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.

Semiparametric Sensitivity Analysis: Unmeasured Confounding In Observational Studies

Establishing cause-effect relationships from observational data often relies on untestable assumptions. It is crucial to know whether, and to what extent, the conclusions drawn from non-experimental studies are robust to potential unmeasured confounding. In this paper, we focus on the average causal effect (ACE) as our target of inference. We generalize the sensitivity analysis approach developed by Robins et al. (2000), Franks et al. (2020) and Zhou and Yao (2023. We use semiparametric theory to derive the non-parametric efficient influence function of the ACE, for fixed sensitivity parameters. We use this influence function to construct a one-step bias-corrected estimator of the ACE. Our estimator depends on semiparametric models for the distribution of the observed data; importantly, these models do not impose any restrictions on the values of sensitivity analysis parameters. We establish sufficient conditions ensuring that our estimator has root-n asymptotics. We use our methodology to evaluate the causal effect of smoking during pregnancy on birth weight. We also evaluate the performance of estimation procedure in a simulation study

A kilobit hidden SNFS discrete logarithm computation

We perform a special number field sieve discrete logarithm computation in a 1024-bit prime field. To our knowledge, this is the first kilobit-sized discrete logarithm computation ever reported for prime fields. This computation took a little over two months of calendar time on an academic cluster using the open-source CADO-NFS software. Our chosen prime $p$ looks random, and $p--1$ has a 160-bit prime factor, in line with recommended parameters for the Digital Signature Algorithm. However, our p has been trapdoored in such a way that the special number field sieve can be used to compute discrete logarithms in $\mathbb{F}\_p^*$ , yet detecting that p has this trapdoor seems out of reach. Twenty-five years ago, there was considerable controversy around the possibility of back-doored parameters for DSA. Our computations show that trapdoored primes are entirely feasible with current computing technology. We also describe special number field sieve discrete log computations carried out for multiple weak primes found in use in the wild. As can be expected from a trapdoor mechanism which we say is hard to detect, our research did not reveal any trapdoored prime in wide use. The only way for a user to defend against a hypothetical trapdoor of this kind is to require verifiably random primes

Gene expression profiles of human endometrial cancer samples using a cDNA-expression array technique: assessment of an analysis method

The recently developed cDNA expression array technique can be used to generate gene-expression fingerprints of tumour specimens. To gain insight into molecular mechanisms involved in the development and progression of cancer, this cDNA expression array technique could be a useful tool, however, no established methods for interpreting the results are yet available. We used the Atlas cancer cDNA expression array (Clontech, USA) for analysing total RNA isolated from four human endometrial carcinoma samples (two cell-lines and two tissue samples), one benign endometrial tissue sample and a human breast cancer cell-line, in order to develop a method for analysing the array data. The obtained gene-expression profiles were highly reproducible. XY-scatterplots and regression analysis of the logarithmic transformed data provided a practical method to analyse the data without the need of preceding normalization. Three genes (Decorin, TIMP3 and Cyclin D1) were identified to be differentially expressed between the benign endometrial tissue sample and the endometrial carcinoma samples (tissue and cell-lines). These three genes may potentially be involved in cancer progression. A higher degree of similarity in gene-expression profile was found between the endometrial samples (tissue and cell-lines) than between the endometrial samples and the breast cancer cell-line, which is indicative for an endometrial tissue-specific gene-expression profile. © 2000 Cancer Research Campaig

Study of shock waves generation, hot electron production and role of parametric instabilities in an intensity regime relevant for the shock ignition

We present experimental results at intensities relevant to Shock Ignition obtained at the sub-ns Prague Asterix Laser System in 2012 . We studied shock waves produced by laser-matter interaction in presence of a pre-plasma. We used a first beam at 1ω (1315 nm) at 7 × 10 13 W/cm 2 to create a pre-plasma on the front side of the target and a second at 3ω (438 nm) at ∼ 10 16 W/cm 2 to create the shock wave. Multilayer targets composed of 25 (or 40 μm) of plastic (doped with Cl), 5 μm of Cu (for Kα diagnostics) and 20 μm of Al for shock measurement were used. We used X-ray spectroscopy of Cl to evaluate the plasma temperature, Kα imaging and spectroscopy to evaluate spatial and spectral properties of the fast electrons and a streak camera for shock breakout measurements. Parametric instabilities (Stimulated Raman Scattering, Stimulated Brillouin Scattering and Two Plasmon Decay) were studied by collecting the back scattered light and analysing its spectrum. Back scattered energy was measured with calorimeters. To evaluate the maximum pressure reached in our experiment we performed hydro simulations with CHIC and DUED codes. The maximum shock pressure generated in our experiment at the front side of the target during laser-interaction is 90 Mbar. The conversion efficiency into hot electrons was estimated to be of the order of ∼ 0.1% and their mean energy in the order ∼50 keV. Content from this work may be used under the terms of the Creative Commons Attribution 3.0 licence. Any further distributio

Functional implications of the microbial community structure of undefined mesophilic starter cultures

This review describes the recent advances made in the studies of the microbial community of complex and undefined cheese starter cultures. We report on work related to the composition of the cultures at the level of genetic lineages, on the presence and activity of bacteriophages and on the population dynamics during cheese making and during starter culture propagation. Furthermore, the link between starter composition and starter functionality will be discussed. Finally, recent advances in predictive metabolic modelling of the multi-strain cultures will be discussed in the context of microbe-microbe interactions

Musical Minds:Attentional Blink Reveals Modality-Specific Restrictions

Formal musical training is known to have positive effects on attentional and executive functioning, processing speed, and working memory. Consequently, one may expect to find differences in the dynamics of temporal attention between musicians and non-musicians. Here we address the question whether that is indeed the case, and whether any beneficial effects of musical training on temporal attention are modality specific or generalize across sensory modalities.When two targets are presented in close temporal succession, most people fail to report the second target, a phenomenon known as the attentional blink (AB). We measured and compared AB magnitude for musicians and non-musicians using auditory or visually presented letters and digits. Relative to non-musicians, the auditory AB was both attenuated and delayed in musicians, whereas the visual AB was larger. Non-musicians with a large auditory AB tended to show a large visual AB. However, neither a positive nor negative correlation was found in musicians, suggesting that at least in musicians, attentional restrictions within each modality are completely separate.AB magnitude within one modality can generalize to another modality, but this turns out not to be the case for every individual. Formal musical training seems to have a domain-general, but modality-specific beneficial effect on selective attention. The results fit with the idea that a major source of attentional restriction as reflected in the AB lies in modality-specific, independent sensory systems rather than a central amodal system. The findings demonstrate that individual differences in AB magnitude can provide important information about the modular structure of human cognition

Antimicrobial use in European acute care hospitals: results from the second point prevalence survey (PPS) of healthcare-associated infections and antimicrobial use, 2016 to 2017

Antimicrobial agents used to treat infections are life-saving. Overuse may result in more frequent adverse effects and emergence of multidrug-resistant microorganisms. In 2016-17, we performed the second point-prevalence survey (PPS) of healthcare-associated infections (HAIs) and antimicrobial use in European acute care hospitals. We included 1,209 hospitals and 310,755 patients in 28 of 31 European Union/European Economic Area (EU/EEA) countries. The weighted prevalence of antimicrobial use in the EU/EEA was 30.5% (95% CI: 29.2-31.9%). The most common indication for prescribing antimicrobials was treatment of a community-acquired infection, followed by treatment of HAI and surgical prophylaxis. Over half (54.2%) of antimicrobials for surgical prophylaxis were prescribed for more than 1 day. The most common infections treated by antimicrobials were respiratory tract infections and the most commonly prescribed antimicrobial agents were penicillins with beta-lactamase inhibitors. There was wide variation of patients on antimicrobials, in the selection of antimicrobial agents and in antimicrobial stewardship resources and activities across the participating countries. The results of the PPS provide detailed information on antimicrobial use in European acute care hospitals, enable comparisons between countries and hospitals, and highlight key areas for national and European action that will support efforts towards prudent use of antimicrobials