Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

In this paper we propose two efficient techniques which allow one to compute the price of American basket options. In particular, we consider a basket of assets that follow a multi-dimensional Black–Scholes dynamics. The proposed techniques, called GPR Tree (GRP-Tree) and GPR Exact Integration (GPR-EI), are both based on Machine Learning, exploited together with binomial trees or with a closed form formula for integration. Moreover, these two methods solve the backward dynamic programing problem considering a Bermudan approximation of the American option. On the exercise dates, the value of the option is first computed as the maximum between the exercise value and the continuation value and then approximated by means of Gaussian Process Regression. The two methods mainly differ in the approach used to compute the continuation value: a single step of the binomial tree or integration according to the probability density of the process. Numerical results show that these two methods are accurate and reliable in handling American options on very large baskets of assets. Moreover we also consider the rough Bergomi model, which provides stochastic volatility with memory. Despite that this model is only bidimensional, the whole history of the process impacts on the price, and how to handle all this information is not obvious at all. To this aim, we present how to adapt the GPR-Tree and GPR-EI methods and we focus on pricing American options in this non-Markovian framework.     

The impact of ECB and FED announcements on the Euro interest rates

We investigate the impact of news in the ECB and FED monetary policy announcements on daily changes in Euro interest rates. We document significant impacts of ECB announcements throughout the period but only until mid 2004 of FED announcements.     

An empirical investigation into the gravitation and convergence of industry return rates in OECD countries

Tests are offered for the hypotheses that sectoral average profit rates and incremental return rates are gravitating around or converging towards a common value. We study data for various OECD countries relying on an econometric method able to account for residual autocorrelation and cross‐sector correlation. Our null hypotheses receive only a mixed empirical support. This is interpreted as the result of various kinds of limitations to capital mobility. Policy implications are discussed.     

Measurement of organizational investments in social capital: The service employee perspective

This paper describes the development and validation of a measure of organizational investments in social capital (OISC). The scale development process is carried out over three stages (item generation, scale purification, scale validation), with two separate data collection phases involving a total of 735 working adults from multiple and diverse service-related workplace settings. As such, the data provide evidence for the face, content, discriminant, convergent and nomological validity, dimensionality and reliability of the OISC measure. The OISC measure is a concise, unidimensional scale that has the potential for significant usage in the development and testing of theory, as well as practical application in retail and other service provision contexts.     

An empirical analysis of green supply chain management in the German automotive industry

The purpose of this paper is the empirical investigation of the status quo of green supply chain management in the German automotive industry from a practitioner's point of view. Several aspects of green supply chain management, such as the point of time of implementation, the driving forces, the relevance of intended goals and their particular realization and the adoption of eco‐programs with suppliers and customers as well as internal and external barriers are analyzed. Furthermore, the link to different performance criteria is tested by inductive statistics in order to show the potential of green supply chain management for competitiveness. For this study, managers from the automotive supply industry in Germany were asked about their estimations in this regard. The main conclusion is that managers express the need for green supply chain management on the one hand but also see corresponding problems in terms of required resources on the other hand. Furthermore, the analyses show that green supply chain management leads to higher performance in terms of several performance criteria. Copyright © 2009 John Wiley & Sons, Ltd and ERP Environment.     

Corporate Taxation of Heterogeneous Firms and the Welfare Effects of Labour Unions

This paper examines the welfare effects of powerful labour unions when the government levies a uniform tax rate – as is currently the case in most OECD countries – and firms are heterogeneous with respect to productivity. I show that an increase in the bargaining power of labour unions can decrease the welfare loss generated by restriction of the tax policy and provide conditions under which powerful labour unions decrease the likelihood that firms will move abroad. I also reproduce the well‐known effect whereby powerful labour unions decrease corporate tax rates if firms are mobile.     

Is the rhino worth saving? A sustainable tourism perspective

Southern African countries are increasingly dependent on natural beauty and wildlife for tourism. Conservation is essential for sustainable tourism, and is expensive, especially for threatened and endangered species. The current price of a species only takes into account its current usefulness, often leading to an underestimation of the value of wildlife. This paper contributes to debates on the value of endangered species by estimating current use and non-use values for the rhino, a species under extreme threat. Internationally, literature that values scarce and endangered species uses willingness-to-pay (WTP) to derive a value of the species. This paper uses WTP to determine the non-consumptive use value of the rhino based on three surveys, n = 1291, conducted in South Africa's Kruger National Park (KNP) and compare it to consumptive use values. Non-use and inter-temporal values are also estimated to provide a comprehensive valuation of the rhino. Non-consumptive use values per rhino in KNP are shown to exceed consumptive use values by a minimum of 50%. The threat of extinction is shown to be linked to institutional, market and policy failures. Policy implications include raising poaching fines, raising wildlife value awareness and incentivising the community benefits of wildlife conservation.     

Green consumerism and the societal marketing concept: Marketing strategies for the 1990's

This paper examines the impact of these trends on the role of the marketing department in the J990's. Essentially, when the buying habits of consumers are being strangely influenced by green and other environmental issues, the paper argues that the marketing concept and subsequent strategies need to be rethought. The paper then imaginatively develops the concept of societal marketing within this framework, arguing for the need for a long term marketing perspective rather than the short term window dressing approach taken by many marketing departments.