Risk-adjusted option-implied moments

This paper provides a new way of converting risk-neutral moments into the corresponding physical moments, which are required for many applications. The main theoretical result is a new analytical representation of the expected payoffs of put and call options under the physical measure in terms of current option prices and a representative investor’s preferences. This representation is then used to derive analytical expressions for a variety of ex-ante physical return moments, showing explicitly how moment premiums depend on current option prices and preferences. As an empirical application of our theoretical results, we provide option-implied estimates of the representative stock market investor’s disappointment aversion using S&P 500 index option prices. We find that disappointment aversion has a procyclical pattern. It is high in times of high index levels and declines when the index falls. We confirm the view that investors with high risk aversion and disappointment aversion leave the stock market during times of turbulence and reenter it after a period of high returns.     

Robust stock option plans

The main purpose of this paper is to address the issue of robustness of stock option plans, which is essential for reliable accounting valuations. The introduction of the accounting standards SFAS 123R and IFRS 2 for executive stock options has led to an important change. As companies are now forced to value their stock options at grant date for accounting purposes, the robustness of prices against the choice of certain valuation models and input parameters has become a very important issue. We address this issue by first analyzing certain building blocks of existing stock option plans with regard to their robustness properties. Based on our analysis, we then show how robustness of stock option plans can be achieved. The resulting stock option plans are both transparent in structure and reasonable in respect to the incentives they provide in order to increase shareholder value. We therefore conclude that stock options can be reliably expensed, if the corresponding plans are properly designed.     

Die Kontroverse um die demokratischen Potenziale der interaktiven Informationstechnologien — Positionen und Perspektiven

Along with the shift towards a digital information society, new possibilities for communication and cooperation open up in almost all areas. They put traditional procedures up for consideration. In light of this, the question of the perspectives of mass democracy (primarily dealt with at the interface of political and communication science) obtains a new significance and new facets. This article critically reviews the major lines of argumentation of the controversy that has been fought out over the democratic potential of interactive information technologies since the beginning of the nineties. The author also wants to draw attention to the pragmatic rather than the theoretical aspects of a convergence of the opposing camps. He also wants to broaden the perspective of research in the field.     

Randomized algorithms for statistical image analysis and site percolation on square lattices

We propose a novel probabilistic method for detection of objects in noisy images. The method uses results from percolation and random graph theories. We present an algorithm that allows to detect objects of unknown shapes in the presence of random noise. The noise density is assumed to be unknown and can be very irregular. The algorithm has linear complexity and exponential accuracy, and is appropriate for real‐time systems. We prove results on consistency and algorithmic complexity of our procedure. © 2013 The Authors. Statistica Neerlandica © 2013 VVS.     

Numerical solution of dynamic equilibrium models under Poisson uncertainty

We propose a simple and powerful numerical algorithm to compute the transition process in continuous-time dynamic equilibrium models with rare events. In this paper we transform the dynamic system of stochastic differential equations into a system of functional differential equations of the retarded type. We apply the Waveform Relaxation algorithm, i.e., we provide a guess of the policy function and solve the resulting system of (deterministic) ordinary differential equations by standard techniques. For parametric restrictions, analytical solutions to the stochastic growth model and a novel solution to Lucas' endogenous growth model under Poisson uncertainty are used to compute the exact numerical error. We show how (potential) catastrophic events such as rare natural disasters substantially affect the economic decisions of households.     

The development of consulting in goods-based companies

The article focuses on the developments in several B2B companies which traditionally produce goods and based on this experience are trying to enter the business of management consulting. It is the aim of the paper to identify the specific challenges that these companies are facing regarding marketing and selling their management consulting services. Furthermore hypotheses are developed that should give direction how to overcome those challenges successfully. Due to the lack of current research results, an explorative case study approach is chosen referring to two companies from the IT industry having gained relevant experience in this business area. In addition, theoretical frameworks demonstrate the plausibility of the hypotheses developed. If further research supports these hypotheses, it will have significant impact on the market strategy, marketing communication and sales organization of companies going to increase their consulting services.     

Works council and training effects on satisfaction

This paper investigates the direct and indirect impact of works councils via further training on job satisfaction. Basic estimates on an individual level do not reveal clearly direct effects, but on an establishment level, the existence of a works council increases the average job satisfaction. We also find a positive, weakly significant effect on an individual level accompanied by training under instrumental variables estimation and if we control for personal characteristics.     

How firms should hedge: An extension

This note studies a firm's optimal hedging strategy with tailor‐made exotic derivatives under both price risk and quantity risk. It extends the analysis of Brown G. W. and Toft K.‐B. (2002) by relaxing the assumption of a bivariate normal distribution. The optimal payoff function of a derivative contract is characterized in terms of the expectation and variance of the quantity, conditional on the price. This main result is illustrated by different examples, stressing the importance of the dependence structure between price risk and quantity risk for the choice of appropriate hedging instruments. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:834–845, 2010     

Fatal occupational accidents in Danish fishing vessels 1989-2005

The purpose of the study was to study the circumstances and incidence rates of fatal accidents in inspection obligated and non-inspection obligated Danish fishing vessels to identify areas for prevention. Information about the fatalities came from maritime authority reports, including vessel disaster reports, post mortem reports, maritime inquiries and police reports. The person- and vessel years at risk came from the Danish Directorate of Fisheries. During the period 1989-2005, 114 fatalities occurred. Sixty-one of the fatalities occurred in 36 vessel disasters mainly caused by foundering/capsizing due to stability changes in rough weather and collisions; 39 fatal occupational accidents mainly occurred on the larger inspection obligated trawlers during fishing. In the remaining 14 other fatal accidents, the main causal factors were difficult embarking/disembarking conditions by darkness in foreign ports and alcohol intoxication. In the period 1995-2005, the overall incidence rate was 10 per 10,000 fishermen per year with no down-going trend during that period. The fatal accident rates are still too high, despite the efforts to reduce the risk. Increased focus on regular and repeated safety training for all fishermen and improved safety measures are needed, especially in the underscored areas of sea disasters concerning small vessels and occupational accidents on big vessels. Better registration of time at risk for fishermen is needed to validate the effect of the safety measures.