Warrants

The Company accounts for stock warrants as either equity instruments or derivative liabilities depending on the specific terms of the warrant agreement. See Note 3 for further details on accounting policies related to the Company's common stock warrants. As of September 30, 2015 and December 31, 2014, all of the company's outstanding stock warrants were classified as derivative liabilities.

The following table summarizes outstanding liability-classified warrants to purchase common stock as of:



	Number of Warrants
Liability-classified warrants	September 30, 2015	December 31, 2014	Exercise Price		Expiration Dates
Issued in Series A, B and D Preferred Stock offerings	2,231,118	2,247,118	$	6.25	Oct 2015 - Dec 2016
Issued in March 2010 financing	319,789	393,416	$	6.25	Mar 2016
Issued in June 2011 financing	6,113	6,113	$	22.50	Jun 2016
Issued in August 2011 financing	565,759	565,759	$	18.75	Aug 2016
Issued to placement agents in August 2011 financing	50,123	50,123	$	13.635	Aug 2016
Issued in Series B, D and E Preferred Stock offerings	74,800	76,120	$	2.50	Nov 2015 - Dec 2017
Issued with Convertible Notes	1,125,578	1,125,578	$	2.50	Jun 2018
Issued in Series E Preferred Stock offering	1,568,823	1,568,823	$	7.50	Dec 2018
Total	5,942,103	6,033,050

The table below is a summary of the Company’s warrant activity during the nine months ended September 30, 2015.



	Number of warrants		Weighted- average exercise price
Outstanding at December 31, 2014	6,033,050		$	7.08
Granted	—		—
Exercised (1)	(90,947	)	(6.20		)
Expired	—		—
Outstanding at September 30, 2015	5,942,103		$	7.09

(1) All warrants were exercised on a cashless basis resulting in the issuance of 11,584 shares of the Company's common stock.

Liability-classified Warrants.

The foregoing warrants were recorded as derivative liabilities at their estimated fair value at the date of issuance, with the subsequent changes in estimated fair value recorded in other income or expense in the Company’s condensed consolidated statement of operations in each subsequent period. The change in the estimated fair value of the warrant liability for the three and nine months ended September 30, 2015 resulted in non-cash income of approximately $5.3 million and $4.2 million, respectively. The change in the estimated fair value of the warrant liability for the three and nine months ended September 30, 2014 resulted in non-cash income of approximately $0.2 million and $1.1 million, respectively. The Company utilizes a Monte Carlo simulation valuation method to value its liability-classified warrants.

The estimated fair value of these warrants is determined using Level 3 inputs. Inherent in the Monte Carlo simulation valuation method are inputs and assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock based on historical volatility of a peer group that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates will remain at zero.

The following table summarizes the calculated aggregate fair values, along with the assumptions utilized in each calculation:



($ in thousands except share and per share data)	September 30, 2015			December 31, 2014
Calculated aggregate value	$	6,964		$	11,286
Weighted average exercise price per share	$	7.09		$	7.08
Closing price per share of common stock	$	3.85		$	2.59
Volatility	86.3		%	67.6		%
Weighted average remaining expected life	1 year, 10 months			2 years, 7 months
Risk-free interest rate	0.60		%	0.86		%
Dividend yield	—			—