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The time of a paclitaxel (PTX) concentration remains above 0.05 μM (Tc 0.05) has been associated with PTX-induced adverse effects in Caucasians, while limited studies were reported in Asians. This study was aimed to explore the characteristics of Tc 0.05 and the relationship between PTX exposure and toxicity in East-Asian patients.This study was based on two prospective phase II clinical trials and patients with advanced nasopharyngeal cancer (NPC) and non-small cell lung cancer (NSCLC) who were naïve to PTX were included independently. Eligible patients receive PTX (175 mg/mA total of 93 NPC and 40 NSCLC patients were enrolled. PTX exposure was consistent in two trials with average Tc 0.05 duration of 38.8 h and 38.4 h, respectively. Average Tc 0.05 in patients with grade 3/4 neutropenia was significantly higher than those without severe neutropenia in NPC patients (P = 0.003) and NSCLC patients (P = 0.007). Cut-off value of Tc 0.05 were identified from the NPC cohort and then verified in the NSCLC cohort, dividing patients into high exposure Tc 0.05 group ( 39 h) and low exposure group (≤ 39 h). Incidence of grade 3/4 neutropenia were significantly higher in the high exposure group in NPC cohort (43.3% vs 10.0%, P 0.001) and NSCLC cohort (42.1% vs 9.5%, P = 0.028). No significant relationship between Tc 0.05 and efficacy were observed.Patients with PTX Tc 0.05 duration above 39 h experience more severe neutropenia than those under 39 h. Prospective studies are needed to verify this threshold.

Using an equilibrium asset and option pricing model in a production economy under jump diffusion, we derive an analytical link between the equity premium, risk aversion and the systematic variance and skewness risk premium. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for holding equity when the systematic skewness risk premium is high. However, when we differentiate between market conditions proxied by investor sentiment, we find that in up-markets (high sentiment) risk aversion is low, while in down-markets (low sentiment) risk aversion is high. We show that in line with theory, the skewness-risk-premium-return relationship only holds when risk aversion is high. In periods of low risk aversion, investors demand lower risk compensation, thus substantially weakening the skewness-risk premium-return trade off. Therefore, we also provide new evidence that helps to disentangle sentiment from risk aversion.

Recently, Christoffersen et al. (Rev Financ Stud 26(8):1963–2006, 2013) argue that the overreaction puzzle of Stein (J Finance 44(4):1011–1023, 1989) can be explained by a variance-dependent pricing kernel. In this note, we challenge this view. Our theoretical results are in line with their argument that the variance under risk-neutral measure is more persistent than the variance under physical measure due to a negative variance risk premium. But our results do not support their argument that the more persistent variance is able to qualitatively explain Stein’s findings. We show theoretically that the persistence of the volatility cannot amplify the movements of long-term variance to short-term fluctuations in variance and, therefore, conclude that Stein’s overreaction puzzle is still unsolved.

Background Area under time-concentration curve (AUC) of docetaxel is related with its toxicity and efficacy. The aim of this study is to investigate the target range of docetaxel AUC in Chinese head and neck cancer (HNC) patients. Methods Eligible HNC patients were enrolled and received at least 2 cycles of docetaxel-based chemotherapy. A simplified pharmacokinetic (PK) strategy (2 monitored samples) was developed to simulate docetaxel AUC using the nonlinear mixed-effect modelling program. Preliminary target range of AUC was pre-set as 2.5-3.7 µg·hr/mL according to pooled analysis from 8 previous studies. Fisher exact test was used to analyze the relationship between AUC with neutropenia and efficacy, and to verify the target range. Results Thirty-nine eligible patients were enrolled. Grade 3-4 and grade 4 neutropenia rate in 1st cycle was 64% and 36%, respectively. AUC simulation by simplified PK strategy was acceptable compared to full sampling method from the analysis of archived 300 patients' data, with -5.67% of mean prediction error (MPE). Median AUC of all patients was 2.58 µg·hr/mL (range from 1.28 to 9.39). A significant correlation (P=0.007) was detected between AUC and body surface area (BSA)-dosage, but BSA contributed only 18.3% of AUC inter-individual variability. Docetaxel AUC was significantly related with the severity (grade 3-4) of neutropenia (correlation of coefficient was 0.452, P=0.004). Fourteen patients (36%) were within the target AUC range. Patients with AUC above the target experienced more severe neutropenia (grade 3-4 rate 100% vs. 56%, P=0.036; grade 4 rate 86% vs. 25%, P=0.005). No significant difference of response rate was found between patients within the target or not. Conclusions A simplified samples PK strategy was developed for docetaxel AUC simulation. The target range of docetaxel AUC in Chinese HNC patients was suggested at 2.5-3.7 µg·hr/mL for reduced toxicity without compromising efficacy of docetaxel treatment.

In this paper, we conduct skewness term-structure tests to check whether the temporal structure of risk-neutral skewness is consistent with rational expectations. Because risk-neutral skewness is substantially mean reverting, skewness shocks should decay quickly and risk-neutral skewness of more distant option should display the rationally expected smoothing behaviour. Using an equilibrium asset and option-pricing model in a production economy under jump diffusion with stochastic jump intensity, we derive this elasticity analytically. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that this elasticity turns out to be different than suggested under rational expectations – smaller on the short end (underreaction) and larger on the long end (overreaction) of the ‘skewness curve’.

Among the many anomalies researchers have uncovered in financial markets is Stein’s finding that implied volatilities (IVs) from long-term options are too sensitive to short-shortrun volatility shocks. Option investors overreact to a spike in implied volatility for nearby contracts, and volatilities rise across the maturity spectrum, in contradiction to the smoothing effect when a mean-reverting time series is averaged over a long period. Lehnert, Lin, and Martelin have found a plausible explanation in the fact that mean-reversion of volatility estimated from stock returns is an empirical estimate, while implied volatilities are risk-neutralized values. They show that risk-neutral mean reversion is much slower than in the empirical process. Moreover, it depends on investors’ risk aversion, so that the “overreaction” effect caused by sluggish reversion toward long-run average volatility should be greatest when investors are most averse to risk. They then demonstrate that the theoretical argument is supported by the data. Long-maturity options show significant overreaction to short-maturity IV changes, but the effect is much stronger during periods of market upset. The options market appears to be more rational than Stein’s results suggest.

5-Fluorouracil plus cisplatin is the most commonly used chemotherapy regimen for nasopharyngeal carcinoma (NPC). The objective of this study was to establish an individualized 5-fluorouracil treatment model based on pharmacokinetic and pharmacodynamic analyses of 5-fluorouracil in East-Asian NPC patients.A total of 122 NPC patients were administered 5-fluorouracil plus cisplatin treatment. Blood samples were collected to calculate the area under the concentration-time curve (AUC) for 5-fluorouracil, and expressions of thymidylate synthase (TS) and dihydropyrimidine dehydrogenase (DPD) at both protein and messenger RNA (mRNA) levels were analyzed in the tumor tissues from 73 patients in the same cohort.The results showed a wide (sevenfold) pharmacokinetic variability of 5-fluorouracil exposure (measured as AUC) based on body surface area (BSA) dosing. Pharmacokinetic analyses revealed that the 5-fluorouracil AUC range had a significant impact on the response of patients to 5-fluorouracil and related toxicities. Patients with 5-fluorouracil AUC 25 mg·h/L responded unsatisfactorily to 5-fluorouracil (overall response rate [ORR] 17.5 % lower than patients with AUC 25-35, p = 0.176; and 26.1 % lower than patients with AUC 35, p = 0.031). On the other hand, patients with 5-fluorouracil AUC35 mg·h/L experienced more 5-fluorouracil-related toxicities (a grade 3 or higher toxicity rate 57.1 % higher than patients with AUC 25-35, p 0.001; and 60.0 % higher than AUC35, p 0.001). The established 5-fluorouracil therapeutic window in head and neck cancer (HNC) [AUC 25-35 mg·h/L) was verified in our study. Pharmacodynamic analyses indicated a positive correlation between TS and DPD expression (p 0.001) and, despite the pharmacokinetic influences, low expression of TS mRNA in tumor tended to have a better ORR (81.0 vs. 54.3 %, p = 0.051). No significant association was found between DPD expression and ORR.The therapeutic window of 5-fluorouracil for East-Asian NPC patients was verified as 25-35 mg·h/L based on lower toxicity and higher efficacy. TS mRNA expression showed potentially predictive value in 5-fluorouracil treatment, and personalized treatment based on pharmacokinetics and pharmacodynamics proved to be clinically beneficial and is worthy of further clinical studies.

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In this paper, we conduct skewness term structure tests to check whether the temporal structure of risk-neutral skewness is consistent with rational expectations. Because risk-neutral skewness is substantially mean reverting, skewness shocks should decay quickly and risk-neutral skewness of more distant option should display the rationally expected smoothing behavior. Using an equilibrium asset and option-pricing model in a production economy under jump diffusion with stochastic jump intensity, we derive this elasticity analytically. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that this elasticity turns out to be different than suggested under rational expectations - smaller on the short end (undereaction) and larger on the long end (overreaction) of the ‘skewness curve’.

Empirical studies have shown that implied volatilities of long-term options react quite strongly to changes in implied volatilities of short-term options and do not display the rationally expected smoothing behavior. Given the observed strong mean-reversion in volatility, those findings have been interpreted as evidence for overreaction in the options market. Focusing on a stochastic variance process in a rational expectation framework, we theoretically show that under normal market conditions the risk-neutral volatility dynamics are substantially more persistent than the physical one. As a result, the empirical observation of a strong reaction of long-term volatility would be consistent with perfectly rational behavior. We additionally show that the degree of persistence depends on investors’ risk aversion. Using daily data on S&P 500 index options, we confirm previous findings for the 2000-2010 period, which is characterized by an overall moderate level of risk aversion. Once we identify periods of high and low risk aversion, in line with the predictions of our theoretical model, empirical results only hold for periods, when investors are highly risk averse. During periods of low risk aversion, results are insignificant. Robustness checks reveal that the results are remarkably stable over the complete term structure. Therefore, we provide strong evidence that the empirical observation is not overreaction, but in line with perfectly rational behavior.