Convertible bond valuation in a jump diffusion setting with stochastic interest rates

This paper proposes an integrated pricing framework for convertible bonds, which comprises firm value evolving as an exponential jump diffusion, correlated stochastic interest rates movements and an efficient numerical pricing scheme. By construction, the proposed stochastic model fits in the framework of affine jump diffusion processes of Duffie et al. [Econometrica, 2000, 68, 1343–1376] with tractable behaviour. We define the firm’s optimal call policy and investigate its impact on the computed convertible bond prices. We illustrate the performance of the numerical scheme and highlight the effects originated by the inclusion of jumps, stochastic interest rates and a non-zero correlation structure between firm value and interest rates

Nucleon resonances in the fourth resonance region

Nucleon and $\Delta$ resonances in the fourth resonance region are studied in a multichannel partial-wave analysis which includes nearly all available data on pion- and photo-induced reactions off protons. In the high-mass range, above 1850\,MeV, several alternative solutions yield a good description of the data. For these solutions, masses, widths, pole residues and photo-couplings are given. In particular, we find evidence for nucleon resonances with spin-parities $J^P=1/2^+...7/2^+$. For one set of solutions, there are four resonances forming naturally a spin-quartet of resonances with orbital angular momentum L=2 and spin S=3/2 coupling to $J=1/2,...,7/2$. Just below 1.9\,GeV we find a spin doublet of resonances with $J^P=1/2^-$ and $3/2^-$. Since a spin partner with $J^P=5/2^-$ is missing at this mass, the two resonances form a spin doublet which must have a symmetric orbital-angular-momentum wave function with L=1. For another set of solutions, the four positive-parity resonances are accompanied by mass-degenerate negative-parity partners -- as suggested by the conjecture of chiral symmetry restoration. The possibility of a $J^P=1/2^+, 3/2^+$ spin doublet at 1900\,MeV belonging to a 20-plet is discussed.Comment: 16 page

Properties of baryon resonances from a multichannel partial wave analysis

Properties of nucleon and $\Delta$ resonances are derived from a multichannel partial wave analysis. The statistical significance of pion and photo-induced inelastic reactions off protons are studied in a multichannel partial-wave analysis.Comment: 12 pages, 8 Table

Regulation of immune cell function and differentiation by the NKG2D receptor

NKG2D is one of the most intensively studied immune receptors of the past decade. Its unique binding and signaling properties, expression pattern, and functions have been attracting much interest within the field due to its potent antiviral and anti-tumor properties. As an activating receptor, NKG2D is expressed on cells of the innate and adaptive immune system. It recognizes stress-induced MHC class I-like ligands and acts as a molecular sensor for cells jeopardized by viral infections or DNA damage. Although the activating functions of NKG2D have been well documented, recent analysis of NKG2D-deficient mice suggests that this receptor may have a regulatory role during NK cell development. In this review, we will revisit known aspects of NKG2D functions and present new insights in the proposed influence of this molecule on hematopoietic differentiation

NKG2D triggers cytotoxicity in mouse NK cells lacking DAP12 or Syk family kinases

In activated mouse natural killer (NK) cells, the NKG2D receptor associates with two intracellular adaptors, DAP10 and DAP12, which trigger phosphatidyl inositol 3 kinase (PI3K) and Syk family protein tyrosine kinases, respectively. Here we show that cytotoxicity, but not cytokine production, is triggered by NKG2D in activated NK cells lacking either DAP12 or the Syk family members Syk and ZAP70. Inhibition of PI3K blocks this cytotoxicity, suggesting that the DAP10-PI3K pathway is sufficient to initiate NKG2D-mediated killing of target cells. Our results highlight signaling divergence in the effector functions of NKG2D and indicate that alternative associations between a receptor and its adaptors may provide a single receptor with a dual 'on-switch', giving mouse NK cells more choices through which to trigger cytotoxicity