institutionalizing end user demand steering in agricultural r d farmer levy funding of r d in the netherlands abstract the purpose of this paper is to critically examine the institutionalization of demand driven modes of working in the r d planning process and reveal possible weaknesses through an analysis of a system of collective r d funding by farmers the findings indicate that although end users have the opportunity to raise issues that lead to r d queries are influenced by several actors in the r d planning process in such a way that they do not adequately reflect farmers innovation needs conclusions are that more emphasis is required on joint demand articulation and involvement of end users and other stakeholders in the innovation process and on the institutional development of r d funding organizations in order to adopt a more inclusive view on innovation

the private sector in agricultural research systems will it fill the gap abstract this article examines whether the private sector can fill the gap of declining public research in developing countries economic theory suggests private for profit research will focus on areas where returns to research are appropriable and reasonable profits are generated actual private for profit research activities concentrate on countries and industries with large markets appropriable returns strong science infrastructure and favorable government policies governments and donors can promote private research by easing constraints to private entry and operations but if governments stop funding research on public goods and technologies with limited market potential the private sector is unlikely to fill the gap completely

the search for a new paradigm for the development of national agricultural research systems this paper first reviews trends in the recent evolution of investment in national agricultural research systems it then synthesizes the major elements of an emerging paradigm for viewing the future evolution of research systems this paradigm has arisen in response to the funding crisis in public research organizations in the 1990s and the declining capacity of many of these organizations key elements of this new paradigm are a pluralistic institutional structure a growing role for the private sector new mechanisms for research funding improved efficiency and effectiveness of public research organizations and strengthening of global scientific links

global land use implications of first and second generation biofuel targets recently an active debate has emerged around greenhouse gas emissions due to indirect land use change iluc of expanding agricultural areas dedicated to biofuel production in this paper we provide a detailed analysis of the iluc effect and further address the issues of deforestation irrigation water use and crop price increases due to expanding biofuel acreage we use globiom an economic partial equilibrium model of the global forest agriculture and biomass sectors with a bottom up representation of agricultural and forestry management practices the results indicate that second generation biofuel production fed by wood from sustainably managed existing forests would lead to a negative iluc factor meaning that overall emissions are 27 lower compared to the no biofuel scenario by 2030 the iluc factor of first generation biofuels global expansion is generally positive requiring some 25 years to be paid back by the ghg savings from the substitution of biofuels for conventional fuels second generation biofuels perform better also with respect to the other investigated criteria on the condition that they are not sourced from dedicated plantations directly competing for agricultural land if so then efficient first generation systems are preferable since no clear technology champion for all situations exists we would recommend targeting policy instruments directly at the positive and negative effects of biofuel production rather than at the production itself

insights on the effect of land use choice the perpetual option on the best of two underlying assets abstract we consider the effect of land use choice on speculative land value and on development timing as reflected in the optimal hurdle ratio which triggers immediate development we find that land use choice i e multiple use zoning may add over 40 to land value under typical economic circumstances the conditions for optimal development of the land become markedly more difficult to achieve higher hurdle ratio required when the two land uses have similar values indeed a rational indecision result obtains in theory development will never occur when the two land use choices have equal value

monte carlo methods for security pricing the monte carlo approach has proved to be a valuable and flexible computational tool in modern finance this paper discusses some of the recent applications of the monte carlo method to security pricing problems with emphasis on improvements in efficiency we first review some variance reduction methods that have proved useful in finance then we describe the use of deterministic low discrepancy sequences also known as quasi monte carlo methods for the valuation of complex derivative securities we summarize some recent applications of the monte carlo method to the estimation of partial derivatives or risk sensitivities and to the valuation of american options we conclude by mentioning other applications

selected policy issues in international agricultural research on striving for international public goods in an era of donor fatigue abstract international agricultural research is a small but critically important part of the global research system its importance derives from the extent of international spillovers the efficiencies of working across national boundaries for many research products and the productivity boosting collegiality and cost reducing benefits thereof of sharing information and materials while fostering the advance of agricultural science generally financial difficulties pervade the international as well as national elements of the global system so it is an appropriate time to examine some of the threats to effective functioning of an international system that is needed for its key contributions to productivity growth suggestions are made for boosting efficiency of the international agricultural research centers and strengthening their support of national research efforts in the developing world

valuing flexibility as a complex option this paper develops an approach for valuing flexible production systems using contingent claims pricing demand curves for our model s underlying assets output products may be downward sloping in contrast with the standard option pricing assumption also our marginal production exercise costs may be increasing in addition we allow for multiple products and a production capacity constraint these elements of the model result in complex exercise decisions for the contingent claims which comprise the production system s value we illustrate our approach by valuing a flexible system that produces two products which have profit margin functions with stochastic parameters

multinomial approximating models for options with k state variables contingent claims whose values depend on multiple sources of uncertainty arise in many financial contracts and in the analysis of real projects unfortunately closed form solutions for these options are rare and numerical methods can be computationally expensive this article extends the literature on multinomial approximating models specifically new multinomial models are presented that include as special cases existing models the more general models are shown to be computationally more efficient

an mcdm analysis of agricultural risk aversion abstract in modelling farm systems it is widely accepted that risk plays a central role furthermore farmers risk aversion determines their decisions in both the short and the long run this paper presents a methodology based on multiple criteria mathematical programming to obtain relative and absolute risk aversion coefficients we rely on multiattribute utility theory to elicit a separable additive multiattribute utility function and estimate the risk aversion coefficients and apply this methodology to an irrigated area of northern spain the results show a wide variety of attitudes to risk among farmers who usually exhibit decreasing absolute risk aversion and constant relative risk aversion

an object oriented framework for valuing shout options on high performance computer architectures abstract a shout option is a financial contract which allows the holder to change the payoff during the lifetime of the contract complex versions of these options are embedded in financial products which offer various types of maturity guarantees such as segregated funds marketed by canadian insurance companies the value of these options can be determined by solving a collection of coupled partial differential equations in this work we develop an object oriented framework for valuing these contracts which is capable of exploiting modern high performance computer architectures we use this framework to study practical aspects of valuing and hedging these contracts

pricing american style securities using simulation abstract we develop a simulation algorithm for estimating the prices of american style securities i e securities with opportunities for early exercise our algorithm provides both point estimates and error bounds for the true security price it generates two estimates one biased high and one biased low both asymptotically unbiased and converging to the true price combining the two estimators yields a confidence interval for the true price the proposed algorithm is especially attractive compared with lattice and finite difference methods when there are multiple state variables and a small number of exercise opportunities preliminary computational evidence is given

optimal combination of energy crops under different policy scenarios the case of northern greece energy crops production is considered as environmentally benign and socially acceptable offering ecological benefits over fossil fuels through their contribution to the reduction of greenhouse gases and acidifying emissions energy crops are subjected to persistent policy support by the eu despite their limited or even marginally negative impact on the greenhouse effect the present study endeavors to optimize the agricultural income generated by energy crops in a remote and disadvantageous region with the assistance of linear programming the optimization concerns the income created from soybean sunflower proxy for energy crop and corn different policy scenarios imposed restrictions on the value of the subsidies as a proxy for eu policy tools the value of inputs costs of capital and labor and different irrigation conditions the results indicate that the area and the imports per energy crop remain unchanged independently of the policy scenario enacted furthermore corn cultivation contributes the most to ifncome maximization whereas the implemented cap policy plays an incremental role in uptaking an energy crop a key implication is that alternative forms of motivation should be provided to the farmers beyond the financial ones in order the extensive use of energy crops to be achieved

currency lookback options and observation frequency a binomial approach abstract in the last decade interest in exotic options has been growing especially in the over the counter currency market in this paper we consider lookback currency options which are path dependent we show that a one state variable binomial model for currency lookback options can be constructed with the same computational complexity or should we say simplicity as the standard binomial model furthermore the model allows us to investigate a second very important feature of real life lookback option contracts the observation frequency

pricing methods and hedging strategies for volatility derivatives abstract we explore the valuation and hedging of discretely observed volatility derivatives using three different models for the price of the underlying asset geometric brownian motion with constant volatility a local volatility surface and jump diffusion we begin by comparing the effects on valuation of variations in contract design such as the differences between specifying log returns or actual returns and incorporating caps on the level of realized volatility we then focus on the difficulties associated with hedging these products delta hedging strategies are ineffective for hedging volatility derivatives since they require very frequent rebalancing moreover they provide limited protection in the jump diffusion context we study the performance of a hedging strategy for volatility swaps that establishes small fixed positions in vanilla options at each volatility observation

income volatility of energy crops the case of rapeseed abstract the adoption of energy crops may generate significant benefits from reduced foreign energy dependence improved rural economies and achieved environmental goals nevertheless important issues arise as these crops are strongly competed by other presumably more standard uses of farmland and their choice will be restrictive unless profit becomes a powerful motive for farmers the abolishment of specific policies supporting first generation biofuels gives rise to the question whether the tactic of bioenergy land use change is just to be abandoned by european farmers the present paper endeavours to evaluate the reduction in income volatility in the case of the rapeseed energy crop a cultivation extensively used in biofuels in the european union employing the concept of entropy the results provide a vague picture regarding the limitations in rapeseed income volatility among the european member states consequently the issue of income uncertainties as a determinant of bioenergy cropland demand has been left pending the innovation of the study lies in the use of entropy concept and the kapetanios and shin unit root test in the case of income volatility for energy crops in the european context the estimation of the random components with the assistance of auto regressive integrated mean average models may provide a tool for confining income uncertainties with the assistance of other policy schemes including insurances within the common agricultural policy

pricing foreign currency options under stochastic interest rates abstract in this paper we build a general framework to price contingent claims on foreign currencies using the heath et al 1987 model of the term structure closed form solutions are obtained for european options on currencies and currency futures assuming that the volatility functions determining the term structure are deterministic as such this paper provides an example of a bond price process for both the domestic and foreign economies consistent with grabbe s 1983 formulation of the same problem

impact of perennial energy crops income variability on the crop selection of risk averse farmers abstract the uk government policy is for the area of perennial energy crops in the uk to expand significantly farmers need to choose these crops in preference to conventional rotations for this to be achievable this paper looks at the potential level and variability of perennial energy crop incomes and the relation to incomes from conventional arable crops assuming energy crop prices are correlated to oil prices the results suggests that incomes from them are not well correlated to conventional arable crop incomes a farm scale mathematical programming model is then used to attempt to understand the affect on risk averse farmers crop selection the inclusion of risk reduces the energy crop price required for the selection of these crops however yields towards the highest of those predicted in the uk are still required to make them an optimal choice suggesting only a small area of energy crops within the uk would be expected to be chosen to be grown this must be regarded as a tentative conclusion primarily due to high sensitivity found to crop yields resulting in the proposal for further work to apply the model using spatially disaggregated data

pricing lookback and barrier options under the cev process this paper examines the pricing of lookback and barrier options when the underlying asset follows the constant elasticity of variance cev process we construct a trinomial method to approximate the cev process and use it to price lookback and barrier options for look back options we find that the technique proposed by babbs for the lognormal case can be modified to value lookbacks when the asset price follows the cev process we demon strate the accuracy of our approach for different parameter values of the cev process we find that the prices of barrier and lookback options for the cev process deviate sig nificantly from those for the lognormal process for standard options the corresponding differences between the cev and black scholes models are relatively small our results show that it is much more important to have the correct model specification for options that depend on extrema than for standard options

biomass energy production in agriculture a weighted goal programming analysis abstract energy production from biomasses can be an important resource that when combined with other green energies such as wind power and solar plants can contribute to reduce dependency on fossil fuels the aim of this study is to assess how agriculture could contribute to the production of bio energy a multi period weighted goal programming model mpwgp has been applied to identify the optimal land use combinations that simultaneously maximise farmers income and biomass energy production under three concurrent constraints water labour and soil availability alternative scenarios are considered that take into account the effect of climate change and social change the mpwgp model was tested with data from the rovigo county area italy over a 15 year time period our findings show that trade off exists between the two optimisation targets considered although the optimisation of the first target requires traditional agricultural crops which are characterised by high revenue and a low production of biomass energy the latter would be achievable with intensive wood production namely high energy production and low income our results also show the importance of the constraints imposed particularly water availability water scarcity has an overall negative effect and specifically affects the level of energy production

farm level constraints on the domestic supply of perennial energy crops in the uk abstract there are a number of estimates of the land area that could potentially be dedicated to perennial energy crops such as short rotation coppice src willow and miscanthus in the uk but little is known about how farmers will respond to the opportunities presented by these relatively novel crops perennial energy crops face competition from other arguably more flexible uses of farmland and if not seen as attractive propositions to individual farmers they will not be grown farmers decisions are therefore a key constraint on potential supply this paper reviews the policy background and considers whether policy is based on any consideration of likely supply response before presenting outcomes of focus groups composed of farmers who already grow or are considering growing perennial energy crops there appear to be a number of barriers to adoption in addition to concerns over the security of contracts the current high wheat price increases the opportunity cost of committing land to perennial energy crops there are also worries about the impact of willow roots on field drains and the cost of returning the land to other uses this paper outlines a number of issues of importance to policy makers and suggests future research needs

the impact of energy prices on the volatility of ethanol prices and the role of gasoline emissions abstract the contribution of renewable energy resources is vital for a country s economic growth by providing high efficiency in energy as well as an effective tool for the confrontation of climate change in particular concerning the eu an increase in the consumption of renewable energy resources as a proportion of the total energy consumption by its member states was set as an objective until 2020 ethanol has been widely used as a substitute to conventional energy like gasoline and oil the present paper surveys the role of alternative energy prices and gas emissions in the formation of the ethanol prices the results of the empirical survey confirmed the existence of a sole relationship among the variables employed according to the results obtained an increase in the volume of emissions or in gasoline prices results in an increase in ethanol prices while the opposite is confirmed in the case of crude oil he elasticity of ethanol prices to the increase of the emissions is another result worth mentioning indicative of the significant role of the emissions in the formation of ethanol prices

crafting smallholder driven agricultural research systems in southern africa abstract the national agricultural research systems narss in sub saharan africa have made enormous progress over the past four decades in replacing european with african scientists increasing the number of scientists and shifting priorities from export to food crops nevertheless most narss are having difficulty in producing a steady stream of new technologies for small scale farms and in generating adequate financial support from their government zimbabwe and malawi are among the first countries in africa to mount indigenousled reforms of their narss this paper documents the steps taken by the agricultural research council of zimbabwe to generate a consensus among scientists farmers and policy makers to reform the national agricultural research system by increasing the voice of smallholders and other stakeholders in setting research priorities making scientists more accountable to smallholders and generating new sources of financial support from user fees and taxes on commodities malawi is pursuing a commodity approach to revitalizing its narss the experience of both zimbabwe and malawi has shown that there is no blueprint for reforming narss in africa donors can assist the reform process by supporting local initiatives to craft smallholder driven research systems that are staffed with accountable scientists who are adequately financed from local sources

techno economic and environmental analysis of power generation expansion plan of ghana this paper examines the current electrical generation expansion plan of ghana and compares it with proposed expansion pathways with higher penetration of renewable energy technologies an adaptation of schwartz s scenario methodology was used to develop the scenarios which were then analysed using the long range alternatives planning leap model each of the scenarios represents policy options for generation expansion in ghana up to 2040 energy economic and environmental analysis of the three alternative scenarios compared to the base scenarios was undertaken sensitivity results show that if the country were to follow the generation expansion path described in the renewable energy scenarios it could reap economic benefits of 0 5 13 23 depending on the developments in fuel prices and renewable technology capital cost the analysis further quantifies benefits to be derived from a reduction in greenhouse gases of the scenarios policy implications for the generation system of ghana based on the results are also discussed

one factor interest rate models and the valuation of interest rate derivative securities this paper compares different approaches to developing arbitrage free models of the term structure it presents a numerical procedure that can be used to construct a wide range of one factor models of the short rate that are both markov and consistent with the initial term structure of interest rates

systems of innovation theory and the changing architecture of agricultural research in africa abstract this paper examines the on going evolution of the organisational architecture of agricultural research in africa once considered a rural backwater populated by agronomists extension agents and farmers agricultural research is now being explicitly placed within global debates about innovation technology institutions and development this is reflected in a growing interest in the use of systems of innovation theory to both understand and reform innovation processes within agriculture the basic argument put forward in the paper is that the conception of a global agricultural research system and associated efforts to create a coordinated multi layered supra national research infrastructure are at odds with both the realities of research at national level and the bio physical and socio economic heterogeneity that characterises rural africa it is suggested that a less directive approach to support for agricultural research is required to allow national characteristics and differences to come to the fore and to give more room for the development of the all important demand side

financing agricultural research international investment patterns and policy perspectives abstract for much of the post wwii period governments in rich and poor countries alike have increased public spending on and performance of agricultural research the public involvement in and policies toward agricultural research and development r d have undergone a sea of change in more recent years in this article we document these changes focusing on the public and rapidly evolving private roles in financing agricultural r d and the international dimensions of these funding and policy issues we restate the principles for government intervention in research and highlight the financing aspects of these interventions before concluding the paper with some reflections on the implications of all these changes for internationally conceived and funded public agricultural r d

discrete time valuation of american options with stochastic interest rates we develop an arbitrage free discrete time model to price american style claims for which domestic term structure risk foreign term structure risk and currency risk are important this model combines a discrete version of the heath jarrow and morton 1992 term structure model with the binomial model of cox ross and rubinstein 1979 it converges weakly to the continuous time models in amin and jarrow 1991 1992 the general model is path dependent and can be implemented with arbitrary volatility functions to value claims with maturity up to five years the model is illustrated with applications to long dated american currency warrants and a cross rate swap from the quanto class article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

public agricultural r d design and technological spill ins a dynamic model the paper presents a dynamic model for the analysis of the national agricultural research systems narss strategy in a context of increasing globalisation both intersectoral and international technology spill ins may greatly affect the nars design and this paper proposes an analytical framework for its study when major spill ins are present these spill ins are calculated by applying the yale technology concordance ytc methodology a var vec model is then specified to detect empirically given the calculated spill ins what nars design prevails in a dynamic framework the model is estimated for the italian agriculture data and provides evidence of close dependency on external r d sources

exploring the widening food gap an international perspective using data for a long panel of 90 developed and developing countries this article explores the effects of research and development r d and fixed capital stock on agricultural land productivity over the period 1961 2012 instruments are used for r d to deal with feedback effects and measurement errors the results show very high social returns to investment in r d and to fixed capital stock suggesting that increasing investment in these factors are promising ways of arresting the increasing food prices due to increasing demand for animal protein population growth desertification salinization soil erosion climate change and decreasing growth in land productivity

an argument for deregulating the transfer of agricultural technologies to developing countries in the past few decades many developing countries have liberalized trade and investment removing barriers to imports and allowing the introduction of new foreign technologies unfortunately agriculture often remains outside this reform process regulatory obstacles continue to restrain the transfer of technologies through private trade in seeds and other inputs industrial countries characteristically allow the transfer of private and public technologies through multiple channels developing countries often force technology transfer through a single channel controlled by government agencies with an emphasis on official performance tests this article analyzes the institutional arrangements governing the international transfer of new agricultural technologies examining the cases of agricultural machinery in bangladesh and seed varieties in turkey the analysis shows that allowing the private transfer of technologies and refocusing input regulations on externalities could lead to significant productivity and income gains in developing countries