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  • Articles  (587)
  • Blackwell Publishing Ltd  (587)
  • American Geophysical Union
  • American Meteorological Society
  • Springer Nature
  • Springer Science + Business Media
  • 2000-2004  (104)
  • 1990-1994  (483)
  • 1960-1964
  • Mathematics  (416)
  • Philosophy  (171)
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  • Articles  (587)
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  • 1
    Electronic Resource
    Electronic Resource
    PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a numerically accurate and computationally fast approximation to the prices of European options on coupon-bearing instruments that is applicable to the entire family of affine term structure models. Exploiting the typical shapes of the conditional distributions of the risk factors in affine diffusions, we show that one can reliably compute the relevant probabilities needed for pricing options on coupon-bearing instruments by the same Fourier inversion methods used in the pricing of options on zero-coupon bonds. We apply our theoretical results to the pricing of options on coupon bonds and swaptions, and the calculation of “expected exposures” on swap books. As an empirical illustration, we compute the expected exposures implied by several affine term structure models fit to historical swap yields.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00132.x
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  • 2
    Electronic Resource
    Electronic Resource
    A NOTE ON THE GENERALIZED MULTIBETA CAPM (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The unified beta theory of Connor (1984) requires that the market portfolio be well diversified in a given factor structure. Wei (1988) extended Connor's results without relying on this assumption. This note provides an alternative to Wei's result by assuming that residuals from the projection of asset return on a set of k factors follow a joint elliptical distribution.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00050.x
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  • 3
    Electronic Resource
    Electronic Resource
    PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (2002)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 12 (2002), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the problem of partial hedging of derivative risk in a stochastic volatility environment. It is related to state-dependent utility maximization problems in classical economics. We derive the dual problem from the Legendre transform of the associated Bellman equation and interpret the optimal strategy as the perfect hedging strategy for a modified claim. Under the assumption that volatility is fast mean-reverting and using a singular perturbation analysis, we derive approximate value functions and strategies that are easy to implement and study. The analysis identifies the usual mean historical volatility and the harmonically averaged long-run volatility as important statistics for such optimization problems without further specification of a stochastic volatility model. The approximation can be improved by specifying a model and can be calibrated for the leverage effect from the implied volatility skew. We study the effectiveness of these strategies using simulated stock paths.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.2002.tb00130.x
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  • 4
    Electronic Resource
    Electronic Resource
    FOCUS on Business Change and Ethics: The Ethics of Change Management: Manipulation or Participation? (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Business ethics 3 (1994), S. 0 
    Details
    ISSN: 1467-8608
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Philosophy , Economics
    Notes: Managerial effort has been moving from maintaining a “steady state” to wrestling with the challenge of continuing change and the ethical dilemmas which this can present. Is it possible to formulate an “ethics of change” to guide individuals in such circumstances? The author is a senior lecturer at Cranfield University, Bedford MK43 OAL, UK, and a visiting research associate at the London School of Economics. His principal interests concern the management of organisational change in settings where technology is either the key driver of change, or is the key enabler of some aspect of organisational or process redesign.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8608.1994.tb00091.x
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  • 5
    Electronic Resource
    Electronic Resource
    FOCUS: Stakeholder Responsibilities: turning the ethical tables (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Business ethics 3 (1994), S. 0 
    Details
    ISSN: 1467-8608
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Philosophy , Economics
    Notes: Stakeholder theory aims at identifying those who have rights or interests at stake in business behaviour. Can we turn the tables and also consider what ethical responsibilities various stakeholders may have for the good behaviour of business? The author is Editor of this Review. This article contains material which also appeared in the Hugh Kay Memorial Lecture for 1993 delivered by the author under the auspices of the Christian Association of Business Executives, London.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8608.1994.tb00095.x
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  • 6
    Electronic Resource
    Electronic Resource
    Who's Who in Business Ethics: Public Concern at Work (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Business ethics 3 (1994), S. 0 
    Details
    ISSN: 1467-8608
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Philosophy , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8608.1994.tb00098.x
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  • 7
    Electronic Resource
    Electronic Resource
    Book Review: A German treatment of Business ethics (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Business ethics 3 (1994), S. 0 
    Details
    ISSN: 1467-8608
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Philosophy , Economics
    Notes: Karl Homann & Franz Blome-Drees (1992). Wirtschafts- und Unternehmensethik. Vandenhoeck & Ruprecht. Göttingen. pp. 207. paperback, 19.80 DM. ISBN 3-8252-1721-3
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8608.1994.tb00100.x
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  • 8
    Electronic Resource
    Electronic Resource
    FOCUS: Teaching Ethical Business Creating and Using Vignettes to Teach Business Ethics (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Business ethics 3 (1994), S. 0 
    Details
    ISSN: 1467-8608
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Philosophy , Economics
    Notes: Brief thumbnail sketches capture group interest and show the relevance of ethical considerations in real life situations. Bill Bain has considerable experience of business and is currently a PhD student at the Management School of London University's Imperial College, 53 Prince's Gate, Exhibition Road, London SW7 2PG.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8608.1994.tb00080.x
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  • 9
    Electronic Resource
    Electronic Resource
    FOCUS: Using a Computerised Game in Teaching Business Ethics (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Business ethics 3 (1994), S. 0 
    Details
    ISSN: 1467-8608
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Philosophy , Economics
    Notes: Games have become a standard tool in management education. The authors have cooperated on developing just such a teaching aid for business people and management students interested in playing the business game ethically. Dr Higginson is Director of The Ridley Hall Foundation, Ridley Hall, Cambridge, CB3 9HG and Geoff Moore is Principal Lecturer at Newcastle Business School, University of Northumbria at Newcastle, Newcastle upon Tyne NE1 8ST.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8608.1994.tb00083.x
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  • 10
    Electronic Resource
    Electronic Resource
    Ethics in the Czech Transformation Process (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Business ethics 3 (1994), S. 0 
    Details
    ISSN: 1467-8608
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Philosophy , Economics
    Notes: Despite the social, economic and ethical problems facing government in the Czech Republic, there are positive signs of a growing concern for ethical business, including the development of codes of conduct and a striking example of new corporate social responsibility. Dr Bohatá is a member of the Economics Institute of the Academy of Sciences, Politickych Veznu 7, 111 21 Prague 1, and an Associate Editor of this Review.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-8608.1994.tb00068.x
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