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  • Articles  (1,183)
  • Blackwell Publishing Ltd  (1,183)
  • American Association for the Advancement of Science (AAAS)
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  • 1990-1994  (789)
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  • Articles  (1,183)
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  • 1
    Electronic Resource
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    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    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.
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  • 2
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    New technology, work and employment 9 (1994), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Here the author examines the development and implementation of a computer-based system within a financial services organization. It highlights emerging paradoxes within the developments of systems design which utilise quality management methodologies to support IT intensive business processes.
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  • 3
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    Oxford, UK : Blackwell Publishing Ltd
    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: The productivity of white-collar workers in heavily computerized sectors of the economy has collapsed in recent years. This paper suggests that one reason for this involves inefficiencies generated by EDP departments, which have created systems of control enmeshing not only workers but senior management.
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  • 4
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    Oxford, UK : Blackwell Publishing Ltd
    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: In 1987–88 a large attitudinal survey covering all 12 Member States of the European Community was carried out by the European Foundation for the Improvement of Living and Working Conditions in Dublin which focused on various aspects of participation by employee representatives in new information technology. This paper presents evidence on one important aspect of technological change—that of participation in product and service quality.
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  • 5
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    Oxford, UK : Blackwell Publishing Ltd
    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Studies of the relationship between technological change and employment are placed in a conceptual framework prior to an empirical study of the direct employment effects of new technology and a comparison with the effects of organizational change. It shows that the latter are considerably greater than the former, though both are relatively minor.
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  • 6
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    Oxford, UK : Blackwell Publishing Ltd
    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Attempts to develop robots for use on construction sites are following different paths in Britain and Japan. Japanese construction firms have invested heavily in modification of existing equipment to improve productivity and quality by making good use of machine operators' skills. In contrast, British researchers are attempting to make ‘quantum leaps' in construction technologies by developing automated machinery which requires minimal human intervention and operator skills. The article assesses the viability of these two contrasting approaches.
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  • 7
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    Oxford, UK : Blackwell Publishing Ltd
    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article examines the impact of information technology as one of the factors affecting the numbers and roles of middle managers. The authors highlight the need to empirically examine middle management work in the context of the complexity of changes affecting the job of middle managers and the complexity of reactions to these changes, if further assertions about the future of middle management are to be avoided.
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  • 8
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    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Book reviews in this article:Technology and Organization: power, meaning and design Harry Scarbrough and J. Martin CorbettRoads to Participation in the European Community—Increasing prospects of employee representatives in technological change Dieter Fröhlich, Colin Gill and Hubert KriegerAdvanced Technology in Commerce, Offices and Health Services Fe Josefina Dy (Ed.)Industrial Dislocation: The case of global shipbuilding Daniel ToddCompany and Campus Partnership: Supporting Technology Transfer D. Jane BowerHigh-Tech Fantasies: Science Parks in Society, Science and Space Doreen Massey, Paul Quintas and David WieldTechnological Change: The Role of Scientists and Engineers Derek Bosworth, Rob Wilson and Paul TaylorFarewell to Flexibility Anna Pollert (ed.)Industrial Training in a Cold Climate Peter J. SenkerManaging New Technological Change: Case Studies in the Reorganization of Work P. WilkinsOther Publications Received Dodgson, M.
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  • 9
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    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Drawing on experiences from the introduction of FMS and CIM in Denmark and Sweden this article deals with the impact on social relations between management and employees and the new challenges faced by the unions. The authors call for a stronger profile in union policy concerning technology and work.
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  • 10
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    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article analyses the processes of restructuring in the textiles and clothing industries in a locality. Particular attention here is focused on new technology, labour flexibility, sub-contracting patterns and skill factors. The extent to which the process of restructuring involves a conscious and deliberate move to new patterns of work organization is considered.
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  • 11
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    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article attempts to examine what is believed to be a significant overall Taylorist influence in Japanese manufacturing as well as a specific manifestation of this phenomenon, namely the unique flow requirements of the generic Toyota system (JIT). The use of unbufferred flow, it is argued, is feasible only with consistent quality, thus making non-discretionary Taylorist job design a necessary condition.
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  • 12
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    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Here the author explores the manifestations of discontent resulting from conflictual industrial relations in banking. This has brought about changes, it is argued, that are of equal significance to those referred to by Cressey and Scott.
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  • 13
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    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: The deep coal mining industry was in rapid decline in Britain in the 1980s and 1990s. In many localities formerly associated with the industry, there was a need to encourage diversification and innovation as a means of economic regeneration. The activities of one project which aimed at this are examined here.
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  • 14
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    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
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  • 15
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    New technology, work and employment 8 (1993), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Book reviews in this article:Design at Work: Cooperative Design of Computer Systems Joan Greenbaum and Morten Kyng (Eds.)Flexible Manufacturing Technologies and International Competitiveness Joseph TiddCase Studies in Information Technology, People and Organizations Karen LeggeReshaping Work: The Cadbury Experience Chris Smith, John Child and Mike Rowlinson
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  • 16
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Employment in UK retail banking has begun to decline as all the major institutions shed workers. Technological, organizational and market-driven reasons for the job losses in the major clearing banks are discussed. Irrevocable long-term changes in employers' industrial relations and human resource strategies are identified as necessary accompaniments to pushing the current retrenchment through in the context of a developing general crisis in employment relations.
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  • 17
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Drawing on primary and secondary sources the authors argue that the JIT/TQM manufacturing system intensifies work as a result of increased surveillance and monitoring of workers' activities, heightened responsibility and accountability, the harnessing of peer pressure within ‘teams' and via ‘customers', and the fostering of ‘involvement’ in waste elimination and the continuous improvement of the production process.
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  • 18
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: The oversimplified analysis of subcontracting in terms of the relations between small and large firms needs to be abandoned in favour of a broader societal approach. Drawing on empirical evidence from Britain and France it is argued that such an approach can identify a wider range of political, social and economic factors affecting the decision to subcontract.
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  • 19
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Drawing on empirical material from a research project on new technology and skills, the author discusses the scope for personnel strategies within a context of varying social constraints. He concludes that within a given production and at a given level of technology, a variation of strategies for staff training and development may emerge. It is argued that the style of management plays a considerable role in determining job design and skill development.
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  • 20
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article examines the introduction of new process technology into a local labour market in the late 1980s and relates variations in adoption rates to establishment characteristics. The authors highlight the contrasts in the employment outcomes and training requirements in adopting and non-adopting establishments and find that ‘adopters' expect more changes in employment, more skills shortages and have a greater awareness of future training needs.
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  • 21
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Book reviews in this article:Poor Work: Disadvantage and the Division of Labour Phillip Brown and Richard Scase (eds.)Critical Theory of Technology Andrew FeenbergBuilding Capitalism: Historical Change & the Labour Process in the Production of the Built Environment Linda ClarkeRestructuring a Traditional Industry: Construction Employment and Skills in Europe Helen Rainbird and Gerd Syben (eds.)Science Policy Research: Implications and Applications Darcy F. De Almeida (ed.)Connections: New Ways of Working in the Networked Organisation L. Sproull and S. KieslerOrganizational Structure and Information Technology Jon HarringtonManufacturing Knowledge: A History of the Hawthorne Experiments Richard Gillespie
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  • 22
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Work practice barriers to flexible manufacturing are studied in the British and American unionized engineering industries and a comparison made of the influence of the industrial relations systems on the potential for overcoming these barriers.
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  • 23
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article looks at changes in the performance and operation of a group of high technology firms over a four year period, in particular comparing their record of employment creation with that of small new firms as a whole; examining the existence of the often discussed ‘soft-hard transition’ in products; and the importance of ownership change.
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  • 24
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article reports the results of a large survey of Swedish manufacturing companies employing numerically-controlled technology, on work organization and the changing nature of operator skills. The results are assessed in the light of likely changes in organizational structures and skill composition in future forms of computer-integrated manufacturing.
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  • 25
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Police forces, in common with much of the UK system of public administration, continue to come under pressure to engage in managerial and administrative modernisation. This article looks at the role office automation systems play in these processes and at the case for organizational change to accompany the adoption of these systems.
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  • 26
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Despite increasing customer orientation and a more proactive IT policy in the services offered by Dutch banks, organizational innovation has been partial and segmented. Changes in organizational structure are complicated by the current wave of mergers between banks and insurance companies.[1]
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  • 27
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Using data gained from a study of the insurance and accounting industries, this article demonstrates the importance of the relationship between enterprise size and enterprise susceptibility to the employment effects of information technology in the service sector.
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  • 28
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    New technology, work and employment 7 (1992), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Managing Innovation: a Study of British and Japanese Factories D. H. Whittaker Systems that Support Decision Makers: Description and Analysis Mark S. Silver Modern Organisations; Organisation Studies in the Postmodern World Stewart Clegg Office Automation: Context, Experience and Future Andrew Doswell The Quest for Productivity Bruce W. Ahlstrand Feminism Confronts Technology Judy Wajcman
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  • 29
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    New technology, work and employment 6 (1991), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: The Swedish automobile industry has recently encountered significant difficulties. This article reviews a major study of the relationships between production, technology and work organisation in Volvo and Saab. It compares the Swedish approach to automobile production with those of the American and Japanese companies and speculates on whether the Swedish industry will survive in the coming decade.
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  • 30
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    New technology, work and employment 6 (1991), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Technologies and management strategies change over time and interact. Longitudinal studies can shed some light on this process, and can also contribute to understanding of how relationships between technology and working conditions change over time.
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  • 31
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    New technology, work and employment 6 (1991), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article considers factors which influence the readiness of management to associate organisational with technological change. Outcomes are related to the socio-political environment of firms and the position of engineers in the two countries.
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  • 32
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    New technology, work and employment 6 (1991), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This study analyses the nature of productivity improvements in the textile industry by focusing on the interplay between micro-electronic technologies and changes in work practices at two hosiery plants and a cotton spinning mill. The findings highlight the uneven impact of technological change on workplace relations and patterns of occupational segregation.
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  • 33
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    New technology, work and employment 6 (1991), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: The introduction of new technology is often accompanied by changes in working time arrangements. These changes, however, are by no means homogeneous. They are contingent upon a variety of factors which may differ widely from organization to organization. Using findings from a study on the consequences of CAD application it is shown that among these factors the bargaining power of affected employee groups is particularly important.
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  • 34
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    New technology, work and employment 6 (1991), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Here the author presents an alternative view of recent changes in skilled work in British Telecom to that provided by Roger Penn in a recent article in NTWE. In particular, he argues for a detailed analysis of changing work tasks, a clear definition of skill, and a greater focus on the changing distribution of tasks and skills between different occupational groups.
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  • 35
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    New technology, work and employment 6 (1991), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Book reviewed in this articleTechnology and the Labour ProcessUnder New Management: Australian Organisations in TransitionTechnological Development and the Improvement of Living and Working Conditions: Options for the FutureInformation Technology in European Services: Towards a Microelectronic FutureSkills, Wages and Productivity in the Service SectorThe Spatial Context of Technological DevelopmentThe Technical Challenges and Opportunities of a United EuropeTechnology and the Pursuit of Economic GrowthNew Explorations in the Economics of Technological ChangeR&D Management: Managing Products and New Processes (2nd edition)The Employment Impact of New TechnologyThe Strategic Management of Technological InnovationNew Firms in the Biotechnology Industry: Their Contribution to Innovation and Growth
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  • 36
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    New technology, work and employment 6 (1991), S. 0 
    ISSN: 1468-005X
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: The traditional system of managing corporate manpower resources in Japan has fostered incremental innovation, diversification and organic growth. The establishment of R & D labs for frontier research has brought debate about the need to reform, or even abandon, traditional methods. The evidence to date suggests marginal rather than wholesale change.
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  • 37
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    New technology, work and employment 6 (1991), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article analyses the impact of just-in-time production on the three resources of machines, materials and people, and suggests that JIT entails a redistribution of slack between these resources. The impact of JIT on an organization's human resources is particularly problematical; pressures towards both increased variety and intensity of work are apparent.
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  • 38
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    New technology, work and employment 6 (1991), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: High technology industry in the US and Japan can be thought of as distinct organizational models. Here the authors examine the historical evolution, major characteristics, and benefits and costs of these different models. This leads to the conclusion that organizational factors exert a powerful influence on the ability of firms, industries and nations to adapt to new technology-intensive industries.
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    New technology, work and employment 6 (1991), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Book reviewed in this articleInnovation in Technology and OrganizationUnpacking the Clothing Industry: Gender, Racism and Class in ProductionComputer Systems Development: history, organisation and implementationEnvisioning A Sustainable Society: Learning Our Way OutComputers, Jobs and Skills: The Industrial Relations of Technological ChangeDeveloping Skills with Information TechnologyMaintaining Information Systems in OrganisationsHostile Brothers: Competition and Closure in the European Electronics Industry
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  • 40
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    New technology, work and employment 6 (1991), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Here the authors examine the role of computer networks on organisations engaged in textile and clothing manufacture. The results reveal that companies with a computer network performed significantly better than those without, both in terms of growth in employment and return on sales over the period 1985–87
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    New technology, work and employment 6 (1991), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: Since the 1984–85 strike, British Coal has pursued its corporate objectives by restructuring operations, introducing new technology and intensifying work. The reconstruction of industrial relations which has accompanied these changes is analysed with particular emphasis on developments at colliery level.
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    New technology, work and employment 6 (1991), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article examines the implications of the restructuring of the textile industry. In particular, the interlinked themes of technical change, employment restructuring and gender divisions are explored. The tensions which exist between production process and labour process transformations are considered, and a possible policy framework is offered.
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  • 43
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    New technology, work and employment 5 (1990), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: The Workplace Industrial Relations Survey shows that in the large majority of cases the introduction of new technology is supported by the workers affected and their union representatives. In contrast, organisational change receives a more mixed response. Case studies reveal some of the principal reasons for the contrasting reactions to different forms of change.
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    New technology, work and employment 5 (1990), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Sociology , Economics
    Notes: This article uses case study data to explore the relationship between skill and workers’attitudes to technological change. A detailed model of skill is constructed to examine whether and how jobs are deskilled. The influence of a range of skill-based and other factors on attitudes is then assessed.
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  • 45
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    New technology, work and employment 5 (1990), S. 0 
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    Topics: Sociology , Economics
    Notes: Here the authors explore how the labour process approach and the socio-technical approach can be used in the process of design and redesign of production organizations. The implications of both approaches are looked at in several cases of work reorganization in Rotterdam harbour.
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    Notes: This article analyses the extent, evaluation and strategies for the future of employees, representatives and management regarding participation in technological change. The results from interviews in the UK, France, Germany, Italy and Denmark show a low level of involvement, particularly in strategic decision making, a positive evaluation of participation by practitioners and the intention to increase levels of involvement on both sides of industry.
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    Notes: Here the author examines the relationship of technical change and job skills amongst maintenance workers in telecommunications in Britain. It demonstrates that there are significant variations within different areas of such maintenance work and strongly challenges the notion that such maintenance work is subject to a generic process of deskilling in the present era.
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    New technology, work and employment 5 (1990), S. 0 
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    Topics: Sociology , Economics
    Notes: Book reviewed in this articleComputers in the Human ContextThe Technical Fix: Education, Computers and IndustryOffice Automation: The Labour Process and Women's Work in BritainManagerial Strategy for New TechnologyTelecommunications Policy and Management
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    Notes: Belgium has a very developed system of national collective bargaining and as a result, it is one of the few countries with a national technology agreement. An analysis revealed that this agreement was not used very much. This article looks at the use and importance of technology agreements for unions.
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    Notes: Great claims have been made about the growth prospects of the telematics sector, the primary source of communications networks and services. However, this article argues that the telematics sector faces some formidable barriers to growth, especially with respect to skills provision.
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    Notes: Both upskilling and deskilling theses are frequently at fault in treating the unit of analysis as the skill residing in a particular group of workers, when it is the intersecting roles and labour markets, established over a period of time by recruitment, training, and job design policies, which are analytically significant.
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    Notes: A questionnaire and interview study of women office workers in the West Midlands, who had recently experienced technical change, is used to examine their perceptions both of changes in their jobs and of the implementation process. The consequences for women's opportunities are discussed.
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    New technology, work and employment 5 (1990), S. 0 
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    Notes: Book reviewed in this articleWork-Oriented Design of Computer ArtifactsNew Technology in ContextStrategies for Success: Case Studies in Advanced Manufacturing TechnologyComputers and Democracy: A Scandinavian ChallengeTechnology and WorkOn Work: Historical, Comparative and Theoretical ApproachesPeople and Computers: how to evaluate your company's new technologyTechnology and Competition in the International Telecommunications IndustryTrading Technology: Europe and Japan in the Middle East
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    New technology, work and employment 5 (1990), S. 0 
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    Notes: Japanese banks account for the top nine of the world's ten biggest banks. Rationalization has led to increased control of employees in the sphere of labour management. This article examines labour management and working conditions in relation to the introduction of new office technology.
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    Teaching statistics 12 (1990), S. 0 
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    Notes: This article reviews use of a games based resource pack with a view to its value as an aid to developing an appreciation of chance and statistics, as well as other mathematical skills, in an experiential context.
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    Notes: This article concerns the Kolmogorov-Smirnov one sample test which was introduced by the Russian mathematician A. N. Kolmogorov in 1933.
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    Teaching statistics 6 (1984), S. 0 
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    Notes: This article provides a report on how a commonly availbale chemical database and the graphical utilities of a database management system were used to generate discussion when introducing the topics of correlation and regression to sixth form pupils.
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    Mathematical finance 3 (1993), S. 0 
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    Notes: We derive a computable approximation for the value of a European call option when prices satisfy a jump-diffusion model with the coefficients depending explicitly on time. This is achieved by approximating the original coefficients with functions that are piecewise constant in time. We give an interpretation of the approximating option values, in particular in the context of a discrete-time model associated with the approximating continuous-time model.
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    Notes: For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (-, 0), an exact expression is derived for the probability of hitting the level c, c 〉 0. the problem is motivated by modeling the returns from trading on financial markets.
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    Mathematical finance 2 (1992), S. 0 
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    Notes: This paper studies contingent claim valuation of risky assets in a stochastic interest rate economy. the model employed generalizes the approach utilized by Heath, Jarrow, and Morton (1992) by imbedding their stochastic interest rate economy into one containing an arbitrary number of additional risky assets. We derive closed form formulae for certain types of European options in this context, notably call and put options on risky assets, forward contracts, and futures contracts. We also value American contingent claims whose payoffs are permitted to be general functions of both the term structure and asset prices generalizing Bensoussan (1984) and Karatzas (1988) in this regard. Here, we provide an example where an American call's value is well defined, yet there does not exist an optimal trading strategy which attains this value. Furthermore, this example is not pathological as it is a generalization of Roll's (1977) formula for a call option on a stock that pays discrete dividends.
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    Notes: This paper generalizes the Merton jump-diffusion option pricing model to the case in which jump risk cannot be eliminated in the market portfolio. the option pricing formula is obtained using a general equilibrium asset pricing model. Since jump risk is systematic, the correlation of the underlying stock's jump with the market portfolio's jump affects the option price.
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    Notes: This article develops a model for pricing the quality option embedded in the Treasury bond futures contract. Since the option value is set relative to a large family of deliverable bond prices, it is important for the theoretical bond prices to match up to the observed prices. Hence an arbitrage-based model is used where the forward rate process is initialized at its current observable value. A model for valuing the quality option in an otherwise identical forward contract is also established. This permits the quality option and marking to market costs to be separately quantified. Support is provided for the common practice of pricing Treasury bond futures contracts as forward contracts with an embedded forward quality option.
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    Notes: In the modern theory of finance, the valuation of derivative assets is commonly based on a replication argument. When there are transaction costs, this argument is no longer valid. In this paper, we try to address the general problem of finding the optimal portfolio among those which dominate a given derivative asset at maturity. We derive an interval for its price. the upper bound is the minimum amount one has to invest initially in order to obtain proceeds at least as valuable as the derivative asset. the lower bound is the maximum amount one can borrow initially against the proceeds of the derivative asset. We show that, in some instances, this interval may be strictly bounded above by the price of the replicating strategy. Prima facie, the cost of a dominating strategy should appear to be higher than that of the replicating one. But because trading is costly, it may pay to weigh the benefits of replication against those of potential savings on transaction costs.
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    Notes: We derive alternative representations of the McKean equation for the value of the American put option. Our main result decomposes the value of an American put option into the corresponding European put price and the early exercise premium. We then represent the European put price in a new manner. This representation allows us to alternatively decompose the price of an American put option into its intrinsic value and time value, and to demonstrate the equivalence of our results to the McKean equation.
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    Notes: probability with martingales, by david williams
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    Notes: This paper explores the interest rate sensitivity of the prices of bonds and other securities when the instantaneous interest rate follows a Markov process. We show that whenever the interest rate describes a diffusion process the sensitivity of zero-coupon bonds increases with maturity. More generally, we characterize the risk-maturity relationship for contingent claims. This investigation yields a new property of option prices in the case where the underlying security price is a diffusion.
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    Mathematical finance 1 (1991), S. 0 
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    Notes: European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis.
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    Notes: This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. the model assumes a time-dependent discount rate and a general stochastic environment in a discrete-time setting. the fundamental valuation approach under the assumption of risk neutrality is used to obtain the time path of share price, the number of outstanding shares, and the value of the firm. These are shown to be the unique conditional expectations of certain stochastic processes. A broad class of firms for which the solution formula yields finite-valued solutions is characterized. the results are extended to the non-risk-neutral case. A regularity condition, which is both necessary and sufficient for the share price to equal the capitalization of future dividends accruing to the share, is obtained. As a mathematical aside, it is shown in the appendix that in the absence of this condition, the so-called stream of dividends approach is meaningless in the sense that it does not yield any financial valuation.
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    New technology, work and employment 9 (1994), S. 0 
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    Notes: The computing occupations are in a state of transition between a technical service and something more central to organizational power and decision-making. This process has had complex implications for the nature of computing work and for careers. There is no certainty that embryonic changes will carry through. But neither should the chances of these occupations of mounting a ‘collective mobility project’ be written off early.
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    Notes: The relationship between new information and communication technology and organizations is the subject of considerable debate. So too is the nature of organizational transformation. ‘Business process re-engineering’, with its emphasis upon the strategic deployment of information systems, brings both debates together. But does it resolve any of the issues?
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    Mathematical finance 4 (1994), S. 0 
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    Notes: We answer this question in the very general context of the n-factor Heath, Jarrow, and Morton model for the evolution of the term structure of interest rates, with nonrandom volatility. the answer is that a constraint is imposed on the behavior of the volatility structure. We explain the importance of this result for the design of efficient numerical algorithms for the valuation of options on the term structure.
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    Notes: This paper extends He and Pearson's (1991) martingale approach to the study of optimal intertemporal consumption and portfolio policies with incomplete markets and short-sale constraints to a framework in which no assumptions are made on the price process for the securities. We show how both their characterization of the budget-feasible set and duality result can be extended to account for an unbounded set II of Arrow-Debreu state prices compatible with the arbitrage-free assumption. We also supply a (fairly general) sufficient condition for II to be bounded, as required in their setting.
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    Mathematical finance 3 (1993), S. 0 
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    Notes: In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate contingent claim and provide a quasi-analytical solution for American yield option prices which illustrates the flexibility of our framework.
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    Notes: The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.
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    Notes: Several risk-neutral expectation formulae are derived in a general multifactor setting. Specializing to deterministic covariances of returns, they lead to formulae for forward and future prices as well as formulae for options on forward and futures contracts. the results are applicable to currencies, bonds, commodities with stochastic convenience yield, and stock indices. For currencies, a noarbitrage relation between domestic and foreign economies is formulated and applied to evaluate quanto futures and options.
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    Notes: The aim of this paper is to develop a model for the pricing of European options under the assumption of a stochastic interest rate in a discrete-time context. This is accomplished by combining the well-known binomial model for a stock with a binomial model for the spot interest rate.
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    Mathematical finance 3 (1993), S. 0 
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    Notes: An empirical version of the Cox, Ingersoll, and Ross (1985a) call option pricing model is derived, assuming execution price uncertainty in the options market. the pricing restrictions come in the form of moment conditions in the option pricing error. These can be estimated and tested using a version of the method of simulated moments (MSM). Simulation estimates, obtained by discretely approximating the risk-neutral processes of the underlying stock price and the interest rate, are substituted for analytically unknown call prices. the asymptotics and other aspects of the MSM estimator are discussed. the model is tested on transaction prices at 15-minute intervals. It substantially outperforms the Black-Scholes model. the empirical success of the Cox-Ingersoll-Ross model implies that the continuous-time interest rate implicit in synchronous transaction quotes of 90-day Treasury-bill futures contracts is an-albeit noisy-proxy for the instantaneous volatility on common stock. the process of the instantaneous volatility is found to be close to nonstationary. It is well approximated by a heteroskedastic unit-root process. With this approximation, the Cox-Ingersoll-Ross model only slightly overprices long-maturity options.
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    Mathematical finance 3 (1993), S. 0 
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    Notes: We analyze the optimal risky investment policy for an investor who, at each point in time, wants to lose no more than a fixed percentage of the maximum value his wealth has achieved up to that time. In particular, if Mt is the maximum level of wealth W attained on or before time t, then the constraint imposed on his portfolio choice is that WtαMt, where α is an exogenous number betweenα O and 1. We show that, for constant relative risk aversion utility functions, the optimal policy involves an investment in risky assets at time t in proportion to the “surplus”Wt - αMt. the optimal policy may appear similar to the constant-proportion portfolio insurance policy analyzed in Black and Perold (1987) and Grossman and Vila (1989). However, in those papers, the investor keeps his wealth above a nonstochastic floor F instead of a stochastic floor αMt. the stochastic character of the floor studied here has interesting effects on the investment policy in states of nature when wealth is at an all-time high; i.e., when Wt =Mt. It can be shown that at Wt=Mt, αMt is expected to grow at a faster rate than Wt, and therefore the investment in the risky asset can be expected to fall. We also show that the investment in the risky asset can be expected to rise when Wt is close to αMt. We conjecture that in an equilibrium model the stochastic character of the floor creates “resistance” levels as the market approaches an all-time high (because of the reluctance of investors to take more risk when Wt=Mt).
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    Mathematical finance 3 (1993), S. 0 
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    Notes: This paper derives the equilibrium excess returns on risky assets in an exchange economy where the underlying exogenous uncertainty is a combination of a pure multidimensional jump process and a diffusion model. We derive closed-form solutions for the interest rate and the risk premiums on risky assets for a traditional class of separable utility indices. Our analysis demonstrates that when the underlying jumps of the aggregate consumption process are not negligible, then the traditional form of the consumption-based capital asset princing model need not hold and the asset risk premiums may be larger than predicted by the traditional CCAPM in continuous time, based on pure Itô diffusion processes. Our analysis suggests an explanation for the large estimates of the risk premiums reported in empirical tests of the single-beta CCAPM.
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. the optimal controls and value functions are characterized in terms of the viscosity solution of the associated Hamilton-Jacobi-Bellman equation, which is shown to exist and is characterized. the optimal policy is then given from the first-order conditions of the Hamilton-Jacobi-Bellman equation.
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  • 91
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    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the American put option in the Black-Scholes model. When the value of the option is computed through numerical methods (such as the binomial method and the finite difference method) the approximation yields an approximate critical price. We prove the convergence of this approximate critical price towards the exact critical price.
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  • 92
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    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies the moments of some exponential-integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.
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  • 93
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    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies a class of diffusion models for stock prices derived by a microeconomic approach. We consider discrete-time processes resulting from a market equilibrium and then apply an invariance principle to obtain a continuous-time model. the resulting process is an Ornstein-Uhlenbeck process in a random environment, and we analyze its qualitative behavior. In particular, we provide simple criteria for the stability or instability of the corresponding stock price model, and we give explicit formulae for the invariant distributions in the recurrent case.
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  • 94
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    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We establish necessary and sufficient conditions for an H1-martingale to be representable with respect to a collection, of local martingales. M H1(P) is representable if and only if M is a local martingale under all p.m.'s Q which are “uniformly equivalent” to P and which make all the elements of local martingales (Theorem 1.1). We then give necessary and sufficient conditions which are easier to verify, and only involve expectations (Theorem 1.2). We go on to apply these results to the problem of pricing claims in an incomplete financial market-establishing two conjectures of Harrison and Pliska(1981).
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  • 95
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    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper provides a general valuation method for the European options whose payoff is restricted by curved boundaries contractually set on the underlying asset price process when it follows the geometric Brownian motion. Our result is based on the generalization of the Levy formula on the Brownian motion by T. W. Anderson in sequential analysis. We give the explicit probability formula that the geometric Brownian motion reaches in an interval at the maturity date without hitting either the lower or the upper curved boundaries. Although the general pricing formulae for options with boundaries are expressed as infinite series in the general case, our numerical study suggests that the convergence of the series is rapid. Our results include the formulae for options with a lower boundary by Merton (1973), for path-dependent options by Goldman, Sossin, and Gatto (1979), and for some corporate securities as special cases.
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  • 96
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    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
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  • 97
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    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Given a sequence of discrete-time option valuation models in which the sequence of processes defining the state variables converges weakly to a diffusion, we prove that the sequence of American option values obtained from these discrete-time models also converges to the corresponding value obtained from the continuous-time model for the standard models in the finance/economics literature. the convergence proof carries over to the case when the limiting risky asset price process follows a diffusion, except it pays discrete dividends on some fixed dates.
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  • 98
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    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The note deals with the pricing of American options related to foreign market equities. the form of the early exercise premium representation of the American option's price in a stochastic interest rate economy is established. Subsequently, the American fixed exchange rate foreign equity option and the American equity-linked foreign exchange option are studied in detail.
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  • 99
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
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  • 100
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Working within the Heath-Jarrow-Morton framework and using the theory of stochastic equations in infinite dimensions, a useful multifactor Gauss-Markov model for the movement of the whole of the yield curve is derived. Swaptions are priced. They are hedged by eliminating random terms between the semimartingale representations of the swaption and hedging instruments. Hedging efficiency is analyzed. the model is fitted to the swap/cap strips in Australia. Computation times on a 20-MHz laptop computer are acceptable.
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