Do S&P 500 index options violate the martingale restriction?

The study tests Longstaff's martingale restriction on S&P 500 index options over the period 1990–1994. Assuming the S&P index follows a lognormal distribution results in systematic violations of the martingale restriction, the implied index value from options consistently overestimating the market value. Adopting a generalized distribution, allowing for nonnormal third and fourth moments, produces economically insignificant rejections of the martingale restriction. A simulation analysis supports the empirical results from the lognormal model in the presence of nonnormal skewness and kurtosis. Overall, the results support the conclusion that the no-arbitrage assumption coupled with the generalized distribution offers a good working model for S&P index options over the period studied. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 499–521, 1999     

MRP II (material requirements planning): one year later

This article addresses the continued need for the behavior change process that must be managed long after materiel requirements planning (MRP II) implementation. Mason & Hanger, Pantex Plant is the final assembly and dismantlement facility for all United States nuclear weapons. On October 1, 1990, Mason & Hanger implemented a full production cutover to MRP II. One year later, following class A certification, the MRP II implementation team is still actively managing the change process through education and training programs and overall continuous improvement initiatives. Actual behavior change problems are identified together with the proven solutions implemented in a government-owned, contractor-operated facility environment. Performance measurements ranging from senior management planning to shop floor accomplishments and cost variance reports are shown as normal management tools used to identify target improvement areas.     

The Aftermath of Civil War

Using an event-study methodology, the article analyzes the aftermathof civil war in a cross-section of countries. It focuses oncases where the end of conflict marks the beginning of relativelylasting peace. The analysis considers 41 countries involvedin internal wars over the period 1960–2003. To providea comprehensive evaluation of the aftermath of war, a rangeof social areas is considered: basic indicators of economicperformance, health and education, political development, demographictrends, and conflict and security issues. For each indicatorthe post- and pre-war situations are compared and their dynamictrends during the post-conflict period are examined. The analysisis conducted in both absolute terms and relative to controlgroups of countries that are similar except for conflict. Thefindings indicate that even though war has devastating effectsand its aftermath can be immensely difficult, when the end ofwar marks the beginning of lasting peace, recovery and improvementare achieved.     

Product elimination: A barrier to successful financial service sector company mergers?

The UK's financial service sector is in a process of consolidation predominately via merger and acquisition activity. Driving this process is the desire to reduce costs, increase efficiency and acquire larger customer volumes. This may result in the amalgamation of product management functions and product portfolios, leading inevitably to the need for product rationsalisation. A key controlling factor within this is the inability easily to eliminate financial service products. This may jeopardise the organisation's ability to gain the objectives that have driven the merger/acquisition action. Two key factors were seen to hinder the portfolio amalgamation process. First, the incompatibility of IT-based product management systems. Secondly, the existence of a ‘knowledge gap’ which made it harder to plan and implement effectively large-scale product elimination and portfolio amalgamation. It is likely that this will lead to higher than desired operating costs, duplication in product and service function, and loss of freedom in managing customers.