Free Software is sometimes considered solely a technical option, but that is a quite limited point of view: we suggest, indeed, that Free Software is not merely a technical option, but it is, in fact a different working paradigm for the software development community and a different model for acquiring (and sharing) resources in the Information Society. This paper will discuss this working para...

In this paper we provide evidence that financial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the individual constituent distributions of an equity index are inferred from the single-stock option markets and combined via a Gaussian copula, for example, one fails to explain the steepness of the observed volatility skew of the...

We propose an optimization formulation using the l1 norm to ensure accuracy and stability in calibrating a local volatility function for option pricing. Using a regularization parameter, the proposed objective function balances calibration accuracy with model complexity. Motivated by the support vector machine learning, the unknown local volatility function is represented by a spline kernel fun...

In the literature of supply chain management (SCM), the traditional approach to balance supply and demand is to design bilateral supply contracts in order to provide mutual benefits to both sellers and buyers. The commonly used contract parameters include decision rights, pricing, minimum purchase commitments, quantity flexibility, buyback or returns policies, allocation rules, lead time, and q...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.

In this work we focus on the swaptions “second-order automatic cascade calibration” methodology for the Libor Market Model (LMM), first appeared in Brigo and Mercurio (2001). Such analytical calibration induces a direct correspondence between swaption market volatilities and LMM volatility parameters. We present the basic algorithm and a possible extension, pointing out its main features and so...

We propose a continuous time utility maximization model to value stock and option compensation from the executive's perspective. We allow the executive to invest non-option wealth in the market and riskless asset but not in the company stock itself. This enables executives to adjust exposure to market risk, but they are subject to firm-specific risk for incentive purposes. Since the executive i...

E−markets have been established in many industries as a sourcing option for buyers, yet in many situations they are used to complement long−term supplier−buyer relationships rather than replacing them. In this paper, we analyze the complementary role of e−markets when the buyer uses e−markets as an outside option in bargaining with the traditional supplier. The supplier may choose to make a rel...