Asymptotics of forward implied volatility

We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models. This expansion applies to both small and large maturities and is based solely on the properties of the forward characteristic function of the underlying process. The method is based on sharp large deviations techniques, and allows us to recover (in particular) many results for the spot implied volatility smile. In passing we (i) show that the forward-start date has to be rescaled in order to obtain non-trivial small-maturity asymptotics, (ii) prove that the forward-start date may influence the large-maturity behaviour of the forward smile, and (iii) provide some examples of models with finite quadratic variation where the small-maturity forward smile does not explode.Comment: 37 pages, 13 figure

Generic Market Models

Currently, there are two market models for valuation and risk management of interest rate derivatives, the LIBOR and swap market models. In this paper, we introduce arbitrage-free constant maturity swap (CMS) market models and generic market models featuring forward rates that span periods other than the classical LIBOR and swap periods. We develop generic expressions for the drift terms occurring in the stochastic differential equation driving the forward rates under a single pricing measure. The generic market model is particularly apt for pricing of Bermudan CMS swaptions, fixed-maturity Bermudan swaptions, and callable hybrid coupon swaps.market model, generic market models, generic drift terms, hybrid products, BGM model

Maturity-independent risk measures

The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion framework, that, surprisingly, some of the widely utilized risk measures cannot be used to build maturity-independent counterparts. We construct a large class of maturity-independent risk measures and give representative examples in both continuous- and discrete-time financial models

IT process architectures for enterprises development: A survey from a maturity model perspective

During the last years much has been published about IT governance. Close to the success of many governance efforts are the business frameworks, quality models, and technology standards that help enterprises improve processes, customer service, quality of products, and control. In this paper we i) survey existing frameworks, namely ITIL, ASL and BiSL, ii) find relations with the IT Governance framework CobiT to determine if the maturity model of CobiT can be used by ITIL, ASL and BiSL, and (iii) provide an integrated vista of IT processes viewed from a maturity model perspective. This perspective can help us understand the importance of maturity models for increasing the efficiency of IT processes for enterprises development and business-IT alignment

Digital maturity variables and their impact on the enterprise architecture layers

This study examines the variables of digital maturity of companies. The framework for enterprise architectures Archimate 3.0 is used to compare the variables. The variables are assigned to the six layers of architecture: Strategy, Business Environment, Applications, Technology, Physical and Implementation and Migration. On the basis of a literature overview, 15 “digital maturity models” with a total of 147 variables are analyzed. The databases Scopus, EBSCO – Business Source Premier and ProQuest are used for this purpose

Maturity and maturity models in lean construction

In recent years there has been an increasing interest in maturity models in management-related disciplines; which reflects a growing recognition that becoming more mature and having a model to guide the route to maturity can help organisations in managing major transformational change. Lean Construction (LC) is an increasingly important improvement approach that organisations seek to embed. This study explores how to apply the maturity models to LC. Hence the attitudes, opinions and experiences of key industry informants with high levels of knowledge of LC were investigated. To achieve this, a review of maturity models was conducted, and data for the analysis was collected through a sequential process involving three methods. First a group interview with seven key informants. Second a follow up discussion with the same individuals to investigate some of the issues raised in more depth. Third an online discussion held via LinkedIn in which members shared their views on some of the results. Overall, we found that there is a lack of common understanding as to what maturity means in LC, though there is general agreement that the concept of maturity is a suitable one to reflect the path of evolution for LC within organisations

Correlating Architecture Maturity and Enterprise Systems Usage Maturity to Improve Business/IT Alignment

This paper compares concepts of maturity models in the areas of Enterprise Architecture and Enterprise Systems Usage. We investigate whether these concepts correlate, overlap and explain each other. The two maturity models are applied in a case study. We conclude that although it is possible to fully relate constructs from both kinds of models, having a mature architecture function in a company does not imply a high Enterprise Systems Usage maturity

Coordination and partnering structure are vital domains in collaborative business-IT alignment: Elaborating on the ICoNOs MM

Current business-IT alignment (B-ITa) maturity models are oriented to single organizations and fail in taking special characteristics of collaborative networked organizations (CNOs) into account, such as the need for considering domains like coordination and partnering structure. In this paper, we elaborate on these two domains which are included in our IT-enabled Collaborative Networked Organizations Maturity Model (ICoNOs MM)