PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS

This paper is concerned with the study of insurance related derivatives on financial markets that are based on nontradable underlyings, but are correlated with tradable assets. We calculate exponential utility‐based indifference prices, and corresponding derivative hedges. We use the fact that they can be represented in terms of solutions of forward‐backward stochastic differential equations (FBSDE) with quadratic growth generators. We derive the Markov property of such FBSDE and generalize results on the differentiability relative to the initial value of their forward components. In this case the optimal hedge can be represented by the price gradient multiplied with the correlation coefficient. This way we obtain a generalization of the classical “delta hedge” in complete markets.     

The evolution of syndicated loan markets

This paper provides a historical perspective on the development of the global syndicated loan market, where $2.6 trillion worth of funds were raised in 2004. The emergence of the Eurodollar market in the 1960s, the balance of payments problems of non-oil-exporting emerging countries in the 1970s, the Latin American financial crises and the US merger wave of the 1980s, and finally the competitive financial environment and the emergence of the secondary loan market during the 1990s are reviewed. These have been the most influential financial developments that shaped the syndicated loan markets in the last few decades.     

An examination of the relationship among consumer lifestyles,ethnocentrism, knowledge structures,attitudes and behavioural tendencies: a comparative study in two CIS states

The objective of this study is to investigate ethnocentric and/or regiocentric behaviour of Azeri and Kyrgyz consumers. In particular, the study focuses on how ethnocentrism explains consumers' attitudes, intentions and actual purchasing behaviour towards products from major sourcing countries. Data for the study were collected through personal interviews in four districts of Greater Bishkek: the capital city of Kyrgyz Republic, and Baku, the capital city of Azerbaijan. Survey findings lend greater support to earlier studies conducted in the USA, Western and Eastern Europe and Japan. Non-ethnocentric Kyrgyz and Azeri consumers have significantly more favourable belief structures, attitudes, intentions and the resultant purchasing behaviour regarding imported products compared to their ethnocentric Azeri and Kyrgyz consumer counterparts. The findings of the study offer important research, public policy and managerial implications for companies, government agencies and international donor agencies alike who are either operating in the region or contemplating an entry in the future. Foreign companies may use pan-regional marketing strategies and may be able to standardise their products and marketing strategies in the region, since consumers have identical and/or very similar use behaviour and uses for the products and services.     

The impacts of Radio Frequency Identification (RFID) technology on supply chain costs

Radio Frequency Identification (RFID) is regarded as a promising technology for the optimization of supply chain processes since it improves manufacturing and retail operations from forecasting demand to planning, managing inventory, and distribution. This study uses a simulation model to calculate the expected benefits of an integrated RFID system on a three-echelon supply chain obtained through performance increases in efficiency, accuracy, visibility, and security level. The study investigates how the product value, lead time, and demand uncertainty affect the performance of the integrated RFID supply chain in terms of cost factors at the echelon level.     

Subsidization of S&Ls under the flat-rate deposit insurance system: Some empirical estimates

This study provides some estimates of the magnitude of the subsidies extracted by S&L holding companies under the present flat-rate deposit insurance system. The results suggest that the flat-rate deposit insurance system induces substantially uneven and inequitable distribution of subsidies among thrift institutions. The analysis of the thrift institutions' asset volatilities over the 1966–1988 period does not support the claim that deregulation of the industry has led to a systematic increase in risk-taking in the industry. On the other hand, we find that a large fraction of the asset volatilities are attributable to firm-specific investment policies and that the risk of the institutions' assets change considerably over time. Taken as a whole, the results suggest that switching to a risk-based deposit insurance system would be economically more efficient than the present scheme. We provide some recommendations for policy changes that can increase the efficacy of risk-based insurance by increasing the level of monitoring by depositors and the financial markets.     

DISGUISED UNEMPLOYMENT AND AGRICULTURAL DEVELOPMENT

This paper presents a theoretical analysis of disguised unemployment in less developed countries, which tends to lend support for agricultural development policies as the most effective means of eliminating such unemployment. In addition, it is shown that urban unemployment may also be remedied through such policies. The overall conclusion of the theoretical analysis is that agricultural policies in the less developed countries manifesting disguised and urban unemployment should, as a first target, aim at maintaining farming activities throughout the calendar year at levels achieved during peak seasons.
CHOMAGE DEGUISE ET DEVELOPPEMENT AGRICOLE – Ce mémoire présente une analyse théorique du chômage déguisé dans les pays sous-développes. ľanalyse tend à favoriser une politique de développement agricole comme moyen ďéliminer un tel chômage. En outre, il est démontré que ľon peut améliorer le chômage urbain par une telle politique. La conclusion principale c'est que la politique des jeunes nations (affligées de chômage et déguisé et urbain,) doit se concentrer premiérement à soutenir pendant toute ľannée le niveau ďemploi des périodes de la plus grande production.     

Modeling the Impacts of Corporate Commitment on Climate Change

The aim of this paper is to propose an integrative framework for understanding the determinants of business strategies to reduce greenhouse gas emissions and the impact of these determinants on performance. The proposed structural equation model is based on a survey of 319 Canadian manufacturing firms. The study calls into question the traditionally positive relationship between a firm's environmental commitment and its economic motivations. However, the results also show a win–win relationship between the commitment to reduce greenhouse gas emissions and financial performance. This study contributes to the understanding of the motivations underlying the efforts manufacturers make to tackle climate change and their economic benefits. Copyright © 2011 John Wiley & Sons, Ltd and ERP Environment.     

Cournot equilibrium without apology: Existence and the Cournot inverse demand function

In a multi-commodity framework with absence of wealth effects, we prove the existence of equilibrium for Cournot oligopoly, and that the concept is completely non-ambiguous. We also obtain a uniquely defined endogenous inverse demand function, depending only on the competitive sector.