Canonical valuation of options in the presence of stochastic volatility

Proposed by M. Stutzer (1996), canonical valuation is a new method for valuing derivative securities under the risk-neutral framework. It is non-parametric, simple to apply, and, unlike many alternative approaches, does not require any option data. Although canonical valuation has great potential, its applicability in realistic scenarios has not yet been widely tested. This article documents the ability of canonical valuation to price derivatives in a number of settings. In a constant-volatility world, canonical estimates of option prices struggle to match a Black-Scholes estimate based on historical volatility. However, in a more realistic stochastic-volatility setting, canonical valuation outperforms the Black-Scholes model. As the volatility generating process becomes further removed from the constant-volatility world, the relative performance edge of canonical valuation is more evident. In general, the results are encouraging that canonical valuation is a useful technique for valuing derivatives. (C) 2005 Wiley Periodicals, Inc.

Devizás tételek értékelése. A számviteli szabályozás és a gazdálkodók döntéseinek összefüggései (Exchange differences from accounting perspective – regulation and business decision)

Az elmúlt években hazánkban a svájcifrank- és a japánjen-alapú hitelezés gyakorlatilag megszűnt, a devizaalapú hitelek folyósításának feltételei szigorodtak, a már meglévő portfólió romlott, a hitelezők által elszenvedett veszteség megnőtt. A számviteli előírások azonban alig változtak, azaz a jelenlegi szabályozás képes a számviteli törvény által alapvető célként megjelölt megbízható és valós kép bemutatására. A számviteli megközelítés szerint a deviza- és a devizaalapú ügyletek között nincs lényegi különbség, az aktiválási, értékelési, valamint értékvesztés-képzési szabályok megegyeznek. A probléma nagyságrendjének bemutatása után ismertetem a devizás vagyonrészek értékelésével kapcsolatos szabályok változását azok indokaival együtt. Ezután bemutatom a különféle alkalmazott árfolyamok hatásait a beszámolóra, s az alkalmazható árfolyamok és a mérlegben megjelenő devizapozíciók összefüggéseit. A devizás követelésekre képzendő értékvesztés témakörben bemutatom az év végi zárási feladatok sorrendjét, valamint a deviza- és a devizaalapú ügyletek értékvesztése közötti különbségeket is. _______ Loan fi nancing in Swiss Franc and Japanese Yen has disappeared in the last few years, fi nancing in foreign currency has become more diffi cult, while the actual loan portfolio has worsened, losses born by fi nancial institutions have increased. Despite this, the accounting prescriptions have hardly changed, which can be seen as if the current regulation is able to provide the fair and true picture. According to the accounting approach, there is no material difference between FX and FX-denominated deals: rules on the recognition in the balance sheet, valuation and loan loss provisions are identical. In this article – after highlighting the magnitude of the problem -, I introduce the changes in the rules regarding items in foreign currency and the reasons behind those changes. In the next part, I investigate the impact of application of different FX rates on the fi nancial statement and their correspondence with the FX-position reported in the Balance sheet. Later, I discuss the adequate order of the periodical accounting closing tasks, and the differences between impairment of receivables to be settled and denominated in foreign currency, or only denominated in FX with Forint Cash Flow.

Market valuation of environmental performance

This research investigated the general association between corporate environmental performance and the firms’ annual returns independent of any particular environmental event. The association analysis was based on the most recent environmental data for the years 2006, 2007, and 2008. The results indicated that while some environmental variables were significantly associated with firms’ returns, the majority were not. The results also indicated that environmental concerns were more likely to be associated with increase in the firm value than were environmental strengths; however, there were no mean differences between firms whose environmental performance increased as compared with those whose performance deteriorated. Overall, the results provided support for the perspective that environmental strengths require firm expenditures that place additional financial burdens on firms, resulting in lower stock returns.^

A Valuation Analysis of the Physical Oceanographic Real Time System (PORTS)

This analysis estimates several economic benefits derived from national implementation of the National Oceanic and Atmospheric Administration’s Physical Oceanographic Real-Time System (PORTS®) at the 175 largest ports in the United States. Significant benefits were observed owing to: (1) lower commercial marine accident rates and resultant reductions in morbidity, mortality and property damage; (2) reduced pollution remediation costs; and, (3) increased productivity associated with operation of more fully loaded commercial vessels. Evidence also suggested additional benefits from heightened commercial and recreational fish catch and diminished recreational boating accidents. Annual gross benefits from 58 current PORTS® locations exceeded $217 million with an addition $83 million possible if installed at the largest remaining 117 ports in the United States. Over the ten-year economic life of PORTS® instruments, the present value for installation at all 175 ports could approach $2.5 billion.

Réactions du chef de PME après utilisation d'un système d'évaluation multi-source

Résumé : Dans une ère de concurrence économique accrue, les organisations éprouvent de plus en plus le besoin de mesurer le rendement de leurs employés, y compris celui de leurs dirigeants. À cette fin, l'évaluation demeure un outil de gestion privilégié. Au nombre des systèmes d'évaluation existants, le feed-back multi-source (FMS) — ou feed-back 360°— est en progression. Malheureusement, on ne connaît pas encore très bien l'incidence de ce type de système, la littérature étant plutôt muette sur ce qu'il donne concrètement et, particulièrement, sur la réaction des évalués subséquemment à l'obtention de leur rapport d'évaluation. Il ressort néanmoins de certaines études que les dirigeants, et surtout, les chefs se sentent laissés à eux-mêmes quant à l'évaluation de leurs compétences. Il y a quelques années, à la demande du Groupement des chefs d'entreprise du Québec (GCEQ), un instrument de type multi-source a été conçu par le Laboratoire de recherche sur la performance des entreprises (LaRePe), afin de mesurer spécifiquement la performance des chefs d'entreprise comme leader. À ce stade-ci, les promoteurs désirent mieux comprendre l'incidence de l'utilisation de leur outil : le PDG-Leadership. Pour combler les lacunes de la littérature, et aussi pour répondre au besoin du GCEQ, la présente thèse porte sur la réaction des chefs à la suite de la réception de leur rapport d'évaluation. L'objet de la recherche est double : il s'agit d'examiner les variables qui influencent le fait que les évalués entreprennent des actions à la suite de leur feed-back (considération théorique) et, d'autre part, de connaître davantage ces actions entreprises bref, ce que le système de feed-back multi-source XFMS) donne vraiment (considération pratique). Afin de mener à bien la recherche, une résidence a été réalisée. Elle a fourni le contexte pour élaborer un questionnaire d'enquête s'appliquant particulièrement aux chefs d'entreprise. L'enquête a permis de rejoindre 351 dirigeants ayant été évalués au moins une fois par l'entremise du PDG-Leadership. De ce nombre, 87 répondants, membres du Groupement se sont manifestés. Le cadre conceptuel utilisé consiste en une adaptation du modèle proposé par Smither, London et Reilly (2005a). comporte sept variables, desquelles ont été tirées cinq hypothèses de recherche. Quatre hypothèses ont été rejetées alors qu'une autre ne s'est avérée supportée que pour le groupe constitué des femmes faisant partie de l'échantillon. De plus, il est intéressant de constater que ce n'est pas le feed-back (rapport) qui déclenche l'acceptation puis les actions, mais une attitude personnelle représentée par la possibilité d'un changement perçue (V4). Chez les chefs, il ne se produit donc pas de réaction en chaîne comme le suppose le modèle théorique utilisé. Il semble que ce soit plutôt la possibilité de changement perçu qui est à la base du fait d'entreprendre des actions, laquelle s'apparente au sentiment d'auto-efficacité défini par Bandura (2007). Les données recueillies auront aussi servies à générer de nouvelles connaissances et à faire ressortir une liste de 112 actions que les chefs disent avoir engagées à la suite de l'obtention de leur rapport d'évaluation. Cette liste a permis de faire une catégorisation des actions posées. Les actions qu'ils entreprennent sont toutefois davantage dirigées vers l'amélioration de l'organisation que vers leur propre amélioration. Il s'agit là, d'une des contributions de la présente thèse.||Abstract : In a context of intense economic competition, organizations are increasingly using instruments of performance evaluation. The multi-source feedback or 360 [degrees] is one of those. The literature seems still silent on what type of evaluation is really about the reaction it generates among evaluated. In response to a request from the Groupement des chefs d'entreprise du Québec (GCEQ), a System of multi-source assessment was designed by the Laboratoire de recherche sur la performance des entreprises (LaRePe). The PDG-Leadership, specifically used to measure the skills of managers of SMLs as a leader. After some years of use, developers want to better understand its impact in order to improve it and make it even better. To address these theoretical and practical considérations, a survey was conducted among 87 business leaders from Quebec who had already been assessed using this tool. This research bas the purpose, the validation of a preliminary model proposed by Smither, London, and Reilly, 2005a, to examine the variables that influence that evaluated undertake actions as a result of their feedback and the other, to know these actions, in short, that the System of feed-back multi-source (FMS) really. From the analysis of data collected, a list of 112 shares was established. In turn, this led to a categorization of actions taken. Although the FMS system is effective, it should be noted that entrepreneurs seem to react differently from other catégories assessed.

The Terminal Value (TV) Performing in Firm Valuation: The Gap of Literature and Research Agenda

The uncertainty about the future of firms must be modeled and incorporated in the valuation of enterprises outside the explicit period of analysis, i.e., in the continuing or terminal value (TV). There is a multiplicity of factors that influence the TV of firms which are not being considered within current evaluation models. This aspect leads to the incurring of unrecoverable errors, thus leading to values of goodwill or bad will far away from the substantial value of intrinsic assets. As a consequence, the evaluation results will be presented markedly different from market values. There is no consensus in the scientific community about the method of computation of the TV as a forecast in an infinite horizon. The size of the terminal, or non-explicit period, assumed as infinite, is never called into question by scientific literature, or the probability of business bankruptcy. This paper aims to promote a study of the existing literature on the TV, to highlight the fragility of the evaluation models of companies that have been used by the academic community and by financial analysts, and to point out lines for future research to minimize these errors.

Endangerment and Likeability of Wildlife Species: How Important are they for Payments Proposed for Conservation?

This paper examines empirically the relative influence of the degree of endangerment of wildlife species and their stated likeability on individuals' allocation of funds for their conservation. To do this, it utilises data obtained from the IUCN Red List, and likeability and fund allocation data obtained from two serial surveys of a sample of the Australian public who were requested to assess 24 Australian wildlife species from three animal classes: mammals, birds and reptiles. Between the first and second survey, respondents were provided with extra information about the focal species. This information resulted in the dominance of endangerment as the major influence on the allocation of funding of respondents for the conservation of the focal wildlife species. Our results throw doubts on the proposition in the literature that the likeability of species is the dominant influence on willingness to pay for conservation of wildlife species. Furthermore, because the public's allocation of fund for conserving wildlife species seems to be more sensitive to information about the conservation status of species than to factors influencing their likeability, greater attention to providing accurate information about the former than the latter seems justified. Keywords: Conservation of wildlife species; Contingent valuation; Endangerment of species; Likeability of species; Willingness to pay

Health information management : What business are we in?

Developments in information technology will drive the change in records management; however, it should be the health information managers who drive the information management change. The role of health information management will be challenged to use information technology to broker a range of requests for information from a variety of users, including he alth consumers. The purposes of this paper are to conceptualise the role of health information management in the context of a technologically driven and managed health care environment, and to demonstrat e how this framework has been used to review and develop the undergraduate program in health information management at the Queensland University of Technology.