Double continuation regions for American and Swing options with negative discount rate in Lévy models

In this paper, we study perpetual American call and put options in an exponential Lévy model. We consider a negative effective discount rate that arises in a number of financial applications including stock loans and real options, where the strike price can potentially grow at a higher rate than the original discount factor. We show that in this case a double continuation region arises and we identify the two critical prices. We also generalize this result to multiple stopping problems of Swing type, that is, when successive exercise opportunities are separated by i.i.d. random refraction times. We conduct an extensive numerical analysis for the Black–Scholes model and the jump‐diffusion model with exponentially distributed jumps.     

Stock markets and industry growth: an Eastern European perspective

This paper reviews the recent stock market developments in Poland and the Czech Republic and provides a case-study insight into the direction of causality between stock market expansion and economic growth. It finds no evidence that the relative failure of the Czech security market affected the country's economy. It also reports that the largest equity issuers in Eastern Europe do not come from industries traditionally considered financially dependent.     

Poland and the euro zone enlargement: Monetary policy,ERM II,and other issues

In this paper, Poland's preparations to introduce the euro and discussions surrounding them are briefly analyzed. Its first part deals with legal and macroeconomic developments before Poland's accession to the EU in May 2004. The second part considers Poland's official position and possible future scenarios. The main conclusions are twofold. Firstly, it is argued that after finishing successfully the disinflation process, Poland's monetary integration is above all subject to fiscal and exchange rate developments. In both cases, they are a function of the economy's structural changes. Secondly, as a consequence, fulfilling the Maastricht Treaty nominal convergence criteria by Poland will imply enough degree of real convergence for its successful participation in the euro zone. The opinions expressed in the paper are of the author and should not be attributed to any institution he is working for. He would like to expresshis gratitude to Witold Grostal and Robert Woreta for providing the graphs. Helpful comments were made by Michal Brzoza-Brzezina, Tomasz Chmielewski, and by Eduard Hochreiter. Language assistance was provided by Barton D. Raven. Any remaining errors are solely the author's responsibility.     

Minimum Wage in Poland and Youth Employment in Regional Labor Markets

The aim of this article is to analyze the effect of a uniform minimum wage in Poland on youth employment in regional labor markets and to determine in which of the regions the effect is significant. The analyses are based on NUTS2 level in 1999–2012. The results point to a statistically insignificant parameter of minimum wage variable for the whole sample. However, after allowing the minimum wage parameter to vary across regions, we find that the relatively high ratio of minimum to average wages could be the factor limiting youth employment growth in less-developed regions in the southeast of Poland.     

Unfolding intensity function of a Poisson process in models with approximately specified folding operator

Quasi-maximum likelihood histogram sieve estimators of the intensity function of an indirectly observed Poisson process are studied. The setup differs from the standard one in that the exact form of the folding operator may not be known. Instead, approximate knowledge on its discretized version is available. Conditions for strong L ²-consistency are given and admissible discretization rates are studied. In non-folding problems, the number of histogram bins may essentially increase at the usual maximal rate while folding reduces the allowed discretization rates. It is shown that, even in moderately ill-posed problems, the discretization effects may be critical for the strong L ²-convergence and that there is an essential need both for further regularization and for imposing stronger conditions on the estimated function. Not surprisingly, the most restrictive factor is the low approximation power of piecewise constant functions. A regularization method is proposed which suitably modifies the discrete approximation of the folding operator and ensures the strong consistency. Since no penalty term is being introduced, the EM algorithm can be used in its factorized, efficient form. Convergence rates are obtained in terms of the discrete problem. Received: July 1999     

Quasi-maximum likelihood estimation of parameters in a multivariate poisson process

Asymptotic normality and quick consistency of quasi-maximum likelihood estimators of parameters in a multivariate Poisson process are proved. Possible application of the results obtained to the problem of unfolding histograms is briefly discussed.     

A note on optimal expected utility of dividend payments with proportional reinsurance

In this paper, we consider the problem of maximizing the expected discounted utility of dividend payments for an insurance company that controls risk exposure by purchasing proportional reinsurance. We assume the preference of the insurer is of CRRA form. By solving the corresponding Hamilton–Jacobi–Bellman equation, we identify the value function and the corresponding optimal strategy. We also analyze the asymptotic behavior of the value function for large initial reserves. Finally, we provide some numerical examples to illustrate the results and analyze the sensitivity of the parameters.     

Return performance volatility and adaptation in an automated technical analysis approach to portfolio management

This paper discusses the design of a quantitative computational intelligence portfolio management system and evaluates the advantages of some adaptive mechanisms to enable the system to adjust its management approach as market conditions change. A detailed analysis of the performance of the system outside is also provided. It is found that an adaptive methodology where trading rules are able to adjust to market conditions performs better, having greater excess returns and lower volatility than a fixed rule approach. We consider several performance metrics, including portfolio alpha and information content. Copyright © 2009 John Wiley & Sons, Ltd.     

Screening and valuing venture capital investments: evidence from Hungary,Poland and Slovakia

This paper examines the screening and valuation approaches used by venture capital firms in emerging markets using evidence from surveys of venture capital firms in Hungary, Poland and Slovakia. The results show notable differences in the state of development and operation of the venture capital markets both between the three countries and in comparison with the developed UK venture capital market, especially in relation to the degree of equity ownership sought by venture capitalists, the information used in deal screening and valuation methods.