Consistent Pricing of Equity and Credit Derivatives

The literature on the pricing of equity and credit securities developed marc or less independently. Only recently have th~ two strands merged in the valuation of convertible bonds (corporate bonds with embedded stock options). The subject of our thesis is to describe how both credit and equity securities can be priced in a consistent way so we can enlarge the information set of one market using the information set of . the other. Chapter 2 extends the building blocks of Ericsson & Reneby (1998) to the case of exponential barriers and derives a number of simple claims; using these, it is possible to nest five classical structural models and derive an extended version of the Leland & Toft model (1996). The following chapter provides the option pricing extension for the models in' Chapter 2 by extending the conditional building blocks in Ericsson & Reneby (2003a) and the extra ones presented in the previous chapter. Chapter 4 investigates the effects of different capital structure specifications on equity option prices: we confirm Toft & Prucyk (1997) theoretical links by employing a more sophisticated model and also look at other usually neglected variables (e.g. debt growth rate) in the option literature; we also test the information content of structural models and find that even the simple Merton model is able to correctly rank firms according to their credit quality; we then investigate the. relationship between CDS spreads and volatility smiles for an interesting example (France Telecom) extending the empirical analysis of Hull et al.??????????????????? (2005); in addition, we study an equity-credit hybrid security - an Equity Default Swap - and, its links 'with the more established Credit Default Swap. Chapter 5 presents a simple structural model with jumps - similar to Leland (2006) - which features closed formulre for equity option prices. The final chapter concludes.Imperial Users onl

Use of the conventional and tangent derivative boundary integral equations for the solution of problems in linear elasticity

Regularized forms of the traction and tangent derivative boundary integral equations of elasticity are derived for the case of closed regions. The hypersingular and strongly singular integrals of the displacement gradient representation are regularized independently, through identities of the fundamental solution and its various derivatives, before the boundary integral equations are formed. Besides the displacements and the tractions, only the tangential derivatives of the displacements evaluated at the singular point appear in the regularized equations making them well suited for numerical treatment. The regularization of the hypersingular integrals demands that the displacement components have Holder continuous first derivatives at the singular point. Consistent with this requirement, the regularization of the strongly singular integrals is effective if the tractions and the unit vectors normal and tangent to the surface are continuous at that location.;Higher order elements for two and three dimensional elastostatic problems are implemented through the coincident collocation of regularised forms of the displacement and the tangent derivative equations. The nodal values of the displacements, the fractions and their tangential derivatives are used as the degrees of freedom associated with the functional representation of the boundary variables. The tangential derivatives of the displacements and the tractions at the functional nodes are directly recovered from the boundary solution with comparable accuracy as the primative variables. Hence, the nodal values of the stress components are directly obtained through Hooke\u27s law and need not be determined in a post processing manner. Several numerical examples demonstrate the advantages of the higher order elements versus the conventional ones. In two dimensions, four degrees of freedom per node Hermitian elements are used for functional interpolation only on those portions of the boundary where the gradients are high and quadratic Lagrangian elements are employed for the remaining parts of the modelled region. In three dimensions, nine degrees of freedom per node, incomplete quartic elements are employed for the approximation of the displacements and the tractions. Finally, the methodology presented here is general and can be extended to other problems amenable to a boundary integral formulation

A new technique for measuring fistula flow using venous blood gas oxygen saturation in patients with a central venous catheter

Background. Doppler ultrasound (DU) monitoring early after arteriovenous fistula (AVF) creation allows the identification of low blood flow (Qa) requiring prompt revision, but it is costly (needs skilled operators and technical instruments) and is not available in all dialysis units. Therefore alternative first-line methods to measure Qa would be welcomed.We reasoned that once an AVF is created, an increment in central venous oxygen saturation (ScvO2) is predictable and proportional to Qa. Methods. Accordingly, in patients receiving dialysis through a central venous catheter (CVC) in whom an AVF was created, we measured, by means of blood gas analysis, the ScvO2 increment before and after manual compression of the arteriovenous shunt and verified its correlation with DU-measured Qa. Results. We sampled blood gas in 18 patients with CVC and AVF before and after 30 s manual compression of the AVF. ScvO2 averaged 70.563% before and 65.263% after AVF closure, with an average drop of 5.163% (range 1–12). AVF Qa, which was measured within 24h by means of DU, averaged 6356349 mL/min (range 50–1300) and was strictly and positively correlated with DScvO2 (r ¼ 0.954, P<0.0001). Conclusions. Therefore we suggest that in patients with CVC and a newly created AVF, it is possible to monitor AVF Qa without DU by simply measuring blood gas and DScvO2. This technique is simple, cheap, repeatable, non-invasive and operator independent and represents a new useful screening test to detect delayed AVF access maturation deserving prompt DU measurement and surgical revision. It helps to quickly identify patients in urgent need of DU verification and possible surgical revision. Regrettably, it is applicable only in patients with CVC

Oxygen Extraction Ratio (OER) as a Measurement of Hemodialysis (HD) Induced Tissue Hypoxia: A Pilot Study

HD tissue hypoxia associates with organ dysfunctions. OER, the ratio between SaO2and central-venous-oxygen-saturation, could estimate oxygen requirements during sessions, but no data are available. We evaluated OER behavior in 20 HD patients with permanent central venous catheter (CVC) as vascular access. Pre-HD OER (33.6 ± 1.4%; M ± SE) was higher than normal (range 20-30%). HD sessions increased OER to 39.2 ± 1.5% (M ± SE; p 40%. In HD patients with CVC as vascular access, OER is a cheap, easily measurable and repeatable parameter useful to assess intradialytic hypoxia, and a potential biomarker of HD related stress and morbidity, helpful to recognize patients at increased risk of mortality

Positioning novel biologicals in CKD-mineral and bone disorders

Renal osteodystrophy (ROD), the histologic bone lesions of chronic kidney disease (CKD), is now included in a wider syndrome with laboratory abnormalities of mineral metabolism and extra-skeletal calcifications or CKD-mineral and bone disorders (CKD-MBD), to highlight the increased burden of mortality. Aging people, frequently identified as early CKD, could suffer from either the classical age-related osteoporosis (OP) or ROD. Distinguishing between these two bone diseases may not be easy without bone biopsy. In any case, besides classical therapies for ROD, nephrologists are now challenged by the possibility of using new drugs developed for OP. Importantly, while therapies for ROD mostly aim at controlling parathyroid secretion with bone effects regarded as indirect, new drugs for OP directly modulate bone cells activity. Thus, their action could be useful in specific types of ROD. Parathyroid hormone therapy, which is anabolic in OP, could be useful in renal patients with low turnover bone disease. Denosumab, the monoclonal antibody against receptor activator of NF-κB ligand (RANK-L) that inhibits osteoclast activity and proliferation, could be beneficial in cases with high turnover bone. Use of romosozumab, the monoclonal antibody against sclerostin, which both stimulates osteoblasts and inhibits osteoclasts, could allow both anabolic and anti-resorptive effects. However, we should not forget the systemic role now attributed to CKD-MBD. In fact, therapies targeting bone cells activity could also result in unpredicted extra-bone effects and affect cardiovascular outcomes. In conclusion, the new biologicals established for OP could be useful in renal patients with either OP or ROD. In addition, their potential non-bone effects warrant investigation

Interactions of sclerostin with FGF23, soluble klotho and vitamin D in renal transplantation

Relationships of Sclerostin, a bone anti-anabolic protein, with biomarkers of mineral bone disorders in chronic kidney disease are still unsettled, in particular in kidney transplant (KTR). In 80 KTR patients (31F/49M, 54.7±10.3 years) we studied the relationships of serum Sclerostin with eGFR, Calcium, Phosphate, Alkaline Phosphatase (AP), intact Parathyroid hormone (iPTH), soluble alpha-Klotho (sKlotho), intact Fibroblast Growth Factor 23 (iFGF23), 25-hydroxyvitamin D(25D) and 1,25-dihydroxyvitamin D (1,25D). Thirty healthy subjects (35.0±12.4 years, eGFR 109.1±14.1 ml /min/1,73m2) served as control for Sclerostin, iFGF23 and sKlotho. With a median eGFR of 46.3 mL/min/1.73m2 (IQR, 36.2-58.3) our KTR had median Sclerostin levels of 23.7 pmol/L (IQR: 20.8-32.8), not different from controls (26.6 pmol/L, IQR: 22.0-32.2; p = n.s). Sclerostin correlated negatively with AP (r = -.251; p = 0.023) and positively with iFGF23 (r = .227; p = 0.017) and 25D (r = .214; p = 0.025). Age-adjusted multiple regression analysis identified AP and 1,25D as negative and 25D and sKlotho as positive best predictors of Sclerostin. No correlation was evident with eGFR. The negative correlation with AP confirms the direct anti-anabolic role of Sclerostin. The associations either negative or positive with iFGF23, sKlotho, and vitamin D metabolites suggest also a modulatory role in mineral homeostasis. In particular, the associations with iFGF23 (positive) and 1,25D (negative) underline the relevant inhibitory action of Sclerostin on vitamin D activation. In conclusion, Sclerostin levels in KTR are normal and influenced more by bone turnover than by eGFR. Its involvement with other hormones of mineral homeostasis (FGF23/Klotho and Vitamin D) is part of the sophisticated cross-talk between bone and the kidney

The Assessment Of Slopes Stability With Probability Methods

This paper aims to deal with the assessment of the stability of slopes, taking inconsideration several methods for analysis:- the limit equilibrium methods such as the Infinitive Slope method, Bishop's simplifiedmethod etc. upon which assumptions are made on the considered failure surface and theinternal forces interacting between the blocks, the equilibrium equations to be satisfied, theunknown variables to be determined (such as the safety factor and normal force) and the areaswithin which these methods could apply.- the probability methods in which the coefficient of variation of the factor of safety(COVF) is determined, (as the ratio of standard deviation to the mean coefficient of the safetyfactor, previously calculated), reliability R (as the probability of a certain case occurring in acertain way, at a certain time, in given conditions), the probability of failure Pf (as 1-R).Following the theoretical analysis, a number of numerical examples are included in order to illustrate in a more explicit manner the methodology used for the application of the assessment methods mentioned above, as well as to highlight the particularities and differences of each method

Incu-Bus: A live-working internet incubator

The framework for this company includes three main components: development, human resource, and finance. In the Finance aspect, it is an Internal circular economy; people Only can use credits for food or all the resources. Development and human resource are taking part in evaluating employee\u27s work, rand and deciding their credits. It is running in the winner take all system. The company only provide living space resources or facility. The Worker: produce internet/mobile-related profitable ideas. The Venture capitalist: provide funding to the company but also discover the potential project for early stage