Numerical computation of Theta in a jump-diffusion model by integration by parts

Using the Malliavin calculus in time inhomogeneous jump-diffusion models, we obtain an expression for the sensitivity Theta of an option price (with respect to maturity) as the expectation of the option payoff multiplied by a stochastic weight. This expression is used to design efficient numerical algorithms that are compared with traditional finite-difference methods for the computation of Theta. Our proof can be viewed as a generalization of Dupire's integration by parts to arbitrary and possibly non-smooth payoff functions. In the time homogeneous case, Theta admits an expression from the Black–Scholes PDE in terms of Delta and Gamma but the representation formula obtained in this way is different from ours. Numerical simulations are presented in order to compare the efficiency of the finite-difference and Malliavin methods.     

An update on economies of scale in credit unions

When employing the Benston-Bell-Murphy cost specification, most studies on economies of scale in financial institutions have consistently found small, yet significant economies. However, when a similar approach on credit unions was used, the results were conflicting. This paper, through the use of a different methodological and statistical approach, provides additional evidence on the existence of economies of scale in credit unions.     

Learning from cost analyses: an illustration from the UK's New Deal for Disabled People (NDDP)

This article describes a cost analysis of an employment programme available to people claiming incapacity benefits in the UK. The NDDP was delivered locally by contracted providers called ‘job brokers’. The cost analysis found great variation among job brokers' costs and profitability, much of which seems attributable to differences in job broker size. The methods described here will be useful in evaluations wherever multiple institutions are contracted by governments to deliver services, especially when these institutions are involved in several different programmes.     

The Nonstationarity of Money and Prices in Interdependent Economies

In most nations, paths of monetary aggregates and prices consistently depart from stationary trends. This paper shows that this is a fundamental implication when monetary authorities of interdependent countries seek to smooth their home output and prices in the presence of incomplete world output-market integration and structural asymmetries. Using a two-country model with interdependent output supply schedules, we show that this conclusion holds whether the exchange rate floats or is fixed. It also holds if monetary policies are coordinated. Therefore, optimal monetary policy choices by central banks yield stationary paths for money and prices only under very specific conditions.     

Thirty-five years of change for the financial system

The financial system is a large scale information processing system. Like most such systems it is undergoing a major revolution with the introduction of the new information processing technologies—computers and data communication. Because of the central role of the financial system in western economies, such changes will have far reaching implications, the significance of which has scarcely yet been appreciated.     

Human resource management: when research confronts theory

Research exploring the relationship between human resource management (HRM) and outcomes such as corporate performance encounters a range of significant practical difficulties. Using two surveys as illustrative cases, this paper examines the practical challenges of operationalizing and measuring HRM, measuring the various outcomes and assessing the relationship between HRM and corporate performance. Despite the problems, it is suggested that significant progress has been made. While possible solutions to some of the problems are put forward, it is argued that a key requirement remains more clearly specified theory, particularly theory about the nature of HRM.     

Modelling the Impact of Demographic Change Upon the Economy

Over the next few decades there will be significant changes in the demographic structure of nearly all developed countries. Such dramatic demographic change could have a powerful impact upon saving behaviour, but estimates of how great the effects will be differ depending on what evidence is used. This paper argues that simulations based on calibrated general equilibrium models are likely to provide the most reliable evidence. A model is developed and is used to assess the impact of reforms to pension systems.     

Gender and graduate economics education in the US

Abstract

This paper reports on the findings of a survey of top economics graduate schools as they relate to women and men. The results provide strong evidence that at these top graduate schools, women graduate students are less integrated in their economic disciplines than are male graduate students. In the second part of the paper, this paper relates those findings to alternative theories as to why this is the case. This paper concludes by suggesting that the emphasis on theoretical studies in the current core of the graduate economics program can be seen as a type of hazing process that seems to have a significant cost since many women (and men) with great creative promise are discouraged from continuing in economics and do not benefit nearly as much as they would have from more policy-driven core courses.