Numerical pricing of American options under infinite activity Lévy processes

Under infinite activity Lévy models, American option prices can be obtained by solving a partial integro‐differential equation (PIDE), which has a singular kernel. With increasing degree of singularity, standard time‐stepping techniques may encounter difficulties. This study examines exponential time integration (ETI) for solving this problem and the performance of this scheme is compared with the Crank–Nicolson (CN) method and an implicit–explicit method in conjunction with an extrapolation (IMEX‐Extrap), in terms of computational speed and convergence orders. These findings indicate that ETI is faster and more accurate among PIDE‐based methods for solving the system of ordinary differential equations resulting from spatial discretization of the PIDE. For very singular problems, it is shown that the IMEX‐Extrap scheme becomes unfavorable compared with the other schemes as it is relatively more time consuming and the global convergence deteriorates from quadratic to linear, whereas the ETI scheme yields both point‐wise and global quadratic convergence. For illustration, under the infinite variation process, the IMEX‐Extrap achieves a precision of the order of 10^?4 in 663.016 s, whereas for the same set of parameters, the CN method and the ETI scheme reach an accuracy of the order of 10^?5 in 237.891 s and 22.772 s, respectively. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:809–829, 2011     

Sources of Inequality Between Male and Female Wages in Australia

This article examines the influence of labour force status, full-time/part-time employment status, educational qualifications, work experience, and occupation as sources of inequality between male and female wages in Australia. A decomposition method is used to identify the effect of these factors on male/ female inequality. This strategy involves successively removing persons who differ with respect to each of these factors from the population under study and then decomposing the inequality in the remaining sub-population into inequality within each sex and inequality between the sexes. This decomposition is done using the I₀ inequality index proposed by Theil (1967). The study is based on unit record data from the 1981–82 Income and Housing Survey conducted by the Australian Bureau of Statistics. It finds that a significant proportion of the inequality between the wages of the sexes can be explained by their differences with respect to the factors listed above.     

The nature and determinants of comovement between developed,emerging and frontier equity markets: Europe versus Asia‐Pacific

International investors are increasingly attracted towards emerging and frontier markets because of their potential to enhance diversification benefits of a global portfolio. This calls for a rigorous analysis of the nature and determinants of stock market comovement between developed, emerging, and frontier markets in Europe and Asia‐Pacific regions. The findings suggest that unlike their Asia‐Pacific counterparts, European developed, emerging, and frontier stock markets display a higher degree of comovement. Although Asia‐Pacific frontier markets provide good diversification opportunities, investors must be cautioned against their weak financial system. The volatility of returns, gross domestic product growth rate, and the 2008 global financial crisis (GFC) are the key determinants of stock market comovement in Europe. The mechanisms by which comovement in the Asia‐Pacific region is strengthened differ across markets. Comparative analysis of comovement and its determinants across different classes of equity markets and geographies is expected to provide valuable perspectives to global investors, portfolio managers, and policymakers.     

What do we know about business strategy and environmental research? Insights from Business Strategy and the Environment

Business Strategy and the Environment (BSE) is a premier journal dedicated to interdisciplinary research that advances business practice leading to improvements in environmental performance. Using big data analytics, this review examines the intellectual structure and the drivers of research impact of BSE in the scholarly domain. The bibliometric results suggest three major findings. First, the top three countries contributing to BSE are the United Kingdom, the United States, and China. Second, BSE's research manifests through five thematic clusters, namely, business strategy and sustainability; corporate governance and sustainability reporting; green marketing and pro-environmental behavior; innovation and environmental policy; and environmental management systems. Finally, BSE's research impact in terms of citations is significantly influenced by author affiliation (United States); article age (older), appearance (lead article and special issue), length (longer), and method (mix methods); title length (shorter title); and number of keywords (more keywords) and references (more references). Implications for BSE's readers and future contributors are discussed.     

MODELING THE ECONOMIC EFFICIENCY OF IRRIGATION WATER SUPPLY IN DRY AND HUMID REGIONS

This paper tests the economic efficiency of irrigation water as supplied by single purpose and by general purpose public utilities in dry and humid regions, respectively, in terms of underprovision and overprovision. The proposed methodology mixes conceptual frameworks developed by Farrell (1957) and Brueckner (1979, 1982) . A typical agricultural production function uses the institutional attributes of the water-providing authority as an argument. Both short-run and long-run estimates are provided. Although in both cases irrigation water is heavily subsidized, there is no evidence of systematic underprovision or overprovision for the dry north and west, under the single purpose Irrigation Authority. However, water is oversupplied to more humid areas by the general purpose Central Water Authority. Empirical estimates confirm that the efficiency of the single purpose Irrigation Authority cannot be attributed to irrigation technique. The general purpose Water Authority suffers from inefficiency in coordinating rainwater availability with the institutional water supply.     

INTERNATIONAL TRENDS IN WATER UTILITY REGIMES

ABSTRACT ** :  This paper provides the taxonomy of country experiences in managing their water utilities. Institutions for water supply for various uses and their financial implications are analysed. Different episodes of governmental intervention in water supply and charging are examined. From the survey of different regimes and the existing literature, cost recovery and affordability emerge as the major building blocks for any reform of water utilities. Privatization of water services in terms of ownership change, public-private arrangements and international involvement seems to be a mixed blessing and donor assistance to water projects raises issues in international inequality and does not increase cost recovery levels. Cost recovery is positively associated with economic development, institutional quality and performance of water utilities.     

University–industry linkage evolution: an empirical investigation of relational success factors

University–industry linkages (UILs) offer an array of benefits for the parties involved and the economy at large; however, research provides limited theoretical development and practical advice on successfully managing UILs from initial negotiations to project completion and beyond. This paper, thus, empirically investigates the impact of relational success factors (communication, trust, understanding, individuals) on UIL performance across three phases of evolution, accounting for the changing manifestations of these factors over time. Communication emerged as a consistent predictor of success, with positive interrelationships between individuals advancing all relational success factors across all phases. A positive effect of trust and understanding, however, only emerged for some relationship phases. Results provide managers with insight into forms relational drivers take throughout long‐lasting successful UILs.     

金融服务产业集群形成机理研究综述

对金融服务产业集群与金融服务产业集聚和金融中心进行了概念上的区别,据此提出金融服务产业集群的概念。依据规模经济理论、区位论、地理经济学理论等,分析并总结了金融服务产业集群形成的主要因素,指出降低成本是金融服务产业集群形成的内在要求,创新是金融服务产业集群形成的动力,地理因素是金融服务产业集群形成的重要因素。     

Healthcare resource utilization among commercially insured patients with cold agglutinin disease in the United States

Abstract

Aims: Cold agglutinin disease (CAD) is a rare subtype of autoimmune hemolytic anemia associated with increased thromboembolism risk and early mortality. Healthcare resource utilization (HRU) in CAD has not been reported. We aimed to compare HRU of patients with CAD with a matched non-CAD cohort in the United States.

Materials and methods: Patients with CAD were identified from 2006 to 2016 in the Optum-Humedica database using CAD terms in clinical notes and hematologist review. Patients were required to have Integrated Delivery Network records and ≥6 months’ follow-up before and after the first CAD mention date (index date). Patients with CAD were matched to a non-CAD cohort based on demographics. Multivariate analyses assessed inpatient hospitalizations, outpatient visits, emergency room visits, and transfusion use between cohorts 6 months before and 12 months after the index date.

Results: Of 814 patients with CAD, 410 met inclusion criteria and were matched to 3,390 patients without CAD. Mean age of patients with CAD was 68.0 years; approximately 62% were female. In the 12 months after the index date, mean inpatient hospitalizations (0.83 vs. 0.25), outpatient visits (17.26 vs. 6.77), emergency room visits (0.55 vs. 0.32), and transfusion days (1.05 vs. 0.05) were higher for patients with CAD than the matched non-CAD cohort (all p?<?.0001). Similarly, in the 6 months before the index date, patients with CAD had higher HRU than matched patients without CAD for all measures evaluated.

Limitations: Results of this study are based on patient information from the Optum-Humedica database, which is limited to commercially insured patients and may not represent the overall CAD population.

Conclusions: CAD places a substantial burden on patients and healthcare systems. In addition, the high HRU for patients with CAD observed in the 6 months before diagnosis indicates that disease awareness and better diagnostic practices may be needed.