Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations

In this paper we develop simulation techniques in order to evaluate single and double barrier options with general features. Our method is based on Sharp Large Deviation estimates, which allow one to improve the usual Monte Carlo procedure. Numerical results are provided and show the validity of the proposed simulation algorithm.     

Core and equilibria in coalitional asymmetric information economies

We study coalitional economies under uncertainty and asymmetric information, assuming a finitely additive measure space of agents and finitely many possible states of nature. We introduce a suitable core notion showing that it is equivalent to Walrasian expectations equilibria. The finitely additive approach proposed in the paper permits also asymmetric information economy with countably many agents, rather than requiring only a continuum. Moreover, it allows us to overcome well-known criticisms related to the interpretation of individual private core notions.     

Sustainable financing practices through green bonds: What affects the funding size?

Financing through the supply‐driven green bonds market has significantly surged in recent years. In this paper, we examine the factors influencing the size of financing though green bond supply, using cross‐section OLS regressions on a global dataset for 8 years (2010–2017) sourced from Bloomberg. We consider a set of tridimensional factors: bond characteristics, issuer characteristics, and market characteristics and examine their effects on issue size. Alongside whole sample estimation, we produce year‐wise estimations to realize the evolution and persistence of the effects over time. We then produce estimates across rating grades of the bonds. Finally, we carry Blinder–Oaxaca decomposition to see if average issue size has significantly changed over time and whether the factors considered can explain the difference. We find a large number of factors affecting issue size asymmetrically; however, many of the effects do not persist over time and are heterogeneous across rating grades. In contrast to the aggregate market trend, we find no evidence of increases in average issue size in the recent year. Furthermore, the average financing size is found significantly lower for high‐grade bonds. The paper provides a basis for encouraging green bond supply, particularly considering the rating of the bonds and the issuers.     

Economies with informational asymmetries and limited vetoer coalitions

With reference to a model of coalitional economies with asymmetric information, we consider different possible restrictions on the set of blocking coalitions. We provide suitable price systems decentralizing allocations in the corresponding enlarged core.     

Leviathan: Revenue-maximizer or glory-seeker?

We argue that the Hobbesian assumption of glory-seeking behavior, especially when applied to holders of high office, is both more realistic and has greater predictive power than Brennan and Buchanan's hypothesis of revenue-maximization. Whereas traditional public finance theory sees the sovereign as a benign agent without an objective of his own and Brennan and Buchanan endow him with the objective of revenue maximization, Hobbes's political construct envisages a sovereign-principal who devises rules and incentives to induce his subjects-agents to contribute to his own preservation and glory. We examine the implications of this Copernican revolution in public finance theory by referring to Brennan and Buchanan's key claim that the Leviathan ought to be constrained by a fiscal constitution. We argue that the interplay of the pursuit glory and the concern for self-preservation implies that the government cannot be bound by rules set by citizens.     

Standard–setting processes: evidence from two case studies

In many hi–tech sectors one of the most important dimensions of competition is standardisation. This is particularly true in modular markets (i.e. markets characterised by the existence of modular architectures) and in network markets (i.e. markets where users would like to buy products compatible with those bought by others). Different processes may lead to the standard–setting. Sometimes there are fierce standardisation wars whereas in other cases competitors are able to agree on a common standard before the introduction of the technology on the market. In this paper we endeavour to provide an interpretative framework of the standardisation process and validate such a framework through an in–depth analysis of two case studies in a typical network market (the multimedia sector): the case of the Modem 56k and the case of the Information Appliances–Enhanced TV.
The two case studies offer some evidence of the standardisation process and of the growing importance of super–partes organisations (Standard Development Organisations) in the mediation process between different interests and technologies to impose a common standard on the market.     

Remittances and healthcare expenditure: Human capital investment or responses to shocks? Evidence from Peru

This paper estimates the effect of international remittances on healthcare expenditures, taking into account both the interdependence with other consumption goods and the effects of health shocks. More precisely, we assess whether the budget allocation decisions of remittance‐receiving households reveal different preferences to invest in health capital, even when the simultaneous effect that health shocks may have on the demand of remittances and on other types of nondurable expenditures is accounted for. Using data from the “Peruvian National Survey of Households,” we find that remittances have a positive impact on healthcare budget shares, net of the remittance‐related income effect and independently of the occurrance of a health shock. They also have a positive impact on housing and a negative one on other expenditure items, that is, clothing, transport, and education. Hence, our results indicate a “pure” tendency of remittance‐receiving households to devote larger shares of their budget to health capital investment, rather than to other types of consumption goods.     

Global R&D Project Management and Organization: A Taxonomy

This work studies the management and organization of global R&D projects, i.e. projects leading to innovations to be exploited in multiple countries. It provides a taxonomy of how firms conduct such projects. The empirical base is composed of twelve multinational companies, from the three major areas (Europe, Japan, North America), operating technology-intensive businesses. Two basic structures are identified: the specialization based, where one foreign lab (the firm's center of excellence) is assigned the responsibility for developing a new product, process or technology on the basis of a global mandate, and the integration based, where different units contribute to technology development programs and global innovations are the result of the joint work of these units. In each categories two sub-cases have been found: the center of excellence and the supported specialization, on the one hand, and the network and specialized contributor structures, on the other. The four structures have been studied in relation to: the key characteristics of the organization and management of global projects (in each phase, from conception to introduction into the market), the organizational factors affecting the success, the context conditions in which the structure is considered appropriate.     

Disentangling the transmission channel NPLs-cost of capital-lending supply

This paper analyses the effects of non-performing loans (NPLs) on the cost of capital, and on lending and liquidity supply, for a sample of 225 Eurozone banks over the period 2002Q1-2016Q4. Our results demonstrate that NPLs increase the cost of capital, which reduces both lending supply and liquidity creation. This phenomenon is comparatively more significant for periphery county banks than for core country banks.     

Sisyphean Dilemmas of Development: Contrasting Urban Infrastructure and Fiscal Policy Trends in Maputo,Mozambique

In sub‐Saharan African (SSA) cities like Maputo, land commodification is predictably fueled by plans for aspirational infrastructure serving elites. What is rather more peculiar, however, is the way in which the promotion of some fiscal policy reforms can also inadvertently support land commodification and the uneven development it (re)produces. This article describes how efforts to host both democratic fiscal reforms (via localized exercises like participatory budgeting) and to tap into international capital circuits to stir economic development (via aspirational infrastructure and urban redevelopment plans) can produce a Sisyphean dilemma. While gains in ordinary infrastructure investments (e.g. wells, water pumps) were achieved democratically in Maputo's KaTembe district with the participatory budget, these material (and political) improvements have been rendered irrelevant by better funded aspirational infrastructure projects for KaTembe (e.g. bridges, high‐rise residential buildings, tourist facilities) supported by more opaque decisions made by the national government without residential input. Given the wide embrace of participatory budgeting in contexts of weak democracy across SSA cities and elsewhere, Maputo's experience serves as a timely alert of the risks run when this popular exercise is prematurely promoted, especially when wider‐scaled property tax reforms could better redress uneven and undemocratic urban development.