The characteristic function of rough Heston models

It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non‐Markovian nature of the fractional Brownian motion, they raise new issues when it comes to derivatives pricing. Using an original link between nearly unstable Hawkes processes and fractional volatility models, we compute the characteristic function of the log‐price in rough Heston models. In the classical Heston model, the characteristic function is expressed in terms of the solution of a Riccati equation. Here, we show that rough Heston models exhibit quite a similar structure, the Riccati equation being replaced by a fractional Riccati equation.     

No‐arbitrage implies power‐law market impact and rough volatility

Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that in a quite general framework, under no‐arbitrage assumption, the market impact function can only be of power‐law type. Furthermore, we prove this implies that the macroscopic price is diffusive with rough volatility, with a one‐to‐one correspondence between the exponent of the impact function and the Hurst parameter of the volatility. Hence, we simply explain the universal rough behavior of the volatility as a consequence of the no‐arbitrage property. From a mathematical viewpoint, our study relies, in particular, on new results about hyper‐rough stochastic Volterra equations.     

Differential efficiency,market structure and price

A persistent question in industrial economics is the underpinning of the link between market concentration and price. How much of the link can be attributed to market power and how much to market efficiency? This paper develops a theoretical model to address that question. Applied to the US portland cement industry, the model indicates that both impacts matter. In relative terms, however, the market power effect is twice as large as the efficiency effect. An implication for merger policy is that the beneficial efficiency effects of mergers may not be obtained without the detrimental market power effects as well.     

Business Alignment: Versicherungsfachwissen als Kernkompetenz der IT

Information technology (IT) of insurance companies refers to the variety of organizational units that are in charge of development, implementation and operation of the specific entrepreneurial IT-applications. Our analyses follow the notion that nowadays information technologies departments face increasing cost pressure and the modern reflex of introducing outsourcing-and offshoring-measures does not necessarily lead to cost reductions. Therefore a closer cooperation of IT departments and other organizational units is crucial and strengthens the improvement of competitiveness of the entire insurance company. Furthermore a method leading to a gradual Business Alignment of IT departments within insurance companies will be introduced.     

谷歌的上书房行走

史蒂芬·列维（《连线》记者）的《走进谷歌》一书中说：谷歌已经摸到了政治的门口。 技术派习惯将政治理解为逻辑和客观的对立面，这本书却通过谷歌之口指出，在网络时代，以数据为驱动，以结果为导向的世界将会取代区域性垄断。     

The PMI local site demonstration project: lessons in technical assistance

This paper presents the lessons that were learned in technical assistance during the Preventive Marketing Initiative local site demonstration project in the US. The program has been ongoing for 5 years, with social marketers from the Academy for Educational Development and Porter Novelli using social marketing and behavioral science principles to develop HIV prevention programs for and with local teens. With the success of the program, community-based prevention programs are increasingly being requested since better outcomes resulted from a few dollars of investment. Likewise, funders and prevention researchers were challenged to transfer state-of-the-art prevention technologies for communities to apply it readily. The success achieved by the project, however, provides important lessons that would save time and money for future community-based Prevention Marketing efforts. Among the lessons were the need to seek out or establish conditions in the community that are conducive to success, as well as the need to offer technical assistance that would mobilize communities in developing more effective Prevention Marketing programs.     

Encouraging male participation in cancer resource centers

ABSTRACT

This research investigates reasons why male cancer patients may refrain from patronizing cancer resource centers. By drawing upon a wide range of research from the social sciences and visual design literatures, the authors put forth original propositions that suggest how cancer resource center managers can manipulate a center's servicescape, or built environment, as well as its service offerings, website design, and printed communications to attract more male cancer patients. Despite the inherent challenges of discussing gender in cancer care and limitations to its generalizability in all settings, this research reveals that differences exist regarding the way men and women respond to cancer resource center marketing initiatives. Given the profound benefits that cancer resource centers often assume in a cancer patient's life, including a decreased mortality rate, we encourage service marketing and public health researchers, as well as cancer resource center directors, to consider the propositions put forth in this paper.