Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives

The effect of model and parameter misspecification on the effectiveness of Gaussian hedging strategies for derivative financial instrumens is analyzed, showing that Gaussian hedges in the "natural" hedging instruments are particularly robust. This is true for all models that imply Balck/Scholes - type formulas for option prices and hedging strategies. In this paper we focus on the hedging of fixed income derivatives and show how to apply these results both within the framework of Gaussian term structure models as well as the increasingly popular market models where the prices for caplets and swaptions are given by the corresponding Black formulas. By explicitly considering the behaviour of the hedging strategy under misspecification we also derive the El Karoui, Jeanblanc-Picque and Shreve (1995, 1998) and Avellaneda, Levy and Paras (1995) results that a superhedge is obtained in the Black/Scholes model if the misspecified volatility dominates the true volatility. Furthermore, we show that the robustness and superhedging result do not hold if the natural hedging instruments are unavailable. In this case, we study criteria for the optimal choice from the instruments that are available.

Preconceptional factors associated with very low birthweight delivery in East and West Berlin: a case control study

BACKGROUND: Very low birthweight, i.e. a birthweight < 1500 g, is among the strongest determinants of infant mortality and childhood morbidity. To develop primary prevention approaches to VLBW birth and its sequelae, information is needed on the causes of preterm birth, their personal and social antecedents, and on conditions associated with very low birthweight. Despite the growing body of evidence linking sociodemographic variables with preterm delivery, little is known as to how this may be extrapolated to the risk of very low birthweight. METHODS: In 1992, two years after the German unification, we started to recruit two cohorts of very low birthweight infants and controls in East and West Berlin for a long-term neurodevelopmental study. The present analysis was undertaken to compare potential preconceptional risk factors for very low birthweight delivery in a case-control design including 166 mothers (82 East vs. 84 West Berlin) with very low birthweight delivery and 341 control mothers (166 East vs. 175 West). RESULTS: Multivariate logistic regression analysis was used to assess the effects of various dichotomous parental covariates and their interaction with living in East or West Berlin. After backward variable selection, short maternal school education, maternal unemployment, single-room apartment, smoking, previous preterm delivery, and fetal loss emerged as significant main effect variables, together with living in West Berlin as positive effect modificator for single-mother status. CONCLUSION: Very low birthweight has been differentially associated with obstetrical history and indicators of maternal socioeconomic status in East and West Berlin. The ranking of these risk factors is under the influence of the political framework

A rapid gel agglutination test for the determination of fetomaternal haemorrhage

Determination of fetomaternal haemorrhage (FMH) remains an area of difficulty. In most cases, prophylactic Rh immunoglobulin is usually administered to affected women without testing for foetal red blood cells (RBC). Here, we describe a new particle gel immunoassay (PaGIA) for the determination FMH (FMH-PaGIA). Superparamagnetic particles were coated with monoclonal anti-D and mixed with ethylenediaminetetraacetic acid-anticoagulated blood samples from D-negative pregnant women. The particles were isolated using a magnetic particle concentrator and then placed into the reaction chamber of a gel card. Agglutinated particles on top or dispersed through the gel matrix indicated the presence of D-positive cells. After the test was adapted to detect ≥0·3% D-positive RBC, randomly selected postpartum samples from 208 women were analysed in parallel with the Kleihauer–Betke test (KBT). In addition, all discrepancies were further analysed by flow cytometry. A total of 203 of the 208 postpartum samples were negative in both tests. One sample reacted positive with both assays. Two samples were strongly positive in the new FMH-PaGIA, but negative in the KBT. A serological re-examination revealed that both women were D positive. The KBT gave a false-positive result in two cases because of hereditary persistence of haemoglobin F. The new test is specific, easy to perform and can be done at any time in all laboratories

How fever is defined in COVID-19 publications: A disturbing lack of precision

© 2020 Fever is the single most frequently reported manifestation of COVID-19 and is a critical element of screening persons for COVID-19. The meaning of fever varies depending on the cutoff temperature used, the type of thermometer, the time of the day, the site of measurements, and the person\u27s gender and race. The absence of a universally accepted definition for fever has been especially problematic during the current COVID-19 pandemic. This investigation determined the extent to which fever is defined in COVID-19 publications, with special attention to those associated with pregnancy. Of 53 publications identified in which fever is reported as a manifestation of COVID-19 illness, none described the method used to measure patient\u27s temperatures. Only 10 (19%) publications specified the minimum temperature used to define a fever with values that varied from a 37.3 °C (99.1 °F) to 38.1 °C (100.6 °F). There is a disturbing lack of precision in defining fever in COVID-19 publications. Given the many factors influencing temperature measurements in humans, there can never be a single, universally accepted temperature cut-off defining a fever. This clinical reality should not prevent precision in reporting fever. To achieve the precision and improve scientific and clinical communication, when fever is reported in clinical investigations, at a minimum the cut-off temperature used in determining the presence of fever, the anatomical site at which temperatures are taken, and the instrument used to measure temperatures should each be described. In the absence of such information, what is meant by the term fever is uncertain