Notes and Comments: An approximation of caplet implied volatilities in Gaussian models

Abstract It is market practice to quote interest rate derivatives traded “over the counter” in terms of their implied volatility. For this reason, the term structure of at-the-money cap volatilities as well as the volatility surface of at-the-money swaptions are directly observed. This paper analyzes the case of caps. Any analysis of these markets would most likely report two main facts. The first is that the level of the volatility is inversely related to the level of the interest rates. The second is that the term structure is either a decreasing or a humped function of maturity. For a reference, see Rebonato (2003) and Brigo and Mercurio (2001). Rebonato (2003) suggests that the structure of implied volatility is humped in periods of normal market conditions and decreasing when markets are “excited”. Interpreting and explaining such phenomena is indeed an interesting and important issue. Mathematics Subject Classification (2000): 91B70 Journal of Economic Literature Classification: E43, C13     

The Breakdown of Idiosyncratic Volatility Into Expected and Unexpected Components and Its Effects on Stock Returns in Brazil

Based on studies of idiosyncratic volatility developed in the recent literature, this study analyzes its relation with expected returns through the breakdown of idiosyncratic volatility in the Brazilian stock market and presents evidence of the importance of expected idiosyncratic volatility for asset pricing. We study the impact of the expected and unexpected components of idiosyncratic volatility on the returns of shares listed on the BOVESPA between 2004 and 2011. The results show a strong positive and significant relation between expected idiosyncratic volatility and returns. This evidence is highlighted when we use unexpected idiosyncratic volatility to control for unexpected returns. Additional robustness tests, controlling for size and momentum effects, also have positive and significant coefficients, corroborating previous findings.     

完美地扮演大亨与政客的角色——意大利总理西尔维奥·贝卢斯科尼

“由于我的个人历史、我的专业技能和我在商业上所取得的成就，我是一个无人能与之相比的人物。”     

Companies Promoting Sustainable Consumption of Employees

Activities aimed at promoting sustainable consumption need to be introduced into everyday settings, as sustainable consumption behaviour needs to become part of daily living. Therefore it is worthwhile reflecting on social settings where consumption plays a minor role, but where people nonetheless learn and experience new attitudes and behaviours. The workplace is an important focal point of adults’ daily routines. This paper examines companies’ role in promoting sustainable consumption of their employees.     

A practical approach to sensitivity analysis in linear programming under degeneracy for management decision making

Linear programming (LP) is a widely used tool in management decision making. Theoretically, sensitivity analysis of LP problems provides useful information for the decision maker. In practice, however, most LP software provides misleading sensitivity information if the optimal solution is degenerate. The paper shows how sensitivity analysis of LP problems can be done correctly when the optimal solution is degenerate. A production planning example is presented to illustrate the incorrect sensitivity analysis results automatically provided by most LP solvers. The general characteristics of the misleading results and the possible effects of this incorrect information on management decisions are also discussed.     

无线领导下一个信息时代

不久的将来,人们就能得到他们需要的任何信息,不论他们身在何处。甚至在出现突发情况时,比如在最后时刻日程表变更了,或是附近有一家味道不错的餐馆诱惑你驻足,只要你需要,信息就会随叫随到。     

Consumers' perceptions of functional foods: trust and food‐neophobia in a cross‐cultural context

Consumers' perceptions of functional foods are complicated by perceived risks and complexity that appear from growing and sometimes confusing information flow. Social trust can serve as a mean for the reduction of risk and complexity. It is thus vital to understand the sources of distrust and food‐neophobia as well as coping mechanisms used by consumers to ensure food provision and safety. We discuss the results of a qualitative inquiry in the form of focus groups into consumers' perceptions of functional foods in Russia and Germany. Altogether eight focus group interviews were carried out in different parts of Russia and Germany in December–January 2012–2013. A total of 59 people participated in the discussions. Different perspectives provided by the discussions in the two countries indicate different levels of trust. Deeper culturally embedded and wider‐spread distrust in formal institutions in Russia pushes consumers towards developing informal networks to ensure food provision and safety. It leads to high levels of food‐neophobia as consumers perceive traditions as the most important guarantee for healthy food. On the other hand, German participants indicate a number of formal institutions that are trustworthy and through which information concerning novel and healthy attributes in foods can be communicated. We provide exploratory views on the importance of social trust in consumers' perceptions of functional foods and lay out mechanisms that consumers develop to deal with increasing risk and complexity in food choices.     

闻香识男人

人们常常喜欢从香水的味道中去品女人或优雅，或清新，或甜美，或诱人的魅力，因此便有了这样一句话：闻香识女人。然而，一个只有吸引力而又时尚的男人，同样也能将他与众不同的气质通过小小的一瓶香水传达给他人。虽然你没法买到自信和对异性的吸引力，你至少可以用几款适合你的古龙水来装扮自己，使你在女人面前具备无法抵挡     

Contagion across Eurozone’s sovereign spreads and the Core-Periphery divide

This paper investigates the causes of disproportionate increases of sovereign yields with respect to the interest rate on the 10 years German Bund within the Eurozone. Empirical evidence drawn from the Bank for International Settlements dataset on banks’ portfolios shows that rapid financial integration, following the launch of the monetary union, resulted in excess exposure of Core countries’ banks in the Peripheral countries’ financial assets. In order to endogenize the possibility of contagion effects, we conduct econometric estimates through a Global Vector Autoregressive model, where each country’s spread depends upon all Eurozone countries’ spreads. Results show that after the burst of the financial crisis the Core countries’ sovereign yields are essentially determined by the international risk aversion, whereas the spreads of Peripheral countries mainly depend on fundamentals, namely the public debt/GDP ratio and the Real Effective Exchange Rate values with respect to the Eurozone average. These results are supported by the estimate of an impulse response analysis. Macroeconomic failures in public finances and competitiveness seem to originate the exceptional increases in sovereign spreads of the Periphery, through a contagion effect which is limited to this group of Eurozone countries.