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

Single machine parallel-batch scheduling with deteriorating jobs

AbstractWe consider several single machine parallel-batch scheduling problems in which the processing time of a job is a linear function of its starting time. We give a polynomial-time algorithm for minimizing the maximum cost, an O(n5) time algorithm for minimizing the number of tardy jobs, and an O(n2) time algorithm for minimizing the total weighted completion time. Furthermore, we prove that the problem for minimizing the weighted number of tardy jobs is binary NP-hard

High-order harmonic generations in tilted Weyl semimetals

We investigate high-order harmonic generations (HHGs) under the comparison of Weyl cones in two types. Due to the hyperboloidal electron pocket structure, strong noncentrosymmetrical generations in high orders are observed around a single type-II Weyl point, especially at frequency zero. Such remarkable DC signal is proved to have attributions from the intraband transition after spectral decomposition. Under weak pulse electric field , the linear optical response of a non-tilted Weyl cone is consistent with the Kubo theory. With more numerical simulations, we conclude the non-zero chemical potential can enhance the even-order generations, from the slightly tilted system to the over-tilted systems. In consideration of dynamical symmetries, type-I and -II Weyl cones also show different selective responses under the circularly polarized light. Finally, using a more realistic model containing two pairs of Weyl points, we demonstrate the paired Weyl points with opposite chirality could suppress the overall even-order generations