Theoretical Study of the Interaction of Electron Donor and Acceptor Molecules with Graphene

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Valuing T-year contingent options

Invited speakerWe consider the problem of valuing Guaranteed Minimum Death Benefits (GMDB) in various variable annuity and equity-indexed annuity contracts. We assume that the life contingent options will expire at a fixed time T. By using a discounted density function approach, we provide closed for expressions for the values of the contingent options. In particular we show that the results in Ulm (2008) can be obtained easily using our approach. This talk is based on a joint paper with Hans Gerber and Elias Shiu.postprin

The Omega model: from bankruptcy to occupation times in the red

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Valuing equity-linked death benefits in jump diffusion models

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Charge transfer between carbon nanotubes and sulfuric acid as determined by Raman spectroscopy

The spontaneous interaction between sulfuric acid and carbon nanotubes is studied using Raman spectroscopy. We are able to determine the charge transfer without any additional parameter using the spectral signature of inner and outer walls of double-wall carbon nanotubes. While for the outer wall both the lattice contraction and the nonadiabatic effects contribute to the phonon shift, only the lattice contraction contributes for the inner nanotube. For the outer nanotube, we are able to separate these two contributions of the Raman G-band shift as a function of the charge transfer. We have carried out density functional theory calculations on graphene to see how different chemical species (HSO4-, H2SO4, H+) affect the electronic band structure and electron-phonon coupling. The Raman G band shift for the outer nanotube, Δω as a function of hole harge transfer per carbon atom, fC, is found to be Δω (cm−1) = (350 ± 20)fC + (101 ± 8)√fC

Optimal Redeeming Strategy of Stock Loans

A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has a significant effect on the pricing of the stock loan and the optimal redeeming strategy adopted by the borrower. We present the pricing models sub ject to various ways of dividend distribution. Since closed-form price formulas are generally not available, we provide a thorough analysis to examine the optimal redeeming strategy. Numerical results are presented as well.Comment: 17 pages, 4 figure

Valuing contingent exotic options: a discounted density approach

The Conference presentations' website is located at http://casi.xmu.edu.cn/Item/Show.asp?m=1&d=884Invited speakerpublished_or_final_versio

Valuation of variable annuity guarantees

Plenary speakerBACKGROUND: The term variable annuity is used to refer to a wide range of life insurance products, whose benefits can be protected against investment and mortality risks by selecting one or more guarantees out of a broad set of possible arrangements …postprin