On VIX futures in the rough Bergomi model

The rough Bergomi model introduced by Bayer et al. [Quant. Finance, 2015, 1–18] has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic manner, in particular for short maturities. We investigate here the dynamics of the VIX and the forward variance curve generated by this model, and develop efficient pricing algorithms for VIX futures and options. We further analyse the validity of the rough Bergomi model to jointly describe the VIX and the SPX, and present a joint calibration algorithm based on the hybrid scheme by Bennedsen et al. [Finance Stoch., forthcoming].     

Facing financialization: The divergent mutations of agricultural cooperatives in postapartheid South Africa

This paper analyses the transformation of the South African (former) grain cooperatives since 1994. These entities played a key role in the institutional architecture of the apartheid regime, ensuring the domination of white commercial farmers over the sector. Within the framework of the deregulation of the economy and the agricultural sector, such entities faced transformations of modern capitalism, especially the growing power of financial actors and markets. Although white commercial farmers still largely retain these inherited structures, these companies are presently being targeted more and more by private takeovers and/or private equity deals. Based on two specific empirical examples of private equity deals affecting South African grain cooperatives, this paper describes this financialization process in practice, in particular by analysing the interaction between financial and agricultural actors and the alliances on the ground that determine its “success.” In doing so, it details the different trajectories of these (former) cooperatives, highlighting the resilience, mutation, and extinction of commercial agriculture in South Africa.     

中国石油需求:将增长多快,持续多久

中国对石油需求的持续增长及在全球石油需求中所占比例的不断上升，已成为全球石油需求增长的主要动力来源。2002年中国石油需求增长占全球增长量的65％，预计未来中国石油需求仍将保持快速增长趋势。虽然中国石油需求增长迅速，但由于人口众多，因此人均石油消费量在世界上仍处于较落后的水平。石油需求的增长还受制于能源结构的多元化，例如对煤炭与水力的利用等。引起中国石油需求增长的主要原因是国民经济快速增长、交通运输业与私有经济的发展，但在电力等一些重要产业中，对石油需求的增长不明显。     

Bimetallism: The “rules of the game”

Based on historical evidence found in Juglar and Bonnet that over the Bimetallic period French and British central banks did co-operate when using their discount rates as policy instruments for currency stabilization, we test whether Bimetallism was a regulated system or not. Our revised story of Bimetallism contrasts the existing literature which identifies this regime as a self-equilibrating system, constrained by specie points.     

Steuerung der Geldmarktsätze durch die Schweizerische Nationalbank

Ohne Zusammenfassung     

Liquidity provision vs. deposit insurance: preventing bank panics without moral hazard

Equilibrium bidding strategies under most multi-unit auction rules cannot be obtained as closed form expressions. Research in multi-unit auctions has, therefore, depended on implicit characterization of equilibrium strategies using the first-order conditions of the bidders’ expected payoff maximization problem. In this paper we consider the pay-as-bid auction with diminishing marginal values for two units and show that any symmetric equilibrium in continuous strategies has the necessary properties to allow such a characterization. Moreover, any increasing solution to the system of differential equations that is used to characterize the equilibrium strategies describes an equilibrium strategy.Generous suggestions and comments from Richard Engelbrecht-Wiggans, Charles M. Kahn, and an anonymous referee are gratefully acknowledged.     

Spinoff dynamics beyond clusters: pre-entry experience and firm survival in peripheral regions

This paper investigates local spinoff dynamics in manufacturing industries in peripheral areas. It focuses on the question whether local inheritance of competences and routines from parent firm to spinoff is also relevant for firm survival in peripheral areas. The analysis is based on a unique data-set, tracking all manufacturing firms at five observation points during the time span of 1980–2004 in two case study regions in Switzerland. The results show that the local inheritance of capabilities gives spinoffs a competitive advantage in peripheral regions as well. Further, the findings suggest that spinoff dynamics differ between different types of peripheral regions, depending on their varying local economic conditions. Finally, spinoff dynamics in the periphery might be characterized by a stronger hostility of larger parent firms towards spinoffs. This research adds a distinct peripheral perspective to the entrepreneurial heritage literature and advocates for a more nuanced discussion on spinoff dynamics in varying geographical settings.     

Beliefs and (in)stability in normal-form games

Experimental Economics - In this paper, we use experimental data to study players’ stability in normal-form games where subjects have to report beliefs and choose actions. Subjects saw each...     

Comparative risk aversion: A formal approach with applications to saving behavior

We consider a formal approach to comparative risk aversion and apply it to intertemporal choice models. This allows us to ask whether standard classes of utility functions, such as those inspired by Kihlstrom and Mirman (1974) [16], Selden (1978) [27], Epstein and Zin (1989) [10] and Quiggin (1982) [25] are well ordered in terms of risk aversion. Moreover, opting for this model-free approach allows us to establish new general results on the impact of risk aversion on savings behaviors. In particular, we show that risk aversion enhances precautionary savings, clarifying the link that exists between the notions of prudence and risk aversion.     

Jensen’s Inequality in Finance

The purpose of this paper is to measure the size and the statistical significance of three inequalities in the field of financial economics. The three are variants of Jensen’s inequality. The first inequality is a comparison of the expected value of a ratio to the ratio of the expected value, a problem that arises in pricing foreign exchange rates. The second is a comparison of the log of the expected value to the expected value of the log, a problem that arises in testing forward market efficiency, money demand, production functions, and trade gravity models. The third is a comparison of the expected utility to the utility of the expected value, and helps in determining the importance of the expected utility paradigm, and the magnitude of the equity risk premium. The methodology used is by simulation of random normal variables, thereby introducing sampling error. Despite this sampling error the conclusion is general: all three inequalities are economically material, and stand statistically as inequalities. The major conclusion is that Jensen’s inequality is not a theoretical and superfluous exercise in finance as some have advocated.