An enlargement of filtration formula with applications to multiple non-ordered default times

In this work, for a reference filtration \(\mathbb {F}\), we develop a method for computing the semimartingale decomposition of \(\mathbb {F}\)-martingales in a specific type of enlargement of \(\mathbb {F}\). As an application, we study the progressive enlargement of \(\mathbb {F}\) with a sequence of non-ordered default times and show how to deduce results concerning the first-to-default, \(k\)th-to-default, k-out-of-n-to-default or all-to-default events. In particular, using this method, we compute explicitly the semimartingale decomposition of \(\mathbb {F}\)-martingales under the absolute continuity condition of Jacod.     

Productivity and environmental regulation: the effect of the nitrates directive in the French pig sector

This paper measures the ensuing changes in productivity in the French pig sector following the introduction of the European regulation addressing water pollution by nitrates from agriculture. Productivity is measured using the Malmquist–Luenberger index. The sources of changes in productivity observed are examined by breaking down this index into its technical progress and efficiency components. The results show that in the early stages, increases in productivity were stimulated by increased efficiency, before being driven by technical progress. The estimations regarding the sources of efficiency gains for the farms in the sample (technical efficiency, efficiency of scale and environmental efficiency) are then used to estimate the indirect costs and benefits (or negative costs) linked to the introduction of the environmental regulation controlling the disposal of organic manure and the management of nitrogen surplus from pig farms. The existence of a “win-win” effect as regards the Porter hypothesis relation between efficiency and environmental regulation is highlighted for the French pig sector.      

No-arbitrage up to random horizon for quasi-left-continuous models

This paper studies the impact, on no-arbitrage conditions, of stopping the price process at an arbitrary random time. As price processes, we consider the class of quasi-left-continuous semimartingales, i.e., semimartingales that do not jump at predictable stopping times. We focus on the condition of no unbounded profit with bounded risk (called NUPBR), also known in the literature as no arbitrage of the first kind. The first principal result describes all the pairs of quasi-left-continuous market models and random times for which the resulting stopped model fulfils NUPBR. Furthermore, for a subclass of quasi-left-continuous local martingales, we construct explicitly martingale deflators, i.e., strictly positive local martingales whose product with the price process stopped at a random time is a local martingale. The second principal result characterises the random times that preserve NUPBR under stopping for any quasi-left-continuous model. The analysis carried out in the paper is based on new stochastic developments in the theory of progressive enlargements of filtrations.     

Service strategy to improve operational capabilities in the public sector

ABSTRACT

Public institutions, such as emergency services, face unique operational challenges because they do not have a clear profit motive, operate in a political system as opposed to a market system, and have a fragmented authority structure. This study applies traditional operations and service strategy theory to the not-for-profit, public sector context. Synthesizing research from these theoretical domains, a contingency framework is developed to determine the effect of environmental uncertainty and strategic choices on operational capabilities in emergency services under different governance structures. Operations strategy research traditionally uses survey-based measures, while emergency services research focuses on mathematical modeling techniques. In contrast, this study analyzes archival data with 9800 emergency incidents using hierarchical regression. The results support that in the public not-for-profit context, strategic choices mediate the impact of environmental uncertainty on operational capability. Furthermore, governance structure moderates the impact of environmental uncertainty and strategic choices.     

A study of the structural integration of the marketing and PR functions in the C-suite

Recently, a number of firms have structurally integrated the distinct yet related functions of marketing and public relations (PR), under the leadership of a single corporate-, or C-level, executive. Such actions, as well as turf wars between the functions over social media ownership and related stakeholder management conflicts, have reignited the debate over whether marketing and PR should be separated or unified. By drawing on the pros and cons of integration, as suggested by prior conceptual research on integrated marketing communications, and using secondary data for a set of Fortune 500 firms, this study empirically tests this issue for multiple outcomes and contingencies. Results show that the integration of marketing and PR has positive benefits for firm reputation, an effect that is weakened as firm size increases, and positive effects for firm profitability in service-oriented firms.     

The Effects of Guilt-Appeal Intensity on Persuasive and Emotional Outcomes: The Moderating Role of Sponsor Motive

Studies examining the persuasive effects of guilt appeals have yielded mixed results. The current study hypothesizes that source motive (profit versus not for profit) is a key moderating variable underlying these inconsistences. A controlled experiment tested the moderating role of sponsor motive on the relationship between guilt-appeal intensity and persuasiveness of the appeal and ad liking. Findings confirmed the notion that sponsor motive moderates the effects of guilt appeals: When guilt appeals are commercially oriented there is a relative failure of high-intensity guilt appeals compared to moderate-intensity guilt appeals. Moderate-intensity guilt appeals cause more-positive brand attitudes than high-intensity appeals. Yet, when guilt appeals are nonprofit, increases in intensity of guilt communicated lead to positive results. As the guilt-intensity increased, ad liking and persuasiveness increased. It appears that guilt-appeal intensity did not have an effect on brand attitudes when the message was nonprofit.     

Robustness of the Black and Scholes Formula

Consider an option on a stock whose volatility is unknown and stochastic. An agent assumes this volatility to be a specific function of time and the stock price, knowing that this assumption may result in a misspecification of the volatility. However, if the misspecified volatility dominates the true volatility, then the misspecified price of the option dominates its true price. Moreover, the option hedging strategy computed under the assumption of the misspecified volatility provides an almost sure one-sided hedge for the option under the true volatility. Analogous results hold if the true volatility dominates the misspecified volatility. These comparisons can fail, however, if the misspecified volatility is not assumed to be a function of time and the stock price. The positive results, which apply to both European and American options, are used to obtain a bound and hedge for Asian options.     

Product market deregulation and the US employment miracle

We consider the dynamic relationship between product market entry regulation and equilibrium unemployment. The main theoretical contribution is combining a job matching model with monopolistic competition in the goods market and individual bargaining. We calibrate the model to US data and perform a policy experiment to assess whether the decrease in trend unemployment during the 1980s and 1990s could be directly attributed to product market deregulation. Under our baseline calibration, our results suggest that a decrease of less than two-tenths of a percentage point of unemployment rates can be attributed to product market deregulation, a surprisingly small amount.     

Costs and benefits of controlling quarantine diseases: a bio-economic modeling approach

This article describes a bio-economic model to quantify the costs and benefits of controlling plant quarantine diseases. The model integrates the epidemiology and economic consequences of a quarantine disease. It allows for ex ante evaluation of control scenarios for their cost-effectiveness, taking into account potential export losses resulting from presence of the disease. The model is applied to brown rot of potato in the Dutch potato production chain. Simulation results show that under the current (2006) control policy, the average yearly costs of brown rot are 7.7 million euros. Reducing monitoring frequency increases the costs to 12.5 million euros, 60% of which are export losses. It is also shown that, due to potential long-term effects of a strategy, conclusions on cost-effectiveness of a strategy depend on the length of the period over which that strategy is observed. These applications illustrate the potential of the bio-economic model to facilitate the development of cost-effective and soundly based control policies.