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  • 1
    Electronic Resource
    Electronic Resource
    Springer
    The Geneva risk and insurance review 21 (1996), S. 7-28 
    ISSN: 1554-9658
    Keywords: term structure ; interest rates ; contingent claims valuation ; Black-Scholes model ; mean-reversion ; no-arbitrage condition ; preference-free pricing ; general equilibrium ; equivalent martingale measure
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract One of the most active areas of research in financial economics has been the modeling of the term structure of interest rates and its relationship to the pricing of contingent claims. There is a vast array of issues in the area, as well as a variety of perspectives, ranging from theoretical to practical. This article provides a general framework for the analysis of issues in the modeling of the term structure. Specifically, this article provides an overview of the conceptual issues and the empirical evidence in the area, based on an examination of five seminal models by Black, Scholes, and Merton; Vasicek; Cox, Ingersoll, and Ross; Ho and Lee; and Heath, Jarrow, and Morton. The article provides a synthesis of the area and suggests directions for future research.
    Type of Medium: Electronic Resource
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  • 2
    Electronic Resource
    Electronic Resource
    Springer
    Surveys in geophysics 16 (1995), S. 681-693 
    ISSN: 1573-0956
    Keywords: Snow avalanche ; natural hazard ; mapping ; aerial photointerpretation ; G.I.S. ; digitizing ; topology ; Pyrenees
    Source: Springer Online Journal Archives 1860-2000
    Topics: Geosciences , Physics
    Notes: Abstract The Avalanche Risk Project for the Catalan Pyrenees was started in 1986 by theServei Geològic de Catalunya and theDpt. de Geologia Dinàmica, Geofísica i Paleontologia. One of the aims of this project is to carry out the “Map of Probable Avalanche Paths”, which is a thematic map in where the land areas affected by avalanches are represented. This information is the result of: 1) aerial photointerpretation, 2) field work: observations of the avalanche effects and interviews to the inhabitants and people who work in the mountain areas. All the descriptive complementary information about each avalanche zone has been stored in a database, thus constituting the avalanche Cadastre. A Geographic Information System (G.I.S.) is an informatic system which can acquire, store and manipulate data that describe the land surface. The Cadastre and Map of Probable Avalanche Paths constitutes a complex document. It is also a basic document to perform further analysis, risk maps and defense actions, so it must have the following characteristics: easy to update, possibility to combine with other documents and to exploit as a source of diverse informations. Therefore, a G.I.S. is the most appropriate tool to store, manage, analyze and restore this avalanche data. The area of the Catalan Pyrenees that has been mapped and automated until now is also presented.
    Type of Medium: Electronic Resource
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  • 3
    ISSN: 0931-1890
    Keywords: Key words Huber value ; Mediterranean climate ; Rainfall gradient ; Winter temperature ; Wood anatomy
    Source: Springer Online Journal Archives 1860-2000
    Topics: Biology , Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition
    Notes: Abstract  Stem xylem features in two evergreen Quercus species (Q. coccifera and Q. ilex) and a deciduous one (Q. faginea) were analysed along an Atlantic-Mediterranean climatic gradient in which rainfall and winter cold experience strong variation. Mean maximum vessel diameter, vessel density, vessel element length, xylem transverse sectional area, Huber value (xylem transverse sectional area per leaf area unit), theoretical leaf specific conductivity (estimated hydraulic conductance per leaf area unit) and total leaf area were determined in 3-year-old branches. Q. faginea presented the widest vessels and the highest theoretical leaf specific conductivity while Q. coccifera showed the lowest total leaf area and the highest Huber value. Studied features did not exhibit significant correlations with mean minimum January temperature in any species but did show significant relationships with rainfall. In Q. coccifera, mean maximum vessel diameter, vessel element length and theoretical leaf specific conductivity increased with higher rainfall while vessel density decreased. Mean maximum vessel diameter and total leaf area in Q. ilex increased with precipitation whereas variables of Q. faginea did not show any significant trend. Results suggest that aridity, rather than minimum winter temperature, controls stem xylem responses in the studied evergreen species. Q. faginea traits did not show any response to precipitation, probably because this species develops deep roots, which in turn makes edaphic and topographic factors more important in the control of soil water availability. In response to aridity Q. coccifera only exhibits adjustment at a xylem level by reducing its water transport capacity through a reduction of vessel diameter without changing the amount of xylem tissue or foliage, whereas Q. ilex adjusts its water transport capacity in parallel to the foliage area.
    Type of Medium: Electronic Resource
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  • 4
    ISSN: 1573-692X
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant. We then investigate the implications of the elasticity of the pricing kernel for the stochastic process followed by the underlying asset. Given that the underlying information process follows a geometric Brownian motion, we demonstrate that constant elasticity of the pricing kernel is equivalent to a Brownian motion for the forward price of the underlying asset, so that the Black–Scholes formula correctly prices options on the asset. In contrast, declining elasticity implies that the forward price process is no longer a Brownian motion: it has higher volatility and exhibits autocorrelation. In this case, the Black–Scholes formula underprices all options.
    Type of Medium: Electronic Resource
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  • 5
    Electronic Resource
    Electronic Resource
    Springer
    Review of derivatives research 2 (1998), S. 347-347 
    ISSN: 1573-7144
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
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  • 6
    Publication Date: 1997-12-17
    Print ISSN: 0931-1890
    Electronic ISSN: 1432-2285
    Topics: Biology , Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition
    Published by Springer
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  • 7
    Publication Date: 1997-01-01
    Print ISSN: 0931-1890
    Electronic ISSN: 1432-2285
    Topics: Biology , Agriculture, Forestry, Horticulture, Fishery, Domestic Science, Nutrition
    Published by Springer
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