Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1

This paper studies contingent claim valuation of risky assets in a stochastic interest rate economy. the model employed generalizes the approach utilized by Heath, Jarrow, and Morton (1992) by imbedding their stochastic interest rate economy into one containing an arbitrary number of additional risky assets. We derive closed form formulae for certain types of European options in this context, notably call and put options on risky assets, forward contracts, and futures contracts. We also value American contingent claims whose payoffs are permitted to be general functions of both the term structure and asset prices generalizing Bensoussan (1984) and Karatzas (1988) in this regard. Here, we provide an example where an American call's value is well defined, yet there does not exist an optimal trading strategy which attains this value. Furthermore, this example is not pathological as it is a generalization of Roll's (1977) formula for a call option on a stock that pays discrete dividends.     

Inferring future volatility from the information in implied volatility in Eurodollar options: a new approach

We study the information content of implied volatility fromseveral volatility specifications of the Heath-Jarrow-Morton(1992) (HJM) models relative to popular historical volatilitymodels in the Eurodollar options market. The implied volatilityfrom the HJM models explains much of the variation of realizedinterest rate volatility over both daily and monthly horizons.The implied volatility dominates the GARCH terms, the Glostenet al. (1993) type asymmetric volatility terms, and the interestrate level. However, it cannot explain that the impact of interestrate shocks on the volatility is lower when interest rates arelow than when they are high.     

Modelling generalized firms’ restructuring using inverse DEA

The key consideration for firms’ restructuring is improving their operational efficiencies. Market conditions often offer opportunities or generate threats that can be handled by restructuring scenarios through consolidation, to create synergy, or through split, to create reverse synergy. A generalized restructuring refers to a move in a business market where a homogeneous set of firms, a set of pre-restructuring decision making units (DMUs), proceed with a restructuring to produce a new set of post-restructuring entities in the same market to realize efficiency targets. This paper aims to develop a novel inverse Data Envelopment Analysis based methodology, called GInvDEA (Generalized Inverse DEA), for modeling the generalized restructuring. Moreover, the paper suggests a linear programming model that allows determining the lowest performance levels, measured by efficiency that can be achieved through a given generalized restructuring. An application in banking operations illustrates the theory developed in the paper.     

Relationship of hospital-associated bleeding with length of stay and total hospitalization costs in patients hospitalized for atrial fibrillation

Background:

While literature has focused on the impact of bleeding beginning outside the hospital setting among patients with atrial fibrillation (AF), there is little information regarding bleeding that first occurs within a hospital setting. This study was performed to determine the association between hospital-associated bleeding in patients admitted for AF on outcomes of length of stay (LOS) and total hospitalization cost.

Methods and results:

The Premier research database was queried to identify adult inpatients discharged between 2008–2011 having a primary diagnosis code for AF where a bleeding diagnosis code was not present on admission. Regression was used to adjust for baseline differences in patients to estimate outcomes comparing patients with and without a hospital-associated bleed. There were 143,287 patients that met the study criteria. There were 2991 (2.1%) patients identified with a hospital associated bleed. After adjustment for covariates, the mean estimated LOS was significantly greater in the bleed group, at 6.0 days (95% CI?=?5.8–6.1) vs the no bleed group at 3.3 days (95% CI?=?3.3–3.3) (p?<?0.0001). Similarly, the adjusted mean estimated total hospitalization cost was also significantly greater in the bleed group, $12,069 (95% CI?=?$11,779–$12,366) vs $6561 (95% CI?=?$6538–$6583) in the no bleed group (p?<?0.0001).

Conclusions:

After adjustments for baseline differences the data show that the 2.1% (n?=?2991) of patients with hospital associated bleeding accounted for an estimated additional 8106 hospitalization days and $16.4 million dollars in cost over the study period compared to non-bleeders.     

Strategic compliments in sales

Salespersons often spend time and money giving prospective buyers compliments such as kind words, meals and gifts. Though prior research has shown that compliments will influence a prospective buyer’s decision, it is unknown the extent to which salespersons should make these investments. In this paper, we develop an analytical model to examine how seller and buyer characteristics affect the equilibrium provision of compliments by the seller. We establish that the optimal magnitude of compliments is non-monotonic in the buyer’s sensitivity to compliments. We identify conditions for when a seller of a high-quality product will offer greater (or lesser) compliments than a seller of a lower quality product. We show that, under certain conditions, an uninformed buyer earns greater utility than a buyer who knows the quality of the seller’s product. The findings have implications for sellers in their choice of compliments and buyers in the inferences they draw from the compliments received.     

Impact of debt structure on production efficiency and financial performance of Broadacre farms in Western Australia

Farming activities are often financed using debt, yet empirical studies investigating the relationship between farm debt structure and performance are still rare. Using a 10 year unbalanced panel of Broadacre farms in Western Australia, we relate the impact of long‐term debt, short‐term debt and tax liability on farm performance measured by input‐oriented technical efficiency and return on assets. We find farm technical efficiency is positively related to short‐term debt, tax liability and capital investment, but negatively related to off‐farm income generating activities. Long‐term debt has no effect on production efficiency and return on assets. These results are robust to both parametric and nonparametric methods of estimation.     

Cultural Influence,Questionnaire Formation and Manager Response in Sino-American International Joint Ventures

This paper explores the differences in tendencies toward using middle-of-the scale responses between Chinese and American managers in Sino-American International Joint Ventures when questionnaire instruments were administered with an explicit midpoint. Results demonstrate that Chinese and American managers had different propensities to choose middle response alternatives when an explicit midpoint in questionnaire items was offered.     

The role of change agent as mediator in the relationship between HR competencies and organizational performance

Human resource (HR) practitioners, as change agents, are responsible for easing the impact of changes in their organization and to protect employees against the side effects of these inevitable changes. Sometimes, the change helps to produce a significant increase in performance and the company can boost sales and production without additional cost. Several vital competencies that are reviewed in this paper include business knowledge culture management, effective relationship and human resource development skills. Based on the findings of this study, not all competencies are related to the role of change agent. HR practitioners who are unable to function as change agents will inevitably create a barrier against their becoming a well-integrated strategic partner. Therefore, the role of change agent also mediates the relationship between certain HR competencies and organizational performance.     

Does Mandating Nondiscrimination in Hiring Practices Influence Women's Employment? Evidence Using Firm-Level Data

This study explores the relationship between mandating a nondiscrimination clause in hiring practices along gender lines and the employment of women versus men in fifty-eight developing countries. Using data from the World Bank's Enterprise Surveys (2006–10 World Bank. 2006–10. “Enterprise Surveys.” www.enterprisesurveys.org. [Google Scholar]), the study finds a strong positive relationship between the nondiscrimination clause and women's relative to men's employment. The relationship is robust to a large number of controls at the firm and country level. Results also show sharp heterogeneity in the relationship between the nondiscrimination clause and women's versus men's employment, with the relationship being much bigger in richer countries and in countries with more women in the population as well as among relatively smaller firms.     

促进民营企业跨国经营的对策分析

对中国的大多数企业尤其中小型的民营企业而言,国际化经营还是一个崭新的课题。本文通过总结我国民营企业跨国经营现状,分析了我国民营企业跨国经营活动的面临的主要问题,并从政府营造环境和企业自身准备两个角度提出了我国民营企业跨国经营的对策。