Consistent calibration of HJM models to cap implied volatilities

This article proposes a calibration algorithm that fits multifactor Gaussian models to the implied volatilities of caps with the use of the respective minimal consistent family to infer the forward‐rate curve. The algorithm is applied to three forward‐rate volatility structures and their combination to form two‐factor models. The efficiency of the consistent calibration is evaluated through comparisons with nonconsistent methods. The selection of the number of factors and of the volatility functions is supported by a principal‐component analysis. Models are evaluated in terms of in‐sample and out‐of‐sample data fitting as well as stability of parameter estimates. The results are analyzed mainly by focusing on the capability of fitting the market‐implied volatility curve and, in particular, reproducing its characteristic humped shape. © 2005 Wiley Periodicals, Inc. Jrl Fut Mark 25:1093–1120, 2005     

Perceptions of Organizational Virtuousness and Happiness as Predictors of Organizational Citizenship Behaviors

Moral and financial scandals emerging in recent years around the world have created the momentum for reconsidering the role of virtuousness in organizational settings. This empirical study seeks to contribute toward maintaining this momentum. We answer to researchers’ suggestions that the exploratory study carried out by Cameron et al. (Am Behav Sci 47(6):766–790, 2004), which related organizational virtuousness (OV) and performance, must be pursued employing their measure of OV in other contexts and in relation to other outcomes (Wright and Goodstein, J Manage 33(6):928–958, 2007). Two hundred and sixteen employees reported their perceptions of OV and their affective well-being (AWB) at work (one of the main indicators of employees’ happiness), their supervisors reporting their organizational citizenship behaviors (OCB). The main finding is that the perceptions of OV predict some OCB both directly and through the mediating role of AWB. The evidence suggests that OV is worthy of a higher status in the business and organizational psychology literatures.     

Arbitraggi bilanciati per giochi omogenei di maggioranza ponderata

In un gioco omogeneo di maggioranza ponderata le uniche soluzioni « stabili » nel senso di Neumann e Morgenstern sono quelle corrispondenti alla formazione di una qualsiasi coalizione minimale vincente con ripartizione del guadagno solo fra i partecipanti ad essa. Ciò pone dei problemi ad un arbitro chiamato a soddisfare principi di equità per tutti, dando vita allo stesso tempo a situazioni stabili. Presentiamo qui uno schema di arbitraggio probabilistico per giochi omogenei di maggioranza ponderata atto a risolvere, sia pure in ambito incerto, in modo soddisfacente tali esigenze.     

Cooperative movement and widespread prosperity across Italian regions

Our goal is to participate in the debate on regional well-being. To this end, we explore the relationship between prosperity and the cooperative movement at the regional level in Italy between 2010 and 2019. We summarize prosperity through an index originally proposed by Amartya Sen and we apply it to classify Italian regions. We then perform panel analyses showing that there is a positive and significant association between such an index and the cooperative presence. We detect that, and explain why, the cooperative movement contributes to the regional prosperity more through its employment than in terms of the added value it generates.