Decomposing and valuing callable convertible bonds: a new method based on exotic options

In the framework of Black-Scholes-Merton option pricing models, by employing exotic options instead of plain options or warrants, this paper presents an equivalent decomposition method for usual Callable Convertible Bonds (CCB). Furthermore, the analytic valuation formulae for CCB are worked out by using the analytic formulae for those simpler securities decomposed from CCB. Moreover, this method is validated by comparing with Monte Carlo simulation. Besides, the effects of call clauses, coupon clauses and soft call condition clauses are analyzed respectively. These give lots of new insights into the valuation and analysis of CCB and much help to hedge their risks.Callable convertible bonds; Equivalent decomposition; Up-and-out calls; American binary calls; Derivative pricing

Summarization and Analysis on Commercial Bank Risk Management

Risk management of commercial banks is an important part of their operation activity. The risk management development of commercial banks in the world is a process from single risk management to integrated risk management, while the risk management technology has been developed from qualitative analysis to comprehensive measurement and analysis with various quantitative methods. Currently, the world advance commercial banks already have more mature ways and results in concepts, organization settings and risk management technologies. For the late development of risk management in our country, a scientific and complete risk management system has not been established. At present stage, we are making efforts in introducing and establishing a scientific risk management system step by step. Key words: Commercial bank; risk management; risk management technology Résumé: La gestion des risques est une partie importante des activités d’opération des banques commerciales. Le développement de la gestion des risques des banques commerciales dans le monde est un processus qui va de la gestion simple à la gestion intégrée, quand la technologie de la gestion des risques a développé de l’analyse qualitative à la mesure globale et l’analyse avec des méthodes quantitatives diverses. Aujourd’hui, les banques commerciales avancées du monde ont déjà plus de méthodes et résultats mûrs en concept, organisation et technologie de la gestion des risques. A cause du développement retardé de la gestion des risques dans notre pays, un système scientifique et complet n’a pas encore été établi. Actuellement, nous sommes en train de faire des efforts pour introduire et établir pas à pas un système scientifique de la gestion des risques. Mots-Clés: banque commerciale, gestion des risques, technologie de la gestion des risque

Constructing a new nigrostriatal pathway in the Parkinsonian model with bridged neural transplantation in substantia nigra

The physical repair and restoration of a completely damaged pathway in the brain has not been achieved previously. In a previous study, using excitatory amino acid bridging and fetal neural transplantation, we demonstrated that a bridged mesencephalic transplant in the substantia nigra generated an artificial nerve pathway that reinnervated the striatum of 6-hydroxydopamine (6-OHDA)-lesioned rats. In the current study, we report that a bridged mesencephalic transplant can anatomically, neurochemically, and functionally reinstate the 6-OHDA-eradicated nigro-striatal pathway. An excitatory amino acid, kainic acid, laid down in a track during the transplant generated a trophic environment that effectively guided the robust growth of transplanted neuronal fibers in a bundle to innervate the distal striatum. Growth occurred at the remarkable speed of approximately 200 microm/d. Two separate and distinct types of dopamine (DA) innervation from the transplant have been achieved for the first time: (1) DA innervation of the striatum, and (2) DA innervation of the pars reticularis of the substantia nigra. In addition, neuronal tracing revealed that reciprocal connections were achieved. The grafted DA neurons in the SNr innervated the host's striatum, whereas the host's striatal neurons, in turn, innervated the graft within 3-8 weeks. Electrochemical volt- ammetry recording revealed the restoration of DA release and clearance in a broad striatal area associated with the DA reinnervation. Furthermore, the amphetamine-induced rotation was attenuated, which indicates that the artificial pathways were motor functional. This study provides additional evidences that our bridged transplantation technique is a potential means for the repair of a completely damaged neuronal pathway