We define an equity-interest rate hybrid model in which the equity part is driven by the Heston stochastic volatility [Hes93], and the interest rate (IR) is generated by the displaced-diffusion stochastic volatility Libor Market Model [AA02]. We assume a non-zero correlation between the main processes. By an appropriate change of measure the dimension of the corresponding pricing PDE can be gre...

In financial markets, the weak form of the efficient market hypothesis implies that price returns are serially uncorrelated sequences. In other words, prices should follow a random walk behavior. Recent developments in evolutionary economic theory (Lo, 2004) have tailored the concept of adaptive market hypothesis (AMH) by proposing that market efficiency is not an all-or-none concept, but rathe...

We develop an analytical framework for the valuation of options contracts for physical delivery that enable risk-sharing between the trading partners. The spot market price risk, the buyer’s demand risk and the seller’s marginal cost risk, which are key to many industrial settings such as the chemical industry, are explicitly incorporated. Analytical expressions for the buyer’s optimal reservat...

We present analytical approximation formulæ for the price of interest rate futures contracts derived from the yield curve dynamics prescribed by a Libor market model allowing for an implied volatility skew generated by displaced diffusion equations. The derivation of the formulæ by the aid of Itô-Taylor expansions and heuristic truncations and transformations is shown, and the results are teste...

This paper evaluates the relative efficiency of 23 Non Life Insurance companies in Indonesia, using Data Envelopment Analysis (DEA) model. DEA is a management evaluation tool that assists in identifying the most efficient and inefficient decisionmaking units (DMUs) in the best practice frontier. Empirical results show that bigger insurance companies are found to be efficient than smaller firms....

the main purpose of this study was the bank market segmentation or in other words, dividing bank market into distinct groups of customers who might require separate marketing mix. gaining this purpose, 640 questionnaires were gathered. to investigate the reliability of questionnaires, content and face validity approaches were used. furthermore, for the estimation of the reliability of questionn...

I n this paper, we study a single-product periodic-review inventory system that faces random and price-dependent demand. The firm can purchase the product either from option contracts or from the spot market. Different option contracts are offered by a set of suppliers with a two-part fee structure: a unit reservation cost and a unit exercising cost. The spot market price is random and its real...

Genetic effect estimates for loci detected in quantitative trait locus (QTL) mapping experiments depend upon two factors. First, they are parameterizations of the genotypic values determined by the model of genetic effects. Second, they are consequently also affected by the regression method used to estimate the genotypic values from the observed marker genotypes and phenotypes. There are two c...

Many studies uphold market orientation as a key factor in creating and sustaining a firm’s competitive advantage. The present research model explores this topic further by including within the model the links between organizations’ innovation outcomes, its process of organizational unlearning and business performance. In particular, the model empirically tests the mediating role of innovation o...

This paper compares the characteristics of M&A in 1991-2005 across five countries: Japan, France, Germany, the UK and USA. We ask what factors explain the growth of M&A markets across these countries, and what similarities and differences exist in the ways the M&A market operates. We find that the growth of M&A reflects a rather similar combination of sectoral, international, and financial fact...