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Abstract: Introducing a surrender option in unit-linked life insurance contracts leads to a dependence between the surrender time and the financial market. [J. Barbarin, Risk minimizing strategies for life insurance contracts with surrender option, Tech. rep., University of Louvain-La-Neuve, 2007] used a lot of concepts from credit risk to describe the surrender time in order to hedge such types of contracts. The basic assumption made by Barbarin is that the surrender time is not a stopping time with respect to the financial market. The goal of this article is to make the hedging strategies more explicit by introducing concrete processes for the risky asset and by restricting the hazard process to an absolutely continuous process. First, we assume that the risky asset follows a geometric Brownian motion. This extends the theory of [T. Møller, Risk-minimizing hedging strategies for insurance payment processes, Finance and Stochastics 5 (2001) 419–446], in that the random times of payment are not independent of the financial market. Second, the risky asset follows a Lévy process. For both cases, we assume the payment process contains a continuous payment stream until surrender or maturity and a payment at surrender or at maturity, whichever comes first. [Copyright &y& Elsevier]

The article presents the global megacrisis survey which summarizes the differing views of various institutions in the U.S. It further questions the general evaluation of severity of the global megacrisis as well as the likelihood of its alternative scenarios. It cites the decline to disaster, muddling down, muddling up, and rise to maturity as the four scenarios for 2020.

When comparing standard bond market models with practice we observe that, whereas the literature places no restrictions on the time to maturity of traded bonds, this is actually the case in practice. Hence, standard models ignore the reinvestment risk present in practice when considering contacts with longer time to maturity than the longest bond traded in the market. In this paper we propose a model including this reinvestment risk. We place a restriction on the bonds traded in the market by limiting the time to maturity of traded bonds. At fixed times, new bonds are issued in the market, thus extending the time of maturity of traded bonds. The initial prices of the new bonds issued in the market depend on the information generated by the market and a stochastic variable independent thereof describing the reinvestment risk. In order to quantify and control the reinvestment risk we apply the criterion of risk-minimization. [ABSTRACT FROM AUTHOR]

The article explores the concepts of the Lévy volatility. It notes that is based on the well-established Lévy processes, which are typically known to fit option price surfaces per maturity well, however, not over all the maturities simultaneously. It introduces two kinds of alternative volatilities, the implied Lévy space volatility and the implied Lévy time volatility. Specifications and calculations of these two alternative volatilities are provided. Several charts depicting the functions of these volatilities are also presented.

To ensure success of an organization effective application of organizational knowledge and knowledge management practice is of critical importance. Knowledge has become one of the most important key to competitive advantage. In 2000 Lisbon European Council agreed on an ambitious goal: making the EU "the most competitive and dynamic knowledge-based economy in the world". In harmony with this aim, the Strategic Management Research Group at the University of Pannonia launched a new research in 2004, which attempts to develop a practically applicable and, at the same time, theoretically and methodologically founded approach that contributes to the exploration and realisation of knowledge management practice of organizations. As a result of this research the authors form a new, insightful "Knowledge Management Profile" continuous maturity model, which can be used as a tool for mapping knowledge management practice using seven determinant factors. From the average of these factor values "Knowledge Management Index" can be defined, which illustrates the level of development of the knowledge management practice. [ABSTRACT FROM AUTHOR]

Abstract: We have investigated the tail distribution of the daily fluctuations in 202 different indices in the stock markets of 59 countries for the time span of the last 20 years. Power law, log-normal, Weibull, exponential and power law with exponential cutoff distributions are considered as possible candidates for the tail distribution of the normalized returns. It is found that the power exponent depends strongly on the choice of the tail threshold and a sizeable number of indices can be better fitted by a distribution function other than the power law at the region that has power law exponent of 3. Also, we have found that the power exponent is not an indicator of the maturity of the market. [Copyright &y& Elsevier]

Valuation of an American option with Monte Carlo methods is one of the most important and difficult problems in pricing, since it involves the determination of optimal exercise timing in the sense that the option can be exercised at any time prior to its own maturity. Regression approaches have been widely used to price an American-style option approximately with Monte Carlo simulation. However, the conventional regression methods are very sensitive in the kind and the number of their basis functions, thereby affecting prediction accuracy. In this paper, we propose a novel kernel-based Monte Carlo simulation algorithm to overcome such shortcomings of the regression approaches and conduct a simulation on some American options with promising results on its pricing accuracy. [Copyright &y& Elsevier]

Barrier options are considered for Asian options using a differential equation method. Solutions are obtained in the form of Fourier series for barriers which expand or contract as they approach maturity. Rigorous bounds are obtained. It is shown that by differentiating with respect to a parameter, solutions for more general payoffs can be obtained. [ABSTRACT FROM AUTHOR]

This article considers an amortized fixed rate mortgage where the borrower has the choice of prepayment. Asymptotic behaviors of the contract value are fully analyzed. Based on a known fact about the optimal prepayment boundary, two analytical approximations to the value of the mortgage contract are derived. Numerical experiments are carried out to validate the accuracy of the approximation formulas. In general, the relative error is less than 4%. [ABSTRACT FROM AUTHOR]

According to literature, the long-maturity forward rates have information about the structure of the expected short-term returns. This paper finds that the conditional volatility factor also has information for predicting the term premium in the six-month expected returns with different maturities. That is, including conditional volatility allows capturing a risk factor consistent with the agent's expectations. A slow mean-reverting process is also found across different maturities, which is the case of the governmental fixed income securities. In fact, the power of forecasting changes from a six-month to a three-year forward period, at six-month steps according to the mean-reverting tendency which also implied that its predictive power improves at longer forecasting horizons. On the other hand, it presents evidence about the Colombian markets crash in May 2006, which generated special conditions that impacted the market's behavior and the agent's risk tolerance. [ABSTRACT FROM AUTHOR]

The present paper addresses the problem of computing implied volatilities of options written on a domestic asset based on implied volatilities of options on the same asset expressed in a foreign currency and the exchange rate. It proposes an original method together with explicit formulae to compute the at-the-money implied volatility, the smile's skew, convexity, and term structure for short maturities. The method is completely free of any model specification or Markov assumption; it only assumes that jumps are not present. We also investigate how the method performs on the particular example of the currency triplet dollar, euro, yen. We find a very satisfactory agreement between our formulae and the market at one week and one month maturities. [ABSTRACT FROM AUTHOR]

For a long time, sports in China were mainly organized in a way that maximized their contribution to national prestige. The emergence of a true sports market is a very recent phenomenon. Tracking the development of China's sports market, this article argues that the industry has not yet reached its maturity and remains highly risky for investors. [ABSTRACT FROM AUTHOR]

Abstract: In this paper, we consider a free boundary problem which arises in the pricing of an American call option. The free boundary represents the optimal exercise price as a function of time before a maturity date. We are developing a parameter estimation technique to obtain both the optimal exercise curve of an American call option and its price. For the numerical solution of a forward problem, a time marching finite element method is adopted. Numerical experiment shows the convergence property of the approximation scheme. [Copyright &y& Elsevier]

Abstract: This paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure of interest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics of short-term interest rates (6 months) is very different from longer term bonds, as the former are anti-persistent, which implies that the zero-interest rate policy is perceived to be temporary. [Copyright &y& Elsevier]

El artículo explora la relación entre ofertas y vencimientos de títulos en operaciones de mercado abierto en el Banco Central de Venezuela. Las operaciones de mercado abierto consisten en la compra-venta por parte del banco central, de títulos del gobierno, de particulares, o de sí mismo. En la mayoría de los países, las operaciones de mercado abierto se han convertido en el principal instrumento para controlar la base monetaria.

The article examines the lessons that can be derived from various nuclear decommissioning trust (NDT) fund investment strategies in the U.S. Among the cited drawbacks of a duration-matching strategy are possible increases in the liability value and decreases in the asset value of the fund. It is noted that the capital gains tax liability may offset decommissioning expenses if the NDT was able to realize majority of the capital gains when decommissioning begins. The authors suggest investing in short- to intermediate-maturity debt strategies.

in economics, 'maturity' essentially means that an economic system (or part of a system) is ripe to be transformed into something else or heading towards decline. In Josef Steindl's economic thinking the concept of maturity, by which he means a stage development where the economy becomes unable to fully realize its output potential, occupies a central place. Whereas for Steindl the main causes of such maturity are endogenous, other economists such as Schumpeter, Sombart, Hilferding, Keynes, and Hansen consider stagnation to be caused primarily by exogenous factors. Various concepts and causes of maturity are compared. Contrary to expectations based on these concepts, economic development after the Great Depression has not been characterized by stagnation or transition to planned economy. Instead, the dynamics of innovation were strong enough to prevent the economy from becoming 'mature'. It appears that the actual course of events can be better explained within Steindl's concept of maturity. [ABSTRACT FROM AUTHOR]

Green credit plays an increasingly important role in promoting environmentally friendly enterprises and limiting polluting enterprises by regulating the flow of social capital to strengthen environmental governance and promote green production in society. Taking China as an example, this paper surveys the asymmetric impacts of the policy and development of green credit on the debt financing cost and maturity of different types of enterprises. It uses the fixed effect model based on the Hausman test and the mediating effect analysis method to quantify the panel data of 52 green enterprises and 81 high-pollution and high-emissions (referred to as "two-high") enterprises in China from 2001 to 2017. The findings are as follows: (1) both green credit policy and green credit development increase the debt financing cost of "two-high" enterprises, but they reduce the debt financing cost of green enterprises; (2) green credit policy and the development of green credit reduce the debt financing maturity of "two-high" enterprises, while they have little impact on the debt financing maturity of green enterprises; (3) the impact of green credit policy on enterprise debt financing cost and maturity occurs partly through the development of green credit; and (4) with respect to the debt financing cost and maturity, enterprises in economically developed regions are more strongly affected by green credit than those in economically underdeveloped regions. The conclusions will help the government, banks and enterprises make their environmental protection and financing decisions. [ABSTRACT FROM AUTHOR]

This paper provides a framework to analyze the maturity of humanitarian logistics systems to face crisis situations related to recurrent events, and thus to identify the main areas of action and the community needs in terms of crisis logistics planning. First, the main notions of humanitarian logistics systems planning, and the theoretical contribution of maturity models are presented. Second, a maturity model for humanitarian logistics systems is proposed and the main categories of elements defining maturity extracted from literature. Then, the methodology to define the main elements of the maturity model via evidence is presented. This methodology combines a literature overview, a documentary analysis, and the development of three case studies, two located in Colombia and one in Peru. The main elements that characterize capability maturity model in humanitarian logistics systems facing recurrent crises are identified, from which the administration of donations, design of a distribution network, and the choice of suppliers are highlighted. The practical implications of the framework are proposed to allow its use to anticipate humanitarian logistics system for future crises. The framework allowed a first analysis guide and will be further extended. [ABSTRACT FROM AUTHOR]

This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001–2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behaviour in the Libor is detected in all currencies except euros during the years 2006–2012. The stochastic switch is more severe in one, two and three months maturities. Given the special mechanism of Libor setting, we conjecture that the behaviour could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument. [ABSTRACT FROM AUTHOR]