A proposal for a convertible stadium roof structure derived from Watt-I linkage

In this paper, a novel convertible stadium roof structure is introduced, which has been derived from a special geometric configuration of Watt-I linkage, a 1-DoF mechanism used in robot technologies as anthropomorphic fingers. The proposed structure can offer a wide range of different shape configurations according to the environmental conditions and spatial needs, thus offering several aesthetic and functional advantages over existing solutions. This paper serves as a feasibility investigation of this concept, mainly from geometric and structural point of view. To that affect, first kinematic analysis and geometric design of this linkage are introduced. Then, structural analyses of the proposed structure with realistic dimensions and loading conditions are performed in three different geometric configurations, in order to discuss strength and stiffness limitations. Finally, potential cover materials and actuators are briefly discussed.     

基于双指数跳扩散模型的可转换债券定价

本文研究列维系统中的可转换债券的定价．我们证明了可转换债券中的隐含call部分的价值可转换为一个美式put．最后我们给出了在标的服从双指数跳扩散过程时隐含call的价值近似表达．     

一类可调转股价可转债的定价分析与计算

1 引言可转换债券以其独特的风险受益特性逐渐为投、融资者所接受并得到了广泛的欢迎．如今,无论在广度还是深度上,全球范围的可转债市场都已经发生了质的变化,并且日趋成熟和繁荣．中国的可转债市场在经历了十余年的沉寂之后,近两年也正进入一个高速发     

带有重置条款的可转换债券定价

可转换债券是中国证券市场的热点之一.本文主要研究如何给带有重置条款的可转换债券进行定价.文中采用了等价鞅测度的思想将标的物从风险世界转换到风险中性世界中,然后在风险中性世界中应用鞅评价方法对带有重置条款的可转换债券进行定价.     

随机利率下服从指数O-U过程的可转换债券的鞅定价

从定量的角度分析了随机利率下有股利分配的可转换债券的价值构成,并在股价服从广义O-U过程的条件下,利用鞅定价方法推导出可转换债券的定价公式.     

The valuation of convertible bonds with numeraire changes

The changes of numeraire can be used as a very powerful mean in pricing contingent claims in the context of a complete market. We apply the method of nurmeraire changes to evaluate convertible bonds when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds follow a general adapted stochastic process in this paper. A closed-form solution is derived when the instantaneous growth and variance of the value of issuer and those of zero-coupon bonds are deterministic function of time. We also consider a special case when the asset price follows GBM （Geometric Brownian Motion） and interest rate follows Vasicek＇s model.     

Game Options Analysis of the Information Role of Call Policies in Convertible Bonds

Abstract

In debt financing, existence of information asymmetry on the firm quality between the firm management and bond investors may lead to significant adverse selection costs. We develop the two-stage sequential dynamic two-person game option models to analyse the market signalling role of the callable feature in convertible bonds. We show that firms with positive private information on earning potential may signal their type to investors via the callable feature in a convertible bond. We present the variational inequalities formulation with respect to various equilibrium strategies in the two-person game option models via characterization of the optimal stopping rules adopted by the bond issuer and bondholders. The bondholders’ belief system on the firm quality may be revealed with the passage of time when the issuer follows his optimal strategy of declaring call or bankruptcy. Under separating equilibrium, the quality status of the firm is revealed so the information asymmetry game becomes a new game under complete information. To analyse pooling equilibrium, the corresponding incentive compatibility constraint is derived. We manage to deduce the sufficient conditions for the existence of signalling equilibrium of our game option model under information asymmetry. We analyse how the callable feature may lower the adverse selection costs in convertible bond financing. We show how a low-quality firm may benefit from information asymmetry and vice versa, underpricing of the value of debt issued by a high-quality firm.     

A note on “Monte Carlo analysis of convertible bonds with reset clause”

Kimura and Shinohara [T. Kimura, T. Shinohara, Monte Carlo analysis of convertible bonds with reset clauses, European Journal of Operational Research 168 (2006) 301–310] analyze the value of a non-callable convertible bond with a reset clause. For a reset convertible bond, the conversion ratio is not fixed but depends on the underlying stock price. However, their model does not consider a dilution effect which can result due to changes in the number of shares into which the bond is converted. In this paper, we have developed a new pricing formula for reset convertible bonds that adjusts for dilution.     

The pricing of perpetual convertible bond with credit risk

Convertible bond gives holder the right to choose a conversion strategy to maximize the bond value, and issuer also has the right to minimize the bond value in order to maximize equity value. When there is default occurring, conversion and calling strategies are invalid. In the framework of reduced form model, we reduce the price of convertible bond to variational inequalities, and the coefficients of variational inequalities are unbounded at the original point. Then the existence and uniqueness of variational inequality are proven. Finally, we prove that the conversion area, the calling area and the holding area are connected subsets of the state space.     

tert-Butyl isocyanide revisited as a convertible reagent in the Groebke-Blackburn reaction

tert-Butyl isocyanide can serve as the convertible reagent in Groebke-Blackburn multi-component reactions. The effective removal of the tert-butyl group from the resulting imidazo[1,2-a]azines and -azoles is achieved on a gram scale in two steps without chromatographic purification.