A model-free approach to multivariate option pricing

Review of Derivatives Research - We propose a novel model-free approach to extract a joint multivariate distribution, which is consistent with options written on individual stocks as well as on...     

Man and automation: Instinct of Workmanship,nigntmare of vanishing routine and Agony of forced creativity

Stewart Udall’s environmental book,The Quiet Crisis and the Next Generation, and the preponderant use of the word “trade-off” in environmental work motivate this paper. Udall’s book is a history of increasing awareness about environmental quality and business activity becomes a topic of increasing concern. Elementary economics typically emphasizes the inevitability of trade-offs. Thus far, and perhaps consequently, society’s approach to solving environmental problems has been adversarial. Adversaries solve problems by fighting to determine who will win and lose in the trade-offs. This paper suggests a different emphasis in our elementary microeconomics material, an emphasis focusing more on choices in which all parties win, choices which are therefore consistent with a non-adversarial approach to our growing environmentla problems. This paper introduces the “apparent trade-off.”     

Effort of EAI Projects: A Repertory Grid Investigation of Influencing Factors

Many companies struggle with effective and efficient accomplishment of enterprise application integration (EAI), resulting in significant time and budget overruns. Concerning project management, a major reason for failure is considered to be effort underestimation. This underestimation is an aftermath of applying estimation methods that do not account for all relevant factors influencing EAI project effort. Applying the Repertory Grid Technique, we explore factors affecting the effort of such projects by conducting 22 semi‐structured expert interviews. We provide an extensive overview of 91 effort‐influencing factors and their classification in nine categories, which can be used as a checklist in EAI projects.     

Is the Age Gradient in Self‐Reported Material Hardship Explained By Resources,Needs, Behaviors,or Reporting Bias?

Older people report much less hardship than younger people in a range of contexts, despite lower incomes. Hardship indicators are increasingly influential, so the source of this age gradient has considerable policy implications. We propose a theoretical and empirical strategy to decompose the sources of this relationship. We exploit a unique feature of the Household, Income and Labour Dynamics Australia (HILDA) survey, which collects reports of hardship from all adult household members. This facilitates within‐couple estimates, allowing us to identify age‐related reporting bias. The majority of the raw age–hardship gradient is explained by observed resources, particularly wealth and home ownership. One third of the relationship is explained by unobserved differences between households, which we interpret as age‐related behavioral choices. Reporting error does not appear to contribute to the age gradient.     

土库曼斯坦与俄罗斯:合作伙伴还是竞争对手?

2009年欧洲天然气市场需求出现下滑,俄罗斯与土库曼斯坦之间的伙伴关系也随之急剧降温。2009年俄罗斯天然气工业股份公司（Gazprom）仅从土库曼斯坦进口了95亿立方米天然气,而不是合同规定的4104L立方米。2010年伊始,Gazprom决定将土库曼斯坦天然气的采购量降到2002年的水平,原本计划实施的天然气管道项目也推迟启动。尽管如此,土库曼斯坦巨大的天然气资源yh Gazprom无法忽视。随着中亚一中国天然气管道竣工投产、土库曼斯坦一伊朗天然气管道二线开工建设以及欧盟力主实施的“纳布科”项目的积极推进,土库曼斯坦天然气成为多方争抢的对象,在国际市场上与俄罗斯天然气渐呈竞争之势。“纳布科”管道的未来将牵动俄土两国的关系走向,但是作为竞争中的合作伙伴,土库曼斯坦和俄罗斯都将在世界天然气市场上扮演重要的角色。     

The Elite of St Petersburg as Seen by the City Inhabitants

This paper is based on a survey of St Petersburg's elite, carried out in October 1994 for a city daily, Nevskoe Vremia (a paper with approximately 100,000 subscribers). A representative sample of 800 city dwellers were interviewed by phone, responding to mainly open questions about the city elite. Eight main indicators provided data on the general composition of the elite and lists of names by categories of influence, authority and personal fortune. Of the 150 names nominated by our respondents, all but 12 were identified and characterized in terms of their current or recent formal status, political or social-cultural standing and/or reputation. Some general and specific problems of the study are considered: What is an elite? Is there a theoretical consensus on the nature of the ruling and non-ruling constituents of an elite? What are the dynamics of regional or city elites in modern Russia today? Has the emergence of an elite any relevance to the system of representative democracy and to other aspects of social life? What are the mechanisms determining the formation and reproduction of an elite in public space? Cet article est basé sur un sondage de l'élite de Saint Pétersbourg, fait en 1994 pour un quotidien de la ville, Nevskoe Vremia (un journal qui a environ 100,000 abonnés). Une section représentative de 800 citadins fut interviewée par téléphone, répondant à des questions, principalement des questions ouvertes, concernant l'élite de la ville. Huit indicateurs principaux offraient des informations sur la composition des élites et des listes de noms classés par catégories d'influence, d'autorité et de fortune personnelle. Des 150 noms cités par les personnes interrogées, tous sauf 12 furent identifiés et caractérisés par leur statut formel, leur rang et/ou réputation politique ou socio-culturel, actuels ou récents. Certains problèmes de cette étude, généraux ou spécifiques, sont examinés. Qu'est-ce qu'une élite? Y a-t-il un consensus quant à la nature des éléments qui constituent une élite dirigeante et non-dirigeante? Quelles sont les dynamiques des élites régionales ou citadines de la Russie moderne actuelle? Est-ce que l'apparition d'une élite a un rapport avec le système de democratie représentative et avec d'autres aspects de la vie sociale? Quels sont les processus qui déterminent la formation et la reproduction d'une élite dans l'espace public?     

Intellectual Property Rights and Crop-Improving R&D under Adaptive Destruction

This paper studies how the strength of intellectual property rights (IPRs) affects investments in biological innovations when the value of an innovation is stochastically reduced to zero because of the evolution of pest resistance. We frame the problem as a research and development (R&D) investment game in a duopoly model of sequential innovation. We characterize the incentives to invest in R&D under two competing IPR regimes, which differ in their treatment of the follow-on innovations that become necessary because of pest adaptation. Depending on the magnitude of the R&D cost, ex ante firms might prefer an intellectual property regime with or without a “research exemption” provision. The study of the welfare function that also accounts for benefit spillovers to consumers—which is possible analytically under some parametric conditions, and numerically otherwise—shows that the ranking of the two IPR regimes depends critically on the extent of the R&D cost.