On the valuation of fader and discrete barrier options in Heston's stochastic volatility model

We focus on closed-form option pricing in Heston's stochastic volatility model, where closed-form formulas exist only for a few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this closed-form approach and derive multivariate characteristic functions depending on at least two spot values for different points in time. The derived characteristic functions are used as building blocks to set up (semi-) analytical pricing formulas for exotic options with payoffs depending on finitely many spot values such as fader options and discretely monitored barrier options. We compare our result with different numerical methods and examine the computational accuracy.     

Children between the age of 5 and 11: what “don’t know” answers tell us

Children are increasingly seen as competent informants on their activities, views and needs. Different abilities of children can lead to inadequate (formally or regarding the content) answers or to the misunderstanding of proceedings during an interview process. One inadequate or at least unintended (on the part of the researcher) response is a “don’t know” answer (DK). To study when and why DK answers occur, a possible cause for them in the cognitive process and their relation to age, we analysed the DK answers given in qualitative semi-structured interviews with children aged 5–11, conducted face-to-face and on the telephone. Each of 56 children was interviewed twice, once face-to-face and once via telephone. The results show that age had an effect on DK responses due to the cognitive state of the respondent and their communicative intent, but there was no difference in the number of DKs due to problems with the research instrument or due to an adequacy judgement in respect of respondent age.     

Optimal Portfolios with Bounded Capital at Risk

We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the capital at risk. In a Black–Scholes setting we obtain closed-form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price processes that allow for larger fluctuations in the returns.     

Modeling the time-varying volatility of the paper–bill spread

The spread between the rates on commercial paper and Treasury bills has received considerable attention in the literature for its role as an indicator of real economic activity. In this paper we empirically examine what happens when the volatility of the spread changes over time. We estimate a nonlinear model that enables us to discern the asymmetric impact of negative and positive shocks to the spread. We find that a positive shock has a larger impact on the volatility of the spread than does a negative shock.     

Humanising Business Through Ethical Labelling: Progress and Paradoxes in the UK

Labelling schemes are practical arrangements aimed at making ‘ethical’ products widely available and visible. They are crucial to expanded development of ethical markets and hence to the addition of moral dimensions to the normally amoral behaviour linking consumers and retail and production businesses. The study reported here attempts to assess the contribution of UK ethical, social and environmental certification and labelling initiatives to ‘sustainable’ consumption and production. The research sought to assess the overall potential of initiatives to inject human values into the supply-distribution chains, through a qualitative survey of 15 of the 26 main UK initiatives: in social justice, animal welfare and environmental sustainability from the agriculture, food processing, timber, aquaculture, textiles and personal care sectors. By analysing the basic characteristics and concepts of these labels and investigating the emergence of labelling initiatives, we assess whether labels help add an ethical dimension, or whether, in some respects, they also reduce such missions to the technical management of adding only another ‘utility’ to a product. The analysis assesses whether the gradual ‘mainstreaming’ of ethical initiatives such as ‘Fairtrade’ risks subsuming ethical goals within business participants’ competitive and profit-oriented logics. However, the contrasting perspectives revealed between rival labelling initiatives show that the scope and functions of labelling projects go beyond the manifest ones of information communication between consumers and producer and actually introduce elements of socio-political regulation. These are essential for more sustainable and ethical business practices and are an integral part of any humanisation of business involvement.     

Being Good Parents or Being Good Citizens: Dilemmas and Contradictions of Urban Families in Middle‐Class Enclaves and Mixed Neighbourhoods in Germany

In recent years, cities have become ever more attractive to middle‐class families. On the one hand, middle‐class families tend to withdraw into (often newly built) socially homogeneous middle‐class neighbourhoods. On the other hand, they are also known to move into inner‐city and socially mixed areas, thus triggering processes of gentrification. Academic literature has often denounced these housing choices as being either ‘separatist’ or ‘revanchist’, more broadly categorized as strategies of ‘middle‐class disaffiliation’. Although there is a grain of truth in these interpretations, the reality is certainly more complicated. In our research on middle‐class parents’ housing and neighbourhood choices as well as their patterns of neighbourhood use, carried out in each of the two types of residential area mentioned above, we have only very rarely found an explicit desire to draw boundaries that exclude those ‘beneath’ them. We rather argue that the housing choices and neighbourhood‐related activities of middle‐class family households are heavily influenced by the specific dilemmas the interviewees face as (working) urban parents. While a significant number of respondents worry about the social sustainability, justice and cohesion of urban society, they are also concerned about the future prospects of their children. Many find it difficult to reconcile these conflicting normative demands under the prevailing circumstances.     

Fijian culture and the environment: a focus on the ecological and social interconnectedness of tourism development

Understanding the complex and adaptive nature of Pacific Island communities is a growing yet relatively unexplored area in the context of tourism development. Taking an ethnographic research approach, this study examines how over 40 years of tourism development have led to complex and multi-scale changes within an Indigenous Fijian village. The study establishes that tourism development has brought a range of ecological shifts that have, over time, spurred far-reaching changes within the embedded sociocultural constructs of the community. The development of the Naviti Resort, a water catchment dam, a causeway and a man-made island have created substantial changes in totemic associations, livelihood approaches, and traditional knowledge structures within Vatuolalai village. The emergence of internal adaptive cycles, and new behaviours, practices and values that redefine the cultural landscape will be discussed. This paper demonstrates the interconnectivity of nature, society and culture within Indigenous communal systems and asserts that ecological changes introduced in one part of a community stimulate complex, non-linear responses in other elements of the socio-ecological system of a Fijian village.     

Solesolevaki as social capital: a tale of a village,two tribes,and a resort in Fiji

This paper advances understanding of the complex and adaptive nature of indigenous Fijian communities involved in tourism. It examines how tourism-related development has set the people of one Fijian village along two separate development pathways, and explores how preferential access to tourism benefits has created disparities within the community. Complex Adaptive Systems theory and Social Capital theory are used to conceptualise how over 40 years of tourism involvement has influenced development within an indigenous Fijian community. The findings argue that indigenous Fijian communities are non-homogeneous entities, which are constantly in transition, responding and adapting integratively to both internal and external changes over time. The findings show that the emergence of new behaviours and ways of life has led to the collapse of the pre-existing systems of social capital. As a response, community members retreated and regrouped, strengthening internal bonds and social capital in their smaller social units, leading to both dependency and opportunity-seeking behaviours among participants. Ultimately, the paper asserts that money alone does not lead to development, but rather tourism and access to a variety of capital do.     

Differences and similarities between female students and male students that succeed within higher technical education: profiles emerge through the use of cluster analysis

This study focuses on female and male students who succeed in engineering programmes in Sweden, and why they have success. Data were collected through a questionnaire sent to all engineering students in Sweden registered for their seventh semester during year 2012 and about 30 % of the students in the cohort responded on several questions. The answers were then analysed and interpreted using Pierre Bourdieu’s theory and the concept of capital. The female-students as well as the male-students emerged as homogeneous groups, but SPSS-clustering shows differences and similarities between four female student-profiles and five male students-profiles. The female students who come to graduate as engineers have experiences and resources that seem to be fruitful: well-educated parents, positive attitudes to the engineer students’ traditions, and a positive view of the engineering profession. In addition, they value the traditional teaching with lectures and self-studies. They seem not to have been inspired by compulsory school teaching or teachers there. The male students have the same experiences and resources but there are differences. Among female students, a profile emerges which is absent among the male students and which emphasises the importance of doing good for society, people, and the environment in their future professional roles. Among male students, the student profiles which emerge include one with a primarily practical and technical capital despite the lack of a high degree of educational or scientific capital.