Pricing Options and Convertible Bonds Based on an Actuarial Approach

This paper discusses the pricing problem of European options and convertible bonds using an actuarial approach. We get the pricing formula of European options, extend the pricing results to the case with continuous dividend, and then derive the call-put parity relation. Furthermore, we get the general expression of convertible bond price. Finally, we conduct a comparative analysis of numerical simulation and make an empirical analysis between the B-S model and the actuarial model using the actual data in the Chinese stock market. The empirical results show that the efficiency of the actuarial model is superior to the B-S model

Genome-wide investigation and functional characterization of the β-ketoadipate pathway in the nitrogen-fixing and root-associated bacterium Pseudomonas stutzeri A1501

<p>Abstract</p> <p>Background</p> <p>Soil microorganisms are mainly responsible for the complete mineralization of aromatic compounds that usually originate from plant products or environmental pollutants. In many cases, structurally diverse aromatic compounds can be converted to a small number of structurally simpler intermediates, which are metabolized to tricarboxylic acid intermediates via the β-ketoadipate pathway. This strategy provides great metabolic flexibility and contributes to increased adaptation of bacteria to their environment. However, little is known about the evolution and regulation of the β-ketoadipate pathway in root-associated diazotrophs.</p> <p>Results</p> <p>In this report, we performed a genome-wide analysis of the benzoate and 4-hydroxybenzoate catabolic pathways of <it>Pseudomonas stutzeri </it>A1501, with a focus on the functional characterization of the β-ketoadipate pathway. The <it>P. stutzeri </it>A1501 genome contains sets of catabolic genes involved in the peripheral pathways for catabolism of benzoate (<it>ben</it>) and 4-hydroxybenzoate (<it>pob</it>), and in the catechol (<it>cat</it>) and protocatechuate (<it>pca</it>) branches of the β-ketoadipate pathway. A particular feature of the catabolic gene organization in A1501 is the absence of the <it>catR </it>and <it>pcaK </it>genes encoding a LysR family regulator and 4-hydroxybenzoate permease, respectively. Furthermore, the BenR protein functions as a transcriptional activator of the <it>ben </it>operon, while transcription from the <it>catBC </it>promoter can be activated in response to benzoate. Benzoate degradation is subject to carbon catabolite repression induced by glucose and acetate in A1501. The HPLC analysis of intracellular metabolites indicated that low concentrations of 4-hydroxybenzoate significantly enhance the ability of A1501 to degrade benzoate.</p> <p>Conclusions</p> <p>The expression of genes encoding proteins involved in the β-ketoadipate pathway is tightly modulated by both pathway-specific and catabolite repression controls in A1501. This strain provides an ideal model system for further study of the evolution and regulation of aromatic catabolic pathways.</p

Existence of Solution for Impulsive Differential Equations with Nonlinear Derivative Dependence via Variational Methods

We use variational methods and iterative methods to investigate the solutions of impulsive differential equations with nonlinear derivative dependence. The conditions for the existence of solutions are established. The main results are also demonstrated with examples

Valuing Convertible Bonds Based on LSRQM Method

Convertible bonds are one of the essential financial products for corporate finance, while the pricing theory is the key problem to the theoretical research of convertible bonds. This paper demonstrates how to price convertible bonds with call and put provisions using Least-Squares Randomized Quasi-Monte Carlo (LSRQM) method. We consider the financial market with stochastic interest rates and credit risk and present a detailed description on calculating steps of convertible bonds value. The empirical results show that the model fits well the market prices of convertible bonds in China’s market and the LSRQM method is effective

Valuing Catastrophe Bonds Involving Credit Risks

Catastrophe bonds are the most important products in catastrophe risk securitization market. For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature. We employ the Jarrow and Turnbull method to model the credit risks and get access to the general pricing formula using the Extreme Value Theory. Furthermore, we present an empirical pricing study of the Property Claim Services data, where the parameters in the loss function distribution are estimated by the MLE method and the default probabilities are deduced by the US financial market data. Then we get the catastrophe bonds value by the Monte Carlo method

Homoclinic solutions for Hamiltonian system with impulsive effects

Abstract In this article, we investigate a class of impulsive Hamiltonian systems with a p-Laplacian operator. By establishing a series of new sufficient conditions, the existence of homoclinic solutions to such type of systems is revealed. We show the existence of homoclinic orbit induced by impulses by introducing some conditions. To illustrate the applications of the main results in this article, we create an example

Valuing Catastrophe Bonds Involving Credit Risks

Catastrophe bonds are the most important products in catastrophe risk securitization market. For the operating mechanism, CAT bonds may have a credit risk, so in this paper we consider the influence of the credit risk on CAT bonds pricing that is different from the other literature. We employ the Jarrow and Turnbull method to model the credit risks and get access to the general pricing formula using the Extreme Value Theory. Furthermore, we present an empirical pricing study of the Property Claim Services data, where the parameters in the loss function distribution are estimated by the MLE method and the default probabilities are deduced by the US financial market data. Then we get the catastrophe bonds value by the Monte Carlo method

Comparative analysis of P2X1, P2X2, P2X3, and P2X4 receptor subunits in rat nodose ganglion neurons.

Nodose ganglion (NG) neurons are visceral primary sensory neurons. The transmission and regulation of visceral sensation is mediated mainly by the P2X purinoceptor (P2X receptor). Although the characteristics of different P2X receptor subunits in the NG have been studied previously, comprehensive analyses have not been performed. In this study, we used immunohistochemistry, immunocytochemistry, and whole cell patch clamp techniques to compare the expression and function of P2X1, P2X2, P2X3, and P2X4 receptor subunits in adult rat NG neurons. Polyclonal antibodies against the four P2X subunits labeled different subpopulations of NG neurons. P2X1 and P2X3 were expressed mainly in small-to-medium sized NG neurons, whereas P2X2 and P2X4 were located mostly in medium- and larger-sized NG neurons. Over 36% of NG neurons were P2X3 positive, which was higher than the other three P2X subunits. In addition, different types of currents were recorded from neurons expressing different P2X subunits. The fast type of ATP current was recorded from neurons containing P2X1-4 subunits, the intermediate type of current was recorded from neurons containing the P2X1, P2X3, and P2X4 subunits, the slow type was recorded from neurons expressing P2X1-3, and/or P2X4 subunits, whereas the very slow type was recorded from neurons containing the P2X2 and P2X3 subunits. These comparative results provide an anatomical verification of the different subunits in NG neurons, and offer direct support for the idea that various functional NG populations have distinct responses to ATP, which might be in part due to the different expression profiles of diverse P2X subunits

Construction of Regional Logistics Weighted Network Model and Its Robust optimization: Evidence from China

In this paper, we construct a regional logistics model from a macroperspective. First, based on the gravity model, the index of logistics attraction between cities is established as the weight of the model, and hence the regional logistics weighted model is constructed. Next, we use the social network analysis method to analyze its structure and make specific recommendations for the construction of logistics networks. Finally, we analyze the model’s response to random attacks and deliberate attacks. From our study, it is found that when the failure nodes or edges reach a certain percentage, the regional logistics network will collapse on a large scale. Therefore, it is important to optimization the threshold of the regional logistics network. This clearly provides a new perspective for the study of the regional logistics networks