A mixed PDE-Monte Carlo approach for pricing credit default index swaptions

Abstract The problem of numerically pricing credit default index swaptions on a large number of names is considered. We place ourselves in a stochastic intensity framework, where Ornstein-Uhlenbeck-type correlated processes are used to model both firms’ distance to default and a macroeconomic state variable. Here the default of the firms’ follows the reduced-form approach and the (random) intensity of the default depends on the behavior of the diffusion processes. We propose here a numerical method based on both a Monte Carlo and a deterministic approach for solving PDEs by finite differences. Numerical tests demonstrate the efficiency and the robustness of the proposed procedure.     

Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate

Decisions in Economics and Finance - In this paper, we investigate value and Greeks computation of a guaranteed minimum withdrawal benefit (GMWB) variable annuity, when both stochastic volatility...     

Which factors hinder the adoption of open innovation in SMEs?

The literature on open innovation (OI) is characterised by studies based both on large companies and small and medium-sized enterprises (SMEs). Among all, one of the less explored issues in SMEs is what impedes them to adopt OI. Thus, this paper has the threefold objective to identify which factors hinder the adoption of OI in SMEs, to investigate if different behaviours exist among SMEs in relation to these factors, and to understand if the same factors effectively influence the level of adoption of OI. Based on a survey on 157 Italian SMEs, we identified four main barriers (namely, ‘knowledge’, ‘collaboration’, ‘organisational’, and ‘financial and strategic’) and three profiles of firms, different in terms of innovativeness of the industries they belong to (knowledge intensive, medium-innovative, and less innovative) and hampering factors perceived (‘knowledge’, ‘financial and strategic’, and ‘collaboration’ and ‘organisational’ barriers). Moreover, we found that some of these factors effectively impede the adoption of the paradigm.     

MACROPRUDENTIAL POLICY – A LITERATURE REVIEW

The recent financial crisis has highlighted the need to go beyond a purely micro approach to financial regulation and supervision. As a consequence, the number of policy speeches, research papers and conferences that discuss a macro perspective on financial regulation has grown considerably. The policy debate is focusing in particular on macroprudential tools and their usage, their relationship with monetary policy, their implementation and their effectiveness. Macroprudential policy has recently also attracted considerable attention among researchers. This paper provides an overview of research on this topic. We also identify important future research questions that emerge from both the literature and the current policy debate.     

Organizations as Human Communities and Internal Markets: Searching for Duality

Business firms have been explained as internal markets or as communities. To be sustainable, however, they need to reconcile these two constituting elements that have mainly been touted as opposite and part of a dualistic relationship. We suggest that organizations may, in alternative, view market and community as part of a duality, interdependent and mutually constituting processes that may not only contradict each other but also enable one another. The implications of a duality view for business ethics, which articulates market and community elements in a fruitful, mutually enabling relationship, are considered, and duality is presented as a way of transcending what is commonly viewed as opposition, moving organizations both in the direction of humane and competitive finalities.     

The Dollar-Mark axis

The Dollar-Mark Axis. — Over the last two decades, most European currencies have tended to weaken against the mark as the latter strengthened against the dollar. Moreover, the strength of the response of European cross rates has tended to remain in the same order over time. The paper first sets out the stylised facts of this phenomenon, referred to as the dollar-mark axis, and then tries to identify its determinants. In addition to exchange rate policy, the paper examines the correlation of cyclical fluctuations and trade links and the bias of international investors in the currency composition of their portfolios.     

Current Account Adjustment and Capital Flows*

We examine episodes of current account adjustment in industrial countries over the past 30 years. We find that they were typically associated with a sizable growth slowdown and a large exchange rate depreciation. There was no discernible change in the nature of capital flows just prior to an adjustment. Hence, adjustments may be responding to the resolution of domestic imbalances rather than being an exogenous event. We show that global developments triggered the adjustment, possibly by triggering the unwinding of the domestic imbalances. Most of the ex post adjustment of the financial account was in private sector flows, primarily by foreign investors.     

To Be or Not to be Temp? An Analysis of the Moderating Role of Motives for Accepting Temporary Employment

We investigate the role of contract volition and motives for accepting temporary employment in the relationship between precariousness of life and negative psychological symptoms in a sample of 275 Italian temps. Results suggest that the negative effect of contract volition on negative psychological symptoms is partially mediated by precariousness of life. A moderated mediation model shows that specific motives moderate the negative effects of contract volition on precariousness of life, so that when contract volition is higher, workers with weaker motives feel less precarious. This study broadens our understanding of temporary employment outcomes by showing that the negative consequences of precariousness of life seem to be less troublesome among temporary workers with higher contract volition and lower motivation. © 2018 ASAC. Published by John Wiley & Sons, Ltd.