The value of tradeability

This paper determines the value of asset tradeability in an option pricing framework. In our model, tradeability is valuable since it allows investors to exploit temporary mispricings of stocks. The model delivers several novel insights on the value of tradeability: The value of tradeability is the larger, the higher the pricing efficiency of the market is. Uncertainty increases the value of tradeability, no matter whether the uncertainty results from noise trading or from new information about the fundamental value of the stock. The value of tradeability is the larger, the longer the illiquid stock cannot be traded and the more trading dates the liquid stock offers.     

The impact of development of customer online banking skills on customer adviser skills

The object of this article is the development of customer banking skills as a result of using online banking and its impact on the competence of customer advisers in face‐to‐face customer contacts. The main results show that online banking enables customers to develop a range of banking skills.     

Business aviation in Germany: An empirical and model-based analysis

The primary role of large airports is to serve the general public with scheduled and charter air transport services, with a secondary role of providing direct air transport access to regional industry and to firms who operate their own fleets of aircraft. Because of the complexity of slot allocation procedures and increasing runway capacity problems at airports, there is a growing problem in realising this secondary function. Neighbouring regional airports could play a complementary role and cope with some of this growth in traffic. Here we quantify the distribution of growing business aviation demand between airports to explore potential ways of accommodating it at both major and nearby secondary facilities.     

Consumer@Protection.EU. An Analysis of European Consumer Legislation in the Information Society

The Internet and electronic commerce have emerged as the emblems of a worldwide virtual economy. Although it is yet difficult to grasp all the repercussions of the borderless world of the Internet, it is certain that to shop in this world is different from shopping in the world as we knew it ten years ago. Obviously, the new developments affect the traditional framework of European and national consumer law and the perspectives that underpin this body of law, for most consumer law was established at a time when the Information Society was an unknown phenomenon. Underlining the importance of this issue, the European Council asked the Commission to examine existing consumer law in the Community in the light of the new conditions created by the Information Society and to identify potential problems and loopholes. A report on background research for this examination was submitted to the Commission in August 2000. The present article is based on this report and provides an account of the main findings, conclusions, and recommendations of the report.     

Double boundary crossing result for the brownian motion

Abstract

In a recent paper a general bounded crossing result for the Brownian motion is obtained for a linear upper boundary based on the method of Kac (1951). Based on his main results we are able to develop in the present paper some simple expressions for crossing probabilities in case of a lower and an upper linear boundary. We will consider a Brownian motion process for the surplus of an insurance portfolio. This surplus must stay between two given bounds. If the surplus will cross the upper boundary, we can pay a dividend. The lower boundary can reflect the influence of control authorities and regulation measurements.     

A NAASTy alternative to RAND pricing commitments

Voluntary standard setting organizations (SSOs) typically require participants to disclose their patents during the standard-setting process, and will endorse a standard only if patent holders commit to license them on reasonable and non-discriminatory or RAND terms. This policy is unworkable—the RAND standard is ambiguous and thus extremely hard to adjudicate. As an alternative, a policy of Non-Assertion After Specified Time, or NAAST pricing, is proposed. Under NAAST, technology vendors commit not to assert their patent after some previous specified time, but would be free to collect royalties as they wish up until that point. Under this proposal, technology producers would be compensated, vendors would have quick and eventually free access to standards and a large element of uncertainty due to litigation would be eliminated.     

Stable Laws and the Present Value of Fixed Cash Flows

Abstract

In this paper, the authors consider the present value of a series of fixed cash flows under stochastic interest rates. To model these interest rates, they don’t use the common lognormal model, but stable laws, which better fit in with reality. Their main intention is to derive a result for the distribution function of such a present value. However, due to the dependencies between successive discounted payments, the calculation of an exact analytical distribution is impossible. Therefore, use is made of the methodology of comonotonic random variables and the convex ordering of risks, introduced by the same authors in some previous papers.

The present paper starts with a brief overview of properties and features of stable laws, and of the possible application of the concept of convex ordering to sums of risks, which is also the situation for a present value of future payments. Afterwards, the authors show how, for the present value under investigation, an approximation in the form of a convex upper bound can be derived. This upper bound has an easier structure than the original present value, and they derive elegant calculation formulas for the distribution of this bound. Finally, they provide some numerical examples that illustrate the precision of the approximation. Due to the design of the present value and the construction of the upper bound, these illustrations show great promise concerning the accuracy of the approximation.     

Options on realized variance and convex orders

Realized variance option and options on quadratic variation normalized to unit expectation are analysed for the property of monotonicity in maturity for call options at a fixed strike. When this condition holds the risk-neutral densities are said to be increasing in the convex order. For Lévy processes, such prices decrease with maturity. A time series analysis of squared log returns on the S&P 500 index also reveals such a decrease. If options are priced to a slightly increasing level of acceptability, then the resulting risk-neutral densities can be increasing in the convex order. Calibrated stochastic volatility models yield possibilities in both directions. Finally, we consider modeling strategies guaranteeing an increase in convex order for the normalized quadratic variation. These strategies model instantaneous variance as a normalized exponential of a Lévy process. Simulation studies suggest that other transformations may also deliver an increase in the convex order.