A continuous time approach to the pricing of bonds

This paper develops an arbitrage model of the term structure of interest rates based on the assumptions that the whole term structure at any point in time may be expressed as a function of the yields on the longest and shortest maturity default free instruments and that these two yields follow a Gauss-Wiener process. Arbitrage arguments are used to derive a partial differential equation which must be satisfied by the values of all default free bonds. The joint stochastic process for the two yields is estimated using Canadian data and the model is used to price a sample of Government of Canada bonds.     

Project Management of Production Line Automation: A Comparative Analysis of Project Management in Brazil and Colombia

This article aims to evaluate the production line automation projects developed by Brazilian and Colombian companies from the Project Management perspective, through the analysis of the application degree of PMBOK processes, to understand how formal techniques are being employed in these countries and also to identify improvement opportunities, when necessary. Data were collected through a survey. The similarity index between the ten processes, with the highest application degree in the Brazilian and Colombian samples, was 70%. For the processes with the lowest application degree, the similarity index was 60%. No similar study was found in the literature.     

Affective predictors of the effectiveness of training moderated by the cognitive complexity of expected competencies

Research in training, development and education (TD&E) in organizations has produced important results in the last two decades. Evaluation of TD&E has been a special focus of this research, which has resulted in the production of relevant predictive models. The present study has the aim of testing a model of effectiveness of training on work, with the trainee's motivation and satisfaction with training as the antecedent variables and the type of training as a moderator variable. Data collection with 600 participants in a Brazilian bank was conducted with measurement scales before training, at its end and three months later. The data were analyzed through structural equation modeling. The results indicate that the motivation of the trainee and satisfaction with training are predictors of its effectiveness on work and that the type of training affects this predictive relationship. The key feature of the type of training was the cognitive complexity of expected competencies.     

Optimal investment and production decisions and the value of the firm

We explore the effects of uncertainty on a firm that can respond by modifying its investment or production schedule (or both simultaneously) to variations in output price. Investment may increase capacity and/or reduce costs. We consider a firm with finite resources.Our model uses option theory instead of the more traditional net present value framework. One of the early papers using this approach is Brennan and Schwartz (1985) in which an investment project to extract a finite natural resource is valued. In that paper, the value of the firm is a function of two state variables, the finite resource to be extracted (output to be produced in the future) and the commodity spot price. In order to maximize firm value, the manager can respond by modifying one control variable, the production level. In our model we handle instead three state variables (spot price, resources, accumulated investment) and two control variables (production rate and investment rate), and solve numerically.We obtain both the value and the optimal policy of a firm that has investment projects that increase capacity and/or reduce costs and illustrate optimal policies as resources and available investments decrease over the life of the firm. Firms may start by only investing, then invest and produce, to end only producing.We thank Scott Wo, the referee and the editor for their comments and suggestions. Cortázar and Lowener acknowledge the financial support from FONDECYT and FONDER.