Bootstrapping the OIS curve in a South African bank

The financial crisis in 2007 highlighted the credit and liquidity risk present in interbank (LIBOR) rates, and resulted in changes to the pricing and valuation of financial instruments. The shift to Overnight Indexed Swap (OIS) discounting and multi-curve framework led to changes in the construction of interest rate zero curves, with the OIS curve being central to this methodology. Developed markets, such as the European (EUR), were able to adopt this framework due to the existence of a liquid OIS market. In the case of the South African (ZAR) market, the lack of such tradeable instruments poses the issue of how to construct or infer the OIS curve. Jakarasi et al. (2015) proposed a method to infer the OIS curve through the statistical relationship between SAFEX ROD and 3M JIBAR. The extension of the statistical relationship used by Jakarasi et al. (2015) to more statistically rigorous models, capable of capturing more information relating to the relationship between the rates, arises from the expected cointegrating relationship exhibited between rates. This dissertation investigates the implementation of such statistical models to infer the OIS curve in the ZAR market

The synthesis and characterization of polypeptide-adriamycin conjugates and its complexes with adriamycin. Part I

Poly(α-l-glutamic acid) (PGA) was grafted with amino acid and oligopeptide spacers up to 5 amino acids with the use of N,N'-carbonyldiimidazole and 2,3-dihydro-1,2-benz-isothiazole-3-on-1, 1-dioxide (saccharin) as an additive, and these polypeptides were characterized. The antitumor antibiotic adriamycin was covalently coupled via an amide bond onto PGA and onto the grafted polymers with the use of N-ethoxycarbonyl-2-ethoxy-1, 2-dihydroquinoline (EEDQ); these conjugates were characterized. The conjugates containing Gly—Gly—l-Leu spacer arms did yield free adriamycin upon digestion with papain. Adriamycin gave fairly stable complexes with PGA—adriamycin and branched poly peptide—adriamycin conjugates; these complexes were characterized

Donald Duck Holiday Game: A numerical analysis of a Game of the Goose role-playing variant

The 1996 Donald Duck Holiday Game is a role-playing variant of the historical Game of the Goose, involving characters with unique attributes, event squares, and random event cards. The objective of the game is to reach the camping before any other player does. We develop a Monte Carlo simulation model that automatically plays the game and enables analyzing its key characteristics. We assess the game on various metrics relevant to each playability. Numerical analysis shows that, on average, the game takes between 69 and 123 rounds to complete, depending on the number of players. However, durations over one hour (translated to human play time) occur over 25% of the games, which might reduce the quality of the gaming experience. Furthermore, we show that two characters are about 30% likely to win than the other three, primarily due to being exposed to fewer random events. We argue that the richer narrative of role-playing games may extend the duration for which the game remains enjoyable, such that the metrics cannot directly be compared to those of the traditional Game-of-the-Goose. Based on our analysis, we provide several suggestions to improve the game balance with only slight modifications. In a broader sense, we demonstrate that a basic Monte Carlo simulation suffices to analyze Game-of-the-Goose role-playing variants, verify how they score on criteria that contribute to an enjoyable game, and detect possible anomalies

Optimization of macromolecular prodrugs of the antitumor antibiotic adriamycin

In our earlier work [10] on aminoribosyl-bound prodrugs of adriamycin (ADR) using poly(α-l-glutamic acid) (PGA) grafted in high yield (90–100 mol.%) with various peptide spacers as a plasma-soluble macromolecular carrier we observed rather low cytotoxic activities in L1210 leukemia and B16 melanoma in vitro assays. These results may be tentatively explained by a decreased susceptibility of the spacer-bound adriamycin moiety to hydrolysis by lysosomal enzymes due to the high spacer load. This hypothesis was tested by the study of two conjugates prepared by a different route. Peptide conjugates of adriamycin (Gly-Gly-Leu—ADR and Gly-Gly-Gly-Leu—ADR) were synthesized using the trityl N-protecting group and were coupled to PGA in 4.5 mol.% load according to the method described earlier [11]. However, these conjugates were almost totally devoid of cell growth-inhibiting activity in L1210 and B16 in vitro tests. The data suggest that either the uptake of the polymeric prodrugs into the cell by pinocytosis is highly dependent on spacer load or molecular weight, or that lysosomal digestion is too slow for efficient release of ADR. Possibly, enzymatic degradation of PGA which is known to occur only between pH 4 and 6 is rate-limiting for release of the drug. Current studies include the enzymatic degradation of PGA—peptide spacer—drug systems using p-nitroaniline as a model drug and papain as the enzyme. By variation of the length and load of spacer it can be estimated under which conditions the release of drug (using UV spectrometry) is faster than degradation of the polymer (as determined by viscometry). In addition, the uptake of PGA and derivatives with a fluorescent label into tumor cells is studied using laser flow cytometry and laser microscopy