On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation

In this paper, we propose a general technique to develop first- and second-order closed-form approximation formulas for short-maturity options with random strikes. Our method is based on a change of numeraire and on Malliavin calculus techniques, which allow us to study the corresponding short-maturity implied volatility skew and to obtain simple closed-form approximation formulas depending on the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches for two-asset and three-asset spread options such as Kirk’s formula or the decomposition method presented in Alòs et al. [Energy Risk, 2011, 9, 52–57]. This methodology is not model-dependent, and it can be applied to the case of random interest rates and volatilities.     

Job market signaling and employer learning

We consider a signaling model where the sender?s continuation value after signaling depends on his type, for instance because the receiver is able to update his posterior belief. As a leading example, we introduce Bayesian learning in a variety of environments ranging from simple two-period to continuous-time models with stochastic production. Signaling equilibria present two major departures from those obtained in models without learning. First, new mixed-strategy equilibria involving multiple pooling are possible. Second, pooling equilibria can survive the Intuitive Criterion when learning is efficient enough.     

German dominance in the European Monetary System: Evidence from money supply growth rates

This paper presents further evidence on ostensible German dominance in the European Monetary System (EMS). A dynamic system of equations is built explaining money growth rates as a function of the EMS countries' money growth rates, the world money growth rate, exchange rate objectives, inflation rates, and real income growth rates. A test of German dominance based upon money growth rates is a test of the hypothesis that the EMS has increased the comovements of money demand between countries in the system. It is found that German independence holds, but other central banks can also be important players in the system in that they can conduct independent monetary policies. Monetary policies in the EMS are best characterized as interactive. Therefore, the strict German dominance hypothesis is rejected. It follows that the EMS has not increased significantly the link between money demand functions in the EMS countries in the hierarchical structure as claimed by the dominance argument.     

EVA革命EVA的4M

随着媒体的广泛关注,今天大多数管理人都听说过关于EVA的故事。《财富》杂志把EVA称之为今天最热的财务观念,并且越来越热。管理学之父彼得·德鲁克(Peter Drucker)在《哈佛商业评论》上的一篇文章中指出:作为一种度量全要素生产率(total factor productivity)的关键指标,EVA反映了管理价值的所有方面。然而,我们怀疑大多数管理人,甚至那些财务管理人员,他们对EVA是什么、以及EVA能为他们的公司做些什么,仍然只     

The evolutionary stability of perfectly competitive behavior

Summary. In a (generalized) symmetric aggregative game, payoffs depend only on individual strategy and an aggregate of all strategies. Players behaving as if they were negligible would optimize taking the aggregate as given. We provide evolutionary and dynamic foundations for such behavior when the game satisfies supermodularity conditions. The results obtained are also useful to characterize evolutionarily stable strategies in a finite population.Received: 29 December 2002, Revised: 27 January 2004, JEL Classification Numbers: C72, D41, D43.An earlier version of this paper was titled The Evolutionary Logic of Feeling Small and was written while the first author was affiliated with the University of Salamanca (Spain). We are indebted to Ken Binmore, Larry Blume, Luis Corchón, Georg Kirchsteiger, Paco Marhuenda, Akihiko Matsui, Diego Moreno, Manfred Nermuth, Klaus Ritzberger, Jörgen Weibull, an anonymous referee, and seminar participants at the universities of Vienna, Carlos III de Madrid, and Salamanca for many helpful comments and suggestions. Obviously, only the authors are responsible for any errors and omissions. We gratefully acknowledge financial support from the Austrian Science Fund (FWF) under Project P15281 as well as from the Austrian Exchange Service (ÖAD) and the Spanish Ministry of Education and Culture under the Spain-Austria Acciones Integradas respective projects HU02-4 and 18/2003.     

Understanding volunteer motivation for participation in a community‐based food cooperative

Those concerned with social exclusion have increasingly recognised the value of community‐level activities as a basis for the development of disadvantaged communities. Much community development activity is collective and depends on members of the community volunteering to take on tasks and responsibilities associated with the collective action. The long‐term success of these activities is contingent on recruitment of sufficient numbers of volunteers and maintaining their commitment. The purpose of this research was to gain insights into volunteers' motives for participating in a community retail initiative, with a view to understanding the dynamics of their relationship with the enterprise as time passes. A series of in‐depth interviews provided evidence that motivations and factors influencing involvement change over time. Relatively vague ideas of the potential benefits of volunteering that motivated initial involvement were clarified as volunteers gained experience of participating in the enterprise. There was overt recognition of skill development and growth in self‐esteem and confidence that had been gained during the first few months of working on the project and there was anticipation that these would be enhanced through ongoing involvement. The implications of these findings are discussed and some future research directions are proposed. Copyright © 2003 Henry Stewart Publications     

Explaining the reduction in the gender wage gap during the 1990–94 economic recession in Spain

Many studies reveal that male-female wage differentials increase with the level of unemployment, suggesting that women are hurt by a recession more than men. However, the 1990–94 economic recession in Spain contributed to reduce the gender wage gap by almost 5 percentage points (from 83.94 percent in 1990 to 90.44 percent in 1994). This was mainly due to the relative increase in services industry employment, the activity where the gender wage gap is the lowest.     

The governance,risk-taking,and performance of Islamic banks

We examine whether the difference in governance structures influences the risk taking and performance of Islamic banks compared to conventional banks. Using a sample of 52 Islamic banks and 104 conventional banks in 14 countries for the period from 2005 to 2013, we conclude that the governance structure in Islamic banks plays a crucial role in risk taking as well as financial performance that is distinct from conventional banks. Particularly, we show that the governance structure in Islamic banks allows them to take higher risks and achieve better performance because of product complexities and transaction mechanisms. However, Islamic banks maintain a higher capitalization compared to conventional banks. These results support the research on Islamic investment and risk taking. Our results add a new dimension to the governance research that could be a valuable source of knowledge for policy makers and regulators in the financial services sector.     

Stressors,Coping Mechanisms,Perceived Supervisory Support,and Well-Being Among Nurses During Accreditation Surveys: a Study from UAE

Employee Responsibilities and Rights Journal - Organizational psychology applies psychological theories to improve the physical and mental well-being of employees, increase productivity, and...