GENERALIZATION OF THE DYBVIG–INGERSOLL–ROSS THEOREM AND ASYMPTOTIC MINIMALITY

The long‐term limit of zero‐coupon rates with respect to the maturity does not always exist. In this case we use the limit superior and prove corresponding versions of the Dybvig–Ingersoll–Ross theorem, which says that long‐term spot and forward rates can never fall in an arbitrage‐free model. Extensions of popular interest rate models needing this generalization are presented. In addition, we discuss several definitions of arbitrage, prove asymptotic minimality of the limit superior of the spot rates, and illustrate our results by several continuous‐time short‐rate models.     

THE IMPACT OF DEMAND UNCERTAINTY AND CONFIGURATION CAPACITY ON CUSTOMER SERVICE PERFORMANCE IN A CONFIGURE‐TO‐ORDER ENVIRONMENT

This paper examines the simultaneous impact of demand variability, demand skew, and configuration capacity on customer service in a configure‐to‐order environment. Simulation is done in ARENA and data are analyzed using ANOVA and MANOVA. The findings indicate that the factors studied have differential impact on performance both individually and interactively.     

PRICE‐ADMISSIBILITY CONDITIONS FOR ARBITRAGE‐FREE LINEAR PRICE FUNCTION MODELS FOR THE TERM STRUCTURE OF INTEREST RATES

To assure price admissibility—that all bond prices, yields, and forward rates remain positive—we show how to control the state variables within the class of arbitrage‐free linear price function models for the evolution of interest rate yield curves over time. Price admissibility is necessary to preclude cash‐and‐carry arbitrage, a market imperfection that can happen even with a risk‐neutral diffusion process and positive bond prices. We assure price admissibility by (i) defining the state variables to be scaled partial sums of weighted coefficients of the exponential terms in the bond pricing function, (ii) identifying a simplex within which these state variables remain price admissible, and (iii) choosing a general functional form for the diffusion that selectively diminishes near the simplex boundary. By assuring that prices, yields, and forward rates remain positive with tractable diffusions for the physical and risk‐neutral measures, an obstacle is removed from the wider acceptance of interest rate methods that are linear in prices.     

Pharmaceutical cost‐sharing systems and savings for healthcare systems from parallel trade

This paper studies the consequences of parallel trade in a two‐country model. It compares a coinsurance scheme (consumers pay a percentage of the drug price) and an indemnity insurance scheme (reimbursement is independent of the drug price) with respect to changes in copayments and public health expenditure. In the destination country, copayments for patients decrease to a larger extent under indemnity insurance, whereas reductions in public health expenditure occur only under coinsurance. In the source country, copayments increase less under coinsurance, whereas health expenditure is reduced more under indemnity insurance. In both countries, total expenditure under parallel trade is lower.     

NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET

We prove that when the dividend rate of the underlying asset following a geometric Brownian motion is slightly larger than the risk‐free interest rate, the optimal exercise boundary of the American put option is not convex.     

US immigration policies and dynamics of cross‐border workforce in agriculture

Given the contentious debate on immigration, this study develops a dynamic model to analyse the effects of stricter border and domestic enforcement and streamlining the guest‐worker programme on cross‐border migration from Mexico, employment and production in US labour‐intensive and Mexican agriculture and the US and Mexican wage rates. The model incorporates labour‐leisure decisions of Mexican workers and labour market dynamics and linkages. The findings show stricter border and domestic controls exacerbate the labour‐shortage problems and reduce the US agricultural production. Streamlining the guest‐worker programme provides a steady supply of farm workers and has negligible impact on the US wage.     

THE BENEFITS OF USING E‐BUSINESS TECHNOLOGY: THE SUPPLIER PERSPECTIVE

The use of e‐business technologies between supply chain organizations has primarily been examined from the viewpoint of buying firms or retailers, with little attention given to the benefits accrued to suppliers. Further, previous studies have been limited to either financial or marketing performance measures, or a narrow range of operational measures. This study builds on research in this area by testing a model of the relationship between supplier use of e‐business technologies in communication with their primary buyer, degree of buyer‐supplier coordination, and a complete set of benefits that include strategic and operational performance measures. Using data from 241 first‐tier OEM suppliers in the computer industry, the findings show that supplier use of e‐business technologies positively impacts organizational benefits both directly and indirectly by promoting buyer‐supplier coordination.     

TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS

We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We propose to extend standard actuarial principles by a new market‐consistent evaluation procedure which we call “two‐step market evaluation.” This procedure preserves the structure of standard evaluation techniques and has many other appealing properties. We give a complete axiomatic characterization for two‐step market evaluations. We show further that in a dynamic setting with continuous stock prices every evaluation which is time‐consistent and market‐consistent is a two‐step market evaluation. We also give characterization results and examples in terms of g‐expectations in a Brownian‐Poisson setting.     

THE EFFECTS OF LOGISTICS CAPABILITIES ON FIRM PERFORMANCE: CUSTOMER‐FOCUSED VERSUS INFORMATION‐FOCUSED CAPABILITIES

The research presents a model that portrays customer‐focused and information‐focused capabilities as interrelated predictors of firm performance. Results show that customer‐focused capabilities are directly related to performance, but that information‐focused capabilities are not. Rather, the latter relationship is indirect: information‐focused capabilities are linked to performance via the interrelationship with customer‐focused capabilities.     

Determinants of consumers’ aesthetic responses to Point‐of‐Purchase materials

The four‐dimensional nature of the Kaplans’ model of aesthetic response to images was tested on Point‐of‐Purchase (POP) material. It was found that only two robust dimensions emerged in the analysis, Clarity and Mystery. These however, had a significant influence on the subjects’ rating of the POP’s attractiveness. Path analysis suggested each of these dimensions was independent of the other. The implications of the findings are discussed and possible future areas of research identified.     

THE WIENER–HOPF TECHNIQUE AND DISCRETELY MONITORED PATH‐DEPENDENT OPTION PRICING

Fusai, Abrahams, and Sgarra (2006) employed the Wiener–Hopf technique to obtain an exact analytic expression for discretely monitored barrier option prices as the solution to the Black–Scholes partial differential equation. The present work reformulates this in the language of random walks and extends it to price a variety of other discretely monitored path‐dependent options. Analytic arguments familiar in the applied mathematics literature are used to obtain fluctuation identities. This includes casting the famous identities of Baxter and Spitzer in a form convenient to price barrier, first‐touch, and hindsight options. Analyzing random walks killed by two absorbing barriers with a modified Wiener–Hopf technique yields a novel formula for double‐barrier option prices. Continuum limits and continuity correction approximations are considered. Numerically, efficient results are obtained by implementing Padé approximation. A Gaussian Black–Scholes framework is used as a simple model to exemplify the techniques, but the analysis applies to Lévy processes generally.     

THE ROLE OF LOGISTICS MANAGERS IN THE CROSS‐FUNCTIONAL IMPLEMENTATION OF SUPPLY CHAIN MANAGEMENT

There is confusion about the domain of supply chain management, and the functions and processes that should be included. In this paper, we describe the key supply chain management processes, the role of logistics managers in each of these processes, and what the logistics function gains from this involvement.     

城乡居民收入差距对居民消费影响的实证分析

回归分析证明了改革开放以来城乡居民收入差距过大导致整个消费水平越来越低,增加城市居民的收入不能提高我国居民的整体消费水平;城镇居民收入较高,相对于农村居民来说边际消费倾向要低于农村居民的边际消费倾向,如果能增加农村居民的收入,则会提高全国的消费总量及转变农村的消费结构。     

ON AGENT’S AGREEMENT AND PARTIAL‐EQUILIBRIUM PRICING IN INCOMPLETE MARKETS

We consider two risk‐averse financial agents who negotiate the price of an illiquid indivisible contingent claim in an incomplete semimartingale market environment. Under the assumption that the agents are exponential utility maximizers with nontraded random endowments, we provide necessary and sufficient conditions for negotiation to be successful, i.e., for the trade to occur. We also study the asymptotic case where the size of the claim is small compared to the random endowments and we give a full characterization in this case. Finally, we study a partial‐equilibrium problem for a bundle of divisible claims and establish existence and uniqueness. A number of technical results on conditional indifference prices is provided.     

AN INVESTIGATION OF THE VALUE OF CROSS‐DOCKING FOR SUPPLY CHAIN MANAGEMENT

Cross‐docking is the practice of transferring materials from an incoming shipment directly to an outgoing shipment without storing them at the transfer point. This essentially eliminates the inventory‐holding function of a warehouse and can reduce supply chain costs. We investigate the value of one type of cross‐docking in a variety of supply chain environments.     

Multidimensional Variance‐Optimal Hedging in Discrete‐Time Model—A General Approach

One of the well‐known approaches to the problem of option pricing is a minimization of the global risk, considered as the expected quadratic net loss. In the paper, a multidimensional variant of the problem is studied. To obtain the existence of the variance‐optimal hedging strategy in a model without transaction costs, we can apply the result of Monat and Stricker. Another possibility is a generalization of the nondegeneracy condition that appeared in a paper of Schweizer, in which a one‐dimensional problem is solved. The relationship between the two approaches is shown. A more difficult problem is the existence of an optimal solution in the model with transaction costs. A sufficient condition in a multidimensional case is formulated.     

Comparing online and non‐online shoppers

A web‐based survey was completed by 130 faculty and staff from a university located in the south‐eastern United States. The purposes of this study were to investigate: (a) consumer characteristics related to online shopping; (b) benefits of online shopping as perceived by online shoppers; and (c) concerns about online shopping as perceived by non‐online shoppers. Responses were analysed using SPSS for tests of chi‐square. Findings suggest that the differences between online shoppers and non‐online shoppers correspond with Rogers’ 1 categories of adopters, and that the educational needs of consumers also differ based on their previous experience with online shopping.     

CUSTOMER SERVICE IN THE INTERNET‐ENABLED LOGISTICS SUPPLY CHAIN: WEBSITE DESIGN ANTECEDENTS AND LOYALTY EFFECTS

This article extends the existing research on logistics customer service‐loyalty relationships to the online logistics supply chain environment by examining potential website determinants of logistics customer service quality. A structural equation analysis of 373 online shopping transactions suggests that perceived quality of all logistics customer service activities (perceived cycle time, in‐stock availability, and customer responsiveness) varies inversely with: (1) perceived ease of use, and (2) content vividness of the website; and positively with product information content. However, only retailer customer responsiveness assessment was found to have any significant influence on consumer intended loyalty behavior in Internet‐enabled supplies chains.     

INDIFFERENCE VALUATION OF MORTGAGE‐BACKED SECURITIES IN THE PRESENCE OF PREPAYMENT RISK

We present a utility‐based methodology for the valuation and the risk management of mortgage‐backed securities subject to totally unpredictable prepayment risk. Incompleteness stems from its embedded prepayment option which affects the security's cash flow pattern. The prepayment time is constructed via deterministic or stochastic hazard rate. The relevant indifference price consists of a linear term, corresponding to the remaining outstanding balance, and a nonlinear one that incorporates the investor's risk aversion and the interest payments generated by the mortgage contract. The indifference valuation approach is also extended to the case of homogeneous mortgage pools.