Term Structure Models Driven by General Lévy Processes

As a generalization of the Gaussian Heath–Jarrow–Morton term structure model, we present a new class of bond price models that can be driven by a wide range of Lévy processes. We deduce the forward and short rate processes implied by this model and prove that, under certain assumptions, the short rate is Markovian if and only if the volatility structure has either the Vasicek or the Ho–Lee form. Finally, we compare numerically forward rates and European call option prices in a model driven by a hyperbolic Lévy motion with those in the Gaussian model.     

Debatte über Renten: Replik und Erwiderung

Wirtschaftsdienst - In der Juniausgabe 2021 veröffentlichte der Wirtschaftsdienst einen Aufsatz mit dem Titel ?Beitragsfinanzierung im ?demografiegestressten‘ Rentensystem...     

Die nächste Ausgabe von Controlling &; Management erscheint am 12.06.07

Vorschau / 3/07

Die n?chste Ausgabe von Controlling & Management erscheint am 12.06.07     

VALUATION OF FLOATING RANGE NOTES IN LÉVY TERM-STRUCTURE MODELS

Turnbull (1995) as well as Navatte and Quittard-Pinon (1999) derived explicit pricing formulae for digital options and range notes in a one-factor Gaussian Heath–Jarrow–Morton (henceforth HJM) model. Nunes (2004) extended their results to a multifactor Gaussian HJM framework. In this paper, we generalize these results by providing explicit pricing solutions for digital options and range notes in the multivariate Lévy term-structure model of Eberlein and Raible (1999) , that is, an HJM-type model driven by a d -dimensional (possibly nonhomogeneous) Lévy process. As a byproduct, we obtain a pricing formula for floating range notes in the special case of a multifactor Gaussian HJM model that is simpler than the one provided by Nunes (2004) .     

Die betriebswirtschaftliche Bedeutung der Umstellungsverordnung

Ohne Zusammenfassung     

Human resource manager insights on creating and sustaining successful reduced‐load work arrangements

Although human resource managers have critical insights into the successful implementation of reduced‐load work arrangements, relatively few studies focus on their perspective. These arrangements are a growing work form for employees who choose to work less than full‐time with a commensurate decrease in salary. Qualitative data analysis was used to identify key success factors noted in interviews with 52 HR managers in 39 companies. Individual employee characteristics (e.g., self‐regulatory work habits) were viewed as most critical. Also important were the design of the arrangement (e.g., clarifying the arrangement in advance) and workgroup relationships (e.g., positive supervisor‐employee relationships). We conclude with eight new takeaways for HR managers on how to create and sustain successful reduced‐load work arrangements and directions for future research and practice. © 2008 Wiley Periodicals, Inc.     

Comparing evolutionary dynamics across different national settings: the case of the synthetic dye industry, 1857–1914

Current models of industry evolution suggest that development patterns should be the same across different levels of analysis. In comparing the evolution of the synthetic dye industry at the global level and in the five major producer countries before World War I (Britain, Germany, France, Switzerland and the United States), it is shown that patterns of industry evolution differed significantly across national contexts. Based on a quantitative and qualitative database of all firms and plants in the industry, the paper analyzes how German firms came to dominate the industry and identifies factors such as availabilities of crucial skills, economies of scale and scope, and positive feedback mechanisms between firms and national institutions that likely produced these national differences. The empirical analysis calls for formal models of evolution that incorporate differences in institutional environments.     

Integrating the R&D and Patent Functions: Implications for New Product Performance

This paper examines the impact of cross‐functional integration between the research and development (R&D) and the patent functions on new product development (NPD) performance. The attitudinal (collaboration) and the behavioral (contributions of the patent function to NPD) dimension of cross‐functional integration between the R&D and the patent functions are distinguished. It is also investigated if the level of innovativeness moderates the relationship between the attitudinal and the behavioral dimension of cross‐functional integration between the R&D and the patent department and NPD performance. The four hypotheses are tested based on a multi‐informant sample of 101 NPD projects which are nested within 72 technology‐based firms or strategic business units from multiple industries in Germany. The results show that the attitudinal and the behavioral dimensions of cross‐functional integration between the R&D and the patent functions have a significant and positive impact on NPD performance. This lends empirical support for the notion expressed in the literature that certain managerial capabilities are important for understanding the effect of patenting on appropriability outcomes such as value creation and performance. The level of cross‐functional integration between the patent and the R&D functions appears to be one of these critical patent management capabilities that affect the returns from investments into patents. There is support for the hypothesis that the context matters for the effect of cross‐functional integration between the R&D and the patent functions on NPD performance. In line with the initial hypothesis, the level of innovativeness positively moderates the impact of the behavioral dimension of cross‐functional integration between the R&D and the patent department on NPD performance. In contrast to the initial hypothesis, the findings reveal no moderating effect of the level of innovativeness on the link between the attitudinal dimension of cross‐functional integration between the R&D and the patent department and NPD performance. This implies that joint objectives and an open and trustful working relationship between the R&D and the patent functions are not sufficient for achieving higher NPD performance if firms aim to develop very innovative products. In the case of highly innovative products, the actual behavior, that is, the specific contributions of the patent department to the NPD project, matters. Overall, these findings have important implications for improving performance by means of effectively integrating the patent and the R&D functions during NPD.