bluuebunny/crossref_metadata_2025_split huggingface dataset:
Using Black‐Scholes to determine an optimal funding term
Authors: Gay Roger 
Published: October 2011

PurposeThe purpose of this paper is to examine use of the Black‐Scholes (BS) risky asset model to determine choice of optimal investment term in a reinvestment chain model.Design/methodology/approachAn extension of Tobin's separation theorem is used to establish a mean‐variance efficient strategy for lump sum conversion to an income stream over any fixed term; two criteria involving the BS model are then applied to determine optimal investment term in a perpetual chain of reinvestment. The first criterion selects the term to maximize the value of a call option on excess of a market portfolio accumulation over the indexed value of the original lump sum. The second criterion selects term to maximize the expected present value of this excess without the no‐arbitrage assumption.FindingsIt is found that both criteria lead to useful but different income stream funding strategies. Annual returns data for the All Ordinaries Accumulation Index for years 1900‐2009 are used for an empirical assessment of the relative usefulness of the two criteria. Empirical evidence favours use of the criterion without the no‐arbitrage assumption.Originality/valueMean‐variance efficiency of the lump sum conversion strategy has been described elsewhere, but it has not previously been recognized as an extension of the Tobin theorem. Determination of optimal reinvestment term in this context is new and crucial to practical application of the model. One application of universal significance is for retirees emerging from defined contribution pension schemes with lump sums to provide for retirement in the face of longevity risk.
Coherent risk measure for derivatives under Black‐Scholes economy with regime switching
Authors: Hao Fangcheng , Yang Hailiang 
Published: October 2011

PurposeThe purpose of this paper is to provide a scenario‐based risk measure for a portfolio of European‐style derivative securities over a fixed time horizon under the regime switching Black‐Scholes economy.Design/methodology/approachThe risk measure is constructed by using the risk‐neutral probability, the physical probability and a family of subjective probability measures. The subjective probabilities can be interpreted as risk managers or regulators' risk preferences and/or subjective beliefs.FindingsThe authors provide closed form expressions for the European option and barrier option.Research limitations/implicationsThe results are difficult to apply to a portfolio with many different kinds of options.Practical implicationsThe results provide some insights on risk management of portfolios with derivatives.Originality/valueThe paper presents a scenario‐based risk measure for a portfolio of European‐style derivative securities over a fixed time horizon under the regime switching Black‐Scholes economy. Risk management is the most important task for almost all financial industries, although it cannot be claimed that the method and results of this paper solve the problem, it is believed to provide some insights to the problem, albeit theoretical. For vanilla European options and barrier options, the authors obtained a closed form expression for the risk measure. The idea of this paper can be applied to some other exotic options. For portfolios containing different kinds of derivatives, the results of this paper provide some guideline and insights.
Bond valuation under a discrete‐time regime‐switching term‐structure model and its continuous‐time extension
Authors: Elliott Robert J. , Kuen Siu Tak , Badescu Alex 
Published: October 2011

PurposeThe purpose of this paper is to consider a discrete‐time, Markov, regime‐switching, affine term‐structure model for valuing bonds and other interest rate securities. The proposed model incorporates the impact of structural changes in (macro)‐economic conditions on interest‐rate dynamics. The market in the proposed model is, in general, incomplete. A modified version of the Esscher transform, namely, a double Esscher transform, is used to specify a price kernel so that both market and economic risks are taken into account.Design/methodology/approachThe market in the proposed model is, in general, incomplete. A modified version of the Esscher transform, namely, a double Esscher transform, is used to specify a price kernel so that both market and economic risks are taken into account.FindingsThe authors derive a simple way to give exponential affine forms of bond prices using backward induction. The authors also consider a continuous‐time extension of the model and derive exponential affine forms of bond prices using the concept of stochastic flows.Originality/valueThe methods and results presented in the paper are new.
Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX
Authors: Ishida Isao , McAleer Michael , Oya Kosuke 
Published: October 2011

PurposeThe purpose of this paper is to propose a new method for estimating continuous‐time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high‐frequency observations of both the S&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX).Design/methodology/approachA primary purpose of the paper is to provide a framework for using intraday high‐frequency data of both the indices' estimates, in particular, for improving the estimation accuracy of the leverage parameter, that is, the correlation between the two Brownian motions driving the diffusive components of the price process and its spot variance process, respectively.FindingsFinite sample simulation results show that the proposed estimator delivers more accurate estimates of the leverage parameter than do existing methods.Research limitations/implicationsThe focus of the paper is on the Heston and non‐Heston leverage parameters.Practical implicationsFinite sample simulation results show that the proposed estimator delivers more accurate estimates of the leverage parameter than do existing methods.Social implicationsThe research findings are important for the analysis of ultra high‐frequency financial data.Originality/valueThe paper provides a framework for using intraday high‐frequency data of both indices' estimates, in particular, for improving the estimation accuracy of the leverage parameter, that is, the correlation between the two Brownian motions driving the diffusive components of the price process and its spot variance process, respectively.
A three‐factor valuation model for mortgage‐backed securities (MBS)
Authors: Kariya Takeaki , Ushiyama Fumiaki , Pliska Stanley R. 
Published: October 2011

PurposeThe purpose of this paper is to generalize the one‐factor mortgage‐backed securities (MBS)‐pricing model proposed by Kariya and Kobayashi to a three‐factor model. The authors describe prepayment behavior due to refinancing and rising housing prices by discrete‐time, no‐arbitrage pricing theory, making an association between prepayment behavior and cash flow patterns.Design/methodology/approachThe structure, rationality and potential for practical use of our model is demonstrated by valuing an MBS via Monte Carlo simulation and then conducting a comparative static analysis.FindingsThe proposed model is found to be effective for analysing MBS cash flow patterns, making a decision for bond investments and risk management due to prepayment.Originality/valueWhile the one‐factor valuation model Kariya and Kobayashi treated is a basic framework, the generalized model presented in this paper is much more effective for analysing MBS cash flow patterns, making a decision for bond investments and risk management due to prepayment.
Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures
Authors: Chang Chia‐lin , Jiménez‐Martín Juan‐Ángel , McAleer Michael , Pérez‐Amaral Teodosio 
Published: October 2011

PurposeThe Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure value‐at‐risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realized losses exceed the estimated VaR. The purpose of this paper is to address the question of risk management of risk, namely VaR of VIX futures prices.Design/methodology/approachThe authors examine how different risk management strategies performed before, during and after the 2008‐2009 global financial crisis (GFC).FindingsThe authors find that an aggressive strategy of choosing the supremum of the univariate model forecasts is preferred to the other alternatives, and is robust during the GFC.Originality/valueThe paper examines how different risk management strategies performed before, during and after the 2008‐2009 GFC, and finds that an aggressive strategy of choosing the supremum of the univariate model forecasts is preferred to the other alternatives, and is robust during the GFC.
Scaling the fractal plain: towards a general view of knowledge management
Authors: Griffiths David , Evans Peter 
Published: October 2011

PurposeThe purpose of the paper is to explore coherence across key disciplines of knowledge management (KM) for a general model as a way to address performance dissatisfaction in the field.Design/methodology/approachResearch employed an evidence‐based meta‐analysis (287 aspects of literature), triangulated through an exploratory survey (91 global respondents), to gather data on the drivers for KM. The paper attempts to demonstrate self‐similarity across six key KM disciplines using fractal theory as a data analysis tool.FindingsAppear to demonstrate self‐affinity between key disciplines in the field of KM. This provides a strong signpost for future research in the field when attempting to address practitioner dissatisfaction in performance.Research limitations/implicationsThe paper cannot determine importance, or value of the factors discussed. The meta‐analysis allows us to determine the existence of the identified functions and enablers. Limited representation of literature from outside the Northern Hemisphere will not allow for an assertion as to validity outside of this area. Findings could not determine whether factors were stable through time. While outliers in the data provide signposts for further research, it could be attributed to situated variance.Practical implicationsThis paper could influence future research and practice through support for the development of general models for the field. It signposts affinity between disciplines, which could direct theorists and practitioners to explore solutions outside of their situated discipline through a shared understanding.Originality/valueThe fractal theory data analysis approach appears to be unusual if not unique in the field of KM. The evidence‐based meta‐analysis provides depth and rigour with the results triangulated against an exploratory survey, which offers a richness of findings that speaks directly to the needs of the field.
Organizational justice and employee satisfaction in performance appraisal
Authors: Palaiologos Anastasios , Papazekos Panagiotis , Panayotopoulou Leda 
Published: October 2011

PurposeThis paper aims to explore the performance appraisal (PA) aspects that are connected with organizational justice, and more specifically three kinds of justice, namely distributive, procedural and interactional justice.Design/methodology/approachThe research is based on a sample of 170 respondents who answered a questionnaire giving their perceptions on the purpose and criteria of PA, their satisfaction from PA and organizational justice.FindingsThe results show that procedural, distributive and interactional justice are related with different elements of performance appraisal. Elements of satisfaction are strongly related to all aspects of organizational justice. The PA criteria are related to procedural justice.Research limitations/implicationsThe main limitation is that the research provides information based only on one source, that of the appraisee. However, it highlights the role of employee satisfaction to organizational justice, linking different sources of satisfaction to different elements of justice.Practical implicationsThis paper has practical implications for HRD, as it provides HR practitioners with suggestions on how to increase the perceived justice of the PA system.Originality/valueThe value of this paper is to HR practitioners who design PA systems, and also managers acting as appraisers of their subordinates.
Seeing the wood for the trees: workplace learning evaluation
Authors: Griffin Richard 
Published: October 2011

PurposeThis paper seeks to argue that workplace learning evaluation theory and practice is still an emergent field and that this creates a number of challenges for practitioners and researchers alike.Design/methodology/approachThis is a descriptive paper based on a critical review of existing approaches and the research literature.FindingsWhile programme evaluation has a long history, workplace learning evaluation is yet to establish itself as a distinct field. This has a number of consequences including the lack of a single or settled view on how workplace learning should be evaluated or what specific aspects of learning should be investigated.Practical implicationsThe need to demonstrate a return on investment in organisational learning is as pressing as ever. To become more effective training evaluation methods need to be grounded in a theory. This article aims to provide an informed perspective on the current state of workplace evaluation along with insights into how evaluation can be placed on firmer theoretical foundations in order to produce robust findings in a practitioner friendly way.Originality/valueThis paper provides original insights into the development of workplace evaluation approaches and the challenges the field faces.
Synthesis, characterisation, curing reaction of aniline acetaldehyde condensate with epoxy resin
Authors: Maity Tithi , Samanta Bidhan , Banthia Ajit , Dalai Sudipta 
Published: October 2011

PurposeThe purpose of this paper is to find a new curing agent for diglycidyl ether of bisphenol A (DGEBA) resin and to check effectiveness of this new curing agent to obtain toughness and chemical resistance of cured epoxy.Design/methodology/approachFor this purpose, an investigation was carried out to synthesise, characterise and to study curing reaction of amine functional aniline acetaldehyde condensate (AFAAC) with DGEBA resin. AFAAC was first synthesised from the reaction of aniline and acetaldehyde in acid medium and characterised by FT‐IR, 1H‐NMR spectroscopic analyses, elemental analysis, concentration of primary and secondary amine analysis. Then equimolecular mixture of AFAAC and DGEBA was subjected to curing reaction and the reaction was followed by differential scanning calorimetry (DSC) analysis. The kinetic studies of this curing reaction, mechanical properties, dynamic mechanical analysis and thermogravimetric analysis (TGA) of cured epoxy were also reported.FindingsThe DSC analysis showed the complete exotherms of effective curing reaction indicating the efficiency of AFAAC as curing agent for DGEBA resin. The kinetic studies revealed that the curing reaction was first order. Mechanical properties reflect the better fracture properties of cured matrix and TGA showed that the cured matrixes were stable up to around 238°C.Research limitations/implicationsThe curing agent AFAAC has been synthesised by using aniline and acetaldehyde. By changing amine and aldehyde, other curing agents could be synthesised and the curing efficiency of these for epoxy resin could also be studied.Originality/valueThe method for curing study of epoxy resin (DGEBA) is novel and relevant as the cured products have high‐performance applications in protective coatings, adhesives for most substrates.
UV/VIS absorption and fluorescence spectroscopic study of some 3‐substituted derivatives of 4‐hydroxycoumarin
Authors: Bečić Ervina , Šober Miroslav , Imamović Belma , Završnik Davorka , Špirtović‐Halilović Selma 
Published: October 2011

PurposeThe purpose of this paper is to test absorption characteristics of some newly synthesised 4‐hidroxycoumarins, containing phenyl‐prop‐2‐enoyl group at the 3‐position. Change in spectral characteristics in solvents of different polarity (chloroform and acetonitrile) was followed in regard to the influence of the substitution at the phenyl ring and influence of concentration H+ ions. Effectiveness of tested substances was compared with well‐known UV absorbers such as benzophenone‐3 and butyl methoxydibenzoylmethane (BMDM).Design/methodology/approachAll the tested substances were dissolved in chloroform and acetonitrile, with 10‐3 mmol concentration range. The pH was adjusted using 0.1 mol/l HCl, glacial acetic acid, 0.1 mol/l NaOH (aqueous solution) and 0.1 mol/l NaOH (methanolic solution). Spectrophotometric measurement was recorded in the range of 200‐800 nm, using 1‐cm quartz cells.FindingsThe tested 4‐hydroxycoumarin derivatives showed good UV absorption properties in the range 280‐380 nm. Substitution on the phenyl ring changes the shape of the absorption maxima. The changes depend on the properties of the substituent as well as the acidity of the solution.Research limitations/implicationsIntroducing an electron‐donating substituent on the phenyl‐prop‐2‐enoyl group can shift absorption maximums to longer wavelength. In addition, the variation in substituents on the synthesised substances and pH of the solution could also be studied.Practical implicationsThe new compounds showed good UV absorption, making them potential candidates for many applications. The practical importance of the tested substances are derived from their stability, relatively easy synthesis and good UV absorption properties.Originality/valueThe paper shows that the tested coumarins derivatives were new compounds with good UV absorption properties, making them good UV absorbers of commercial potential. The tested coumarins showed good UV absorption properties in the range 280‐380 nm, making them potential candidates for many applications.
Impacts of impregnation with Imersol Aqua to red colour tone of some softwoods and varnishes
Authors: Keskin Haken , Atar Musa 
Published: October 2011

PurposeThe purpose of this paper is to determine the impacts of impregnation with Imersol Aqua to red colour tone (RCT) of some softwood materials and varnishes.Design/methodology/approachFor this purpose, test samples prepared from Scots pine (Pinus sylvestris Lipsky), Oriental spruce (Picea orientalis Link) and Uludağ fir (Abies Bornmülleriana Mattf.), which met the requirements of ASTM D 358, were impregnated with Imersol Aqua by short‐term, medium‐term and long‐term immersion techniques in accordance with ASTM D 1413 and producer's definition. After impregnation, surfaces were coated by synthetic, acrylic, water‐based and polyurathane varnishes in accordance with ASTM D 3023 standards. RCT values of samples after varnishing process were determined in accordance with ASTM D 2244.FindingsIt was found that RCT was the highest in Scots pine, long‐term dipping and synthetic varnish, and the lowest in Uludağ fir, short‐term dipping and water‐borne varnish. Considering the interaction of wood type, period of impregnation and type of varnish, RCT was the highest in pine, short term of dipping and acrylic varnish and the lowest in Oriental spruce, short term of dipping and synthetic varnish. So, impregnation process, impregnation period and varnishes applied during tests showed increasing impact for RCT value of Scots pine, Oriental spruce and Uludağ fir woods. This result must be taken into care in manufacture of wooden furniture and construction elements where RCT is important.Research limitations/implicationsThe endurance of the protective coating (such as varnish) to external effects is limited and the lifetime of the coating is determined by the type and the severity of the effects to which it is exposed.Practical implicationsThe impact of varnish type, wood material type and impregnation chemical on RCT can determine the usefulness of the massive wood materials where RCT values are important.Originality/valueIt is conjectured that especially for the manufacturers and consumers in the furniture, construction and decoration sector, the data obtained in this study will contribute to the making up of the deficiencies in the understanding of the subject.
Development and optimisation of image analysis technique for fabric buckling evaluation
Authors: Domskienė Jurgita , Strazdienė Eugenija , Bekampienė Paule 
Published: October 2011

PurposeThe purpose of this paper is to optimise parameters of digital image analysis to investigate the deformation behaviour of woven sample and to detect the onset and variation of wrinkling that occurs due to bias‐tensioned fabric buckling.Design/methodology/approachUsing models of predescribed shape, the relationship between the digitized gray scale intensities and wrinkles of the surface are analysed and conditions of specimen illumination and filtering procedures are chosen.FindingsIt is proposed to convert acquired images to binary to record the onset of buckling and to estimate critical buckling parameters of stretched woven samples. The threshold value is determined as mean value of approximated histogram of stretched specimen centre line. It is defined that profile curve and gray scale disperse presented by parameter CV can be used to obtain additional information and to compare behaviour of different samples during bias tension.Research limitations/implicationsProposed image analysis technique allows detection of the onset of buckling wave formation and evaluation of surface waviness changes in woven samples different in colour and weave type tension. However, the behaviour of fabric samples with sharp multicoloured and complicated patterns cannot be assessed by gray scale imaging.Originality/valueThe proposed approach can be adjusted to investigate different wrinkling problems – buckling during simple shearing or picture frame test, seam puckering, draping.
On the performance of a mitt heating multilayer: a numerical study
Authors: Couto Sandra , Campos Joao B.L.M. , Mayor Tiago S. 
Published: October 2011

PurposeThe purpose of this paper is to investigate the heat transfer on an alpine‐climbing mitt featuring an electrical heating multilayer, in order to provide information for the optimization of its thermal performance.Design/methodology/approachA numerical model was developed to simulate the heat transfer across an electrical‐heated alpine mitt. The model was used to study the heat losses as a function of the environmental conditions, to optimise the positioning of the heating elements, to determine the optimal power input to the heating system, to estimate the battery capacity requirements and to assess the effect of low‐emissivity surfaces.FindingsThe results show that: the heating elements assure approximately constant temperatures across the skin provided they are not more than 6‐7 mm apart; the use of low‐emissivity surfaces facing the skin can reduce the total heat loss by 8‐36 per cent (for air layer thicknesses in the range 10−3 to 10−2 m) and to increase the skin temperature during the transient operation of the heating multilayer; the heat losses from the mitt are practically independent of the chosen heating power; and a battery capacity of 4 A h assures active temperature regulation for more than 18‐23 h.Practical implicationsBy enhancing the thermal performance of an electrical heating mitt, the use of low‐emissivity surfaces (facing the skin) can favour the thermal comfort perception of its user.Originality/valueThe influence of several parameters on the thermal performance of an electrical‐heated mitt is analysed and discussed. The findings are relevant for improving the performance of existing electrical heating garments.