Proceedings of the 27th Annual Congress of the International Liver Transplantation Society.

After a virtual congress in 2021 and a previous absence in 2020 because of the coronavirus disease 2019 pandemic, the 27th Annual Congress of the International Liver Transplantation Society was held from May 4 to 7, 2022, in a hybrid format in Istanbul, with 1123 (58% on-site) liver transplant professionals from 61 countries attending the meeting. The hybrid format successfully achieved a balance of much yearned-for "in-person interaction" and global online participation. Almost 500 scientific abstracts were presented. In this report, the Vanguard Committee aims to present a summary of key invited lectures and selected abstracts for the liver transplant community.

Different antibody responses between liver and kidney transplant recipients elicited by third doses of COVID-19 mRNA vaccines.

Background: Solid organ transplant recipients exhibit decreased antibody responses, mainly due to their weakened immune systems. However, data are limited on antibody responses after the primary series of coronavirus disease 2019 (COVID-19) vaccines among recipients of various solid organ transplant types. Thus, we compared the antibody responses after three COVID-19 vaccine doses between liver transplant (LT) and kidney transplant (KT) recipients. Methods: We prospectively enrolled solid organ transplant recipients who received three COVID-19 vaccine doses from June 2021 to February 2022 and measured S1-specific immunoglobulin G antibodies using an enzyme-linked immunosorbent assay. Results: Seventy-six LT and 17 KT recipients were included in the final analysis. KT recipients showed consistently lower antibody responses even after the third vaccine dose (86.2% vs. 52.9%, P=0.008) and lower antibody titers (median, 423.0 IU/mL [interquartile range, 99.6-2,057 IU/mL] vs. 19.7 IU/mL [interquartile range, 6.9-339.4 IU/mL]; P=0.006) than were observed in LT recipients. Mycophenolic acid was a significant risk factor for a seropositive antibody response after the third vaccine dose in the multivariable analysis (odds ratio, 0.06; 95% confidence interval, 0.00-0.39; P=0.02). Conclusions: We found a weaker antibody response despite the completion of the primary series of COVID-19 vaccines in KT recipients than in LT recipients. Mycophenolic acid use in KT recipients might be the main contributor to this observation.

A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model.

As is well known, multi-factor stochastic volatility models are necessary to capture the market accurately in pricing financial derivatives. However, the multi-factor models usually require too many parameters to be calibrated efficiently and they do not lead to an analytic pricing formula. The double Heston model is one of them. The approach of this paper for this difficulty is to rescale the double Heston model to reduce the number of the model parameters and obtain a closed form analytic solution formula for variance swaps explicitly. We show that the rescaled double Heston model is as effective as the original double Heston model in terms of fitting to the VIX market data in a stable condition and yet the computing time is much less than that under the double Heston model. However, in a turbulent situation after the start of the COVID-19 pandemic in 2020, we acknowledge that even the double Heston model fails to capture the market accurately.

Antibody Response Induced by Two Doses of ChAdOx1 nCoV-19, mRNA-1273, or BNT162b2 in Liver Transplant Recipients.

Coronavirus disease 2019 (COVID-19) vaccination in immunocompromised, especially transplant recipients, may induce a weaker immune response. But there are limited data on the immune response after COVID-19 vaccination in liver transplant (LT) recipients, especially on the comparison of Ab responses after different vaccine platforms between mRNA and adenoviral vector vaccines. Thus, we conducted a prospective study on LT recipients who received two doses of the ChAdOx1 nCoV-19 (ChAdOx1), mRNA-1273, or BNT162b2 vaccines compared with healthy healthcare workers (HCWs). SARS-CoV-2 S1-specific IgG Ab titers were measured using ELISA. Overall, 89 LT recipients (ChAdOx1, n=16 [18%]) or mRNA vaccines (mRNA-1273 vaccine, n=23 [26%]; BNT162b2 vaccine, n=50 [56%]) received 3 different vaccines. Of them, 16 (18%) had a positive Ab response after one dose of COVID-19 vaccine and 62 (73%) after 2 doses. However, the median Ab titer after two doses of mRNA vaccines was significantly higher (44.6 IU/ml) than after two doses of ChAdOx1 (19.2 IU/ml, p=0.04). The longer time interval from transplantation was significantly associated with high Ab titers after two doses of vaccine (p=0.003). However, mycophenolic acid use was not associated with Ab titers (p=0.53). In conclusion, about 3-quarters of LT recipients had a positive Ab response after 2 doses of vaccine, and the mRNA vaccines induced higher Ab responses than the ChAdOx1 vaccine.

Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance

The Heston model is a popular stochastic volatility model in mathematical finance and it has been extended or modified in several ways by researchers to overcome the shortcomings of the model in the context of pricing derivatives. However, the extended models usually do not lead to a closed-form formula for the derivative prices. This paper is focused on a stochastic extension of the constant long-run mean of variance in the Heston model for the pricing of variance swaps. The extension is given by a positive function perturbed by an amplitude-modulated Brownian motion or Ito integral. We obtain two closed-form formulas for the fair strike prices of a variance swap under two corresponding underlying models. The formulas are explicitly given by elementary functions without any integral terms involved. Further, the two models show better performance than the Heston model when the market implied volatility has a concave-down pattern as shown in an unstable market circumstance caused by the COVID-19 pandemic.

Proceedings of the 26th Annual Virtual Congress of the International Liver Transplantation Society.

After a 1-y absence due to the coronavirus disease 2019 pandemic, the 26th Annual Congress of the International Liver Transplantation Society was held from May 15 to 18, 2021, in a virtual format. Clinicians and researchers from all over the world came together to share their knowledge on all the aspects of liver transplantation (LT). Apart from a focus on LT in times of coronavirus disease 2019, featured topics of this year's conference included infectious diseases in LT, living donation, machine perfusion, oncology, predictive scoring systems and updates in anesthesia/critical care, immunology, radiology, pathology, and pediatrics. This report presents highlights from invited lectures and a review of the select abstracts. The aim of this report, generated by the Vanguard Committee of International Liver Transplantation Society, is to provide a summary of the most recent developments in clinical practice and research in LT.