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Abstract
It is market practice to quote interest rate derivatives traded “over the counter” in terms of their implied volatility. For
this reason, the term structure of at-the-money cap volatilities as well as the volatility surface of at-the-money swaptions
are directly observed. This paper analyzes the case of caps. Any analysis of these markets would most likely report two main
facts. The first is that the level of the volatility is inversely related to the level of the interest rates. The second is
that the term structure is either a decreasing or a humped function of maturity. For a reference, see Rebonato (2003) and
Brigo and Mercurio (2001). Rebonato (2003) suggests that the structure of implied volatility is humped in periods of normal
market conditions and decreasing when markets are “excited”. Interpreting and explaining such phenomena is indeed an interesting
and important issue.
Mathematics Subject Classification (2000): 91B70
Journal of Economic Literature Classification: E43, C13 相似文献
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Raphael Braga da Silva Bernardo Prôa Bressane Alessandra Pasqualina Viola Antonio Carlos Figueiredo Pinto T. Diana L. van Aduard de Macedo Soares 《Latin American Business Review》2013,14(4):311-328
Based on studies of idiosyncratic volatility developed in the recent literature, this study analyzes its relation with expected returns through the breakdown of idiosyncratic volatility in the Brazilian stock market and presents evidence of the importance of expected idiosyncratic volatility for asset pricing. We study the impact of the expected and unexpected components of idiosyncratic volatility on the returns of shares listed on the BOVESPA between 2004 and 2011. The results show a strong positive and significant relation between expected idiosyncratic volatility and returns. This evidence is highlighted when we use unexpected idiosyncratic volatility to control for unexpected returns. Additional robustness tests, controlling for size and momentum effects, also have positive and significant coefficients, corroborating previous findings. 相似文献
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“由于我的个人历史、我的专业技能和我在商业上所取得的成就,我是一个无人能与之相比的人物。” 相似文献
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Linear programming (LP) is a widely used tool in management decision making. Theoretically, sensitivity analysis of LP problems provides useful information for the decision maker. In practice, however, most LP software provides misleading sensitivity information if the optimal solution is degenerate. The paper shows how sensitivity analysis of LP problems can be done correctly when the optimal solution is degenerate. A production planning example is presented to illustrate the incorrect sensitivity analysis results automatically provided by most LP solvers. The general characteristics of the misleading results and the possible effects of this incorrect information on management decisions are also discussed. 相似文献
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Viola Muster 《Journal of Consumer Policy》2011,34(1):161-174
Activities aimed at promoting sustainable consumption need to be introduced into everyday settings, as sustainable consumption
behaviour needs to become part of daily living. Therefore it is worthwhile reflecting on social settings where consumption
plays a minor role, but where people nonetheless learn and experience new attitudes and behaviours. The workplace is an important
focal point of adults’ daily routines. This paper examines companies’ role in promoting sustainable consumption of their employees. 相似文献
8.
不久的将来,人们就能得到他们需要的任何信息,不论他们身在何处。甚至在出现突发情况时,比如在最后时刻日程表变更了,或是附近有一家味道不错的餐馆诱惑你驻足,只要你需要,信息就会随叫随到。 相似文献
9.
Consumers' perceptions of functional foods: trust and food‐neophobia in a cross‐cultural context 下载免费PDF全文
Irina Dolgopolova Ramona Teuber Viola Bruschi 《International Journal of Consumer Studies》2015,39(6):708-715
Consumers' perceptions of functional foods are complicated by perceived risks and complexity that appear from growing and sometimes confusing information flow. Social trust can serve as a mean for the reduction of risk and complexity. It is thus vital to understand the sources of distrust and food‐neophobia as well as coping mechanisms used by consumers to ensure food provision and safety. We discuss the results of a qualitative inquiry in the form of focus groups into consumers' perceptions of functional foods in Russia and Germany. Altogether eight focus group interviews were carried out in different parts of Russia and Germany in December–January 2012–2013. A total of 59 people participated in the discussions. Different perspectives provided by the discussions in the two countries indicate different levels of trust. Deeper culturally embedded and wider‐spread distrust in formal institutions in Russia pushes consumers towards developing informal networks to ensure food provision and safety. It leads to high levels of food‐neophobia as consumers perceive traditions as the most important guarantee for healthy food. On the other hand, German participants indicate a number of formal institutions that are trustworthy and through which information concerning novel and healthy attributes in foods can be communicated. We provide exploratory views on the importance of social trust in consumers' perceptions of functional foods and lay out mechanisms that consumers develop to deal with increasing risk and complexity in food choices. 相似文献
10.
This paper investigates the causes of disproportionate increases of sovereign yields with respect to the interest rate on the 10 years German Bund within the Eurozone. Empirical evidence drawn from the Bank for International Settlements dataset on banks’ portfolios shows that rapid financial integration, following the launch of the monetary union, resulted in excess exposure of Core countries’ banks in the Peripheral countries’ financial assets. In order to endogenize the possibility of contagion effects, we conduct econometric estimates through a Global Vector Autoregressive model, where each country’s spread depends upon all Eurozone countries’ spreads. Results show that after the burst of the financial crisis the Core countries’ sovereign yields are essentially determined by the international risk aversion, whereas the spreads of Peripheral countries mainly depend on fundamentals, namely the public debt/GDP ratio and the Real Effective Exchange Rate values with respect to the Eurozone average. These results are supported by the estimate of an impulse response analysis. Macroeconomic failures in public finances and competitiveness seem to originate the exceptional increases in sovereign spreads of the Periphery, through a contagion effect which is limited to this group of Eurozone countries. 相似文献