On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation

In this paper, we propose a general technique to develop first- and second-order closed-form approximation formulas for short-maturity options with random strikes. Our method is based on a change of numeraire and on Malliavin calculus techniques, which allow us to study the corresponding short-maturity implied volatility skew and to obtain simple closed-form approximation formulas depending on the derivative operator. The numerical analysis shows that these formulas are extremely accurate and improve some previous approaches for two-asset and three-asset spread options such as Kirk’s formula or the decomposition method presented in Alòs et al. [Energy Risk, 2011, 9, 52–57]. This methodology is not model-dependent, and it can be applied to the case of random interest rates and volatilities.     

A comparative analysis of stock market cycles

In this article, we date the ‘recession’ and ‘expansion’ phases of 46 stock markets around the world from December 1994 to September 2013. We use the Harding and Pagan methodology to identify peaks and troughs in these stock market indices. This approach enables us to establish periods of synchronization between the markets based on the timing of peaks and troughs and to measure this synchronization by means of the Harding and Pagan statistic. We find that several recent world crisis episodes and simultaneous recoveries can be identified with this method. We also present evidence demonstrating an increase in the pro-cyclicality of stock markets around the world.     

A Model of Structural Change and Openness: Applications to the Argentine economy

This paper describes a dynamic, multisectoral model of a less developed economy in which investment and income distribution policies influence structural change and the pattern of trade. That is, the model considers a Keynesian 'socialised investment' function and distributional policies that, by their effect on demand, could be also described as Keynesian. The model is used to analyse the effects of different policy regimes in the Argentine economy. In an environment characterised by enduring stagnation, investment policies aimed at increasing the degree of economic autonomy and self-sufficiency do not succeed in significantly changing output and trade patterns, and in reducing the degree of openness of the economy. From a long term perspective, however, stagnation is not necessarily a permanent condition. A new environment of higher growth could evolve from the consolidation of a new technological paradigm and the emergence of new socioeconomic norms and mechanisms. In an environment of lower uncertainty and higher efficacy of the investment, model simulation shows that investment policy is quite successful in augmenting the degree of autonomy and self-sufficiency of the economy. Also, income redistribution has a positive impact on income and welfare growth.     

Entrepreneurial capacities as antecedents of business performance in Brazilian firms

We investigate the relationship between entrepreneurial capacities and firm performance. More specifically, we investigate the effects of radical innovation and learning orientation on business performance. We test the effects of entrepreneurial orientation on learning orientation and radical innovation. The results suggest that radical product innovation and companies' orientation to learn have a positive effect on organizational performance. Additionally, we find that entrepreneurial orientation positively influences a firm's capability to learn and innovate. Our findings also show a direct effect of learning orientation on radical innovation, which means that companies with a higher proclivity to learn are more likely to create products and processes, representing a major departure from the state of current knowledge. Copyright © 2014 ASAC. Published by John Wiley & Sons, Ltd.     

Critical Role of Leadership on Ethical Climate and Salesperson Behaviors

Leaders play a critical role in setting the tone for ethical climate in organizations. In recent years, there has been an increased skepticism about the role played by corporate executives in developing and implementing ethics in business practices. Sales and marketing practices of businesses, particularly in the pharmaceutical industry, have come under increased scrutiny. This study identifies a type of leadership style that can help firms develop an ethical climate. Responses from 333 salespeople working for a North American subsidiary of an international pharmaceutical company were used to analyze the impact of instrumental leadership on ethical climate. We also examined the effect of ethical climate on effort, satisfaction with the supervisor, and job satisfaction. Managerial implications are provided.     

Strategic profiles of Brazilian exporters and performance implications

This study presents a taxonomic classification of manufactured products exporters based on strategic orientation which is the result of an analysis of a sample of 414 Brazilian exporters of manufactured goods. The analyses used Cluster analysis, MANOVA, ANOVA, post-hoc tests and crosstabs. The study identified four patterns of strategic orientation of Brazilian exporters and provided indications of correlations with firm and manager characteristics. The article includes a discussion of implications for export performance. Findings suggest that joint attention to planning and differentiation seems to pay off, but planning alone is insufficient to ensure winning results. The study has contributed to the literature by identifying clearly discernible patterns of strategic orientation of Brazilian exporters and their association with firm and manager characteristics. The study also discusses how export performance correlates with strategic orientation.     

Brand relationships in wireless mobile environments: The mediating role of apps

Brands use branded mobile apps to interact with users and to develop brand relationships in wireless mobile environments. These apps collect data about users and app usage, which are potentially helpful for brand relationship research. We aim to contribute to understanding the user–brand relationship (UBR) measurement mediated by branded apps, an area with very limited research, with a focus on leveraging these apps as a gauging context to measure the UBR strength. We propose a data-driven model to measure the UBR strength that combines metrics computed by using branded app data with close interpersonal relationship indicators. We conducted a computer simulation to test the proposed model. Our findings show that app usage time is the metric that most affects UBR strength measurement. The results suggest that time is essential for developing brand relationships in wireless mobile environments, much like in interpersonal relationships. The proposed model can be supplemented with other metrics to study new attributes associated with the UBR that might emerge in these environments.