Pricing Interest Rate Derivatives: A General Approach

The relationship between affine stochastic processes and bondpricing equations in exponential term structure models has beenwell established. We connect this result to the pricing of interestrate derivatives. If the term structure model is exponentialaffine, then there is a linkage between the bond pricing solutionand the prices of many widely traded interest rate derivativesecurities. Our results apply to m-factor processes with n diffusionsand l jump processes. The pricing solutions require at mosta single numerical integral, making the model easy to implement.We discuss many options that yield solutions using the methodsof the article.     

How Hybrids Manage Growth and Social–Business Tensions in Global Supply Chains: The Case of Impact Sourcing

This study contributes to the growing interest in how hybrid organizations manage paradoxical social–business tensions. Our empirical case is “impact sourcing”—hybrids in global supply chains that hire staff from disadvantaged communities to provide services to business clients. We identify two major growth orientations—“community-focused” and “client-focused” growth—their inherent tensions and ways that hybrids manage them. The former favors slow growth and manages tensions through highly integrated client and community relations; the latter promotes faster growth and manages client and community relations separately. Both growth orientations address social–business tensions in particular ways, but also create latent constraints that manifest when entrepreneurial aspirations conflict with the current growth path. In presenting and discussing our findings, we introduce preempting management practices of tensions, and the importance of geographic embeddedness and distance to the paradox literature.     

Cephalon, Inc. Taking risk management theory seriously

Cephalon Inc., a biotech firm, bought call options on its own stock to meet its conditional cash flow needs. We analyze this decision by using the cash flow hedging concepts of Froot et al., (1993. Journal of Finance 5, 1629–1658). We identify the managerial analyses necessary to apply this theory and discuss managerial considerations absent from the theory. We find that managers consider deadweight costs of risk management, which theory tends to ignore. Theory provides little guidance in how to measure these and other deadweight costs. Finally, uncertainty about the availability of external financing and accounting considerations are critical considerations by managers.     

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

This paper examines the optimal consumption and portfolio-choiceproblem of long-horizon investors who have access to a risklessasset with constant return and a risky asset ("stocks") withconstant expected return and time-varying precision—thereciprocal of volatility. Markets are incomplete, and investorshave recursive preferences defined over intermediate consumption.The paper obtains a solution to this problem which is exactfor investors with unit elasticity of intertemporal substitutionof consumption and approximate otherwise. The optimal portfoliodemand for stocks includes an intertemporal hedging componentthat is negative when investors have coefficients of relativerisk aversion larger than one, and the instantaneous correlationbetween volatility and stock returns is negative, as typicallyestimated from stock return data. Our estimates of the jointprocess for stock returns and precision (or volatility) usingU.S. data confirm this finding. But we also find that stockreturn volatility does not appear to be variable and persistentenough to generate large intertemporal hedging demands.     

Bayesian estimation based on ranked set sample from Morgenstern type bivariate exponential distribution when ranking is imperfect

In this paper we consider Bayes estimation based on ranked set sample when ranking is imperfect, in which units are ranked based on measurements made on an easily and exactly measurable auxiliary variable X which is correlated with the study variable Y. Bayes estimators under squared error loss function and LINEX loss function for the mean of the study variate Y, when (X, Y) follows a Morgenstern type bivariate exponential distribution, are obtained based on both usual ranked set sample and extreme ranked set sample. Estimation procedures developed in this paper are illustrated using simulation studies and a real data.     

Concomitants of Record Values Arising from Morgenstern Type Bivariate Logistic Distribution and Some of their Applications in Parameter Estimation

In this paper we have obtained the joint probability density function of concomitants of two record values and hence obtained an explicit expression for the product moment of concomitants of two record values arising from Morgenstern family of distributions. Appling this expression for the product moments of concomitants of record values we have derived the best linear unbiased estimators based on concomitants of record values of some parameters involved in Morgenstern type bivariate logistic distribution which is a subfamily of the Morgenstern family of distributions. The efficiencies of these estimators based on the first n concomitants of record values for n≤10 are also obtained.     

Employee experiences of HRM through daily affective events and their effects on perceived event‐signalled HRM system strength,expectancy perceptions,and daily work engagement

The importance of events to individual experiences and behaviour within organisational research is increasingly acknowledged. This research examines whether daily positive and negative affective HRM events signal employee perceptions of HRM system strength, which are expected to relate to daily work engagement via clear performance–reward expectancies. Employees completed a daily diary over ten working days and reported positive and negative daily HR events as they arose. Positive HR events associated with higher perceived event‐signalled HRM system strength compared with negative HR events, and expectancy perceptions partially mediated the effects of perceived HRM system strength on daily work engagement. The study's novel contributions include documenting the common occurrence of affective HRM events, identifying such events as an important antecedent to perceived event‐signalled HRM system strength, and extending understanding of the daily consequences of perceived HRM system strength by showing how their effects on daily work engagement are mediated by expectancies.     

Latent liquidity: A new measure of liquidity,with an application to corporate bonds

We present a new measure of liquidity known as “latent liquidity” and apply it to a unique corporate bond database. Latent liquidity is defined as the weighted average turnover of investors who hold a bond, in which the weights are the fractional investor holdings. It can be used to measure liquidity in markets with sparse transactions data. For bonds that trade frequently, our measure has predictive power for both transaction costs and the price impact of trading, over and above trading activity and bond-specific characteristics thought to be related to liquidity. Additionally, this measure exhibits relationships with bond characteristics similar to those of other trade-based measures.     

Positioning a tourism destination to gain a competitive edge

Positioning is a form of market communication that plays a vital role in enhancing the attractiveness of a tourism destination. This article describes the different parts of the positioning process and applies it to the case of positioning a U.S. destination to Japanese visitors.