A jump diffusion model for VIX volatility options and futures

Volatility indices are becoming increasingly popular as a measure of market uncertainty and as a new asset class for developing derivative instruments. Although jumps are widely considered as a salient feature of volatility, their implications for pricing volatility options and futures are not yet fully understood. This paper provides evidence indicating that the time series behaviour of the VIX index is well approximated by a mean reverting logarithmic diffusion with jumps. This process is capable of capturing stylized facts of VIX dynamics such as fast mean-reversion at higher levels, level effects of volatility and large upward movements during times of market stress. Based on the empirical results, we provide closed-form valuation models for European options written on the spot and forward VIX, respectively.     

The Assessment of Information Technology Maturity in Emergency Response Organizations

In emergency response organizations, information technologies are not adequately explored. Sometimes, the mere adoption of new information technologies is not productive, as their efficient use depends on other interrelated technologies and the environment where they are installed. This work describes a model to help organizations understand their capability in respect to the adoption of these technologies. The model also helps the performing of the evaluation from different perspectives, making it suitable to collaborative evaluation. Using the proposed model, an organization can measure its maturity level in different aspects of the evaluation and guide the investment on its capabilities. Part of the model has been developed for emergency response organizations and the information technology dimension of the model has been applied to two fire department installations.     

Accumulation and the transfer of technology: Issues of conflict and mechanisms for the exercise of control

The transfer of technology from developed to underdeveloped economies is almost always associated with a conflict of interests between the supplier and the recipient of technology. Where this conflict arises control is exerted by the more powerful party to ensure that the conflict is settled in its favour. It is argued in this paper that control is allied to the power to determine the rate and type of accumulation of capital. A number of potential areas of conflict are discussed, and this is followed by a discussion of the mechanisms which the various parties can use to settle conflict in their favour.     

Lacking pluralism? A critical review of the use of cultural dimensions in negotiation research

Management Review Quarterly - Cross-Cultural-Negotiations are pivotal in global business. Research frequently approaches this topic using cultural dimensions as underpinning conceptual constructs....     

Regional heterogeneity,the rise of public debt and monetary policy in post-bubble Japan: lessons for the EMU

Both Japan and parts of the European Monetary Union have experienced boom and bust in stock and real estate markets, which have been followed by a lasting crisis. The paper analyses the role of a high degree of regional heterogeneity for public debt and monetary policy in the context of crisis. It is shown for Japan that the attempts to maintain regional cohesion via a regional transfer mechanism has contributed to the unprecedented rise in public debt and persistent monetary expansion. Econometric estimations show that in Japan regional redistribution of funds has ensured homogeneous living conditions across Japanese regions pre- and post-crisis. The side condition is monetary expansion. A similar effect could emerge in Europe, if the crisis persists.     

Corporate divestitures and family control

This paper investigates the relationship between divestitures and firm value in family firms. Using hand‐collected data on a sample of over 30,000 firm‐year observations, we find that family firms are less likely than non‐family firms to undertake divestitures, especially when these companies are managed by family rather than non‐family‐CEOs. However, we then establish that the divestitures undertaken by family firms, predominantly those run by family‐CEOs, are associated with higher post‐divestiture performance than their non‐family counterparts. These findings indicate that family firms may fail to fully exploit available economic opportunities, potentially because they pursue multiple objectives beyond the maximization of shareholder value. These results also elucidate how the characteristics of corporate owners and managers can influence the value that firms derive from their corporate strategies. Copyright © 2014 John Wiley & Sons, Ltd.