Valuation of forward start options under affine jump-diffusion models

Under the general affine jump-diffusion framework of Duffie et al. [Econometrica, 2000, 68, 1343–1376], this paper proposes an alternative pricing methodology for European-style forward start options that does not require any parallel optimization routine to ensure square integrability. Therefore, the proposed methodology is shown to possess a better accuracy–efficiency trade-off than the usual and more general approach initiated by Hong [Forward Smile and Derivative Pricing. Working paper, UBS, 2004] that is based on the knowledge of the forward characteristic function. Explicit pricing solutions are also offered under the nested jump-diffusion setting proposed by Bakshi et al. [J. Finance, 1997, 52, 2003–2049], which accommodates stochastic volatility and stochastic interest rates, and different integration schemes are numerically tested.     

Quality perceptions under evolving information conditions: Implications for diet,health and consumer satisfaction

Consumers’ perception of, and satisfaction with, fruit quality is an important issue for both public policy and commercial reasons. However, because of information problems, consumers cannot easily choose fruits of a quality most likely to satisfy their preferences and health needs. The research reported here employed an experimental auction method to test perceptions of fruit quality by evaluating the willingness to pay (WTP) of consumers for five different varieties of soft citrus under three different information conditions: visual inspection of the fruit before peeling; visual inspection after peeling; and after consumption. Significant differences were found in valuations of the different varieties as consumers gained information. Conclusions are drawn about the value of the methodology and the results themselves, and implications are inferred for policy and for growers and traders. It is argued that product information should be oriented not just towards nutritional education but also towards increasing the pleasure of healthy eating.     

Capital mobility in a dynastic framework

This paper studies the pattern of capital mobility within atwo-country dynastic model in which each country is exogenouslycharacterized by its degree of altruism toward children. Thesteady-state welfare implications of restricted as well as unrestrictedcapital mobility are established. It is shown that world integrationincreases the steady-state welfare of the more altruistic capitalexporting country and can either increase or reduce the steady-statewelfare of the less altruistic capital importing country.     

Perceived insecurity in the public space: personal,social and environmental variables

Perceived insecurity in the public space: Personal, social and environmental variables. This paper explores perception of insecurity among the users of Barcelona’s public space. It describes the results of a research aimed to determine the key variables for the understanding of subjective insecurity. Structural equation models have been applied for this purpose. Results show low relative indices of causality for environmental variables, whereas those related to space representation, residential satisfaction and urban identity, social support and personal competences offer high predictive potential. It is concluded that insecurity perceptions in the public space are therefore strongly linked to social interaction processes and to the social construction of insecurity. Other results, like the influence of gender or age, are consistent with previous findings.     

Inequality,Nonhomothetic Preferences,and Trade: A Gravity Approach

We construct the first direct classification of goods as luxuries or necessities that is compatible with international trade data. We then use it to test an idea that has not been tested directly in the literature: Countries' income distributions are important determinants of their import demand, and, in particular, of the difference in their import demands of luxuries versus necessities. We interpret this result with the aid of a model in which preferences are nonhomothetic, thus relaxing a long-held and standard—but empirically dubious—assumption in the theory of international trade. Our model is strongly borne out by the results: Imports of luxuries increase with the importing country's inequality, and imports of necessities decrease with it. Our calculations imply that if income distribution in the United States became as equal as in Canada, the United States would import about 9-13% fewer luxury goods and 13-19% more necessities.     

Fiscal adjustments,labour market flexibility and unemployment

Using a panel of 17 countries for 1978–2009, we find that tax-driven consolidations increase unemployment by 0.25 percentage points. Labour market flexibility mitigates this: a one-point rise in the flexibility index reduces youth (long-term) unemployment by 0.6–0.7 (1.8–2.2) percentage points.     

American options and callable bonds under stochastic interest rates and endogenous bankruptcy

A new characterization of the American-style option is proposed under a very general multifactor Markovian and diffusion framework. The efficiency of the proposed pricing solutions is shown to depend only on the use of a viable valuation method for the corresponding European-style option and for the transition density of the model’s state variables. Under a Gauss-Markov stochastic interest rates setup, these new American option pricing solutions are shown to offer a much better accuracy-efficiency trade-off than the approximations already available in the literature. This result is also used to price callable corporate bonds under an endogenous bankruptcy structural approach, by decomposing the option to call or default into a European put on the firm value plus two early exercise premium components.     

Urban transformation and diffusion of tourist practices: visiting Alcântara at the turn of the twentieth century

This article examines the effects of tourism on the transformation of the perception of the urban world. I aim at exploring the role that tourist practices have played in the evolution of the organisation and uses of urban spaces or, in other words, in the way the city has been experienced and lived. The development of tourist practices and situations has contributed to framing the discontinuous progress of urbanisation. To better understand this process, I propose to move beyond exploration of specific tourist contexts and places, and to think about the complex relationship between, on the one hand, the material and social arrangements of the city, and on the other, the discourses and representations produced around it. My research draws on a specific case study, namely: The transformation of representations of the Alcântara neighbourhood in turn-of-the-century Lisbon, from an industrial suburb to a popular and ‘urban’ place [Vidal, F. (2006). Les habitants d'Alcântara. Histoire sociale d'un quartier de Lisbonne au début du XXe siècle [The inhabitants of Alcântara. A social history of a Lisbon neighbourhood in the early twentieth century]. Villeneuve d'Ascq: Presses Universitaires du Septentrion]. During the turn to the twentieth century, Alcântara became ‘visible’ and ‘visitable’. The former industrial suburb was thenceforth perceived as a pleasant and urban place, both in a practical way (patent, for example, in the experience of walking down the streets or of visiting industrial sites) and in a symbolic way (through the construction of neighbourhood identities and heritage policies).