Small dimension PDE for discrete Asian options

This paper presents an efficient method for pricing discrete Asian options in presence of smile and non-proportional dividends. Using an homogeneity property, we show how to reduce an n0 dimensional problem to a one- or two-dimensional one. We examine different numerical specifications of our dimension reduced PDE using a Crank–Nicholson method (interpolation method, grid boundaries, time and space steps) as well as the extension to the case of non-proportional discrete dividends, using a jump condition. We benchmark our results with Quasi Monte-Carlo simulation and a multi-dimensional PDE     

Revealed Preferences of Business Students at a Major State University

ABSTRACT: Business schools are facing a rapidly changing environment as new technology and alternative delivery systems erode barriers of time and place. The authors analyze the practices for determining curricula and courses offered by a major state university's business school and conclude that the school operates as a command economy. Such a structure produces artificial demand for some courses and obfuscates the measurement of true student preferences. The authors propose that, at least for full-capacity courses, enrollment should be replaced as a demand measure by one based on attempts to enroll. The authors' demand measure provides significantly different results from the traditional enrollment measure. The authors' results also provide insight into the relative preferences of students for different courses at the business school and the factors affecting these preferences, with some positive implications for the risk management and insurance discipline.     

Research,Innovation And Productivi[Ty: An Econometric Analysis At The Firm Level

This paper studies the links between productivity, innovation and research at the firm level. We introduce three new features: (i) A structural model that explains productivity by innovation output, and innovation output by research investment: (ii) New data on French manufacturing firms, including the number of European patents and the percentage share of innovative sales, as well as firm-level demand pull and technology push indicators; (iii) Econometric methods which correct for selectivity and simultaneity biases and take into account the statistical features of the available data: only a small proportion of firms engage in research activities and/or apply for patents; productivity, innovation and research are endogenously determined; research investment and capital are truncated variables, patents are count data and innovative sales are interval data.

We find that using the more widespread methods, and the more usual data and model specification, may lead to sensibly different estimates. We find in particular that simultaneity tends to interact with selectivity, and that both sources of biases must be taken into account together. However our main results are consistent with many of the stylized facts of the empirical literature. The probability of engaging in research (R&D) for a firm increases with its size (number of employees), its market share and diversification, and with the demand pull and technology push indicators. The research effort (R&D capital intensity) of a firm engaged in research increases with the same variables, except for size (its research capital being strictly proportional to size). The firm innovation output, as measured by patent numbers or innovative sales, rises with its research effort and with the demand pull and technology indicators, either directly or indirectly through their effects on research. Finally, firm productivity correlates positively with a higher innovation output, even when controlling for the skill composition of labor as well as for physical capital intensity.     

How well do patent citations measure flows of technology? Evidence from French innovation surveys

Patent citation data are used in a growing body of economics and business research on technological diffusion. Until now, there exists little evidence on whether patent citations are a good measure of knowledge flows. Our paper assesses the legitimacy of using European patent citations as a measure of technology flows. It uses information from the Community Innovation Survey collected by the French Service des Statistiques Industrielles (SESSI), which contain firms’ responses to questions about their innovative activity. We show that patent citations are indeed related to firms’ statements about their acquisition and dispersion of new technology, but that the strength and statistical significance of this relationship varies across geographical regions and across channels of knowledge diffusion.     

Public health impact of comprehensive hepatitis C screening and treatment in the French baby-boomer population

Objective: To estimate the public health impact of comprehensive hepatitis C virus (HCV) screening and access to all-oral, interferon (IFN)-free direct-acting antivirals (DAAs) in the French baby-boomer population (1945–1965 birth cohorts).

Methods: A sequential, multi-cohort, health-state transition model was developed to assess the impact of different hepatitis C screening and treatment strategies on clinical and economic outcomes in the 1945–1965 birth cohorts. Patients newly-diagnosed with chronic HCV were projected each year from 2016 to 2036 under three screening scenarios (70% [low], 75% [intermediate], and 80% [high] HCV awareness in 2036). Healthcare costs and clinical outcomes (number of liver-related deaths, quality-adjusted life-years [QALYs], life-years [LYs] spent in sustained virologic response [SVR] or with decompensated cirrhosis, hepatocellular carcinoma, or liver transplant) were compared among five treatment strategies (no antiviral therapy; IFN?+?ribavirin?+?protease inhibitor for fibrosis stages F2–F4, IFN-based DAAs for stages F2–F4, IFN-free DAAs for stages F2–F4, and IFN-free DAAs for stages F0–F4).

Results: Diagnosis of HCV genotype 1 was projected for 4,953, 6,600, and 8,368 individuals in the low, intermediate, and high screening scenarios, respectively. In the intermediate scenario, IFN-free DAAs for stages F0–F4 had a favorable cost-effectiveness profile vs IFN-based or IFN-free treatment strategies for F2–F4 and offered the greatest return on investment (0.899 LYs gained in SVR and 0.933 QALYs per €10,000 invested).

Conclusion: Comprehensive HCV screening and access to all-oral, IFN-free DAAs is a cost-effective strategy that could help diminish the upcoming burden of HCV in the French baby-boomer population.