Bridging the gap between a stationary point process and its Palm distribution

In the context of stationary point processes measurements are usually made from a time point chosen at random or from an occurrence chosen at random. That is, either the stationary distribution P or its Palm distribution P° is the ruling probability measure. In this paper an approach is presented to bridge the gap between these distributions. We consider probability measures which give exactly the same events zero probability as P°, having simple relations with P . Relations between P and P° are derived with these intermediate measures as bridges. With the resulting Radon-Nikodym densities several well-known results can be proved easily. New results are derived. As a corollary of cross ergodic theorems a conditional version of the well-known inversion formula is proved. Several approximations of P° are considered, for instance the local characterization of P^o as a limit of conditional probability measures P° N The total variation distance between P° and P₁ can be expressed in terms of the P-distribution function of the forward recurrence time.     

Driving on liquid sunshine – the Brazilian biofuel experience: a policy driven analysis

This paper analyses Brazil's experience with biofuels, focusing on the central role of the federal government as the main force driving the implementation of alternative locally produced ethanol (ethyl alcohol) and biodiesel. The pioneering, large scale ethanol programme that started over 30 years ago can be considered the most successful experience with the use of biofuels to date, as the government was able to rapidly implement the use of ethanol (ethyl alcohol) as a substitute for petrol in the 1970s and 1980s. The work contributes to the general discussion of sustainable and renewable energy sources and sets out the key policy mechanisms used. The paper also innovatively looks at the second large governmental intervention in the renewable fuels market – the biodiesel programme. In addition to the contribution to the debate surrounding command‐and‐control measures and economic incentive instruments, the paper analyses how lessons learned from the ethanol experiment were taken into consideration in the design and implementation of the biodiesel mandate, including social and environmental facets. It emphasizes the uniqueness of producing sugarcane ethanol in the Brazilian context and how attempts to carry out similar fast growing biofuels programmes may not be possible in other parts of the world. Copyright © 2008 John Wiley & Sons, Ltd and ERP Environment.     

The role of knowledge,attitudes and perceptions in the uptake of agricultural and agroforestry innovations among smallholder farmers in sub-Saharan Africa

Despite the great potential of agricultural innovations, the uptake by smallholder farmers in sub-Saharan Africa seems to be slow. We reviewed existing theories and frameworks for the uptake of agricultural innovations and found that these tend to emphasize the role of extrinsic factors such as the characteristics of the adopter and the external environment in the decision-making process. In this paper, we argue that intrinsic factors such as the knowledge, perceptions and attitudes of the potential adopter towards the innovation play a key role, but this has been less studied. We present an analytical framework that combines both extrinsic and intrinsic factors in farmers' decisions to adopt new agricultural technologies and apply the framework to agroforestry adoption as a case study. We review the literature on agroforestry adoption in sub-Saharan Africa and identify the extrinsic and intrinsic variables affecting the uptake of agroforestry technologies. We conclude that the uptake of agricultural technologies is a complex process influenced by both extrinsic and intrinsic variables, and recommend that future studies aiming to understand the adoption process of agricultural innovations take into account both sets of variables. A mechanistic understanding of how intrinsic and extrinsic factors interact and drive adoption can help in targeting technologies appropriately to ensure sustainability.     

On option pricing models in the presence of heavy tails

We propose a modification of the option pricing framework derived by Borland which removes the possibilities for arbitrage within this framework. It turns out that such arbitrage possibilities arise due to an incorrect derivation of the martingale transformation in the non-Gaussian option models which are used in that paper. We show how a similar model can be built for the asset price processes which excludes arbitrage. However, the correction causes the pricing formulas to be less explicit than the ones in the original formulation, since the stock price itself is no longer a Markov process. Practical option pricing algorithms will therefore have to resort to Monte Carlo methods or partial differential equations and we show how these can be implemented. An extra parameter, which needs to be specified before the model can be used, will give market makers some extra freedom when fitting their model to market data.     

Comparative Research with Net and Gross Income Data: An Evaluation of Two Netting Down Procedures for the LIS Database

Researchers seeking to perform country‐comparative and trend analyses using income data have to account for the fact that income surveys differ in whether income is measured gross or net of taxes and contributions. We discuss, develop, and evaluate two ‘netting down procedures’ for data in the LIS Database. Evaluations of these netting down procedures indicate that comparisons across gross and net datasets can be greatly improved when netting down procedures are applied. In several cases, however, substantial amounts of bias remain.     

Financial optimisation of forest-level harvest scheduling in Ireland – A case study

World-wide, forest managers have long recognised the benefits of using optimisation-based modelling techniques to improve decision-making. With no such systems in operation in Irish forestry, optimisation-based economic models were developed for harvest scheduling on a forest level within the context of a hierarchical approach. These new techniques were compared to those currently employed by Coillte Teoranta (the Irish Forestry Board). The development of the optimisation models involved the evaluation of: different management options strategies, optimisation techniques, model types and constraint strategies. Evaluation of the models was carried out in Clonbrock forest (294.8 ha), a typical Irish plantation forest, owned and managed by Coillte. The application of the selected model resulted in an increase in net present value (NPV) over the 5-year planning period of 14.2% compared to the NPV produced by Coillte's current process.     

The Estimation of a Cusp Model to Describe the Adoption of Word for Windows*

This article revisits earlier work in this journal by Paul Herbig (1991) that proposed a catastrophe model of industrial product adoption under certain conditions. Catastrophe models are useful for modeling situations where organizations can exhibit both smooth and abrupt adoption behavior. It extends Herbig's work by focusing on organizations' adoption of new products when network externalities are an important part of the decision process, and it presents an empirical estimation of the model. Network externalities occur when firms do not want to adopt a new innovation or product unless other firms do. The reason is that they do not want to end up with an innovation that ends up not being a standard of some sort. Mistakes of this nature can be costly as the firm must invest twice and loses time relative to competitors who have not made such a mistake. However, when such externalities exist, for example with regard to technological adoptions, then normal diffusion gives way to sudden discontinuous shifts as all firms seemingly act together an move to a new technology. Since, technology is an area where the authors expect network externalities to exist, that is the focus of this article. The specific application is developed from two sets of panel data on the organizational adoptions of Microsoft's (MS) Word for Windows software by organizations that previously were using either Word for DOS or Word for Macintosh (Mac). The theoretical framework for the analysis is based on work in the economics literature on network externalities. However, the organization and new product development catastrophe model comes primarily from Herbig (1991) . The article focuses on an area of organizational adoption where relatively little empirical research has been done, namely organizational adoption “for use.” Longitudinal data provided by Techtel Corporation is used to develop the estimations. Results of the empirical analysis are consistent with the theoretical framework suggested in Herbig's article and in those found in economics and catastrophe theory literatures. This lends clear support to the idea that organizations will adopt a bandwagon‐type behavior when network externalities are present. It further suggests that in such markets, the standard S‐shaped diffusion curve is not an appropriate model for examining organizational behavior. From a managerial perspective, it means that buyers and sellers may face nonstandard diffusion curves. Instead of S‐shaped curves, the actual curves have a break or rift where sales end, and there is a sudden shift to a new product that is relatively high very early on. Clearly, for new product development (NPD), it suggest that organizations' “for‐use” purchases may be similar to regular consumers and may change rapidly from one product to another almost instantly, as in the case of the switch from vinyl records to compact discs (CDs). From an old product seller's viewpoint, the market is here today and gone tomorrow, while for the new seller it is a sudden deluge of sales requests. To put it in more everyday terms, sudden changes in adoption behavior are a September 11‐type experience for the market. It is the day the world changes.     

Weak convergence of tree methods,to price options on defaultable assets

Abstract We discuss a practical method to price and hedge European contingent claims on assets with price processes which follow a jump-diffusion. The method consists of a sequence of trinomial models for the asset price and option price processes which are shown to converge weakly to the corresponding continuous time jump-diffusion processes. The main difference with many existing methods is that our approach ensures that the intermediate discrete time approximations generate models which are themselves complete, just as in the Black-Scholes binomial approximations. This is only possible by dropping the assumption that the approximations of increments of the Wiener and Poisson processes on our trinomial tree are independent, but we show that the dependence between these processes disappears in the weak limit. The approximations thus define an easy and flexible method for pricing and hedging in jump-diffusion models using explicit trees for hedging and pricing. Mathematics Subject Classification (2000): 60B10, 60H35 Journal of Economic Literature Classification: G13     

Staathuishoudkunde als vak van Midoelbaar Onderwijs

oud-leeraar in de staatswetenschappen teLeiden, teUtrecht.leeraar in de staatswetenschappen aan de H. B. School met 5-jarigen cursus en Openbare Handelsschool teAmsterdam.leeraar in de staatswetenschappen teDordrecht.