scholarly journals Equity Option Pricing with Systematic and Idiosyncratic Volatility and Jump Risks

2020 ◽  
Vol 13 (1) ◽  
pp. 16 ◽  
Author(s):  
Zhe Li
Keyword(s):  
Option Pricing ◽  
Factor Structure ◽  
Empirical Studies ◽  
Idiosyncratic Volatility ◽  
Equity Options ◽  
Closed Form Solutions ◽  
Jump Risks ◽  
Out Of Sample ◽  
The Individual ◽  
Equity Option

Recently, a large number of empirical studies indicated that individual equity options exhibit a strong factor structure. In this paper, the importance of systematic and idiosyncratic volatility and jump risks on individual equity option pricing is analyzed. First, we propose a new factor structure model for pricing the individual equity options with stochastic volatility and jumps, which takes into account four types of risks, i.e., the systematic diffusion, the idiosyncratic diffusion, the systematic jump, and the idiosyncratic jump. Second, we derive the closed-form solutions for the prices of both the market index and individual equity options by utilizing the Fourier inversion. Finally, empirical studies are carried out to show the superiority of our model based on the S&P 500 index and the stock of Apple Inc. on options. The out-of-sample pricing performance of our proposed model outperforms the other three benchmark models especially for short term and deep out-of-the-money options.

scholarly journals Transnational sustainability certification for the bioeconomy? Patterns and discourse coalitions of resistance and alternatives in biomass exporting regions

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
Thomas Vogelpohl
Keyword(s):  
Empirical Studies ◽  
General Pattern ◽  
New Paradigm ◽  
Public And Private ◽  
Governmental Organizations ◽  
Non Governmental Organizations ◽  
Political Economies ◽  
The Individual ◽  
Sustainability Standards ◽  
Discourse Coalitions

AbstractThe bioeconomy is nowadays widely proclaimed by governments and corporations around the world as a new paradigm for a sustainable economy. Essentially, it broadly denotes the promotion, development and establishment of the use of biogenic resources in diverse kinds of industrial technologies, production processes and products. Yet, in order for the bioeconomy to be sustainable, it has to be assured that these biogenic resources are sourced sustainably. In the last 30 years, transnational sustainability certification (TSC) has established itself as a popular instrument in this context, for example in the case of European biofuels sustainability regulation. In the last decade or so, however, TSC initiatives in several biomass production sectors like palm oil, soy, fruits, aquaculture or fisheries—mostly initiated by non-governmental organizations (NGOs) and corporations from the Global North—are increasingly met with resistance from actors from the resource-producing countries, mostly located in the Global South. Issues brought up in this context concern their lack of legitimacy and respect for national regulatory sovereignty and conflicting priorities in terms of sustainable development. Consequently, governmental and corporate actors from the resource-producing countries have developed sustainability standards that now at least partly compete with TSC. Against this background, this contribution investigates this apparent dilemma of biomass certification by taking stock of existing TSC initiatives and territorial responses to them in several sectors of the bioeconomy in order to discover general patterns and dynamics of transnational biomass sustainability certification. This analysis is based on a review of existing empirical studies on these issues as well as on conceptual literature on discourse coalitions and transnational hybrid governance for the classification of the different aspects and developments in the individual sectors. Results show that TSC is indeed challenged in all sectors around story lines of sovereignty and sustainability, employed by closely associated state and industry actors in the specific context of the prevalent state-industry relations and the practices and institutions of the respective international political economies. Beyond this general pattern, these alternative systems take on different shapes and complex relations between transnational and territorial sustainability governance emerge that are not always antagonistic, but also exist in parallel or even complementarily and involve various hybrid configurations of public and private actors. Overall, this casts some doubt on the potential of TSC as an instrument to safeguard the sustainability of the bioeconomy and shows one of its potential pitfalls, which is reflected upon in the conclusion.

scholarly journals A SIGHT OVER THE HEALTH OF WASTE PICKERS: AN ANALYTICAL FRAMEWORK PROPOSITION

2018 ◽  
Vol 21 (0) ◽  
Author(s):  
LAYSCE ROCHA DE MOURA ◽  
SYLMARA LOPES FRANCELINO GONÇALVES DIAS ◽  
LUCIANO ANTONIO PRATES JUNQUEIRA
Keyword(s):  
Systematic Review ◽  
Empirical Studies ◽  
Analytical Framework ◽  
Review Of Literature ◽  
Individual Activity ◽  
The Individual ◽  
Waste Pickers

Abstract This study aims to identify articles focused on the waste picker’s health to support the construction of an analytical framework that considers the individual and the environment in the scope of their labor activity. For this purpose, it is intended to answer the following question: which aspects can be considered in the analysis of the waste picker’s health in their labor activity? Methodologically, it has an exploratory nature and use the Systematic Review of Literature. The results pointed out to four categories of analysis grouped into the following aspects: meanings, individual, activity and environment. The analytical framework proposed presents contributions for an extended understanding of waste picker’s health, its aspects and interrelationships. Finally, it is suggested that empirical studies could be carried out to validate the proposed structure.

An analysis of supply chain issues relating to information flow during the automotive product development

2015 ◽  
Vol 26 (8) ◽  
pp. 1158-1176 ◽  
Author(s):  
Nikolaos Madenas ◽  
Ashutosh Tiwari ◽  
Christopher Turner ◽  
Sophie Peachey
Keyword(s):  
Supply Chain ◽  
Product Development ◽  
Information Flow ◽  
Empirical Studies ◽  
Multinational Companies ◽  
Supply Chain Collaboration ◽  
Content Type ◽  
Inadequate Information ◽  
The Individual ◽  
Number Of Customers

Purpose – The purpose of this paper is to identify measure and prioritise the perceived importance of supply chain issues within the automotive industry related to information flow during product development (PD). Design/methodology/approach – This study analyses empirical data captured from semi-structure interviews with 15 multinational companies operating in the automotive sector. Data collected are analysed using a standard methodology identified from the literature. The individual issues captured are classified against 14 clusters that represent the core and the fundamental supply chain issues of information flow. Findings – This study showed that half of the issues captured are related to the inadequate information systems used. The cluster that had the majority of individual issues is related to suppliers that are not directly connected with their customers through an enterprise system. However it was identified that two fundamental clusters justify the decision of not being directly connected. Implementing and maintaining multiple enterprise systems can be a big overhead for multinational companies working with a high number of customers. Originality/value – Although several studies have proved the benefits that can be obtained through supply chain collaboration, there are relatively little empirical studies that seek to explore the understanding of supply chain issues in regards to information flow especially during PD. By identifying, measuring and prioritising the importance of supply chain issues this study provides researchers and practitioners guidance in developing better tools and defining more efficient processes.

Anomalies in Commodity Futures Markets

2021 ◽  
Author(s):  
Fabian Hollstein ◽  
Marcel Prokopczuk ◽  
Björn Tharann
Keyword(s):  
Factor Structure ◽  
Futures Markets ◽  
Commodity Markets ◽  
Commodity Futures ◽  
Idiosyncratic Volatility ◽  
Large Set ◽  
Jump Risk ◽  
Commodity Futures Markets

In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

scholarly journals ON THE ISSUE OF PSYCHOLOGICAL WELL-BEING OF STUDENTS DURING DISTANCE LEARNING

2022 ◽  
Vol 1 (15) ◽  
pp. 242-246
Author(s):  
Ekaterina Panchuk
Keyword(s):  
Distance Learning ◽  
Empirical Studies ◽  
Well Being ◽  
Psychological Well Being ◽  
Theoretical Concepts ◽  
The Individual

The article discusses the concept, theoretical concepts of psychological well-being of the individual, analyzes the structure of this phenomenon. The analysis of the results of empirical studies of the psychological well-being of students transferred to distance learning in the conditions of the spread of coronavirus is given

scholarly journals A Cold Shower for the Hot Hand Fallacy: Robust Evidence that Belief in the Hot Hand is Justified

2018 ◽  
Author(s):  
Joshua Benjamin Miller ◽  
Adam Sanjurjo
Keyword(s):  
Strong Evidence ◽  
Individual Level ◽  
Fundamental Limitations ◽  
Hot Hand ◽  
Out Of Sample ◽  
Original Domain ◽  
The Individual ◽  
Robust Evidence ◽  
Cognitive Illusion ◽  
Basketball Shooting

The hot hand fallacy has long been considered a massive and widespread cognitive illusion with important implications in economics and finance. We develop a novel empirical strategy to correct for several fundamental limitations in the canonical study and replications, conduct an improved field experiment to test for the hot hand in its original domain (basketball shooting), and gather all extant controlled shooting data. We find strong evidence of hot hand shooting in every dataset, including on the individual level. Also, in a novel study of beliefs, we find that expert observers can predict (out-of-sample) which shooters are hotter.

Intellectual Virtues in Higher Education

2021 ◽  
Author(s):  
Ashley Floyd Kuntz ◽  
Rebecca M. Taylor
Keyword(s):  
Higher Education ◽  
Emerging Adults ◽  
Empirical Studies ◽  
Interdisciplinary Approach ◽  
Colleges And Universities ◽  
Vital Role ◽  
Intellectual Virtues ◽  
Cognitive Limitations ◽  
Intellectual Autonomy ◽  
The Individual

Intellectual virtues are characteristics that motivate individuals to pursue knowledge and understanding. They support the intellectual flourishing of the individual and consequently of society writ large. Scholars are only beginning to examine how these virtues are developed. An interdisciplinary approach that bridges philosophy, psychology, neuroscience, and education research is needed to add empirical grounding to philosophical conceptions of intellectual virtues and to provide recommendations for educators to advance these virtues. Schools arguably have a vital role to play in the development of the intellectual virtues. Colleges and universities embrace several core aims, among them fostering the individual flourishing of their students and the broader public good. Interpreted through a philosophical lens, achieving these aims invokes intellectual virtues. Two intellectual virtues—intellectual autonomy and intellectual fairness—are particularly salient for emerging adults in the higher education context. Empirical research has the potential to shed light on how these virtues are developed and what educators can do to better promote them. Although empirical studies suggest that emerging adults in college may be developmentally primed for the virtues of intellectual autonomy and intellectual fairness, many emerging adults do not leave college reliably demonstrating these virtues. Colleges and universities can do more to support their development by (a) providing students with challenging situations and supportive conditions, (b) creating opportunities for self-directed learning and intellectual risk-taking, and (c) raising awareness of cognitive limitations that undermine fairness.

Basic Geometric Dispersion Theory of Decision Making Under Risk: Asymmetric Risk Relativity, New Predictions of Empirical Behaviors, and Risk Triad

2021 ◽  
Author(s):  
Behnam Malakooti ◽  
Mohamed Komaki ◽  
Camelia Al-Najjar
Keyword(s):  
Risk Behaviors ◽  
Empirical Studies ◽  
Dispersion Theory ◽  
Dispersion Models ◽  
Decision Making Under Risk ◽  
First Order ◽  
Order Stochastic Dominance ◽  
Out Of Sample ◽  
Mean Variance ◽  
Special Case

Many studies have spotlighted significant applications of expected utility theory (EUT), cumulative prospect theory (CPT), and mean-variance in assessing risks. We illustrate that these models and their extensions are unable to predict risk behaviors accurately in out-of-sample empirical studies. EUT uses a nonlinear value (utility) function of consequences but is linear in probabilities, which has been criticized as its primary weakness. Although mean-variance is nonlinear in probabilities, it is symmetric, contradicts first-order stochastic dominance, and uses the same standard deviation for both risk aversion and risk proneness. In this paper, we explore a special case of geometric dispersion theory (GDT) that is simultaneously nonlinear in both consequences and probabilities. It complies with first-order stochastic dominance and is asymmetric to represent the mixed risk-averse and risk-prone behaviors of the decision makers. GDT is a triad model that uses expected value, risk-averse dispersion, and risk-prone dispersion. GDT uses only two parameters, z and zX; these constants remain the same regardless of the scale of risk problem. We compare GDT to several other risk dispersion models that are based on EUT and/or mean-variance, and identify verified risk paradoxes that contradict EUT, CPT, and mean-variance but are easily explainable by GDT. We demonstrate that GDT predicts out-of-sample empirical risk behaviors far more accurately than EUT, CPT, mean-variance, and other risk dispersion models. We also discuss the underlying assumptions, meanings, and perspectives of GDT and how it reflects risk relativity and risk triad. This paper covers basic GDT, which is a special case of general GDT of Malakooti [Malakooti (2020) Geometric dispersion theory of decision making under risk: Generalizing EUT, RDEU, & CPT with out-of-sample empirical studies. Working paper, Case Western Reserve University, Cleveland.].

Die deutsche Gründerlandschaft im Energiesektor und ressourcenbedingte Voraussetzungen für eine Gründungsfinanzierung eines Energie-Startups

2020 ◽  
Vol 68 (3-4) ◽  
pp. 169-189
Author(s):  
Theresa Fritz ◽  
Wolfgang Burr
Keyword(s):  
Human Capital ◽  
Scientific Literature ◽  
Empirical Studies ◽  
Organizational Level ◽  
Team Members ◽  
Start Up ◽  
Utility Models ◽  
The Individual ◽  
Technological Capital ◽  
Start Ups

Zusammenfassung Empirische Untersuchungen zur Gründungslandschaft der deutschen Energiewirtschaft sind in der wissenschaftlichen Literatur bisher unterrepräsentiert. Im Zuge einer explorativen Darstellung von deutschen Energie-Startups wird zu Beginn ein Überblick über die Gründungsbereiche, die Gründungsteams sowie die finanzielle Lage von 126 deutschen Energie-Startups gegeben. Mithilfe einer Regressionsanalyse werden im nächsten Schritt die Einflüsse von Humankapital und technologischen Ressourcen auf die Akquise von Finanzierungsmitteln überprüft. Im Rahmen der Auswertung kann ein signifikanter Zusammenhang zwischen der Anzahl der Gründer, den individuellen Fähigkeiten der Teammitglieder sowie der Anzahl der Patente und Gebrauchsmuster auf die Akquise von Finanzierungsmitteln nachgewiesen werden. Dies legt den Schluss nahe, dass die Kombination der beiden Ressourcen Humankapital und technologisches Kapital den Aufbau von Kompetenz bei der Finanzierungsmittelakquise auf organisationaler Ebene begünstigen und zum Wachstum des Startups beitragen können. Abstract Empirical studies on the start-up landscape of the German energy industry have so far been underrepresented in the scientific literature. In the course of an exploratory presentation of German energy start-ups, an overview of the start-up areas, the founding teams and the financial situation of 126 German energy start-ups is given at the beginning. In the next step, a regression analysis is used to examine the influence of human capital and technological resources on the acquisition of funding. As part of the evaluation, a significant relationship between the number of founders, the individual skills of the team members and the number of patents and utility models on the acquisition of funding can be demonstrated. This suggests that the combination of the two resources human capital and technological capital can facilitate the development of skills in the acquisition of funding at the organizational level and contribute to the growth of the start-up.

Comunicare con il bambino malato: la preparazione all'intervento chirurgico e il ricovero in ospedale. Una rassegna della letteratura empirica

2009 ◽  
pp. 47-66
Author(s):  
Claudia Bonomo ◽  
Carlo A. Clerici
Keyword(s):  
Defense Mechanisms ◽  
Coping Styles ◽  
Empirical Studies ◽  
Cochrane Library ◽  
Good Communication ◽  
The Subject ◽  
The Individual ◽  
Threatening Situation ◽  
Medical Process ◽  
Data Banks

- Through the analysis of the literature about the subject of hospitalization and surgery in paediatric field, the objective of this work is to individualize some effective technique of communication with child to reduce anxiety associated with medical process and surgery, and to identify main factors that affect the child's answer to this communication. The considered literature was found by data banks PsycInfo, Medline and Cochrane Library and includes empirical studies on the theme of child communication during hospitalization. The studies suggest that giving to a child some explanation with a language appropriated to the age could reduces the anxiety for an unfamiliar environment, helps him to elaborate the information on the illness and on the hospital and to cooperate with the treatments. A good communication could allow the child to manage worry and to activate some thought about threatening situation in advance, this permits to activate some defense mechanisms and some resources to face the illness. Nevertheless, some studies show how the thecniques to reduce the anxiety are not always useful to lower the stress. This could depend on the age, on different coping styles and on the individual difference of the response to the stress situation. The communication with child about the subject of hospitalization and surgery is historically considered from clinic and dynamic area, but remains object of a poor number of empirical studies. Academy education and vocational training are also limitated for the health worker that takes care of this kind of patients.

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