Computations of Greeks in a market with jumps via the Malliavin calculus

Using the Malliavin calculus on Poisson space we compute Greeks in a market driven by a discontinuous process with Poisson jump times and random jump sizes, following a method initiated on the Wiener space in [5]. European options do not satisfy the regularity conditions required in our approach, however we show that Asian options can be considered due to a smoothing effect of the integral over time. Numerical simulations are presented for the Delta and Gamma of Asian options, and confirm the efficiency of this approach over classical finite difference Monte-Carlo approximations of derivatives.Received: July 2003, Mathematics Subject Classification (1991): 90A09, 90A12, 90A60, 60H07JEL Classification: C15, G12We thank M. Coutaud for contributions to the simulations.     

TRADE POLICY AND MARKET POWER: FIRM‐LEVEL EVIDENCE

This article identifies the effect of trade policy on market power through new data and a new identification strategy. We identify market power by observing how exporting firms price discriminate across markets following variations in bilateral exchange rates. Pricing‐to‐market is prevalent in all countries in our sample, even among small firms, although it is increasing in firm size. More importantly, we find that the effect of nontariff measures (NTMs) is not isomorphic to that of tariffs. Whereas tariffs reduce the market power of foreign firms through rent‐shifting effects, NTMs reinforce the market power of nonexiting firms, domestic and foreign alike.     

Federal Reserve System Rising: The Expansion of Board Veto Authority on the Eve of the Great Depression

Most scholars agree that restrictive Federal Reserve System (FRS) policies contributed to the depression’s duration and severity. FRS policy mistakes are attributed to faulty ideas, poor leadership, and decentralised institutions. Extant scholarship treats ideas as constraints which systematically led policy-makers astray. This paper instead focuses on the dual roles ideas play in shaping institutions and uniting coalitions behind institutional projects. It traces the rise and fall of New York FRS Governor Benjamin Strong’s ‘great idea’ that the FRS should promote international monetary stability. Declining support for New York’s internationalism enabled a rural Board faction to expand its veto power from 1928 to 1930. In the critical year following the 1929 stock market crash, Board obstruction of New York FRS attempts to lower its discount and bill rates caused its investments to fall faster than the system’s bond portfolio expanded, forcing outstanding system credit to contract. Beyond showing that the Board’s pre-depression rise mattered, the paper speaks to broader debates about how ideas become empowered to shape policies and inform interests.     

Pollution effects of free trade areas: Simulations from a general equilibrium model

Abstract

A two-factors, two-goods, three-countries general equilibrium model is developed to assess the effects of a Free Trade Area (FTA) on pollution emissions. It also makes it possible to compare the effects of a discriminating commercial policy with alternative–non discriminating–policies, such as full trade liberalization or non-discriminating protection. A theoretical model is first developed in order to take into account country-differences in factor endowment, environmental regulation, pollution abatement technology, marginal disutilities of pollution, as well as terms of trade effects. This model is subsequently calibrated and computed in accordance with empirical evidence. The main conclusion shows that the move from protection to FTA reduces world pollution emissions. A second result indicates that, in case of full trade liberalization, world pollution is further reduced.     

Pacemaker complications and costs: a nationwide economic study

Abstract

Aims: Novel leadless pacemakers (LPMs) may reduce complications and associated costs related to conventional pacemaker systems. This study sought to estimate the incidence and associated costs of traditional pacemaker complications, in those patients who were eligible for LPM implantation.

Methods: A retrospective analysis was conducted on the French National Hospital Database (PMSI), including all patients implanted with a pacemaker in France in 2012, who could have alternatively received an LPM. Complication rates and their associated costs 3 years post-implantation were estimated from the perspective of the French social security system.

Results: From a total of 65,553 patients, 11,770 (18%) met the inclusion criteria. Overall, 618 patients (5.3%) had a record of pacemaker complications during follow-up, of which 89% were related to the lead and pocket. Most common were pocket bleeding, lead- or generator-related mechanical complications, and pneumothorax. Overall, the mean cost of pacemaker complications per patient was €6,674?±?3,867 at 3 years. Specifically, €7,143?±?2,685 for pocket bleeding, €5,123?±?2,676 for pneumothorax, and €6,020?±?3,272 for mechanical complications.

Conclusions: Major complications associated with the lead and pocket of conventional pacemaker systems are still common, and these represent a significant burden to healthcare systems as they generate substantial costs.     

Communication, consensus and order. Who wants to speak first?

Parikh and Krasucki [R. Parikh, P. Krasucki, Communication, consensus and knowledge, J. Econ. Theory 52 (1990) 178-189] show that, in a group of rational agents, communication of the value of a function f leads to a consensus on the value of f, provided some conditions on the communication protocol and the function f hold. In this article, we address the issue of the influence of the protocol on the outcome of the communication process, when agents value information positively. We show that, if it is common knowledge in a group of agents that some of them disagree on two protocols, then the consensus value of f must be the same for both protocols.     

Budget impact analysis of a novel gene expression assay for the diagnosis of malignant melanoma

Background:

Traditional pathology techniques alone can be insufficient to reliably distinguish between malignant melanoma, dysplastic nevi, and benign nevi in biopsies of suspicious pigmented lesions. Numerous studies have shown high rates of ambiguity when assessing such samples. A novel gene expression assay has been developed to objectively differentiate malignant melanoma from benign nevi.

Objective:

The purpose of this study was to quantify the economic impact of the gene expression assay on a US commercial health plan.

Methods:

The clinical paradigm of care was modeled for a hypothetical cohort of patients with suspicious pigmented lesions that are difficult-to-diagnose. Costs were assigned to each unit of care provided based on 2013 Medicare fee-for-service rates. Patients were followed for 10 years and were modeled to progress according to the natural history of their disease. The total cost of care was calculated for two scenarios: a Reference Scenario, representing current clinical practice, and a Test Scenario, in which each lesion was tested with the gene expression assay and diagnosed. Total cost of care was compared between the two scenarios to determine overall budget impact. Sensitivity analyses were performed to test the robustness of the model.

Results:

The gene expression assay reduces costs by $1268 per patient tested over 10 years, a decrease of 8.3%, after accounting for the cost of the assay. For a health plan with 10 million members, this would translate to over $8 million in savings. The largest portion of this saving comes from reducing the number of missed melanomas, which would otherwise progress to advanced disease. In sensitivity analyses, no single model input changed within a reasonable range of values caused the model to show that the assay was not cost-saving.

Conclusion:

In addition to improving the diagnosis of melanoma, this gene expression assay would likely reduce costs for health plans that choose to cover it.     

Inequality and debt in a model with heterogeneous agents

We show that to account for the cross-sectional divergence in debt-to-income ratios in US data a DSGE model must assume a tax reallocation across the top- and bottom-income quantile of the population, rather than differential productivity growth, and low cost of access to financial intermediation.     

Geodesic normal distribution on the circle

This paper is concerned with the study of a circular random distribution called geodesic normal distribution recently proposed for general manifolds. This distribution, parameterized by two real numbers associated to some specific location and dispersion concepts, looks like a standard Gaussian on the real line except that the support of this variable is [0, 2π) and that the Euclidean distance is replaced by the geodesic distance on the circle. Some properties are studied and comparisons with the von Mises distribution in terms of intrinsic and extrinsic means and variances are provided. Finally, the problem of estimating the parameters through the maximum likelihood method is investigated and illustrated with some simulations.