Ukraine ; State Fund for Fundamental Researches, Ukraine ; Science and Technology Facilities Council, UK ; US Department of Energy ; US National Science Foundation ; Marie-Curie programme ; European Research Council ; EPLANET (European Union) ; Leventis Foundation ; A. P. Sloan Foundation ; Alexander von Humboldt Foundation ; Belgian Federal Science Policy Office ; Fonds pour la Formation a la Recherche dans l'Industrie et dans l'Agriculture (FRIA-Belgium) ; Agentschap voor Innovatie door Wetenschap en Technologie (IWT-Belgium) ; Ministry of Education, Youth and Sports (MEYS) of the Czech Republic ; Council of Science and Industrial Research, India ; Foundation for Polish Science - European Union, Regional Development Fund ; National Science Center (Poland) ; Thalis programme - EU-ESP ; Aristeia programme - EU-ESP ; Greek NSRF ; National Priorities Research Program by Qatar National Research Fund ; Programa Clarin-COFUND del Principado de Asturias ; Rachadapisek Sompot Fund for Postdoctoral Fellowship, Chulalongkorn University ; Chulalongkorn Academic into Its 2nd Century Project Advancement Project (Thailand) ; Welch Foundation ; Estonian Research Council: IUT23-4 ; Estonian Research Council: IUT23-6 ; National Science Center (Poland): Harmonia 2014/14/M/ST2/00428 ; National Science Center (Poland): Opus 2013/11/B/ST2/04202 ; National Science Center (Poland): 2014/13/B/ST2/02543 ; National Science Center (Poland): 2014/15/B/ST2/03998 ; National Science Center (Poland): Sonata-bis 2012/07/E/ST2/01406 ; Welch Foundation: C-1845 ; The nuclear modification factor R-AA and the azimuthal anisotropy coefficient v(2) ofprompt and nonprompt (i.e. those from decays of b hadrons) J/psi mesons, measured from PbPb and pp collisions at root S-NN = 2.76 rfeV at itheLHC, are reported. The results are presented in several event centrality intervals and several kinematic regions, for transverse momenta p(T) > 6.5 GeV/c and rapidity vertical bar y vertical bar < 2.4, extending down to p(T) = 3 GeV/c in the 1.6 < vertical bar y vertical bar < 2.4 range. The v(2) of prompt J/psi is found to be nonzero, but with no strong dependence on centrality, rapidity, or p(T) over the full kinematic range studied. The measured v(2) of nonprompt J/psi is consistent with zero. The R-AA of prompt J/psi exhibits a suppression that increases from peripheral to central collisions but does not vary strongly as a function of either y or pT in the fiducial range. The nonprompt J/psi RAA shows a suppression which becomes stronger as rapidity or p(T) increases. The v(2) and R-AA of open and hidden charm, and of open charm and beauty, are compared.