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The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the key features exhibited by the dynamics of SOFR and the forward rates implied by SOFR futures. Historically, interest rate term structure modelling has been based on rates of substantially longer time to maturity than overnight, but with SOFR the overnight rate now is the primary market observable. This means that the empirical idiosyncrasies of the overnight rate cannot be ignored when constructing interest rate models in a SOFR-based world. As a rate reflecting transactions in the Treasury overnight repurchase market, the dynamics of SOFR are closely linked to the dynamics of the Effective Federal Funds Rate (EFFR), which is the interest rate most directly impacted by US monetary policy target rate decisions. Therefore, these rates feature jumps at known times (Federal Open Market Committee meeting dates), and market expectations of these jumps are reflected in prices for futures written on these rates. On the other hand, forward rates implied by Fed Funds and SOFR futures continue to evolve diffusively. The model presented in this paper reflects the key empirical features of SOFR dynamics and is calibrated to futures prices. In particular, the model reconciles diffusive forward rate dynamics with piecewise constant paths of the target short rate.

This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where the subsequent data in online sequential filtering does not match the model posterior filtered based on data up to a current point in time. The examples considered encompass parameter regime shifts and stochastic volatility. The filter adapts to regime shifts extremely rapidly and delivers a clear heuristic for distinguishing between regime shifts and stochastic volatility, even though the model dynamics assumed by the filter exhibit neither of those features.

Background: CONKO-006 was designed for patients with pancreatic adenocarcinoma with postsurgical R1 residual status to evaluate the efficacy and safety of the combination of gemcitabine and sorafenib (GemSorafenib) compared with those of gemcitabine + placebo (GemP) for 12 cycles. Patients and methods: This randomised, double-blind, placebo-controlled, multicenter study was planned to detect an improvement in recurrence-free survival (RFS) from 42% to 60% after 18 months. Secondary objectives were overall survival (OS), safety and duration of treatment. Results: 122 patients were included between 02/2008 and 09/2013; 57 were randomised to GemSorafenib and 65 to GemP. Patient characteristics were wellbalanced (GemSorafenib/GemP) in terms of median age (63/63 years), tumour size (T3/T4: 97/97%), and nodal positivity (86/85%). Grade 3/4 toxicities comprised diarrhoea (GemSorafenib: 12%; GemP: 2%), elevated gamma-glutamyl transferase (GGT) (19%; 9%), fatigue (5%; 2%) and hypertension (5%; 2%), as well as neutropenia (18%; 25%) and thrombocytopenia (9%; 2%). By August 2017, 118 (97%) RFS event had occurred. There were no difference in RFS (median GemSorafenib: 8.5 versus GemP: 9.4 months; p = 0.730) nor OS (median GemSorafenib: 17.6 versus GemP: 17.5 months; p = 0.481). Landmark analyses suggest that patients who received more than six cycles of postoperative chemotherapy had significantly longer OS (p = 0.021). Conclusion: CONKO-006 is the first randomised clinical trial to include exclusively patients with PDAC with postsurgical R1 status thus far. Sorafenib added to gemcitabine did neither improve RFS nor OS. However, postoperative treatment exceeding six months seemed to prolong survival and should be further investigated in these high-risk patients. (C) 2020 Published by Elsevier Ltd.

Background: Surgical approaches to autoimmune thyroid disease are currently hampered by concerns over postoperative complications. Risk profiles and incidences of postoperative complications have not been investigated systematically, and studies with sufficient power to show valid data have not been performed. Methods: A prospective multicentre European study was conducted between July 2010 and December 2012. Questionnaires were used to collect data prospectively on patients who had surgery for autoimmune thyroid disease and the findings were compared with those of patients undergoing surgery for multinodular goitre. Logistic regression analysis was used to evaluate risk factors for thyroid surgery-specific complications, transient and permanent recurrent laryngeal nerve (RLN) palsy and hypoparathyroidism. Results: Data were available for 22 011 patients, of whom 18 955 were eligible for analysis (2488 who had surgery for autoimmune thyroid disease and 16 467 for multinodular goitre). Surgery for multinodular goitre and that for autoimmune thyroid disease did not differ significantly with regard to general complications. With regard to thyroid surgery-specific complications, the rate of temporary and permanent vocal cord palsy ranged from 2·7 to 6·7 per cent (P = 0·623) and from 0·0 to 1·4 per cent (P = 0·600) respectively, whereas the range for temporary and permanent hypoparathyroidism was 12·9 to 20·0 per cent (P < 0·001) and 0·0 to 7·0 per cent (P < 0·001) respectively. In logistic regression analysis of transient and permanent vocal cord palsy, autoimmune thyroid disease was not an independent risk factor. Autoimmune thyroid disease, extent of thyroid resection, number of identified parathyroid glands and no autotransplantation were identified as independent risk factors for both transient and permanent hypoparathyroidism. Conclusion: Surgery for autoimmune thyroid disease is safe in comparison with surgery for multinodular goitre in terms of general complicati