Securities Pricing with Information-Sensitive Discounting

In this paper incomplete-information models are developed for the pricing of securities in a stochastic interest rate setting. In particu- lar we consider credit-risky assets that may include random recovery upon default. The market filtration is generated by a collection of information processes associated with economic factors, on which in- terest rates depend, and information processes associated with mar- ket factors used to model the cash flows of the securities. We use information-sensitive pricing kernels to give rise to stochastic interest rates. Semi-analytical expressions for the price of credit-risky bonds are derived, and a number of recovery models are constructed which take into account the perceived state of the economy at the time of default. The price of European-style call bond options is deduced, and it is shown how examples of hybrid securities, like inflation-linked credit-risky bonds, can be valued. Finally, a cumulative information process is employed to develop pricing kernels that respond to the amount of aggregate debt of an economy.Asset pricing, incomplete information, stochastic interest rates, credit risk, recovery models, credit-inflation hybrid securities, information-sensitive pricing kernels

Primary caregivers' evaluation of a burns rehabilitation programme at the Red Cross Childrens' Hospital

Thesis (MPhil)--Stellenbosch University, 2005.ENGLISH ABSTRACT: A bum injury is an injury for life, causing scarring on a physical, emotional and psychological level. For these individuals, rehabilitation is a vital aspect of regaining their lives. The bums unit at the Red Cross Children's Hospital aims to provide a comprehensive health care service to all children who have suffered from a bum injury. The service is enveloped by an interdisciplinary team approach to management. The burns team perceives the rehabilitation programme to be an effective one, but this has never been evaluated. The researcher has the perception that the primary caregivers are the people who could evaluate the bums unit at the Red Cross Children's Hospital. Hence the aim of this study was to determine how primary caregivers evaluated the rehabilitation of a child at the burns unit of the Red Cross Children's Hospital. The design of the study was of a retrospective, descriptive and analytical nature. The study population consisted of all primary caregivers of patients who have been managed in the burns unit at the Red Cross Children's Hospital, from the period of 1 June 2001 to 30 July 2003. A sample size of 30 primary caregivers, who suited the inclusion and exclusion criteria, were randomly chosen. They were all interviewed using questionnaires that were compiled by the researcher. Quantitative and qualitative data was collected during the interviews. Results on the evaluation of aspects such as management in hospital, caregiver involvement, discharge planning and rehabilitation outcome, showed that primary caregivers found most aspects to be satisfactory at the burns unit of Red Cross Children's Hospital. The scores on the level of satisfaction of the above aspects were between 86% and 100% for management, between 94%-97% for discharge planning, 97% for caregiver involvement, and 75%-100% for rehabilitation outcome. Factors that were reported to be unsatisfactory were pain management, the child's psychological outcome and service and fit of pressure garments. Recommendations regarding pain management and reintegration of the child into the community were made to team members of the unit. The urgent need for a full time psychologist was advocated to the hospital management. These recommendations were based on the findings of this study.AFRIKAANSE OPSOMMING: 'n Brandbesering is 'n lewenslange besering wat liggaamlike, emosionele en sielkundige letsels laat. Vir individue met sodanige beserings is rehabilitasie hoogs belangrik vir die herwinning van hulle lewens. Die brandwondeenheid van die Rooikruis Kinderhospitaal het ten doelom 'n omvattende gesondheidsorgdiens aan alle kinders wat 'n brandbesering opgedoen het, te bied. Die diens word deur 'n interdissiplinêre spanbenadering tot bestuur omsluit. Die brandspan beskou die rehabilitasieprogram as effektief, maar dit is nooit voorheen geëvalueer nie. Die navorser is van mening dat primêre versorgers ons van sienings rakende die bestuur van brandpasiënte kan voorsien. Die doelwit van hierdie studie was om te bepaal hoe primêre versorgers die rehabilitasie van 'n kind by die brandwondeenheid van die Rooikruis Kinderhospitaal geëvalueer het. Die studie se ontwerp was retrospektief, beskrywend en analities van aard. Die studiebevolking het bestaan uit alle primêre versorgers van pasiënte wat vir die tydperk van 1 Junie 2001 tot 30 Julie 2003 in die brandwondeenheid van die Rooikruis Kinderhospitaal behandel is. 'n Steekproefgrootte van 30 primêre versorgers, wat aan die insluitings en uitsluitingkriteria voldoen het, is ewekansig gekies. Onderhoude is met almal gevoer deur middel van vraelyste wat deur die navorser opgestel is. Kwantitatiewe en kwalitatiewe data is tydens die onderhoude versamel. In die lig van die aspekte van bestuur in die hospitaal, die betrokkenheid van versorgers, ontslagbeplanning en rehabilitasie-uitkoms is die slotsom bereik dat primêre versorgers met die meeste aspekte van die brandwondeenheid van die Rooikruis Kinderhospitaal tevrede was. Die tellings vir die vlak van tevredenheid van die bogenoemde aspekte was tussen 86% en 100% vir bestuur, 97% vir die betrokkenheid van versorgers, tussen 94% en 97% vir ontslagbeplanning en tussen 75% en 100% vir rehabilitasie-uitkoms. Faktore wat as onbevredigend uitgewys is, was pynbeheer, die kind se sielkundige uitkoms asook die diens en pas van drukkIeding. Op grond van die bespreking en resultate van hierdie studie, was aanbevelings by die eenheid se spanlede asook die hospitaalbestuur gedoen

Randomised mixture models for pricing kernels

Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and en- vironmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial market by randomised mixtures of Lévy processes. We assume that mar- ket participants observe the randomised mixtures only through best estimates based on noisy market information. The concept of incomplete information introduces an element of stochastic filtering theory in constructing what we term “filtered Esscher martingales”. We make use of this family of martingales to develop pricing kernel models. Examples of bond price models are examined, and we show that the choice of the random mixture has a significant effect on the model dynamics and the types of movements observed in the associated yield curves. Parameter sensitivity is analysed and option price processes are derived. We extend the class of pricing kernel models by considering a weighted heat kernel approach, and develop models driven by mixtures of Markov processes

COVID-19: Experience of a tertiary children’s hospital in Western Cape Province, South Africa

The COVID-19 pandemic necessitated rapid changes in healthcare systems and at Red Cross War Memorial Children’s Hospital (RCWMCH), Cape Town, South Africa. Paediatric services in particular required adjustment, not only for the paediatric patients but also for their carers and the staff looking after them. Strategies were divided into streams, including the impact of COVID-19 on the hospital and the role of RCWMCH in Western Cape Province, communication strategies, adaptation of clinical services at the hospital, specifically with a paediatric-friendly approach, and staff engagement. Interventions utilised: (i) Specific COVID-19 planning was required at a children’s hospital, and lessons were learnt from other international children’s hospitals. A similar number of patients and staff were infected by the virus (244 patients and 212 staff members by 21 December 2020). (ii) Measures were put in place to assist creation of capacity at metro hospitals’ adult services by accepting children with emergency issues directly to RCWMCH, as well as accepting adolescents up to age 18 years. (iii) The communication strategy was improved to include daily engagement with heads of departments/supervisors by earlymorning structured information meetings. There were also changes in the methods of communication with staff using media such as Zoom, MS Teams and WhatsApp. Hospital-wide information and discussion sessions were held both on social platforms and in the form of smallgroup physical meetings with senior hospital administrators (with appropriate distancing). Labour union representatives were purposefully directly engaged to assess concerns. (iv) Clinical services at the hospital were adapted. These included paediatric-friendly services and physical changes to the hospital environment. (v) Staff engagement was particularly important to assist in allaying staff anxiety, developing a staff screening programme, and provision and training in use of personal protective equipment, as well as focusing on staff wellness. In conclusion, visible management and leadership has allowed for flexibility and adaptability to manage clinical services in various contexts. It is important to utilise staff in different roles during a crisis and to consider the different perspectives of people involved in the services. The key to success, that included very early adoption of the above measures, has been hospital staff taking initiative, searching for answers and identifying and implementing solutions, effective communication, and leadership support. These lessons are useful in dealing with second and further waves of the COVID-19 pandemic

A profile of hospital-admitted paediatric burns patients in South Africa

<p>Abstract</p> <p>Background</p> <p>Injuries and deaths from burns are a serious, yet preventable health problem globally. This paper describes burns in a cohort of children admitted to the Red Cross Children's Hospital, in Cape Town, South Africa.</p> <p>This six month retrospective case note review looked at a sample of consecutively admitted patients from the 1 ^stApril 2007 to the 30 ^thSeptember 2007. Information was collected using a project-specific data capture sheet. Descriptive statistics (percentages, medians, means and standard deviations) were calculated, and data was compared between age groups. Spearman's correlation co-efficient was employed to look at the association between the total body surface area and the length of stay in hospital.</p> <p>Findings</p> <p>During the study period, 294 children were admitted (f= 115 (39.1%), m= 179 (60.9%)). Hot liquids caused 83.0% of the burns and 36.0% of these occurred in children aged two years or younger. Children over the age of five were equally susceptible to hot liquid burns, but the mechanism differed from that which caused burns in the younger child.</p> <p>Conclusion</p> <p>In South Africa, most hospitalised burnt children came from informal settlements where home safety is a low priority. Black babies and toddlers are most at risk for sustaining severe burns when their environment is disorganized with respect to safety. Burns injuries can be prevented by improving the home environment and socio-economic living conditions through the health, social welfare, education and housing departments.</p

Books

Progress in Medical Virology. Vol. 39. Ed. by J. L. Melnick. Pp. x + 270. Illustrated. £115,70. Basel: S Karger. 1992.Assisted reproduction Micromanipulation of Human Gametes and Embryos. By J. Cohen, H. E. Malter, Beth E. Talansky and J. Grifo. pp. ix + 325. Illustrated. $111,50. New York: Raven Press. 1992.Congenital rubella syndrome EpideIDio1ogy and Infection. Vo!. 107 No. 1. Ed. by J. R. Partison, D. Baxby, J. G. Cruickshank, C. R. Madeley and W. C. Noble. Pp. viii + 239. Illustrated. £25. Cambridge: Cambridge University Press. 1991.Rural and urban hospitals The Hospital in Rural and Urban Districts: Report of a WHO Study Group on the Function of Hospitals at the First Referral Level. pp. vii + 74. SFr.120. Geneva: World Health Organisation. 1992.Perinatology Perinato1ogy: Nestle Nutrition Workshop Series. Vol. 26. Ed. by Erich Saling. pp. xiii + 194. illustrated.$69. New York: Raven Press. 1992.Anaesthetists Five Decades: The South African Society· of Anaesthetists 1943 - 1993. By Nagin Parbhoo. 330 pages and 70 phoros and illustrations. Published by the South African Society of Anaesthetists. Printed by National Book Printers.

A retrospective analysis of outcomes and complications of living- and deceased-donor split-liver transplantation in Johannesburg, South Africa

Background. South African transplant centres are faced with significant challenges in meeting the need for liver transplantation, owing to the low and ever-decreasing number of deceased-donor organs. To increase organ utility, deceased-donor split-liver transplant (DDSLT) and living-donor liver transplant (LDLT) programmes were initiated in the Wits Transplant Unit. Objective. To evaluate outcomes of the LDLT and DDSLT programmes. Methods. A retrospective analysis of de-identified recipient and donor variables from all adult and paediatric DDSLTs and LDLTs conducted between 2013 and 2021 was performed. Comparison of categorical study variables between graft types was done with the χ2 test. Continuous variables were compared by means of the independent samples t-test. Cox proportional hazards regression was performed to examine the effect of graft type on recipient and graft survival. All comparisons were made unadjusted, and adjusted for recipient age, recipient ethnicity, donor sex, and graft-weight-to-recipient-weight ratio (GWRWR) (for the paediatric cohort); and for donor age and GWRWR (for the adult cohort). Results. A total of 181 paediatric and 48 adult liver transplants have been performed since the inception of the two programmes. Chronic liver failure, specifically intra- and extrahepatic cholestatic disease, was our main indication for liver transplantation in both cohorts. There were no significant differences between the DDSLTs and LDLTs in respect of pre- or post-discharge intervention, in-hospital mortality, length of stay, and recipient or graft survival within both the paediatric and adult groups. Our overall 1- and 3-year survival estimates (95% confidence intervals) were 77% (70% - 83%) and 71% (64% - 78%) for the paediatric cohort, and 77% (62% - 87%) and 66% (50% - 78%) for the adult cohort, respectively. Conclusion. The results of this study demonstrate comparable outcomes between DDSLT and LDLT, indicating that both methods are effective approaches to optimise organ utilisation for liver transplantation within our setting

ABO-incompatible liver transplantation – exploring utilitarian solutions to restricted access and organ shortages: A single-centre experience from Johannesburg, South Africa

Background. Liver transplantation is the definitive management for severe acute liver failure refractory to supportive management, and end- stage chronic liver failure. Owing to a shortage of deceased liver donors, South Africa requires innovative techniques to broaden the donor pool. Objectives. This study evaluated the outcomes of the Wits Transplant Unit ABO-incompatible liver transplant (ABOi-LT) programme. Methods. This retrospective record review compared all adult and paediatric patients receiving ABO-compatible (ABOc) and ABO-incompatible (ABOi) liver transplants from January 2014 to December 2021 with a minimum one-year follow-up. Primary outcomes were recipient and graft survival and secondary outcomes included vascular, enteric and biliary complications, relook surgery, acute cellular rejection (ACR) and lenghth of hospital stay. Cox proportional hazards regression was performed to examine the effect of ABO-compatibility group on recipient and graft survival. The relationship between the ABO-compatibility group and categorical outcomes was assessed by binomial regression. Results. During the study period, 532 liver transplants were performed; 44/532 (8%) were ABOi of which 14/44 (32%) were paediatric and 30/44 (68%) adult recipients. Within the pediatric group, the proportion of transplants performed for acute liver failure was significantly higher in the ABOi group (7/14; 50%) compared with the ABOc group (33/207; 16%) (p=0.005). Comparable recipient and graft survival estimates were noted: one-, three- and five-year recipient survival in the ABOi group was 77% (95% confidence interval (CI) 44 - 92), 58% (95% CI 17 - 84) and 58% (95% CI 17 - 84) respectively. There were significantly increased relative risks of relook surgery for the ABOi group compared with the ABOc group, both overall (relative risk (RR) 1.74; 95% CI 1.10 - 2.75) and at 90 days (RR 2.28; 95% CI 1.27 - 4.11); and also, for pre-discharge bloodstream infection (BSI), (RR 1.84; 95% CI 1.11 - 3.06). In adults, there were significantly more acute indications for liver transplantation in the ABOi (10/30; 33%) compared with the ABOc group (26/281; 9%) (p=0.0007) with the most common cause being drug or toxin ingestion (16/36; 44%). For the ABOi group, recipient survival estimates (95% CI) at 1, 3 and 5 years were 71% (50 - 84), 63% (41 - 78) and 58% (37 - 75) which, as noted with complication rates, were similar between ABO groups. Conclusion. This study confirms ABOi-LT as a feasible option to increase the liver donor pool in this organ-depleted setting as recipient survival and complication rates were similar between ABO-compatibility groups

Acute cellular rejection in adult liver transplant recipients in Johannesburg, South Africa

Background. Wits Donald Gordon Medical Centre (WDGMC) in Johannesburg, South Africa, established a liver transplant programme in 2004. Acute cellular rejection (ACR) of the transplanted liver is a serious complication because of the potential for graft loss. ACR is defined as allograft dysfunction secondary to predominantly T-cell-mediated injury to the graft, and has been reported in up to 50% of liver transplants worldwide. While the advent of tacrolimus-based immunosuppression reduces the incidence of ACR in liver transplant recipients, it remains a concern. Objectives. To review the incidence and risk factors for ACR, as well as the impact of ACR on graft survival in adult liver transplant recipients at WDGMC. Methods. This was a retrospective review of first-time adult liver transplants performed from 1 January 2014 to 31 December 2022. Data collected included donor and recipient sociodemographic and clinical characteristics; transplant surgical procedure details; postoperative surgical complications; overall post-transplant ACR incidence rates in the first 365 days; ACR incidence stratified as early (≤90 days) and late (&gt;91 days - &lt;365 days); diagnosis and treatment details of biopsy-proven ACR episodes, including steroid resistance; and graft survival. Results. Of 326 first-time adult liver transplants performed during the review period, 295 were eligible for inclusion. The post-transplant ACR incidence rates were 10.7% (early), 8.8% (late) and 20.3% overall (first 365 days). Corticosteroid resistance occurred in 19% of adult liver transplant recipients with biopsy-proven ACR. Risk factors for early ACR were younger recipient age, black ethnicity and male-donor- to-female-recipient sex discordance. A higher pre-transplant model for end-stage liver disease (MELD) score was a risk factor in late ACR. Younger recipient age, black ethnicity, female sex, acute liver failure, lower donor risk index scores and postoperative biliary complications were associated with increased risk for ACR in the first 365 days. ACR was not significantly associated with increased graft loss in this cohort. Conclusion. While the incidence of ACR was low in this cohort, identification of ACR risk factors and presence of steroid-resistant ACR indicate the need for personalised and context-specific immunosuppression