On arbitrages arising with honest times

In the context of a general continuous financial market model, we study whether the additional information associated with an honest time τ gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that no kind of arbitrage profit can ever be realised strictly before τ, whereas classical arbitrage opportunities can be realised exactly at τ as well as after τ. Moreover, arbitrages of the first kind can only be obtained by starting to trade as soon as τ occurs. We carefully study the behavior of local martingale deflators and consider no-arbitrage-type conditions weaker than no free lunch with vanishing risk.     

Hedging of a credit default swaption in the CIR default intensity model

An important issue arising in the context of credit default swap (CDS) rates is the construction of an appropriate model in which a family of options written on credit default swaps, referred to hereafter as credit default swaptions, can be valued and hedged. The goal of this work is to exemplify the usefulness of some abstract hedging results, which were obtained previously by the authors, for the valuation and hedging of the credit default swaption in a particular hazard process setup, namely, the CIR default intensity model.     

Costs and benefits of controlling quarantine diseases: a bio-economic modeling approach

This article describes a bio-economic model to quantify the costs and benefits of controlling plant quarantine diseases. The model integrates the epidemiology and economic consequences of a quarantine disease. It allows for ex ante evaluation of control scenarios for their cost-effectiveness, taking into account potential export losses resulting from presence of the disease. The model is applied to brown rot of potato in the Dutch potato production chain. Simulation results show that under the current (2006) control policy, the average yearly costs of brown rot are 7.7 million euros. Reducing monitoring frequency increases the costs to 12.5 million euros, 60% of which are export losses. It is also shown that, due to potential long-term effects of a strategy, conclusions on cost-effectiveness of a strategy depend on the length of the period over which that strategy is observed. These applications illustrate the potential of the bio-economic model to facilitate the development of cost-effective and soundly based control policies.     

Imitation and innovation driven development under imperfect intellectual property rights

Developing countries employ about two-fifth of the world's researchers, originate one quarter of world expenditures on R&D, and their inventions are subject to imitation. Nevertheless, the previous literature focuses on North–South setups in which the South is restricted to imitating northern inventions. To analyze the effects of IPR policies on developed and developing countries, we extend this literature to allow not only for southern innovation and imitation of northern goods, but also for imitation targeted at southern innovations. We find the effects of IPRs on R&D and welfare to be non-monotonic and dependent on innovation efficiency and an innovation threshold in the South. For sufficiently strong IPRs the South engages in original R&D and stronger IPRs promote southern innovation, welfare, and a reduction in the North–South wage gap. Below the threshold, a strengthening of IPR protection fails to promote innovation and decreases welfare. Stronger IPRs exclusively for southern firms can benefit both regions by shifting southern resources from the imitation of northern goods to original southern innovation.     

Edgeworth rejective core and dividends equilibria of satiated exchange economies

For an exchange economy, under assumptions which did not bring about the existence of equilibrium with dividends as yet, we prove the non-emptiness of the Edgeworth rejective core. Then, via  and ’s decentralization result, we solve the equilibrium with dividends existence problem. Adding to the same assumptions a weak non-satiation condition which differs from the weak non-satiation assumption introduced by Allouch and Le Van (2009), we show in the last section the existence of a Walrasian quasiequilibrium. This result, which fits with exchange economies whose consumers’ utility functions are not assumed to be upper semicontinuous, complements the one obtained by Martins-da-Rocha and Monteiro (2009).     

Project Management Knowledge Flows in Networks of Project Managers and Project Management Offices: A Case Study in the Pharmaceutical Industry

This study investigates the knowledge flows among and between project managers and project management office (PMO) members in a pharmaceutical R&D company in China, using a mixed‐methods approach. The results show that knowledge exchange happens in clusters, where each cluster forms around a PMO member. Contrary to expectations, PMO members were not identified as the most popular knowledge providers in these clusters; instead, knowledge was requested from earlier collaborators. A three‐tiered model is developed for knowledge governance at the cluster level, across clusters and the link with corporate and project governance structures. Managerial and theoretical implications are discussed.     

Modeling of Income and Indicators of Poverty and Social Exclusion Using the Generalized Beta Distribution of the Second Kind

There are three reasons why estimation of parametric income distributions may be useful when empirical data and estimators are available: to stabilize estimation; to gain insight into the relationships between the characteristics of the theoretical distribution and a set of indicators, e.g. by sensitivity plots; and to deduce the whole distribution from known empirical indicators, when the raw data are not available. The European Union Statistics on Income and Living Conditions (EU‐SILC) survey is used to address these issues. In order to model the income distribution, we consider the generalized beta distribution of the second kind (GB2). A pseudo‐likelihood approach for fitting the distribution is considered, which takes into account the design features of the EU‐SILC survey. An ad‐hoc procedure for robustification of the sampling weights, which improves estimation, is presented. This method is compared to a non‐linear fit from the indicators. Variance estimation within a complex survey setting of the maximum pseudo‐likelihood estimates is done by linearization (a sandwich variance estimator), and a simplified formula for the sandwich variance, which accounts for clustering, is given. Performance of the fit and estimated indicators is evaluated graphically and numerically.