Window Double Barrier Options

This paper examines a path-dependent contingent claim called the window double barrier option, including standard but also more exotic features such as combinations of single and double barriers. Price properties and hedging issues are discussed, as well as financial applications.Explicit formulae are provided, along with simple techniques for theirimplementation. Numerical results show that they compare very favourablywith alternative pricing approaches in terms of accuracy and efficiency.     

Land degradation in the Lao PDR: Discourses and policy

While there is an important body of research on environmental discourses and policy in Southeast Asia, the situation in the Lao PDR remains understudied. This paper builds on debates related to environmental change and knowledge production and examines the socio-political construction of the current mainstream discourse on land degradation in Laos. It highlights that, despite significant uncertainties as regard the extent and severity of the issue, land degradation in the uplands is represented by the Laotian authorities and many of their development partners as a major and imminent threat to the development of the country. The paper also examines the way this perspective is translated into policies specifically aimed at resolving the upland issue and proposes an alternative reading of this process where mainstream discourse and associated policy appear partly shaped by the subjectivities and political economic projects of Laos’ policy-makers. Finally, drawing on the case of Laos, the paper provides a critical reflection on conventional approaches to assessing socio-environmental issues and defining policy interventions.     

Alternative to beta coefficients in the context of diffusions

We develop an alternative to the beta coefficient of the CAPM theory. We show the link between this notion and the Wiener chaos expansion of the underlying processes. In the setting of Markov diffusions, we define the drift-neutral beta, which is the quantity of benchmark such that the resulting portfolio is immune to an infinitesimal change of drift on the Brownian motion driving the benchmark. Our approach yields a coefficient which in many practical cases depends on the initial values of both the portfolio and its benchmark. It can also be used to take into account extreme risks and not only the variance. We study several classical diffusion processes and give a full analysis in the case of Jacobi processes. Examples with credit indices show the efficiency of the method in hedging a portfolio.     

Payments and liquidity under adverse selection

Informational asymmetries regarding the future value of assets affect their role in exchange. I construct a random-matching economy composed of two assets: a risk-free bond and a Lucas tree whose terminal value is privately known to its holder. No restrictions are imposed on payment arrangements. The main finding supports a pecking-order theory of payments: Agents use their risk-free bonds first in order to finance their spending shocks, and they use their information-sensitive assets only if their holdings of bonds are depleted. The theory has implications for the optimal provision of risk-free bonds, the structure of asset returns, and liquidity.     

Calculating load factors for the transatlantic airline market using supply and demand data – A note on the identification of gaps in the available airline statistics

This paper takes a critical view of the verification of load factors for the direct transatlantic airline market by combining supply and demand-data. The supply-related data originate from the Official Airline Guide, a well-known data source that contains information on scheduled flights. The demand-related data originate from the Marketing Information Data Transfer database, a data set containing information on actual airline bookings. Combining both data sets enables us to calculate the seat occupancy of direct flights between North-West Europe and the US for 2001. Based on the results, we assess the utility of the joint use of these data sources for aviation economic research, and identify various gaps in the available airline statistics.