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Moody's KMV method is a popular commercial implementation of the structural credit risk model pioneered by Merton (1974). It is an algorithm for estimating the unobserved asset value and the unknown parameters required for implementing such a model. This estimation method has found its way to the recent academic literature, but it has not yet been formally(More)
We propose a Markov chain method for pricing discretely monitored barrier options in both the constant and time-varying volatility valuation frameworks. The method uses a time homogeneous Markov Chain to approximate the underlying asset price process. Our approach provides a natural framework for pricing discretely monitored barrier options because the(More)
BACKGROUND Patients treated with epidermal growth factor receptor inhibitors (EGFRIs) may develop dermatologic adverse drug reactions (ADRs) that may affect patients' quality-of-life, require medical care, and may lead to substantial costs. This study assessed the economic burden of dermatologic ADRs in colorectal cancer (CRC), head and neck cancer (HNC),(More)
BACKGROUND Little is known about how women who receive an inconclusive result from BRCA1/2 testing interpret their result. Clinical observations suggest that some of them may be falsely reassured and, consequently, may not adhere to recommended surveillance. The purpose of this study is to evaluate whether women with inconclusive BRCA1/2 test results are(More)
OBJECTIVE To assess treatment adherence in attention deficit/hyperactivity disorder (ADHD) patients initiated on Lisdexamfetamine (LDX) vs other FDA-approved stimulants and non-stimulant medications. METHODS ADHD patients initiated on an ADHD medication (index medication) were selected from a large US administrative claims database. Based on age and(More)
OBJECTIVE To compare treatment persistence in attention-deficit/hyperactivity disorder (ADHD) of patients initiated on lisdexamfetamine (LDX) vs other ADHD medications. METHODS A large US administrative claims database was used to select ADHD patients who initiated an ADHD medication (index treatment) during/after 2007. Patients were classified, based on(More)
One critical difficulty in implementing Merton's (1974) credit risk model is that the underlying asset value cannot be directly observed. The model requires the unobserved asset value and the unknown volatility parameter as inputs. The estimation problem is further complicated by the fact that typical data samples are for the survived firms. This paper(More)
PURPOSE The aim of this study was to investigate tumor characteristics, treatment patterns, and outcomes in recurrent KIT + GIST patients treated in a community practice setting. METHODS An online tool was used to retrieve data on 410 patients treated with adjuvant imatinib mesylate (IM) for primary resectable KIT + GIST, who discontinued, had a(More)
The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending the framework of Engle (2000) is used to specify the joint(More)
Brain metastases are a common and serious complication among patients with metastatic melanoma. The selective BRAF inhibitor vemurafenib has demonstrated clinical efficacy in patients with BRAF V600E-mutant melanoma brain metastases (MBM). We examined the real-world application and clinical outcomes of vemurafenib in this patient population. Demographic,(More)