Valuing a portfolio of dependent RandD projects: a Copula approach

The aim of this work consists of pricing a real biotechnology firm that is based on a portfolio of several drug development projects at different phases. Duffie and Singleton (1999) formulate a system of n correlated jump mean-reverting intensity equations to capture a portfolio of n entities’ default times. The drawback of their approach is that there are a lot of parameters and we have no enough information so as to estimate all. This is the reason why the copula approach has been very well accepted in recent years as an alternative tool for these situations since we can model the extreme situations (or default in this case) under a dependence framework by selecting those copula functions with a very few number of parameters.Copula, valuation, company, real options

Reply to "Comment on "Some implications of the quantum nature of laser fields for quantum computations''''

In this revised reply to quant-ph/0211165, I address the question of the validity of my results in greater detail, by comparing my predictions to those of the Silberfarb-Deutsch model, and I deal at greater length with the beam area paradox. As before, I conclude that my previous results are an (order-of-magnitude) accurate estimate of the error probability introduced in quantum logical operations by the quantum nature of the laser field. While this error will typically (for a paraxial beam) be smaller than the total error due to spontaneous emission, a unified treatment of both effects reveals that they lead to formally similar constraints on the minimum number of photons per pulse required to perform an operation with a given accuracy; these constraints agree with those I have derived elsewhere.Comment: A reply to quant-ph/0211165. Added more calculations and discussion, removed some flippanc

Optimal Collusion with Internal Contracting

In this paper, we develop a model of collusion in which two firms play an infinitely repeated Bertrand game when each firm has a privately-informed agent. The colluding firms, fixing prices, allocate market shares based on the agent’s information as to cost types. We emphasize that the presence of privately-informed agents may provide firms with a strategic opportunity to exploit an interaction between internal contracting and market-sharing arrangement: the contracts with agents may be used to induce firms’ truthful communication in their collusion, and collusive market-share allocation may act to reduce the agents’ information rents.Optimal collusion, internal contract, privately-informed agents, price-fixing

Optimal International Agreement and Treatment of Domestic Subsidy

TWe investigate how a domestic subsidy is treated in an international agreement, when a government, having incentive to use its subsidy as a means of import protection, can disguise its protective use of subsidy as a legitimate intervention with which to address a market imperfection in the import-competing sector. We show that any optimal agreement permits the use of a positive domestic subsidy, but it restricts the home government’s freedom to select domestic subsidy in order to increase the market-access level for foreign exporters. Our finding implies that proper restrictions on domestic subsidies are somewhere between GATT and WTO rules.Treatment of domestic subsidy, International agreement, GATT/WTO rules

Optimal Collusion with Internal Contracting

In this paper, we develop a model of collusion in which two firms play an infinitelyrepeated Bertrand game when each firm has a privately-informed agent. The colluding firms, fixing prices, allocate market shares based on the agents information as to cost types. We emphasize that the presence of privately-informed agents may provide firms with a strategic opportunity to exploit an interaction between internal contracting and market-sharing arrangement : the contracts with agents may be used to induce firms truthful communication in their collusion, and collusive market-share allocation may act to reduce the agents information rents.Optimal collusion, internal contract, privately-informed agents, price-fixing

Collusion with Internal Contracting

In this paper, an infinitely-repeated Bertrand game is considered. The model has a two-tier relationship; two firms make a self-enforced collusive agreement and each firm writes a law-enforced contract to its privately-informed agent. The main finding is that in optimal collusion, interaction between intra-firm (internal) contracting and inter-firm collusion may be exploited; inter-firm collusion may enhance the efficiency of internal contract, and conversely, internal contracting may facilitate collusioncollusion, internal contract, repeated games, market allocation