Methods During 2009, 167 MRSA-infected and 25766 MRSAuninfected control patients were included in a multistate model where occurrence of MRSA infection was the time-dependent exposure and discharge or death was the study endpoint. Infections were stratified by anatomical site. Excess LoS was extracted computing the Aalen-Johansen estimator of the matrix of transition probabilities. 95% confiden...

BACKGROUND When multiple prognostic factors are adjusted for in the analysis of a randomised trial, it is unclear (1) whether it is necessary to account for each of the strata, formed by all combinations of the prognostic factors (stratified analysis), when randomisation has been balanced within each stratum (stratified randomisation), or whether adjusting for the main effects alone will suffic...

Methods 6713 patients from EuroSIDA on cART with a confirmed VL<50 copies/ml were included; a regimen change was defined as >1 ARV change (occurring on the same day) for any reason whilst VL< 50 copies/ml. Baseline was defined as the first VL<50 copies/ml on cART; Kaplan Meier methods estimated the probability of ARV change and Cox proportional hazards models, stratified by centre, identified f...

To take into account leverage effect, Wiener stochastic processes W1,W2 should be correlated dW1 · dW2 = ρdt. The stochastic model (1.2) for the variance is related to the square-root process of Feller (1951) and Cox, Ingersoll and Ross (1985). For the square-root process (1.2) the variance is always positive and if 2κθ > σ 2 then it cannot reach zero. Note that the deterministic part of proces...

We investigate the extremal behaviour of a diiusion (X t) given by the SDE dX t = (X t)dt + (X t)dW t ; t > 0 ; X 0 = x ; where W is standard Brownian motion, is the drift term and is the diiusion coeecient. Under some appropriate conditions on (X t) we prove that the point process of "{upcrossings converges in distribution to a homogeneous Poisson process. As examples we study the ex-tremal be...

The purpose of this paper is to add to the empirical evidence on the efficacy of alternative simulation models of the short term interest rate. This is done by constructing consistent specification tests that allow us to carry out a “horse-race” comparing various one, two, and three factor models (possibly with jumps), across multiple historical sample periods. We begin by outlining a three fac...

This paper consists in introducing an option price expansion for model combining local and stochastic volatility with tight error estimates. The local volatility part is considered as general but has to satisfy some growth and boundedness assumptions. For the stochastic part, we choose a square root process, which is usually used for modelling the behaviour of the variance process. In the parti...

We discuss methods for time-discretization and simulation of squareroot SDEs, both in isolation (CIR process) and as part of vector-SDEs modeling stochastic volatility (Heston model). Both exact and biased discretization methods are covered.