Pricing of convertible bonds with hard call features

This paper discusses the development of a valuation model for convertible bonds with hard call features. We define a hard call feature as the possibility for the issuer to redeem a convertible bond before maturity by paying the call price to the bondholder. We use the binomial approach to model convertible bonds with hard call features. By distinguishing between an equity and a debt component we incorporate credit risk of the issuer. The modelling framework takes (discrete) dividends that are paid during the lifetime of the convertible bond, into account. We show that incorporation of the entire zero-coupon yield curve is straightforward. The performance of the binomial model is examined by calculating theoretical values of four convertible bonds. The measure used to compare theoretical values with is the average quote, equal to the average of bid and ask quotes provided by several financial institutions. We conclude that in general long historical volatilities and implied volatilities tend to give the best results. Moreover, we find that our model follows market movements very well. The impact of different dividend and interest rate scenarios is rather small.

Spin-dependent Quantum Interference in Single-Wall Carbon Nanotubes with Ferromagnetic Contacts

We report the experimental observation of spin-induced magnetoresistance in single-wall carbon nanotubes contacted with high-transparency ferromagnetic electrodes. In the linear regime the spin-induced magnetoresistance oscillates with gate voltage in quantitative agreement with calculations based on a Landauer-Buttiker model for independent electrons. Consistent with this interpretation, we find evidence for bias-induced oscillation in the spin-induced magnetoresistance signal on the scale of the level spacing in the nanotube. At higher bias, the spin-induced magnetoresistance disappears because of a sharp decrease in the effective spin-polarization injected from the ferromagnetic electrodes.Comment: Replaced with published versio

X-ray structure analysis of the InSb ( )-(3 × 3) reconstruction

The (3 × 3) reconstruction of the InSb( ) surface has been analysed using grazing incidence X-ray diffraction. The reconstruction is characterized by hexamers above a complete InSb double-layer centred around an Sb atom. No vacancies are found in the structure as predicted theoretically. The results agree with scanning tunnelling microscopy measurements

A new type of reconstruction on the InSb() surface determined by grazing incidence X-ray diffraction

The (3×3) reconstruction of the InSb( ) surface has been investigated by grazing incidence X-ray diffraction and scanning tunneling microscopy. The structure is characterized by 6-atom rings on top of a slightly buckled InSb top double layer. Two types of rings have been found, an elliptic ring consisting of 4 In and 2 Sb atoms and a trigonal ring with 3 In and 3 Sb atoms. The bond angles and lengths are consistent with the concept of rehybridization and depolarization which explains the reconstructions of the (111) and (110) surfaces

Sputum Induction in Children Is Feasible and Useful in a Bustling General Hospital Practice

The author(s) disclosed receipt of the following financial support for the research, authorship, and/or publication of this article: The Jeroen Bosch Hospital funded this study.Peer reviewedPublisher PD

The Ge(001) (2 × 1) reconstruction: asymmetric dimers and multilayer relaxation observed by grazing incidence X-ray diffraction

Grazing incidence X-ray diffraction has been used to analyze in detail the atomic structure of the (2 × 1) reconstruction of the Ge(001) surface involving far reaching subsurface relaxations. Two kinds of disorder models, a statistical and a dynamical were taken into account for the data analysis, both indicating substantial disorder along the surface normal. This can only be correlated to asymmetric dimers. Considering a statistical disorder model assuming randomly oriented dimers the analysis of 13 symmetrically independent in-plane fractional order reflections and of four fractional order reciprocal lattice rods up to the maximum attainable momentum transfer qz = 3c* (c* = 1.77 × 10−1 Å−1) indicates the formation of asymmetric dimers characterized by R>D = 2.46(5) Å as compared to the bulk bonding length of R = 2.45 Å. The dimer height of Δ Z = 0.74(15) Å corresponds to a dimer buckling angle of 17(4)°. The data refinement using anisotropic thermal parameters leads to a bonding length of RD = 2.44(4) Å and to a large anisotropy of the root mean-square vibration amplitudes of the dimer atoms (u112) 1/2 = 0.25 Å, (u222)1/2 = 0.14 Å, (u332)1/2 = 0.50 Å). We have evidence for lateral and vertical disp tenth layer below the surface