Valuing a portfolio of dependent RandD projects: a Copula approach

The aim of this work consists of pricing a real biotechnology firm that is based on a portfolio of several drug development projects at different phases. Duffie and Singleton (1999) formulate a system of n correlated jump mean-reverting intensity equations to capture a portfolio of n entities’ default times. The drawback of their approach is that there are a lot of parameters and we have no enough information so as to estimate all. This is the reason why the copula approach has been very well accepted in recent years as an alternative tool for these situations since we can model the extreme situations (or default in this case) under a dependence framework by selecting those copula functions with a very few number of parameters.Copula, valuation, company, real options

A First Stochastic General Framework to Model the Project Finance Cash Flows under Monopolistic Situations

The main aim of this work is to model the cash flows and cost dynamics for a Project Finance. Large scale capital-intensive projects usually require substantial investments up front and only generate revenues to cover their costs in the long term. The abandonment flexibility affects each project independently. This is the only one that we consider in this study and it is quite different from the idea to abandon due to a common (specific) catastrophic event. This option is exercised under those situations of expected costs to completion higher than the expected cash flow, that is, during the investment period in the development phase. Including this flexibility in project finance is the same as valuing a project with an implicit American put option.Project Finance, Cash Flows, Stochastic, Real Options

Valuing a portfolio of dependent RandD projects: a Copula approach

The aim of this work consists of pricing a real biotechnology firm that is based on a portfolio of several drug development projects at different phases. Duffie and Singleton (1999) formulate a system of n correlated jump mean-reverting intensity equations to capture a portfolio of n entities’ default times. The drawback of their approach is that there are a lot of parameters and we have no enough information so as to estimate all. This is the reason why the copula approach has been very well accepted in recent years as an alternative tool for these situations since we can model the extreme situations (or default in this case) under a dependence framework by selecting those copula functions with a very few number of parameters

Valuing a portfolio of dependent RandD projects: a Copula approach

The aim of this work consists of pricing a real biotechnology firm that is based on a portfolio of several drug development projects at different phases. Duffie and Singleton (1999) formulate a system of n correlated jump mean-reverting intensity equations to capture a portfolio of n entities’ default times. The drawback of their approach is that there are a lot of parameters and we have no enough information so as to estimate all. This is the reason why the copula approach has been very well accepted in recent years as an alternative tool for these situations since we can model the extreme situations (or default in this case) under a dependence framework by selecting those copula functions with a very few number of parameters

Studying the Properties of the Correlation Trades

This thesis tries to explore the profitability of the dispersion trading strategies. We begin examining the different methods proposed to price variance swaps. We have developed a model that explains why the dispersion trading arises and what the main drivers are. After a description of our model, we implement a dispersion trading in the EuroStoxx 50. We analyze the profile of a systematic short strategy of a variance swap on this index while being long the constituents. We show that there is sense in selling correlation on short-term. We also discuss the timing of the strategy and future developments and improvements

Studying the Properties of the Correlation Trades

This thesis tries to explore the profitability of the dispersion trading strategies. We begin examining the different methods proposed to price variance swaps. We have developed a model that explains why the dispersion trading arises and what the main drivers are. After a description of our model, we implement a dispersion trading in the EuroStoxx 50. We analyze the profile of a systematic short strategy of a variance swap on this index while being long the constituents. We show that there is sense in selling correlation on short-term. We also discuss the timing of the strategy and future developments and improvements

A First Stochastic General Framework to Model the Project Finance Cash Flows under Monopolistic Situations

The main aim of this work is to model the cash flows and cost dynamics for a Project Finance. Large scale capital-intensive projects usually require substantial investments up front and only generate revenues to cover their costs in the long term. The abandonment flexibility affects each project independently. This is the only one that we consider in this study and it is quite different from the idea to abandon due to a common (specific) catastrophic event. This option is exercised under those situations of expected costs to completion higher than the expected cash flow, that is, during the investment period in the development phase. Including this flexibility in project finance is the same as valuing a project with an implicit American put option

Elective cancer surgery in COVID-19-free surgical pathways during the SARS-CoV-2 pandemic: An international, multicenter, comparative cohort study

PURPOSE As cancer surgery restarts after the first COVID-19 wave, health care providers urgently require data to determine where elective surgery is best performed. This study aimed to determine whether COVID-19–free surgical pathways were associated with lower postoperative pulmonary complication rates compared with hospitals with no defined pathway. PATIENTS AND METHODS This international, multicenter cohort study included patients who underwent elective surgery for 10 solid cancer types without preoperative suspicion of SARS-CoV-2. Participating hospitals included patients from local emergence of SARS-CoV-2 until April 19, 2020. At the time of surgery, hospitals were defined as having a COVID-19–free surgical pathway (complete segregation of the operating theater, critical care, and inpatient ward areas) or no defined pathway (incomplete or no segregation, areas shared with patients with COVID-19). The primary outcome was 30-day postoperative pulmonary complications (pneumonia, acute respiratory distress syndrome, unexpected ventilation). RESULTS Of 9,171 patients from 447 hospitals in 55 countries, 2,481 were operated on in COVID-19–free surgical pathways. Patients who underwent surgery within COVID-19–free surgical pathways were younger with fewer comorbidities than those in hospitals with no defined pathway but with similar proportions of major surgery. After adjustment, pulmonary complication rates were lower with COVID-19–free surgical pathways (2.2% v 4.9%; adjusted odds ratio [aOR], 0.62; 95% CI, 0.44 to 0.86). This was consistent in sensitivity analyses for low-risk patients (American Society of Anesthesiologists grade 1/2), propensity score–matched models, and patients with negative SARS-CoV-2 preoperative tests. The postoperative SARS-CoV-2 infection rate was also lower in COVID-19–free surgical pathways (2.1% v 3.6%; aOR, 0.53; 95% CI, 0.36 to 0.76). CONCLUSION Within available resources, dedicated COVID-19–free surgical pathways should be established to provide safe elective cancer surgery during current and before future SARS-CoV-2 outbreaks

Elective Cancer Surgery in COVID-19-Free Surgical Pathways During the SARS-CoV-2 Pandemic: An International, Multicenter, Comparative Cohort Study.

PURPOSE: As cancer surgery restarts after the first COVID-19 wave, health care providers urgently require data to determine where elective surgery is best performed. This study aimed to determine whether COVID-19-free surgical pathways were associated with lower postoperative pulmonary complication rates compared with hospitals with no defined pathway. PATIENTS AND METHODS: This international, multicenter cohort study included patients who underwent elective surgery for 10 solid cancer types without preoperative suspicion of SARS-CoV-2. Participating hospitals included patients from local emergence of SARS-CoV-2 until April 19, 2020. At the time of surgery, hospitals were defined as having a COVID-19-free surgical pathway (complete segregation of the operating theater, critical care, and inpatient ward areas) or no defined pathway (incomplete or no segregation, areas shared with patients with COVID-19). The primary outcome was 30-day postoperative pulmonary complications (pneumonia, acute respiratory distress syndrome, unexpected ventilation). RESULTS: Of 9,171 patients from 447 hospitals in 55 countries, 2,481 were operated on in COVID-19-free surgical pathways. Patients who underwent surgery within COVID-19-free surgical pathways were younger with fewer comorbidities than those in hospitals with no defined pathway but with similar proportions of major surgery. After adjustment, pulmonary complication rates were lower with COVID-19-free surgical pathways (2.2% v 4.9%; adjusted odds ratio [aOR], 0.62; 95% CI, 0.44 to 0.86). This was consistent in sensitivity analyses for low-risk patients (American Society of Anesthesiologists grade 1/2), propensity score-matched models, and patients with negative SARS-CoV-2 preoperative tests. The postoperative SARS-CoV-2 infection rate was also lower in COVID-19-free surgical pathways (2.1% v 3.6%; aOR, 0.53; 95% CI, 0.36 to 0.76). CONCLUSION: Within available resources, dedicated COVID-19-free surgical pathways should be established to provide safe elective cancer surgery during current and before future SARS-CoV-2 outbreaks

Head and neck cancer surgery during the COVID-19 pandemic: An international, multicenter, observational cohort study

Background: The aims of this study were to provide data on the safety of head and neck cancer surgery currently being undertaken during the coronavirus disease 2019 (COVID-19) pandemic. Methods: This international, observational cohort study comprised 1137 consecutive patients with head and neck cancer undergoing primary surgery with curative intent in 26 countries. Factors associated with severe pulmonary complications in COVID-19–positive patients and infections in the surgical team were determined by univariate analysis. Results: Among the 1137 patients, the commonest sites were the oral cavity (38%) and the thyroid (21%). For oropharynx and larynx tumors, nonsurgical therapy was favored in most cases. There was evidence of surgical de-escalation of neck management and reconstruction. Overall 30-day mortality was 1.2%. Twenty-nine patients (3%) tested positive for severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) within 30 days of surgery; 13 of these patients (44.8%) developed severe respiratory complications, and 3.51 (10.3%) died. There were significant correlations with an advanced tumor stage and admission to critical care. Members of the surgical team tested positive within 30 days of surgery in 40 cases (3%). There were significant associations with operations in which the patients also tested positive for SARS-CoV-2 within 30 days, with a high community incidence of SARS-CoV-2, with screened patients, with oral tumor sites, and with tracheostomy. Conclusions: Head and neck cancer surgery in the COVID-19 era appears safe even when surgery is prolonged and complex. The overlap in COVID-19 between patients and members of the surgical team raises the suspicion of failures in cross-infection measures or the use of personal protective equipment. Lay Summary: Head and neck surgery is safe for patients during the coronavirus disease 2019 pandemic even when it is lengthy and complex. This is significant because concerns over patient safety raised in many guidelines appear not to be reflected by outcomes, even for those who have other serious illnesses or require complex reconstructions. Patients subjected to suboptimal or nonstandard treatments should be carefully followed up to optimize their cancer outcomes. The overlap between patients and surgeons testing positive for severe acute respiratory syndrome coronavirus 2 is notable and emphasizes the need for fastidious cross-infection controls and effective personal protective equipment