THE SQUARED ORNSTEIN-UHLENBECK MARKET

We study a complete market containing J assets, each asset contributing to the production of a single commodity at a rate that is a solution to the squared Ornstein-Uhlenbeck (Cox-Ingersoll-Ross) SDE. The assets are owned by K agents with CRRA utility functions, who follow feasible consumption/investment regimes so as to maximize their expected time-additive utility from consumption. We compute the equilibrium for this economy and determine the state-price density process from market clearing. Reducing to a single (representative) agent, and exploiting the relation between the squared-OU and squared-Bessel SDEs, we obtain closed-form expressions for the values of bonds, assets, and options on the total asset value. Typical model parameters are estimated by fitting bond price data, and we use these parameters to price the assets and options numerically. Implications for the total asset price itself as a diffusion are discussed. We also estimate implied volatility surfaces for options and bond yields.     

Putting sense of place at the centre of place brand development

Developing a place brand involves highlighting the distinctive attributes of a place that could be used to enhance its attractiveness. This study is in line with recent literature where the concept of place identity is being replaced by sense of place, which provides an holistic view of a place by integrating all users’ experiences and feelings. Through a qualitative study involving 31 individual interviews with users and meetings with managers of a French coastal area, this paper proposes a five-dimensional definition of sense of place and its use as a tool for developing a place brand in 3 ways: defining the place brand concept, bringing together the internal stakeholders and invoving users in brand building.     

Factor Substitution, Average Firm Size and Economic Growth

This paper extends the Lucas (1978, The Bell Journal of Economics 9(2), 508–523) analysis of firm size by taking into account a normalised aggregate CES production function. In a general equilibrium framework it is proved that there is an inverse relation between the elasticity of substitution and average firm size. If interpreted together with the fact that richer countries are characterised by a higher elasticity of substitution, this result can explain why the recent literature finds a positive association between the importance of SMEs in an economy and its stage of development, but seems to fail in finding causality between the two. Both have a common origin: a high value of the elasticity of substitution. This paper also provides a first empirical test of the theory proposed using cross-country data from both developed and developing countries.