A note on the implied volatility of floating strike Asian options

Decisions in Economics and Finance - In this paper, we study the short-time behavior of the implied volatility for short-time floating strike Asian options. Our method is based on Malliavin...     

Volatility and volatility-linked derivatives: estimation,modeling, and pricing

Decisions in Economics and Finance -     

Cost reduction from resolution/improvement of carcinoid syndrome symptoms following treatment with above-standard dose of octreotide LAR

Aims: To calculate the cost reduction associated with diarrhea/flushing symptom resolution/improvement following treatment with above-standard dose octreotide-LAR from the commercial payor’s perspective.

Materials and methods: Diarrhea and flushing are two major carcinoid syndrome symptoms of neuroendocrine tumor (NET). Previously, a study of NET patients from three US tertiary oncology centers (NET 3-Center Study) demonstrated that dose escalation of octreotide LAR to above-standard dose resolved/improved diarrhea/flushing in 79% of the patients within 1 year. Time course of diarrhea/flushing symptom data were collected from the NET 3-Center Study. Daily healthcare costs were calculated from a commercial claims database analysis. For the patient cohort experiencing any diarrhea/flushing symptom resolution/improvement, their observation period was divided into days of symptom resolution/improvement or no improvement, which were then multiplied by the respective daily healthcare cost and summed over 1 year to yield the blended mean annual cost per patient. For patients who experienced no diarrhea/flushing symptom improvement, mean annual daily healthcare cost of diarrhea/flushing over a 1-year period was calculated.

Results: The economic model found that 108 NET patients who experienced diarrhea/flushing symptom resolution/improvement within 1 year had statistically significantly lower mean annual healthcare cost/patient than patients with no symptom improvement, by $14,766 (p?=?.03). For the sub-set of 85 patients experiencing resolution/improvement of diarrhea, their cost reduction was more pronounced, at $18,740 (p?=?.01), statistically significantly lower than those with no improvement; outpatient costs accounted for 56% of the cost reduction (p?=?.02); inpatient costs, emergency department costs, and pharmacy costs accounted for the remaining 44%.

Limitations: The economic model relied on two different sources of data, with some heterogeneity in the prior treatment and disease status of patients.

Conclusions: Symptom resolution/improvement of diarrhea/flushing after treatment with an above-standard dose of octreotide-LAR in NET was associated with a statistically significant healthcare cost decrease compared to a scenario of no symptom improvement.     

21世纪石油勘探开发战略模式探析

世界石油勘探与开发(E&P)的模式有两种:远景模式和挖潜模式。远景模式认为解决E&P难题的最佳方式是寻找新的石油资源来降低E&P总成本。挖潜模式早追求通过改善已知石油资源的效益状况获得最佳解决方案。随着低成本获得大规模石油储量机会的减少,挖潜模式表现出更强的环境适应性。除了在资本结构、资本预算、商业开发模式等方面有明显区别外,两种模式在获得技术的途径、技术选择和应用的方法、在不确定性评估中技术的角色以及技术对决策的影响方面也存在显著的差异。挖潜模式强调技术应用重于技术开发,注重通过高水平运用组合技术,极大地提高对资产不确定性因素的预测,从而更好地控制系统风险。     

A generalization of the Hull and White formula with applications to option pricing approximation

By means of Malliavin calculus we see that the classical Hull and White formula for option pricing can be extended to the case where the volatility and the noise driving the stock prices are correlated. This extension will allow us to describe the effect of correlation on option prices and to derive approximate option pricing formulas.A previous version of this paper has benefited from helpful comments by two anonymous referees.     

Responses to Discrimination: Relationships Between Social Support Seeking,Core Self‐Evaluations,and Withdrawal Behaviors

Drawing from the theory of conservation of resources (Hobfoll, 1989), we examined relationships between social support seeking as a response to perceived discrimination from supervisors, core self‐evaluations, and withdrawal behaviors. We further studied how the relationship between social support seeking and withdrawal behaviors was moderated by core self‐evaluations. With two different samples, we found, as expected, that social support seeking in response to discrimination from supervisors is positively related to employee withdrawal behaviors, and core self‐evaluations is negatively related to withdrawal behaviors. Across the two samples, we also found evidence that the relationship between social support seeking and withdrawal behaviors was weaker when core self‐evaluations were high compared to low. We discuss implications of our results in the context of past research. © 2014 Wiley Periodicals, Inc.     

Work‐related attitudes and job characteristics of expatriates in Saudi Arabia

This study investigates the influence of job satisfaction, job autonomy, job variety, task identity, feedback, and employee demographics on organizational commitment among self‐initiated expatriates (SIEs) in Saudi Arabia. An examination of a sample of 481 SIEs reveals that only job satisfaction and job variety are related to organizational commitment. The rest—job characteristics and demographics—are unrelated to organizational commitment. The findings and the anomalies of the findings are discussed. © 2001 John Wiley & Sons, Inc.     

Exploring the mismatch between skills and jobs for women in Saudi Arabia in technical and vocational areas: the views of Saudi Arabian private sector business managers

Saudi Arabia’s rapid development has highlighted the shortage of national technical manpower and the subsequent need to recruit non‐Saudi technical workers, on the one hand, and the difficulty of replacing these workers with qualified Saudis, on the other. Therefore successive Development Plans have tried to raise the quality and quantity of technical and vocational education for both men and women. In 1995/96 only 5 per cent of Technical and Vocational Education (TEVT) enrolled students were female. This compares with an average of 29 per cent in other Islamic countries and 45 per cent in Japan (UNESCO, 1997, 1999). Part of this may be due to the preferences of female students in education, part due to the structure of TEVT in Saudi Arabia, part due to the availability of technical and vocational jobs available for women after completing their training and part due to the natural place of women in Saudi society. The Seventh Development Plan (2000–2004) assumes that the private sector will play a very significant role in employing a Saudi labour force including both men and women. As part of a comprehensive study concerning the factors affecting women’s employment in the Saudi private sector private sector business managers in four large cities were surveyed to see what factors they felt were important. The main factors affecting employment of women in technical and vocational education were seen by the managers as those relating to the structure of TEVT education in Saudi Arabia rather than preferences of women or pressures from society.     

Work, Identity and Self: How We Are Formed by The Work We Do

Because work looms so large in our lives I believe that most of us don't reflect on its importance and significance. For most of us, work is well – work, something we have to do to maintain our lives and pay the bills. I believe, however, that work is not just a part of our existence that can be easily separated from the rest of our lives. Work is not simply about the trading of labor for dollars. Perhaps because we live in a society that markets and hawks the fruits of our labor and not the labor itself, we have forgotten or never really appreciated the fact that the business of work is not simply to produce goods, but also to help produce people. We need work, and as adults we find identity and are identified by the work we do. If this is true then we must be very careful about what we choose to do for a living, for what we do is what we'll become.