A class of stochastic volatility models and the q-optimal martingale measure

This paper proposes an approach under which the q-optimal martingale measure, for the case where continuous processes describe the evolution of the asset price and its stochastic volatility, exists for all finite time horizons. More precisely, it is assumed that while the ‘mean–variance trade-off process’ is uniformly bounded, the volatility and asset are imperfectly correlated. As a result, under some regularity conditions for the parameters of the corresponding Cauchy problem, one obtains that the qth moment of the corresponding Radon–Nikodym derivative does not explode in finite time.     

Discourse revisited: Dimensions and employment of first‐order strategy discourse during institutional adoption

Despite decades of research on strategy, we still know little about what the concept of strategy means to actual strategists and how they use it in practice. Working at the intersections of institutional and practice theories, we use exploratory interviews with strategy directors and a longitudinal case study to uncover four dimensions of first‐order strategy discourse: functional, contextual, identity, and metaphorical. We also reveal three phases in the interrelation between first‐order strategy discourse and institutional work: shaping, settling, and selling and a differential emphasis (selective focusing) on dimensions of the first‐order strategy discourse during the institutional adoption process. We contribute to a deeper understanding of the concept of strategy in practice, the process of institutional adoption, and of the role of discourse in this process. Copyright © 2013 John Wiley & Sons, Ltd.     

Stochastic volatility and the mean reverting process

This article employs an approach that is an extension of the Hull and White ( 1987 ) model, for pricing European options under the assumption of a mean reverting volatility for the underlying asset. The approach uses a Taylor series expansion method to approximate the price of a European call option in a market with no arbitrage opportunities. The transition to a riskneutral economy is accomplished by introducing an equivalent martingale measure based on the findings of Romano and Touzi ( 1997 ). Numerical results are obtained and compared with similar studies (Lewis, 2000 ). © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:33–47, 2003     

Berth scheduling by customer service differentiation: A multi-objective approach

In this paper the discrete and dynamic berth allocation problem is formulated as a multi-objective combinatorial optimization problem where vessel service is differentiated upon based on priority agreements. A genetic algorithms based heuristic is developed to solve the resulting problem. A number of numerical experiments showed that the heuristic performed well in solving large, real life instances. The heuristic provided a complete set of solutions that enable terminal operators to evaluate various berth scheduling policies and select the schedule that improves operations and customer satisfaction. The proposed algorithm outperformed a state of the art metaheuristic and provided improved results when compared to the weighted approach.     

What do we know about individual equity options?

This paper examines the empirical literature on individual equity options, discussing results in areas of consensus, showing findings in areas of disagreement and providing a guide for future research (especially highlighting analyses that cannot be performed with index options). Key topics include the impact of equity option listings on the underlying stock market, option market efficiency, anomalies in equity option returns, option market microstructure, investors’ behavioral biases, option price discovery, and private information revealed in equity option markets. Some directions for future research include the determinants of equity option returns and the effect of algorithmic trading in option markets.