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

The Sp1 and CBF/NF-Y Transcription Factors Cooperatively Regulate the Mouse Pro-alpha3(V) Collagen Gene (Col5a3) in Osteoblastic Cells

The purpose of this study was to clarify the mechanism responsible for the transcriptional regulation of the mouse Col5a3 gene in osteoblastic cells. Transient transfection into rat osteosarcoma ROS17/2.8 cells demonstrated that a region from nucleotides 337 to 1 was involved in the transcriptional activity of the Col5a3 gene. An electrophoretic mobility shift assay showed that Sp1/Sp3 and CBF/NF-Y bound to a GC-rich domain (194/186) and a CCAAT box (134/130) in the Col5a3 gene, respectively. Introduction of mutations or deletion into a GC-rich domain, the CCAAT box, or both elements decreased the transcription activity. Overexpression of Sp1 increases the transcription activity and interferes with Sp family binding to the GC-rich domain to decrease promoter activity. Therefore, the transcription of the mouse Col5a3 gene is cooperatively regulated by Sp1 and CBF/NF-Y in osteoblastic cells.</p

4,6-Dimethyl­pyrimidin-2(1H)-one–urea–water (1/1/1)

In the crystal structure of the title compound, C6H8N2O·CH4N2O·H2O, mol­ecules are linked via N—H⋯O, O—H⋯N and O—H⋯O hydrogen bonds, forming a three–dimensional framework

A supra-massive magnetar central engine for short GRB 130603B

We show that the peculiar early optical and in particular X-ray afterglow emission of the short duration burst GRB 130603B can be explained by continuous energy injection into the blastwave from a supra-massive magnetar central engine. The observed energetics and temporal/spectral properties of the late infrared bump (i.e., the "kilonova") are also found consistent with emission from the ejecta launched during an NS-NS merger and powered by a magnetar central engine. The isotropic-equivalent kinetic energies of both the GRB blastwave and the kilonova are about $E_{\rm k}\sim 10^{51}$ erg, consistent with being powered by a near-isotropic magnetar wind. However, this relatively small value demands that most of the initial rotational energy of the magnetar $(\sim {\rm a~ few \times 10^{52}~ erg})$ is carried away by gravitational wave radiation. Our results suggest that (i) the progenitor of GRB 130603B would be a NS-NS binary system, whose merger product would be a supra-massive neutron star that lasted for about $\sim 1000$ seconds; (ii) the equation-of-state of nuclear matter would be stiff enough to allow survival of a long-lived supra-massive neutron star, so that it is promising to detect bright electromagnetic counterparts of gravitational wave triggers without short GRB associations in the upcoming Advanced LIGO/Virgo era.Comment: Five pages including 1 Figure, to appear in ApJ

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