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Derivative Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2014
Components of Derivative Liabilities | The following tables summarize the components of our derivative liabilities and linked common shares as of March 31, 2014 and December 31, 2013 and the amounts that were reflected in our income related to our derivatives for the years then ended:
|  | March 31, |  |  | December 31, |
|  | 2014 |  |  | 2013 |
Derivative liabilities: |  |  |  |  |  |  |  |
Embedded derivatives derived from: |  |  |  |  |  |  |  |
Senior Convertible Notes |  | $ | — |  |  | $ | 47,243 |
Warrant derivatives |  |  | — |  |  |  | 47,243 |
Senior Convertible Notes |  |  | 858,906 |  |  |  | 840,000 |
Series G Convertible Preferred Stock |  |  | 294,630 |  |  |  | 83,580 |
Warrant derivatives |  |  | 1,153,536 |  |  |  | 923,580 |
Total derivative liabilities |  | $ | 1,153,536 |  |  | $ | 970,823 |
|  | March 31, |  |  | December 31, |
|  | 2014 |  |  | 2013 |
Common shares linked to derivative liabilities: |  |  |  |  |  |  |  |
Embedded derivatives: |  |  |  |  |  |  |  |
Senior Convertible Notes |  |  | 743,937 |  |  |  | 1,729,647 |
|  |  | 743,937 |  |  |  | 1,729,647 |
Warrant derivatives |  |  |  |  |  |  |  |
Senior Convertible Notes |  |  | 1,562,500 |  |  |  | 1,562,500 |
Series G Convertible Preferred Stock |  |  | 525,000 |  |  |  | 525,000 |
|  |  | 2,087,500 |  |  |  | 2,087,500 |
Total common shares linked to derivative liabilities |  |  | 2,831,437 |  |  |  | 3,817,147 |
Changes in Fair Values of Derivative Liabilities |
The amounts that were reflected in our income related to our derivatives for the three-month periods ended March 31, 2014 and 2013 |  | Three months ended March 31, |
|  | 2014 |  |  | 2013 |
Derivative income (expense): |  |  |  |  |  |  |  |
Unrealized gains (losses) from fair value changes: |  |  |  |  |  |  |  |
Senior Convertible Notes |  | $ | 47,243 |  |  | $ | (640,562 | )
Warrant derivatives |  |  | (229,956 | ) |  |  | (459,737 | )
|  |  | (182,713 | ) |  |  | (1,100,299 | )
Redemptions of Senior Convertible Notes |  |  | — |  |  |  | 437,889 |
Total derivative income (expense) |  | $ | (182,713 | ) |  | $ | (662,410 | )
Senior Convertible Note [Member] |
Significant Assumptions Utilized in Valuation Technique | Significant inputs and results arising from the Monte Carlo Simulations process are as follows for the compound embedded derivative that has been bifurcated from our Senior Convertible Note and classified in liabilities:
|  | March 31, 2014 |  | December 31, 2013
Quoted market price on valuation date |  | $2.29 |  | $2.02
Contractual conversion rate |  | $3.17 |  | $3.17
Range of effective contractual conversion rates |  | — |  | —
Contractual term to maturity |  | 0.085 Years |  | 0.33 Years
Implied expected term to maturity |  | 0.085 Years |  | 0.33 Years
Market volatility: |  |  |  |
Range of volatilities |  | 18.2% - 38.4% |  | 47.4% - 91.2%
Range of equivalent volatilities |  | 27.3% |  | 59.9% - 69.9%
Contractual interest rate |  | 9.0% |  | 8.0 - 9.0%
Range of equivalent market risk adjusted interest rates |  | 9.08% |  | 8.08% - 9.08%
Range of equivalent credit risk adjusted yields |  | 0.64% |  | 0.67%
Risk-free rates |  | 0.03% - 0.05% |  | 0.01% - 0.07%
Compound Embedded Derivative [Member] |
Changes in Fair Value Inputs and Assumptions | The following table reflects the issuances of compound embedded derivatives, redemptions and changes in fair value inputs and assumptions related to the compound embedded derivatives during the three months ended March 31, 2014 and 2013.
|  | For the three months ended March 31, |
|  | 2014 |  |  | 2013 |
Balances at January 1 |  | $ | 47,243 |  |  | $ | 1,529,583 |
Issuances |  |  |  |  |  |  |  |
Expirations from redemptions of host contracts reflected in income |  |  | (47,243 | ) |  |  | (437,889 | )
Changes in fair value inputs and assumptions reflected in income |  |  |  |  |  |  | 640,563 |
Balances at March 31 |  | $ | — |  |  | $ | 1,732,257 |
Warrant Derivatives [Member] |
Significant Assumptions Utilized in Valuation Technique | Significant assumptions and utilized in the Binomial Lattice process are as follows for the warrants as of March 31, 2014 and 2013 and December 31, 2013:
|  | March 31, 2013
Linked common shares |  | 1,725,000
Quoted market price on valuation date |  | $3.26
Contractual exercise rate |  | $2.4648
Term (years) |  | 0.53
Range of market volatilities |  | 33.8% - 44.4%
Risk free rates using zero coupon US Treasury Security rates |  | 0.04% - 0.11%
|  | March 31, |  | December 31,
|  | 2014 |  | 2013 |  | 2013
Linked common shares |  | 525,000 |  | 525,000 |  | 525,000
Quoted market price on valuation date |  | $2.29 |  | $3.26 |  | $2.02
Contractual exercise rate |  | $2.3793 |  | $2.4648 |  | $2.3793
Term (years) |  | 0.04 |  | 1.04 |  | 0.28
Range of market volatilities |  | 15.2% - 29.2% |  | 34.1% - 45.3% |  | 50.1% - 88.3%
Risk free rates using zero coupon US Treasury Security rates |  | 0.05% |  | 0.04% - 0.14% |  | 0.01% - 0.07%
|  | March 31, |  | December 31,
|  | 2014 |  | 2013 |  | 2013
Linked common shares |  | 1,562,500 |  | 1,562,500 |  | 1,562,500
Quoted market price on valuation date |  | $2.29 |  | $3.26 |  | $2.02
Contractual exercise rate |  | $3.60 |  | $3.60 |  | $3.60
Term (years) |  | 3.11 |  | 4.10 |  | 3.35
Range of market volatilities |  | 47.9% - 66.1% |  | 34.1% - 67.7% |  | 51.1% - 78.2%
Risk free rates using zero coupon US Treasury Security rates |  | 0.05% - 0.90% |  | 0.07% - 0.57% |  | 0.07% - 0.78%
Custom lattice variable: Probability of exercisability (434,027 linked common shares) |  | — |  | — |  |
Changes in Fair Value Inputs and Assumptions | The following table reflects the issuances of derivative warrants and changes in fair value inputs and assumptions related to the derivative warrants during the three months ended March 31, 2014 and 2013.
|  | For the three months ended March 31, |
|  | 2014 |  |  | 2013 |
Balances at January 1 |  | $ | 840,000 |  |  | $ | 3,826,619 |
Changes in fair value inputs and assumptions reflected in income |  |  | 18,906 |  |  |  | 459,737 |
Balances at March 31 |  | $ | 858,906 |  |  | $ | 4,286,356 |

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