Asymptotic expansion for some local volatility models arising in finance

Decisions in Economics and Finance - In this paper, we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions...     

A fuzzy set theory based computational model to represent the quality of inter-rater agreement

In this paper we present a method to evaluate the quality of a rater’s judgement, which can integrate and enrich the use of inter-rater agreement as a reliability measure. Our proposal is an integrative one and evaluates the quality of a rater’s performance through an analysis of the profile of that individual rater’s performance. We discuss its rationale on the basis of the interpretation of inter-rater agreement, highlighting some critical issues. For this purpose, we adopt a computational model based on fuzzy set theory, demonstrating its main characteristics with an exemplary case study.     

The dynamics of social agreement according to Conceptual Agreement Theory

Many social phenomena can be viewed as processes in which individuals in social groups develop agreement (e.g., public opinion, the spreading of rumor, the formation of social and linguistic conventions). Conceptual Agreement Theory (CAT) models social agreement as a simplified communicational event in which an Observer \((O)\) and Actor \((A)\) exchange ideas about a concept \(C\) , and where \(O\) uses that information to infer whether \(A\) ’s conceptual state is the same as its own (i.e., to infer agreement). Agreement may be true (when \(O\) infers that \(A\) is thinking \(C\) and this is in fact the case, event \(a1\) ) or illusory (when \(O\) infers that \(A\) is thinking \(C\) and this is not the case, event \(a2\) ). In CAT, concepts that afford \(a1\) or \(a2\) become more salient in the minds of members of social groups. Results from an agent-based model (ABM) and probabilistic model that implement CAT show that, as our conceptual analyses suggested would be the case, the simulated social system selects concepts according to their usefulness to agents in promoting agreement among them (Experiment 1). Furthermore, the ABM exhibits more complex dynamics where similar minded agents cluster and are able to retain useful concepts even when a different group of agents discards them (Experiment 2). We discuss the relevance of CAT and the current findings for analyzing different social communication events, and suggest ways in which CAT could be put to empirical test.     

Development, democracy, and mass killings

Using a newly assembled dataset spanning from 1820 to 1998, we study the relationship between the occurrence and magnitude of episodes of mass killing and the levels of development and democracy across countries and over time. Mass killings appear to be more likely at intermediate levels of income and less likely at very high levels of democracy. However, the estimated relationship between democracy and probability of mass killings is not linear in the full sample. In the XXth century, discrete improvements in democracy are systematically associated with episodes involving fewer victims.When human lives are endangered, when human dignity is in jeopardy, national borders and sensitivities become irrelevant. Whenever men or women are persecuted because of their race, religion, or political views, that place must—at that moment—become the center of the universe. – Elie Wiesel– Nobel Prize acceptance speech, 1986.     

Derived versus full name brand extensions

Most brand extension studies follow the assumption that brand extensions use the full original parent brand name (e.g., Oral-B tooth brush may extend to Oral-B dental floss). However, some companies use derived brand names in their brand extension strategies (e.g. Nestea Iced Tea). This study explores the advantages and disadvantages of derived brand extensions compared to full name extensions. The study examines the importance of target market effects on the evaluation of both brand extension strategies. Findings support the idea that derived brand names leverage parent brand evaluations and protect parent brand from extension failures.     

Modeling public transport corridors with aggregate and disaggregate demand

Microeconomic public transport models aimed at maximizing social benefits usually consider demand in an aggregate manner. In this paper we examine the effect of this approach on the optimal values of frequency and vehicle size by comparison with models where demand is described in detail as a matrix of flows between every station in a single line service. The theoretical analysis and the numerical examples suggest that the spatially aggregated model underestimates optimal frequency and overestimates vehicle size.     

WINNERS AND LOSERS FROM DOLLAR DEPRECIATION

We examine the relationship between the US current account deficit, the international value of the dollar, and the dollar reserves of foreign central banks. The declining dollar could benefit US savers at the expense of foreign investors in the USA.     

Foreign Acquisition and Firm Productivity: Evidence from Slovenia

This paper investigates the impact of foreign acquisition on the productivity of Slovenian manufacturing firms subject to takeover in 1997. It finds evidence that foreign investors acquire those enterprises with higher productivity, that are more inclined to export and that operate in more concentrated industries. It then controls for the estimation bias induced by this non‐random selection process by applying the combined propensity score matching and difference‐in‐differences estimation technique. The results of the empirical analysis show no robust statistical evidence of a positive causal effect of foreign acquisition up to two years following takeover. This finding suggests that a transfer of intangible assets from foreign firms to their Slovenian affiliates does not take place over this time period.     

NON PURE PRIVATE GOODS IN THE ECONOMICS OF PRODUCTION PROCESSES

In this article the concept of nonrival input is re-examined as a possible source of increasing returns, by taking a production process as the elementary unit of analysis. Nonrivalry of inputs is redefined in order to furnish an analytical tool to be used for extending the theory of value and distribution beyond the case of pure private goods and constant returns. Furthermore, the reformulation of the same concept is implemented for a critical appraisal of the notion of industrial design which has been adopted by Romer in his modelling approach to the theory of endogenous growth.     

NUMERAIRE,SAVINGS AND THE INSTABILITY OF A COMPETITIVE EQUILIBRIUM

This paper addresses the stability of a multimarket competitive equilibrium. The dependence of stability on the choice of the numeraire is clarified. The traditional tâtonnement pricing is revised in order to satisfy some basic features of economic behaviour. Well‐known conditions for local stability are proved to be insufficient if a market for credit is introduced alongside the markets of dated commodities. Stability depends not only on the slopes of the demand and supply curves, but also on equilibrium prices. This result emerges without the occurrence of capital perversities, such as reswitching and reverse capital deepening.