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Accepted by: Giorgio Consigli Accurate pricing of basket options, which are financial derivatives on multiple underlying assets, is a challenging and practically important task for financial institutions. We propose several new control variates for accurate, fast and efficient pricing of basket options. The first approach to deriving new control variates is the use of Hermite polynomial approximation of appropriate function of the underlying asset prices, which leads to a Black–Scholes-like analytic solution. This approach is new in the option pricing context and opens up new possibilities in derivative pricing. Further control variates are analytically derived using Jensen's inequality in one case, and distributional properties of multivariate Wiener processes in other cases. All the newly proposed control variates are shown to lead to excellent variance reduction in numerical experiments based on realistic data. The proposed methods are novel, computationally simple and have a strong potential to replace more conventional methods, such as the geometric lower bound in simulation-based pricing of basket options and similar products used in financial risk management. [ABSTRACT FROM AUTHOR]

Aim: Determine the follow-up rate for patients referred following an abnormal teleretinal imaging (TRI) screening and examine patient characteristics predictive of follow-up nonadherence. Materials and Methods: A cross-sectional study of patients screened between August 2014 and July 2016 in the Harris Health System (HHS) in Houston, TX. All diabetic patients referred for in-person examination, who had data for all study variables, and who did not have established ophthalmic care in the HHS within the previous 2 years were included. Data collected included TRI findings, clinic location, age, race, gender, hemoglobin A1C (HbA1c), and insulin use. The primary outcome was whether or not a patient attended an in-person follow-up visit. Attendance was the dependent variable in a multivariable logistic regression with the aforementioned exposures used as independent variables. Results: There were 1695 patients included in the study. The follow-up rate (ie, the percentage of patients who went for an in-person examination with an ophthalmologist following a positive screening test and referral) was 54.9%. TRI findings of proliferative diabetic retinopathy (PDR) + referable diabetic macular edema (DME) predicted poorer compliance with follow-up recommendations compared to patients with PDR alone (OR 0.64, 95% CI 0.42-0.99; P =0.046). Age, race, gender, glycemic control, and insulin use did not predict compliance. Conclusion: Age, race, gender, glycemic control, and insulin use were not found to be predictive of follow-up compliance rates; the most severe disease (PDR + DME) predicted noncompliance. Diabetic retinopathy screening programs may consider more aggressive measures in emphasizing compliance in patients with the worst disease as these patients are more likely to miss follow-up appointments. More studies are needed to characterize risk factors for noncompliance. [ABSTRACT FROM AUTHOR]