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

Estimation of the Doping Dependence of Antiferromagnetism in the Copper Oxide Material

Within the $t$-$J$ model, we study the doping dependence of antiferromagnetism in the copper oxide materials by considering quantum fluctuations of spinons in the random-phase-approximation. The staggered magnetization vanishes around doping $\delta=5$ for a reasonable parameter value $t/J=5$, which is in agreement with the experiments on copper oxide materials.Comment: 14 page

A reversal coarse-grained analysis with application to an altered functional circuit in depression

Introduction: When studying brain function using functional magnetic resonance imaging (fMRI) data containing tens of thousands of voxels, a coarse-grained approach – dividing the whole brain into regions of interest – is applied frequently to investigate the organization of the functional network on a relatively coarse scale. However, a coarse-grained scheme may average out the fine details over small spatial scales, thus rendering it difficult to identify the exact locations of functional abnormalities. Methods: A novel and general approach to reverse the coarse-grained approach by locating the exact sources of the functional abnormalities is proposed. Results: Thirty-nine patients with major depressive disorder (MDD) and 37 matched healthy controls are studied. A circuit comprising the left superior frontal gyrus (SFGdor), right insula (INS), and right putamen (PUT) exhibit the greatest changes between the patients with MDD and controls. A reversal coarse-grained analysis is applied to this circuit to determine the exact location of functional abnormalities. Conclusions: The voxel-wise time series extracted from the reversal coarse-grained analysis (source) had several advantages over the original coarse-grained approach: (1) presence of a larger and detectable amplitude of fluctuations, which indicates that neuronal activities in the source are more synchronized; (2) identification of more significant differences between patients and controls in terms of the functional connectivity associated with the sources; and (3) marked improvement in performing discrimination tasks. A software package for pattern classification between controls and patients is available in Supporting Information