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  • Blackwell Publishing Ltd  (57,804)
  • 1990-1994  (37,200)
  • 1980-1984  (20,446)
  • 1925-1929
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  • 101
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    Electronic Resource
    POPULATION AND EMPLOYMENT IN SELECTED COUNTRIES BORDERING THE PACIFIC (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00234.x
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  • 102
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    THE POLITICAL ECONOMY OF URBANIZATION IN MELANESIA (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00235.x
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  • 103
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    OBSERVATIONS ON THE EFFECTS OF URBANIZATION ON RUNOFF AND SEDIMENT PRODUCTION IN SINGAPORE (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00236.x
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  • 104
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    URBAN DILEMMAS IN SOUTHEAST ASIA (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00237.x
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  • 105
    Electronic Resource
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    SUBSTITUTION OF COMMUNICATION FOR TRANSPORTATION (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00238.x
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  • 106
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    THE SHIFT FROM INFORMAL TO FORMAL: SOME COSTS AND BENEFITS OF LARGE SCALE INDUSTRIALIZATION IN ASIAN COUNTRIES (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00239.x
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  • 107
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    TRENDS AND ETHNIC VARIATION IN THE FERTILITY OF THE POPULATION OF SINGAPORE (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00240.x
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  • 108
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    DIURNAL PRECIPITATION PATTERNS AT GUATEMALA CITY, 1930–1969 (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00226.x
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  • 109
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    ASSESSING LEVELS OF AGRICULTURAL DEVELOPMENT: THE SIERRA LEONE CASE (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00227.x
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  • 110
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    THE PALAEOECOLOGY OF TASEK BERA, A LOWLAND SWAMP IN PAHANG, WEST MALAYSIA (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 2 (1981), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1981.tb00118.x
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  • 111
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    TRANSPORTATION AND TERRITORIAL DEVELOPMENT IN THE SINGAPORE EXTENDED METROPOLITAN REGION (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 15 (1994), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Notes: This paper examines the interface between port cities, urban regions and their transportation systems with respect to Singapore. The development of the regional Singaporean transactional space incorporates the province of Johor in Malaysia and the Riau islands in Indonesia, with the resulting spatial pattern and linkages forming an Extended Metropolitan Region (EMR). An EMR spatial model is presented in which transportation is a key factor. This model explains four processes of territorial development — densification, dissemination, extension and contraction. Densification is a process of spatial accumulation of economic activities within an area and aims at higher levels of productivity. Dissemination is a spatial relocation of unproductive economic activity towards productive areas. Extension is a space/time collapse enabling economic activities to extend over a large territory while maintaining low distribution costs. Contraction is a rationalisation of distribution systems facing growing transportation costs and competition from other systems. Based on the framework provided by the spatial model and available evidence, an assessment of transportation and territorial development in the Singapore EMR is undertaken. The analysis underlines the role of Singapore as a regional transhipment centre and its maritimefland interface function.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1994.tb00245.x
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  • 112
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    THE NON-ECONOMIC FACTORS IN RURAL-URBAN MIGRATION IN THAILAND (1984)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 5 (1984), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1984.tb00155.x
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  • 113
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    THE ROLE OF PARATRANSIT IN SOUTHEAST ASIAN CITIES (1984)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 5 (1984), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1984.tb00145.x
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  • 114
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    THE ROLE OF STANDING WATER AND WATER-LOGGED SOILS IN RAISED-FIELD, DRAINED-FIELD AND ISLAND-BED AGRICULTURE (1984)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 5 (1984), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1984.tb00146.x
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  • 115
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    THE VEGETATIONAL CHANGES OF THE LAST 20,000 YEARS AT TELEFOMIN, PAPUA NEW GUINEA (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 4 (1983), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1983.tb00129.x
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  • 116
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    THE ARCHIPELAGIC CONCEPT AND ITS IMPACT ON SOUTHEAST ASIA (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 4 (1983), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1983.tb00130.x
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  • 117
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    THE DROUGHT OF 1970–77 IN UPPER VOLTA (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 4 (1983), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1983.tb00132.x
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  • 118
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    ATTITUDES AND ADJUSTMENTS TO THE FLOOD HAZARD IN A MIXED ETHNIC COMMUNITY IN MALACCA TOWN, PENINSULAR MALAYSIA (1983)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 4 (1983), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1983.tb00131.x
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  • 119
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    MIGRATION AND THE TRANSFORMATION OF EMPLOYMENT AND HOUSEHOLD STRUCTURES (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00228.x
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  • 120
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    HUMAN ECOLOGY RESEARCH ON TROPICAL AGROECOSYSTEMS IN SOUTHEAST ASIA (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00232.x
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  • 121
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    BEYOND THE GEOGRAPHY OF DEVELOPMENT (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 2 (1981), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1981.tb00120.x
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  • 122
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    SEDIMENTATION PATTERNS IN A MANGAL ON MAGNETIC ISLAND NEAR TOWNSVILLE, NORTH QUEENSLAND, AUSTRALIA (1982)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 3 (1982), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1982.tb00233.x
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  • 123
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    DUNES OF FRIDAY ISLAND, TORRES STRAIT, NORTH QUEENSLAND (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 2 (1981), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1981.tb00124.x
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  • 124
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    THE RELATIONSHIP BETWEEN PUERTO RICO'S ECONOMIC STRUCTURE AND DEVELOPMENT (1981)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 2 (1981), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1981.tb00125.x
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  • 125
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    ASSESSING EXPORT OPTIMISM VERSUS EXPORT PESSIMISM IN TROPICAL COUNTRIES (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 15 (1994), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Notes: This paper attempts to reconcile two major conflicting viewpoints regarding the effects of export expansion on economic growth. The first, export optimism, looks to supply factors such as international competitiveness with the view that a favourable export performance results in significant economic growth for a country. The second, export pessimism, argues that exports only contribute significantly to a country's economic growth when the external demand is favourable. Using the Expansion Methodology, the paper shows that the effects of demand and supply factors on the relationship between export growth and economic growth are about the same. The results suggest that while unfavourable demand weakens the aforementioned relationship, tropical countries can offset this by being competitive in their exports. They also caution against excessive weight being given to export-promotion by export optimists as the exports-growth relationship weakens considerably when the external demand falls.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1994.tb00244.x
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  • 126
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    SYSTEMATIC DESCRIPTIVE MATRIX ANALYSIS OF THE RELATIONSHIP BETWEEN ENVIRONMENT AND AGRICULTURE: AN INTERPRETATION FROM ALCHIPICHI-PUELLARO, ECUADOR (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Singapore journal of tropical geography 15 (1994), S. 0 
    Details
    ISSN: 1467-9493
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Geography
    Notes: This paper examines the usefulness of a systematic typology of agricultural activities. Characteristics of both traditional and modem systems are analysed and the physical and human environmental relationships of the changing agricultural dynamics examined. Altitudinal zonation of the study site offers a diverse agro-ecological physical environment appropriate for the cultivation of subtropical plants, especially fruit. Field work, interview results, air photo analysis and land use mapping combine with a systematic descriptive matrix analysis, to show that in response to the environment and changing market conditions, mixed systems have evolved, often including commercial poultry and egg production. Increasing systematic heterogeneity such as the association of commercial fruticulture with intensive animal husbandry and the association of commercial fruticulture with subsistence and semi-commercial agriculture using animal force, poses problems to the method. The potential for use at other study sites and the limitations of the technique are discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9493.1994.tb00246.x
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  • 127
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    Gender and Economic Outcomes: the Role of Wage Structure (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 7 (1993), S. 0 
    Details
    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. Empirical research on gender pay gaps has traditionally focused on the role of gender-specific factors, particularly gender differences in qualifications and differences in the treatment of otherwise equally qualified male and female workers (i.e. labor market discrimination). An innovative feature of recent research is to focus on the role of wage structure — the array of prices set for various labor market skills — in influencing the gender gap. In this paper, I consider the determinants of gender differences in pay and summarize empirical evidence on the importance of various factors in explaining gender pay gaps, highlighting the role of wage structure. To illustrate how it can impact the gender gap, I summarize my research on international differences in male-female wage differentials, as well as preliminary findings on trends over time in gender differentials in the United States.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1993.tb00071.x
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  • 128
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    Labour Legislation and Institutional Aspects of the Brazilian Labour Market (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 7 (1993), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. This paper analyses the structure of the Brazilian Labour Code (CLT), the changes introduced since its approval in 1943, emphasizing the new Federal Constitution of 1988, the costs of labour and of dismissals for employers, the structure of union organizations, the regulation of collective bargaining and capital labour conflicts, and the process of wages determination. We also analyze the evolution of strike activity, and the evolution of wage differentials and functional distribution of income between profits and wages in industry in the last 15 years.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1993.tb00074.x
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  • 129
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    Public Day Care Centres, Company Day Care Centres, and Segregation Between Men and Women in the Labour Market: the Case of the Netherlands (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 6 (1992), S. 0 
    Details
    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. What is needed to diminish segregation between men and women in the labour market is a program of affirmative action for the Netherlands as a whole. Specific measures aimed at the removal of barriers between occupations cannot be successful unless they are imbedded in such an overall program. A necessary part of such a plan are facilities that enable women and men to combine unpaid parental tasks and paid labour. In contrast with public day care centres, company day care centres do not fit into such a plan, because they even enlarge existing segregation.Company day care centres and other measures to facilitate parental care and paid labour are more often found in industries with a larger share of female workers. This relationship is found for both the Netherlands and the United States.It is concluded that it is in the interest of employers as well as women's emancipation to increase the number of public day care centres instead of the number of company day care centres.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1992.tb00067.x
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  • 130
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    The Implementation of European Community Equality Legislation on Social Security: International Experiences (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 6 (1992), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. The article evaluates the EC Equality Directives in matters of social security adopted by the Council in 1978 and 1986. We ask whether these EC Directives are appropriate instruments to reduce manifest disadvantages women face in the national social security systems. In the first part, some features are singled out in the European pension systems which are particularly disadvantageous to women. In the second, the EC Directives are analysed with respect to their material scope and the underlying normative concepts. Thirdly, some problems with respect to the legislative implementation of the Social Security Directives in the UK, the Netherlands and Germany are discussed. It is argued that the Directives, in prescribing equal treatment, do not lead to substantial improvement for women.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1992.tb00053.x
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  • 131
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    Raising Children: Private Expenditure and Foregone Earnings (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 6 (1992), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. From the point of view of an individual household there are two major types of private cost of children, viz. direct household expenditure for the offspring plus (usually) mothers' foregone earnings. Both aspects have been studied theoretically and empirically, but thus far only separately. The joint empirical analysis of these main costs of children are the subject of this paper. Employing the Austrian Consumer Survey of 1984/85 and 1983's Microcensus, household expenditure on one, two and three children and mothers' foregone earnings are estimated for a comparable sample of households.In order to estimate household expenditure on children a modified Prais-Houthakker model has been employed. Labour force participation functions as well as human-capital wage equations were estimated using a multinomial logit model and allowing for both the impact of career interruptions and part-time work. Through simulation on the basis of these estimates we arrive at comparable life-time earnings of women with no, one, two or three children. We then add the relevant differences to the expenditure on children to obtain the “total” private cost of children.Being aware of the limitations of our analysis–not all monetary private outlays and no public expenditure are included, no consideration of children's benefits to parents, etc. - we can nevertheless draw some tentative conclusions: there are decreasing marginal costs for the second child and rather constant costs for the third child, except for the case of “low attachment“ to the labour force, where marginal cost also declines for the third child. Assuming utility maximizing households, one could arrive at a policy prescription for raising birth rates: find a means to reduce foregone earnings which appear to be a major deterrent to having more than one child.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1992.tb00059.x
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  • 132
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    Atypical Employment Relations and Government Policy in Europe (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 5 (1991), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. This paper analyses government policy towards the two major forms of atypical work in Europe: part-time employment and temporary work. It is submitted that the policies implemented promote the volume of marginal part-time employment and temporary work. The policies aiming at more temporary jobs did not result in additional employment; they merely resulted in a redistribution of unemployment and a shift in the recruitment patterns in the direction of subsidised temporary jobs. Too much emphasis on numerical flexibility is not without danger. Countries run the risk that employers will not pay sufficient attention to the source of their long-term flexibility, manpower training. I t is argued that regular part-time work is an alternative for uncertain temporary jobs, Its potential expansion is considerable. Some recommendations are put forward to promote regular part-time jobs and improve the position of flexible part-time workers and temporary workers.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1991.tb00049.x
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  • 133
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    Job Tenure, Labour Mobility and Wage Profiles (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 5 (1991), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. The features and the length of the attachment of workers to firms represent a central aspect of the labour relationship. The length of service is an important determinant of wages and of non-pecuniary benefits; it affects internal mobility in the firm, and insulates workers with long job tenure from unemployment. In this paper it is argued that the traditional “spot” labour market Characterization is difficult to reconcile with the existence of long term employment relationships. A number of alternative theories which predict the existence of an employer-worker attachment proposed, and their implications discussed. The relevance of long term employment relationships is then tested using micro-data for the Italian manufacturing industry. An appropriate methodology for the analysis of the duration of employment is developed. and separate “job tenure” equations for white and blue collar workers are estimated. A higher educational attainment - ceteris paribus- appears to increase the probability of a job separation; conversely, a higher working experience, previous to the current job, tends to reduce it. The effect of firm size is negative, as larger organizations seem to favour longer employment spells. Outside opportunities show a strong positive effect on the probability of separation. Finally, conditional on the current wage, the probability of leaving the job increases with the length of time worked. However, when the unconditional outcome is considered, separation decline with tenure; in this case. it is argued, the wage effect more than outweighs the conditional effect. This result is consistent with the predictions of both “specific” human capital and job matching theories.
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    URL: http://dx.doi.org/10.1111/j.1467-9914.1991.tb00051.x
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    For a New Incomes Policy: New Possibilities and Objectives (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 5 (1991), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. Moving off from the lessons of the Italian incomes policy experience of the 1980s, this paper presents a new framework to interpret the performance of incomes policy (LP) agreements and institutions, and propose new strategies for the 1990s. IP is viewed as a cooperative outcome that evolves from a non-cooperative long-term game between several players (workers, unions, firms, government, parliament, etc.), along the lines of the model drawn up by Brunetta and Carraro (1988).The paper is divided into three sections. The first summarizes the history of IP in Italy, starting from the phase of the predetermination of disinflation (1983-84). We firstly outline some of the fundamental features of recent Italian development (the “Italian model”), noting how new IP measures could be taken to create an adequate response to the new European and international deadlines. The difficulties and uncertainties that presently exist at both national and international level make the introduction of IP in new, cooperative and evolutive terms, necessary.The second section examines the various topics and new objectives of a “strategic” IP resumption, particularly relevant to the concerted action on the cost of labour, presently being discussed. The topics we consider are: the link between wage reform and IP; the recent concerted agreements reached on fiscal drag (26.1.89) and on the cost of labour (25.1 and 6.7.90); the importance of the role of productivity gain-sharing; programmed inflation and price control; indexation of gross wages and safeguarding the net wage; increase of the tax base; profit-sharing.The third and final section presents a few observations which further investigate the distribution of productivity gains between sectors and uses: how it is articulated amongst the various bargaining levels (central, sectoral or enterprise). Redistribution amongst sectors is dealt with in terms of “protected” and “unprotected” areas of the economy, showing the need of a concerted regulation at the central level. Sharing between factors and allocations presents a very different case, and is dealt with at sectoral and firm level.
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    URL: http://dx.doi.org/10.1111/j.1467-9914.1991.tb00039.x
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    Segmentation, Mobility and the Spatial Distribution of Activities (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 5 (1991), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. The paper discusses the relationship between labor economics' segmentation theory and the polarization theories of regional economics. It is argued that labor market segmentation and regional disparities are fundamentally related and that one is both cause and consequence of the other. The argument is developed around the locational requirements of various functions of entreprises on the one hand and worker's schooling and migration decisions on the other. As can be shown, interregional labor mobility that is usually considered to be an important factor in equilibrating regional disparities enforces the interregional differentiation in a model allowing for a segmented labor market. The paper closes with reference of a few fundamental hypotheses that can be derived from the model and cites empirical evidence supporting this view.
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    Employment Protection and Labour Market Segmentation: the Fiftieth Anniversary of the “Cassa Integrazione Guadagni” (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 5 (1991), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. This paper analyzes the evolution of the Cassa integrazione guadagni (CIG), according to 7 different theoretical models, which offer a classification for the different cases of application that have developed since its introduction, as well as for the many policy targets pursued by the Public Authorities.Then an assessment of the economic role of CIG is attempted, divided into three separate sections. The first is aimed at evaluating the economic long-term effect on macro performance, where the crucial balance is between a “crowding-out effect” on private investment and a “profit-maintenance effect” by lowering the effective wage rate. The second section approaches the employment consequences of the CIG by examining a second crucial balance: that between the protection granted to the employed and the obstacles raised for the employment of the non-employed (above all, freezing workers' turnover). This issue is tackled too in terms of the insider-outsider theory, showing the possible relevance of CIG in segmenting the labour market and keeping the wage rate dynamics.Finally the paper briefly examines the profound revision of the CIG recently approved by the Italian Parliament, aimed at avoiding excessive costs while enhancing labour mobility.
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    URL: http://dx.doi.org/10.1111/j.1467-9914.1991.tb00031.x
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    Is the Employment Function Structurally Unstable? An Empirical Test: Italian Manufacturing Industry, 1970–1984 (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 5 (1991), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. This paper tests the hypothesis that the high variability of the real input prices (especially real wage) coefficients in the empirical employment equations reflects structural characteristics of the economy considered, namely the balance of power between trade unions and fums. A dynamic equation with output, real wage and real prices of raw materials as explanatory variables is estimated using Italian manufacturing industry data 1970-1984. The model appears to be well specified and consistent with the literature. However, extensive parameter stability analysis yields results compatible with the view of the employment equation as structurally unstable. The fact that the equation appeared to be well specified and representative arouses the suspicion that other equations for different periods and economies could be equally unstable.
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    URL: http://dx.doi.org/10.1111/j.1467-9914.1991.tb00034.x
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    Labour Costs and Employment in the Service Economy (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 4 (1990), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. In this paper we analyse the direct relationship between the cost of labour and employment in diverse service industries. In contrast to most existing studies, we assume that the tertiary sector is highly differentiated h terms of reactions to both supply and demand factors.The study suggests that we must reasses the relevance of demand factors, but it also confirms that the real cost of labour is a crucial determinant of certain kinds of service employment. Country comparisons have made US sensitive to the fact that the relationship between employment and the cost of labour is far from being globally similar. Each country exhibits behaviour in line with the peculiarities of its labour market.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1990.tb00023.x
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    Firm Size and Wages (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 4 (1990), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: In this article the authors analyse the evidence found in several countries that large firms pay more than firms categorised as small. Firstly, this study discusses the factors which, according to previous theoretical research, explain the firm size-wage differential. Secondly, the different theoretical arguments are tested empirically. As a data base the authors use the individual and longitudinal data of the first four waves of the German Socio-Economic Panel. In the empirical investigation the instruments of variance, correlation and regression analysis, including the estimations of fixed-effects and random-effects odels are applied.The empirical analysis clearly demonstrates that positive effects of firm size on wages persist after controlling for〈list xml:id="l1" style="custom"〉— labour quality— differences in working conditions— employment tenure and rates of fluctuation— monetary fringe benefits of firms— heterogeneity of employese— monopoly power and ability to pay of firms.The article concludes with some proposals for future research.
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    Union Power and (Un)Employment (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 4 (1990), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Is the monopoly face of unions, i.e. their ability to enforce wages above what non-unionised firms would pay, harmful to employment and output? It is shown that a positive answer to this question is far less compelling than commonly held views based on a negatively sloped labour demand curve suggest. First, the labour demand curve may be irrelevant for the employment decision of unionised firms. Second, even if the labour demand curve is relevant, selfish union workers are likely to accept a system of wage discrimination which does away with discrepancies between the marginal product and the reservation wage. And third, the labour demand curve may have a positive slope.
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    A Structural Approach to the European Labour Market (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 4 (1990), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: The structure of the European labour market is highly differentiated by geo-graphical area. If the 1992 integration is likely to induce short-medium term adjustment effects on employment, these will mostly affect regional labour markets. Negative adjustments will follow different distribution patterns, probably exacerbating current regional disequilibria. On the other hand, still little known are the geographical features of the European economic, social and production structures. Although many studies have recently concentrated on the analysis of local labour markets, few of them have addressed the issue of Community regions.Through multivariate and cluster analyses of structural data on regional labour markets, the paper offers a confirmation of the explanatory power of local market analysis, as applied to the European area. The structural features of each elementary area are captured by three factors only that allow the construction of a coherent classification of EEC regions in four major clusters. This classification is used to identify the “weak areas” that, after a reconsideration in unified terms of European cooperation policies, should be the object of new development interventions.
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    A few Notes on the Representativeness of Italian Trade Unions over The Last Twenty Years (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 4 (1990), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9914.1990.tb00003.x
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    Changing Firms, Changing Work: Skills, Careers and Pay (1990)
    Oxford, UK : Blackwell Publishing Ltd
    Labour 4 (1990), S. 0 
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    ISSN: 1467-9914
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Economics
    Notes: Abstract. The aim of this paper is to outline the main transformations in the firm's organization, with special reference to the consequences of the flexibility issue on work in a post-Taylor-Fordistic age. In examining the new features of jobs on the labour market, the paper underlines the ongoing changes in skills and careers, both on the demand and supply side. Moreover, the author sketches some important innovations in the remuneration systems at firm level, which compel unions to give uneasy, strategic answers in terms of industrial relations.
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    CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    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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    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00059.x
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    WHEN IS THE SHORT RATE MARKOVIAN? (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    THE EARLY EXERCISE PREMIUM REPRESENTATION OF FOREIGN MARKET AMERICAN OPTIONS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    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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    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00061.x
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    RISK-MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We construct risk-minimizing hedging strategies in the case where there are restrictions on the available information. the underlying price process is a d-dimensional F-martingale, and strategies φ= (ϑ, η) are constrained to have η G-predictable and η G'-adapted for filtrations η G C G’C F. We show that there exists a unique (ηG, G')-risk-minimizing strategy for every contingent claim H ε E ??2 (??T, P) and provide an explicit expression in terms of η G-predictable dual projections. Previous results of Föllmer and Sondermann (1986) and Di Masi, Platen, and Runggaldier (1993) are recovered as special cases. Examples include a Black-Scholes model with delayed information and a jump process model with discrete observations.
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    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00062.x
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    ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We give two examples showing that for unbounded continuous price processes, the no-free-lunch assumption and the existence of an equivalent martingale measure are not equivalent. In fact it turns out that the notion of an equivalent local martingale measure is natural in this context.
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    ERRATUM (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
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    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00096.x
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    A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    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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    THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A simple model of the term structure of interest rates is introduced in which the family of instantaneous forward rates evolves as a continuous Gaussian random field. A necessary and sufficient condition for the associated family of discounted zero-coupon bond prices to be martingales is given, permitting the consistent pricing of interest rate contingent claims. Examples of the pricing of interest-rate caps and the situation when the Gaussian random field may be viewed as a deterministic time change of the standard Brownian sheet are discussed.
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    CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Contingent claims with payoffs depending on finitely many asset prices are modeled as elements of a separable Hilbert space. Under fairly general conditions, including market completeness, it is shown that one may change measure to a reference measure under which asset prices are Gaussian and for which the family of Hermite polynomials serves as an orthonormal basis. Basis pricing synthesizes claim valuation and basis investment provides static hedging opportunities. For claims written as functions of a single asset price we infer from observed option prices the implicit prices of basis elements and use these to construct the implied equivalent martingale measure density with respect to the reference measure, which in this case is the Black-Scholes geometric Brownian motion model. Data on S & P 500 options from the Wall Street Journal are used to illustrate the calculations involved. On this illustrative data set the equivalent martingale measure deviates from the Black-Scholes model by relatively discounting the larger price movements with a compensating premia placed on the smaller movements.
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    ANNOUNCEMENT (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
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    A PRICING OPERATOR-BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper develops a cross-market version of factor pricing models. It is shown that exact factor pricing holds across two submarkets with respect to their common factors if and only if the unique pricing operator for the first submarket is equal to that for the other submarket with probability 1. We define an APT measure as the squared distance between the two pricing operators. Then, testing whether this measure is zero is equivalent to testing exact factor pricing across the two submarkets. Since the estimation of this measure does not require parameterizing and extracting the underlying factors, one can test factor pricing models without knowing any factors. In addition, we present a randomization procedure so that one can use it to conduct a more comprehensive investigation on the empirical robustness of factor pricing models.
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    THE STATISTICS OF LONG-HORIZON REGRESSIONS REVISITED (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper compares commonly used approaches for estimating the relation between long-horizon returns and a predetermined variable X1, such as dividend yields. Specifically, we look at regression of (i) nonoverlapping multiperiod returns on Xt (ii) overlapping multiperiod returns on Xt, (iii) single-period returns on multiperiod Xt, and (iv) single-period returns on Xt and its implied long-horizon regression coefficient. We provide analytical formulae which quantify the efficiency of the estimators used in the various approaches. Using the formulae, as well as Monte Carlo simulations, we demonstrate that the relative efficiency of the estimators used in the various approaches differs remarkably, depending on the dynamic structure of the regressor. of special interest for financial economists, when the regressors are highly autocorrelated, we find that the regressions (ii) (iii), and (iv) provide only marginal efficiency gains above and beyond the nonoverlapping long-horizon regression.
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    EFFICIENCY GAINS IN BETA-PRICING MODELS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Recent literature shows that the risk premium is efficiently estimated in the usual two-pass procedure, estimating betas in the unrestricted model, and then regressing returns on estimated betas. This paper shows that this is not so when allowing for factor unobservability. Imposing the financial theory restriction from the outset leads to a strictly positive efficiency gain in the risk premium estimation. In addition, the role of an associated efficiency gain in the beta estimation is studied in the context of a zero-beta model.
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    MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This article develops a general methodology that uses the observed prices of a derivative contract to compute maximum likelihood parameter estimates for an unobserved asset value process. the use of this estimation methodology is demonstrated in two applications: Vasicek's term structure model and deposit insurance pricing. This methodology can also be useful in the empirical analysis of complex financial contracts involving embedded options.
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    MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Diffusion models for volatility have been used to price options while ARCH models predominate in descriptive studies of asset volatility. This paper compares a discrete-time approximation of a popular diffusion model with ARCH models. These volatility models have many siimilarities but the models make different assumptions about how the magnitude of price responses to information alters volatility and the amount of subsequent information. Several volatility models are estimated for daily DM/ exchange rates from 1978 to 1990.
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    ASYMPTOTIC INFERENCE FOR THE PARAMETERS OF A DISCRETE-TIME SQUARE-ROOT PROCESS (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: This paper is concerned with asymptotic properties of the maximum likelihood estimators for the discrete-time square-root process. This process and its generalizations are employed in financial literature as models for movements of asset prices. the considered process is nonergodic and therefore standard maximum likelihood theory does not apply. the nonstandard asymptotic theory is developed. Strong consistency of the estimators is established, joint asymptotic distribution of the properly normalized estimators is obtained and confidence intervals for the parameters are constructed. the results of the small simulation study are reported.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00056.x
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    THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Threshold autoregressive (TAR) models condition the first moment of a time series on lagged information using a step-function-type nonlinear structure. TAR techniques are expected to be relevant in financial time-series modeling in situations where deviations of prices from equilibrium values depend on discrete transaction costs and where market regulators follow intervention rules based on threshold values of control variables. an important finance application is in modeling the difference in prices of equivalent assets in the presence of transaction costs. the focus of this paper is on motivating the use of TAR models in this context and on the statistical estimation and testing procedures. the procedures are illustrated by modeling the difference between the prices of an index futures contract and the equivalent underlying cash index. It is found that the hypothesis of linearity is conclusively rejected in favor of threshold nonlinearity and that the estimated thresholds are largely consistent with arbitrage-related transaction costs.
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    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00058.x
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    OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We study an optimal consumption and portfolio selection problem for an investor by a martingale approach. We assume that time is a discrete and finite horizon, the sample space is finite and the number of securities is smaller than that of the possible securities price vector transitions. the investor is prohibited from investing stocks more (less, respectively) than given upper (lower) bounds at any time, and he maximizes an expected time additive utility function for the consumption process. First we give a set of budget feasibility conditions so that a consumption process is attainable by an admissible portfolio process. Also we state the existence of the unique primal optimal solutions. Next we formulate a dual control problem and establish the duality between primal and dual control problems. Also we show the existence of dual optimal solutions. Finally we consider the computational aspect of dual approach through a simple numerical example.
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    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00047.x
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    ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We give a condition under which the componentwise stochastic integration with respect to a given Rd-valued continuous local martingale coincides with the more general vector stochastic integration defined by Jacod (1979). We then provide a result on the equivalence between the vector and the component completeness of a financial market in a special case.
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    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00049.x
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    A NOTE ON THE GENERALIZED MULTIBETA CAPM (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    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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    MARTINGALE MEASURES FOR DISCRETE-TIME PROCESSES WITH INFINITE HORIZON (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Let (St)tεI be an Rd-valued adapted stochastic process on (Ω, ?, (?t)tεI, P). A basic problem occurring notably in the analysis of securities markets, is to decide whether there is a probability measure Q on ? equivalent to P such that (St)tεI is a martingale with respect to Q. It is known (see the fundamental papers of Harrison and Kreps 1979; Harrison and Pliska 1981; and Kreps 1981) that there is an intimate relation of this problem with the notions of “no arbitrage” and “no free lunch” in financial economics. We introduce the intermediate concept of “no free lunch with bounded risk.” This is a somewhat more precise version of the notion of “no free lunch.” It requires an absolute bound of the maximal loss occurring in the trading strategies considered in the definition of “no free lunch.” We give an argument as to why the condition of “no free lunch with bounded risk” should be satisfied by a reasonable model of the price process (St)tεI of a securities market. We can establish the equivalence of the condition of “no free lunch with bounded risk” with the existence of an equivalent martingale measure in the case when the index set I is discrete but (possibly) infinite. A similar theorem was recently obtained by Delbaen (1992) for continuous-time processes with continuous paths. We can combine these two theorems to get a similar result for the continuous-time case when the process (St)tεR+ is bounded and, roughly speaking, the jumps occur at predictable times. In the infinite horizon setting, the price process has to be “almost a martingale” in order to allow an equivalent martingale measure.
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    CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT-SALE CONSTRAINTS IN THE FINITE-DIMENSIONAL CASE: SOME REMARKS (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00051.x
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    A TEST OF A GENERAL EQUILIBRIUM STOCK OPTION PRICING MODEL (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00091.x
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    ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00045.x
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    BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Using Bessel processes, one can solve several open problems involving the integral of an exponential of Brownian motion. This point will be illustrated with three examples. The first one is a formula for the Laplace transform of an Asian option which is “out of the money.”The second example concerns volatility misspecification in portfolio insurance strategies, when the stochastic volatility is represented by the Hull and White model. The third one is the valuation of perpetuities or annuities under stochastic interest rates within the Cox-Ingersoll-Ross framework. Moreover, without using time changes or Bessel processes, but only simple probabilistic methods, we obtain further results about Asian options: the computation of the moments of all orders of an arithmetic average of geometric Brownian motion; the property that, in contrast with most of what has been written so far, the Asian option may be more expensive than the standard option (e.g., options on currencies or oil spreads); and a simple, closed-form expression of the Asian option price when the option is “in the money,” thereby illuminating the impact on the Asian option price of the revealed underlying asset price as time goes by. This formula has an interesting resemblance with the Black-Scholes formula, even though the comparison cannot be carried too far.
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    OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00044.x
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    DISCONTINUOUS ASSET PRICES AND NON-ATTAINABLE CONTINGENT CLAIMS (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The price of a risky asset § is described by a Markov diffusion with jumps. In general there may be many equivalent martingale measures. Contingent claims which depend on the price of § at some time T may not be attainable, and the market may not be complete. However, using a martingale representation result, the local risk-minimizing strategy is explicitly constructed. This in turn provides a new motivation for the concept of the minimal martingale measure.
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    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00046.x
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    Diffusion Coefficient Estimation and Asset Pricing When Risk Premia and Sensitivities Are Time Varying (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00080.x
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    A Jump/Diffusion Consumption-Based Capital Asset Pricing Model and the Equity Premium Puzzle (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    From Discrete to Continuous Financial Models: New Convergence Results For Option Pricing (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we develop a new notion of convergence for discussing the relationship between discrete and continuous financial models, D2-convergence. This is stronger than weak convergence, the commonly used mode of convergence in the finance literature. We show that D2-convergence, unlike weak convergence, yields a number of important convergence preservation results, including the convergence of contingent claims, derivative asset prices and hedge portfolios in the discrete Cox-Ross-Rubinstein option pricing models to their continuous counterparts in the Black-Scholes model. Our results show that D2-convergence is characterized by a natural lifting condition from nonstandard analysis (NSA), and we demonstrate how this condition can be reformulated in standard terms, i.e., in language that only involves notions from standard analysis. From a practical point of view, our approach suggests procedures for constructing good (i.e., convergent) approximate discrete claims, prices, hedge portfolios, etc. This paper builds on earlier work by the authors, who introduced methods from NSA to study problems arising in the theory of option pricing.
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    Consols In the Cir Model (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: A consol is a default-free financial instrument paying a constant stream of one unit of money. A synonym is a perpetuity. the valuation of a consol presents a particular difficulty: the time horizon of this instrument is infinity, and hence the usual technique of replacing the physical probability measure by a new probability measure represents serious problems with regard to absolute continuity of the two measures. We will work out explicit formulas when the instantaneous riskless interest rate follows a square-root process under the risk-free measure. Several mathematical properties will be investigated. Yor and Geman and Yor have considered the problem of pricing consols and carry out a more fundamental analysis (see References). This paper is self-contained and emphasizes properties or techniques not covered by those authors.
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    Optimal Investment With Undiversifiable Income Risk (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    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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    Option and Futures Evaluation With Deterministic Volatilities (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    Impulse Control Method and Exchange Rate (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We control a diffusion process with constant coefficients in order to keep this process in a given band with impulse control methods. We prove that there exists an optimal control if the cost associated with each control is a fixed cost plus a proportional cost. We study the problem of the exchange rate and prove that it is possible to keep the exchange rate in a target zone with discrete interventions.
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    Convergence of the Critical Price In the Approximation of American Options (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    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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    Option Pricing For Jump Diffusions: Approximations and Their Interpretation (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    The Pricing of Options With an Uncertain Interest Rate: A Discrete-Time Approach (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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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    On Some Exponential-Integral Functionals of Bessel Processes (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    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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    A Counterexample to Several Problems In the Theory of Asset Pricing (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We construct a continuous bounded stochastic process (St,)1E[0,1] which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of Föllmer and Schweizer does not exist. This example also answers (negatively) a problem posed by Karatzas, Lehozcky, and Shreve as well as a problem posed by Strieker.
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    Hedging Index Options With Few Assets (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider hedging strategies against contingent claims depending on a large number of assets (typically options on an index). We introduce strategies involving a limited number of assets and give explicit formulae to characterize optimal strategies. Numerical methods to compute these formulae are also discussed.
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    A Microeconomic Approach to Diffusion Models For Stock Prices (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00035.x
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    Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00038.x
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    Martingale Measures For A Class of Right-Continuous Processes (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The subject of the present paper is the following. Suppose that W is a class of adapted, right-continuous processes on the continuous time horizon [0, 1], and for every stopping time and W, () is bounded below. A necessary and sufficient condition will be given for the existence of a probability measure Q which is equivalent to the original measure and such that each process in W is a martingale under Q. If the processes in W represent the discounted prices of available securities, then the condition given here for the existence of a martingale measure can be interpreted as absence of “free lunch” in the securities market. This is a familiar kind of theorem from the finance literature; the novelty of this paper is that the security prices are not required to be in LP for some 1 p, nor are they assumed to be continuous. Also, the concept of free lunch is invariant under the substitution of the original probability measure by an equivalent probability measure. the assumption that () is bounded below for every W and stopping time is quite natural since prices are nonnegative.We shall define a class of admissible subjective probability measures and assume that each agent in the economy has selected a subjective probability measure from (hat class. Subjective free lunch for an agent will be defined using his or her subjective probability measure. It will be shown that under an additional condition the existence of free lunch is equivalent to the existence of a common subjective free lunch simultaneously for all possible agents in the economy.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00037.x
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    A Martingale Representation Result and an Application to Incomplete Financial Markets (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    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).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00031.x
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    Pricing Options On Risky Assets In A Stochastic Interest Rate Economy (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00030.x
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    Optimal Consumption-Portfolio Policies With Habit Formation (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This is a companion paper to the authors ‘Asset Prices in an Exchange Economy with Habit Formation” in Econometrica which focuses on consumption demand and asset pricing when preferences are habit forming. Here we prove existence of optimal consumption-portfolio policies for (i) utility functions for which the marginal cost of consumption (MCC) interacts with the habit formation process and satisfies a recursive integral equation with forward functional Lipschitz integrand and (ii) utilities for which the MCC is independent of the standard of living and satisfies a recursive integral equation with locally Lipschitz integrand. Result (i) is demonstrated here for the first time. Result (ii) is novel and enables us to consider Cobb-Douglas utilities without placing lower bounds on the system of Arrow-Debreu prices. We also review and extend our earlier results in the linear case; in particular, we provide new insights about the structure of optimal portfolios. Additional new features of the model include the possibility of finite marginal utility of consumption at zero and habit formation mechanisms with stochastic coefficients. an extension to a financial market model with general processes is outlined. A byproduct of the analysis is a set of fixed-point theorems for recursive integral equations with forward functional Lipschitz or locally Lipschitz integrands.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00032.x
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    Option Pricing When Jump Risk Is Systematic (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00034.x
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    Pricing Options With Curved Boundaries (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
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    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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00033.x
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    Tax Arbitrage, Existence of Equilibrium, and Bounded Tax Rebates (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00028.x
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    Option Pricing Under Incompleteness and Stochastic Volatility (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider a very general diffusion model for asset prices which allows the description of stochastic and past-dependent volatilities. Since this model typically yields an incomplete market, we show that for the purpose of pricing options, a small investor should use the minimal equivalent martingale measure associated to the underlying stock price process. Then we present stochastic numerical methods permitting the explicit computation of option prices and hedging strategies, and we illustrate our approach by specific examples.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00027.x
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    Pricing the Quality Option In Treasury Bond Futures (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00029.x
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    DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00039.x
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    REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00041.x
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    ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00040.x
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    BOOK REVIEW (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: probability with martingales, by david williams
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00043.x
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    ASYMPTOTICALLY OPTIMAL PORTFOLIOS (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
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    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper extends to continuous time the concept of universal portfolio introduced by Cover (1991). Being a performance weighted average of constant rebalanced portfolios, the universal portfolio outperforms constant rebalanced and buy-and-hold portfolios exponentially over the long run. an asymptotic formula summarizing its long-term performance is reported that supplements the one given by Cover. A criterion in terms of long-term averages of instantaneous stock drifts and covariances is found which determines the particular form of the asymptotic growth. A formula for the expected universal wealth is given.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00042.x
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    From Discrete- to Continuous-Time Finance: Weak Convergence of the Financial Gain Process (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Conditions suitable for applications in finance are given for the weak convergence (or convergence in probability) of stochastic integrals. For example, consider a sequence Sn of security price processes converging in distribution to S and a sequence θn of trading strategies converging in distribution to θ. We survey conditions under which the financial gain process θn dSn converges in distribution to θ dS. Examples include convergence from discrete- to continuous-time settings and, in particular, generalizations of the convergence of binomial option replication models to the Black-Scholes model. Counterexamples are also provided.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00022.x
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