The paper offers an analytical approach for an integrated treatment of market partitioning and benchmarking within a Data Envelopment Analysis (DEA) framework. Based on an empirical example from the automotive industry we measure product efficiency from the customer’s perspective. This is interpreted as customer value, i. e., as a ratio of outputs that customers obtain from a product (e. g., re...

A lot of money is involved with the transfers of top players in the big European football leagues. For various reasons, obtaining a good economic valuation of football players throughout the year is valuable, in other words, not just when a player has just transferred. Furthermore, it is relevant to consider how the market value of a player relates to the performance of that player. Both these ...

In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (”Greeks”). These estimators are based on an analytical, usually approximative representation of the underlying density. We study approximative densities obtained by the WKB method. The results are applied in the context of a Libor market model.

A new approach to credit risk modelling is introduced that avoids the use of inaccessible stopping times. Default events are associated directly with the failure of obligors to make contractually agreed payments. Noisy information about impending cash flows is available to market participants. In this framework the market filtration is modelled explicitly, and is assumed to be generated by one ...

In this paper, the authors maintain that the prevalence of technical analysis in professional investment argues that such techniques should perhaps be taken more seriously by academics. They use the new technique of genetic programming to investigate a long time series of price data for a quoted property investment company, to discern whether there are any patterns in the data which could be us...

The value of delayed differentiation (aka postponement) for a monopolist has been extensively studied in the Operations literature. We analyze the case of (imperfectly) competitive markets with demand uncertainty, wherein the choice of supply chain configuration (early/delayed differentiation) is endogenous to the competing firms. We characterize firms’ choices in equilibrium and analyze the ef...

In this paper we will establish a generalized Swap Market Model (GSMM) by unifying the stochastic process of swap rates with constant tenors under a single swap measure. GSMM is a natural extension of Libor Market Model (LMM) for swap rates, and LMM can be considered as a special case of GSMM since Libors is a special swap rate with the constant tenor of one period. GSMM can be applied for pric...

The dramatic increase in interorganizational partnering in the last two decades raises questions regarding the value impact of alliances. Using event study methodology, this paper tests whether stock market reactions differ when an alliance formation or termination is announced. In addition, it provides an in-depth analysis of potential determinants of stock market reactions. The results show t...

Article history: Received 8 March 2007 Received in revised form 14 October 2009 Accepted 20 October 2009 Available online xxxx JEL classification: D24 L63 L86

We present new estimates of the effect that obtaining legal immigration status has upon the wages of undocumented workers. In estimating the effect of legalization upon wages, we face a number of econometric challenges. First, through the use of rich panel data, we are able to control for the fact that individuals with higher time invariant unobserved ability, which will raise earnings regardle...