4,412 research outputs found
Decomposing and valuing callable convertible bonds: a new method based on exotic options
In the framework of Black-Scholes-Merton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for usual Callable Convertible Bonds (CCB). Furthermore, the analytic valuation formulae for CCB are worked out by using the analytic formulae for those simpler securities decomposed from CCB. Moreover, this method is validated by comparing with Monte Carlo simulation. Besides, the effects of call clauses, coupon clauses and soft call condition clauses are analyzed respectively. These give lots of new insights into the valuation and analysis of CCB and much help to hedge their risks.Callable convertible bonds; Equivalent decomposition; Up-and-out calls; American binary calls; Derivative pricing
Transplanckian Dispersion Relation and Entanglement Entropy of Blackhole
The quantum correction to the entanglement entropy of the event horizon is
plagued by the UV divergence due to the infinitely blue-shifted near horizon
modes. The resolution of this UV divergence provides an excellent window to a
better understanding and control of the quantum gravity effects. We claim that
the key to resolve this UV puzzle is the transplanckian dispersion relation. We
calculate the entanglement entropy using a very general type of transplanckian
dispersion relation such that high energy modes above a certain scale are
cutoff, and show that the entropy is rendered UV finite. We argue that modified
dispersion relation is a generic feature of string theory, and this boundedness
nature of the dispersion relation is a general consequence of the existence of
a minimal distance in string theory.Comment: 7 pages. To appear in the proceedings of 36th International Symposium
Ahrenshoop on the theory of Elementary Particles: Recent Developments in
String/M Theory and Field Theory, Berlin, Germany, 26-30 Aug 200
Structural Changes and Regional Disparity in China's Inflation
The inflation problem in China has attracted a great deal of international attention in recent years. This paper examines the time series properties of China's CPI series. It is found that the overall inflation series and the inflation of food, tobacco, clothes, urban transport and urban housing are not persistent. Structural breaks in inflation are found in 2003 and 2004. The degree of rural-urban inflation disparity in China is also investigated. We find evidence that rural residents experience higher inflation than their urban counterparts.Structural Break, Unit Root, ADF Test, Rural and Urban Inflation.
Hierarchical Attention Network for Visually-aware Food Recommendation
Food recommender systems play an important role in assisting users to
identify the desired food to eat. Deciding what food to eat is a complex and
multi-faceted process, which is influenced by many factors such as the
ingredients, appearance of the recipe, the user's personal preference on food,
and various contexts like what had been eaten in the past meals. In this work,
we formulate the food recommendation problem as predicting user preference on
recipes based on three key factors that determine a user's choice on food,
namely, 1) the user's (and other users') history; 2) the ingredients of a
recipe; and 3) the descriptive image of a recipe. To address this challenging
problem, we develop a dedicated neural network based solution Hierarchical
Attention based Food Recommendation (HAFR) which is capable of: 1) capturing
the collaborative filtering effect like what similar users tend to eat; 2)
inferring a user's preference at the ingredient level; and 3) learning user
preference from the recipe's visual images. To evaluate our proposed method, we
construct a large-scale dataset consisting of millions of ratings from
AllRecipes.com. Extensive experiments show that our method outperforms several
competing recommender solutions like Factorization Machine and Visual Bayesian
Personalized Ranking with an average improvement of 12%, offering promising
results in predicting user preference for food. Codes and dataset will be
released upon acceptance
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