The Pricing of Options on Credit-Sensitive Bonds We build a three-factor term-structure of interest rates model and use it to price corporate bonds. The first two factors allow the risk-free term structure to shift and tilt. The third factor generates a stochastic credit-risk premium. To implement the model, we apply the Peterson and Stapleton (2002) diffusion approximation methodology. The met...

OBJECTIVE Primary Endocrine Therapy (PET) is a good alternative to surgery for breast cancer in older frailer women. Overall survival rates are equivalent although rates of local control are inferior. There is little research regarding the decision support needs of older patients faced with this choice. This qualitative study aimed to explore these among older breast cancer patients offered a c...

We show for every k ≥ 1 that the binomial tree of order 3k has a vertex-coloring with 2k+1 colors such that every path contains some color odd number of times. This disproves a conjecture from [1] asserting that for every tree T the minimal number of colors in a such coloring of T is at least the vertex ranking number of T minus one.

We propose a fault-tolerant broadcasting algorithm for hypercubes with link faults. This algorithm is based on an extended spanning binomial tree structure that still keeps the simplicity of conventional binomial-tree-based broadcasting. In addition, it is optimal in the sense that exactly n steps are required to complete a broadcast in an n-dimensional injured hypercube with up to n 2 faulty l...

We present an algorithm and its software implementation that computes implied volatilities for exchangetraded stock options. The LR (Leisen-Reimer) binomial tree is used for the underlying option pricing, which is adjusted for dollar cash dividends. The Brent’s method is used as the root-finding procedure. The option pricing procedure that is at the core of the root-finding is optimised to maxi...

This paper proposes an envelope rejection method for computer sampling from the negative binomial distribution, with index parameter α and probability parameter p, based on a simple probability distribution inequality. Comparative timings with existing methods of generating NB variates show that the proposed method is comparable or faster when α is not too large (α < 11), and it is fastest for ...

in the case of the crisis of identity, one of the obvious emblems of the objecting new wave in cinema before the islamic revolution is to express the national identity. in this study the problem is to recognize the components of national identity in bahram beyzaie works. introducing the concept of identity ,it’s dimensions and components the ingredients of identity is searched in three main fil...

Background: The present study aimed to investigate maladjustment based on identity status among students of the University of Tehran. Methods: In a descriptive-correlation and retrospective study, 107 male college students at the University of Tehran were selected by convenience sampling method. The extended objective measure of ego identity status and MMPI-2 college Maladjustment (Mt) scale w...