Extracorporeal membrane oxygenation support after heart explantation: a proposal on how to deal with hyperacute rejection of heart transplant

Purpose: In extreme situations, such as hyperacute rejection of heart transplant or major bleeding per-operating complications, an urgent heart explantation might be the only means of survival. The aim of this experimental study was to improve the surgical technique and the hemodynamics of an Extracorporeal Membrane Oxygenation (ECMO) support through a peripheral vascular access in an acardia model. Methods: An ECMO support was established in 7 bovine experiments (59±6.1 kg) by the transjugular insertion to the caval axis of a self-expanded cannula, with return through a carotid artery. After baseline measurements of pump flow and arterial and central venous pressure, ventricular fibrillation was induced (B), the great arteries were clamped, the heart was excised and right and left atria remnants, containing the pulmonary veins, were sutured together leaving an atrial septal defect (ASD) over the cannula in the caval axis. Measurements were taken with the pulmonary artery (PA) clamped (C) and anastomosed with the caval axis (D). Regular arterial and central venous blood gases tests were performed. The ANOVA test for repeated measures was used to test the null hypothesis and a Bonferroni t method for assessing the significance in the between groups pairwise comparison of mean pump flow. Results: Initial pump flow (A) was 4.3±0.6 L/min dropping to 2.8±0.7 L/min (P B-A= 0.003) 10 minutes after induction of ventricular fibrillation (B). After cardiectomy, with the pulmonary artery clamped (C) it augmented not significantly to 3.5±0.8 L/min (P C-B= 0.33, P C-A= 0.029). Finally, PA anastomosis to the caval axis was followed by an almost to baseline pump flow augmentation (4.1±0.7 L/min, P D-B= 0.009, P D-C= 0.006, P D-A= 0.597), permitting a full ECMO support in acardia by a peripheral vascular access. Conclusions: ECMO support in acardia is feasible, providing new opportunities in situations where heart must urgently be explanted, as in hyperacute rejection of heart transplant. Adequate drainage of pulmonary circulation is pivotal in order to avoid pulmonary congestion and loss of volume from the normal right to left shunt of bronchial vessels. Furthermore, the PA anastomosis to the caval axis not only improves pump flow but it also permits an ECMO support by a peripheral vascular access and the closure of the chest.

Three essays on the psychology of investment and financial markets

Préface My thesis consists of three essays where I consider equilibrium asset prices and investment strategies when the market is likely to experience crashes and possibly sharp windfalls. Although each part is written as an independent and self contained article, the papers share a common behavioral approach in representing investors preferences regarding to extremal returns. Investors utility is defined over their relative performance rather than over their final wealth position, a method first proposed by Markowitz (1952b) and by Kahneman and Tversky (1979), that I extend to incorporate preferences over extremal outcomes. With the failure of the traditional expected utility models in reproducing the observed stylized features of financial markets, the Prospect theory of Kahneman and Tversky (1979) offered the first significant alternative to the expected utility paradigm by considering that people focus on gains and losses rather than on final positions. Under this setting, Barberis, Huang, and Santos (2000) and McQueen and Vorkink (2004) were able to build a representative agent optimization model which solution reproduced some of the observed risk premium and excess volatility. The research in behavioral finance is relatively new and its potential still to explore. The three essays composing my thesis propose to use and extend this setting to study investors behavior and investment strategies in a market where crashes and sharp windfalls are likely to occur. In the first paper, the preferences of a representative agent, relative to time varying positive and negative extremal thresholds are modelled and estimated. A new utility function that conciliates between expected utility maximization and tail-related performance measures is proposed. The model estimation shows that the representative agent preferences reveals a significant level of crash aversion and lottery-pursuit. Assuming a single risky asset economy the proposed specification is able to reproduce some of the distributional features exhibited by financial return series. The second part proposes and illustrates a preference-based asset allocation model taking into account investors crash aversion. Using the skewed t distribution, optimal allocations are characterized as a resulting tradeoff between the distribution four moments. The specification highlights the preference for odd moments and the aversion for even moments. Qualitatively, optimal portfolios are analyzed in terms of firm characteristics and in a setting that reflects real-time asset allocation, a systematic over-performance is obtained compared to the aggregate stock market. Finally, in my third article, dynamic option-based investment strategies are derived and illustrated for investors presenting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions allows corresponding terminal wealth profiles to be expressed as options on the stochastic discount factor contingent on the loss aversion level. Therefore dynamic strategies reduce to the replicating portfolio using exchange traded and well selected options, and the risky stock.

Three essays on bankruptcy risk

Abstract Market prices of corporate bond spreads and of credit default swap (CDS) rates do not match each other. In this paper, we argue that the liquidity premium, the cheapest-to-deliver (CTD) option and actual market segmentation explain the pricing differences. Using the European transaction data from Reuters and Bloomberg, we estimate the liquidity premium that is time- varying and firm-specific. We show that when time-dependent liquidity premiums are considered, corporate bond spreads and CDS rates behave in a much closer way than previous studies have shown. We find that high equity volatility drives pricing differences that can be explained by the CTD option.

Valuing equity-linked death benefits in jump diffusion models

The paper is motivated by the valuation problem of guaranteed minimum death benefits in various equity-linked products. At the time of death, a benefit payment is due. It may depend not only on the price of a stock or stock fund at that time, but also on prior prices. The problem is to calculate the expected discounted value of the benefit payment. Because the distribution of the time of death can be approximated by a combination of exponential distributions, it suffices to solve the problem for an exponentially distributed time of death. The stock price process is assumed to be the exponential of a Brownian motion plus an independent compound Poisson process whose upward and downward jumps are modeled by combinations (or mixtures) of exponential distributions. Results for exponential stopping of a Lévy process are used to derive a series of closed-form formulas for call, put, lookback, and barrier options, dynamic fund protection, and dynamic withdrawal benefit with guarantee. We also discuss how barrier options can be used to model lapses and surrenders.

Ownership Effects on Unrelated Diversification: An Institutions' Perspective

Purpose To show that differences in the extent to which firms engage in unrelated diversification can be attributed to differences in ownership structure. Methodology/approach We draw on longitudinal data and use a panel analysis specification to test our hypotheses. Findings We find that unrelated diversification destroys value; pressure-sensitive Anglo-American owners in a firm’s equity reduce unrelated diversification, whereas pressure-resistant domestic owners increase unrelated diversification; the greater the firm’s free cash flow, the greater the negative effect of pressure-sensitive Anglo-American owners on unrelated diversification. Research limitations/implications We contribute to corporate governance and strategy research by bringing in owners’ institutional origin as a shaper of owner preferences in particular with regards to unrelated diversification. Future research may expand our investigation to more than one home institutional context, and theorize on institutional origin effects beyond the dichotomy between Anglo-American and non-Anglo-American (not oriented toward shareholder value maximization) owners. Practical implications Policy makers, financial analysts, owners, and managers may want to reflect about the implications of ownership structure, as well as promoting or joining corporations with particular ownership configurations. Social implications A shareholder value-destroying strategy, such as unrelated diversification has adverse consequences for society at large, in terms of opportunity costs, that is, resources could be allocated to value-creating activities instead. Promoting an ownership configuration that creates value should contribute to social welfare. Originality/value Owners may not be exclusively driven by shareholder value maximization, but can be influenced by normative beliefs (biases) stemming from the institutional context they originate from.