Impulse Control Method and Exchange Rate

We control a diffusion process with constant coefficients in order to keep this process in a given band with impulse control methods. We prove that there exists an optimal control if the cost associated with each control is a fixed cost plus a proportional cost. We study the problem of the exchange rate and prove that it is possible to keep the exchange rate in a target zone with discrete interventions.     

A typology of strategic choice

There is an incredible paucity of studies focusing on what it takes to produce a successful strategic decision. The purpose of this paper is to advance the body of knowledge in this most important area. Using a two-dimensional typology of strategic choice, twelve real-world cases of strategic decision making are classified and evaluated. The results of these evaluations tend to confirm the typology of strategic choice and to suggest a need for additional research to validate the hypothesis that a formal decision-making process is conducive to successful strategic decision outcomes. This paper is intended for both professors and practioners of strategic choice.     

Arbitrage pricing of defaultable game options with applications to convertible bonds

This paper is the first in a series that we devote to studying the problems of valuation and hedging of defaultable game options in general, and convertible corporate bonds in particular. Here, we present mathematical foundations for our overall study. Specifically, we provide several results characterizing the arbitrage price of a defaultable game option in terms of relevant Dynkin games. In addition, we provide important results regarding price decomposition of defaultable options. These general results are then specified to the case of convertible bonds, yielding in particular a decomposition of convertible bonds in an optional and a bond component.     

Up and down credit risk

This paper discusses the main modeling approaches that have been developed for handling portfolio credit derivatives, with a focus on the question of hedging. In particular, the so-called top, top down and bottom up approaches are considered. We give some mathematical insights regarding the fact that information, namely the choice of a relevant model filtration, is the major modeling issue. In this regard, we examine the notion of thinning that was recently advocated for the purpose of hedging a multi-name derivative by single-name derivatives. We then illustrate by means of numerical simulations (semi-static hedging experiments) why and when the portfolio loss process may not be a ‘sufficient statistic’ for the purpose of valuation and hedging of portfolio credit risk.     

Do as You Say,or I Will: Retail signal congruency in buy-online-pickup-in-store and negative word-of-mouth

Buy-online-pickup-instore (BOPIS) services have become an increasingly important part of a retailer's omnichannel strategy. When service failures (e.g., stock-out) occur, consumers may resort to negative word-ofmouth (NWOM) to share their evaluation of the retailer's BOPIS service. While a retailer's service recovery policies (e.g., cross-channel substitution) may help to fulfill its service intent, the extent to which these two signals can improve consumer satisfaction and diminish their NWOM intent remains unknown. Drawing from both service recovery literature and signaling theory, we conducted a series of five experiments and find that the intradimensional congruity of the signal set communicated by the retailer during its BOPIS service process depends on both its operational capability and the consumer's own predilection regarding the product category. These insights collectively indicate that while a retailer's operations need to support service policies to provide a congruous BOPIS service process, substitution policies offered to consumers during the transaction need to consider the extent to which a consumer's purchase decision is hedonic or utilitarian. In turn, this finding suggests that a retailer's category management needs to consider BOPIS substitution in terms of both product assortment and inventory policies.