An empirical analysis of price setting behaviour in the Netherlands in the period 1998-2003 using micro data

In this paper we examine pricing behaviour of retail firms in the Netherlands during 1998-2003 using a large database with monthly price quotes of 49 articles, representing different product types. We have conducted this study in order to gain in sight in the degree of nominal rigidity of consumer prices in the Netherlands. We find that prices of energy and unprocessed food are most flexible, whereas prices of services are stickiest. A multivariate analysis shows that firm size matters with prices being stickiest in small firms and most flexible in large firms and in retail firms consisting of the owners only. Furthermore, we investigate pass-through effects of VAT changes in prices. We find that VAT increases are almost completely passed on to consumers. Finally, there is some evidence indicating that pricing behaviour of retail firms was different during the introduction of the euro than in the period directly preceding it. JEL Classification: E31, D49, C41Cox regression, frequency of price change, nominal rigidity of prices

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

In this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart process. Contrary to a classic multifactor Heston model, this model allows to add degrees of freedom with regard to the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston model. Besides, the Wishart volatility model keeps a clear interpretation of its parameters and conserves an efficient tractability. Firstly, we recall the Wishart volatility model and we present a Monte Carlo simulation method in sight of the evaluation of complex options. Regarding stochastic volatility models, implied volatility surfaces of vanilla options have to be obtained for a short time. The aim of this article is to provide an accurate approximation method to deal with asymptotic smiles and to apply this procedure to the Wishart volatility model in order to well understand it and to make its calibration easier. Inspired by the singular perturbations method introduced by J.P Fouque, G. Papanicolaou, R. Sircar and K. Solna, we suggest an efficient procedure of perturbation for affine models that provides an approximation of the asymptotic smile (for short maturities and for a two-scale volatility). Thanks to the affine properties of the Wishart volatility model, the perturbation of the Riccati equations furnishes the expected approximations. The convergence and the robustness of the procedure are analyzed in practice but not in theory. The resulting approximations allow a study of the parameters influence and can also be used as a calibration tool for a range of parameters.Wishart processes; stochastic volatility models; stochastic; correlation; singular perturbation, asymptotic smile; Monte Carlo simulation

Wishart Stochastic Volatility: Asymptotic Smile and Numerical Framework

48 pagesIn this paper, a study of a stochastic volatility model for asset pricing is described. Originally presented by J. Da Fonseca, M. Grasselli and C. Tebaldi, the Wishart volatility model identifies the volatility of the asset as the trace of a Wishart process. Contrary to a classic multifactor Heston model, this model allows to add degrees of freedom with regard to the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston model. Besides, the Wishart volatility model keeps a clear interpretation of its parameters and conserves an efficient tractability. Firstly, we recall the Wishart volatility model and we present a Monte Carlo simulation method in sight of the evaluation of complex options. Regarding stochastic volatility models, implied volatility surfaces of vanilla options have to be obtained for a short time. The aim of this article is to provide an accurate approximation method to deal with asymptotic smiles and to apply this procedure to the Wishart volatility model in order to well understand it and to make its calibration easier. Inspired by the singular perturbations method introduced by J.P Fouque, G. Papanicolaou, R. Sircar and K. Solna, we suggest an efficient procedure of perturbation for affine models that provides an approximation of the asymptotic smile (for short maturities and for a two-scale volatility). Thanks to the affine properties of the Wishart volatility model, the perturbation of the Riccati equations furnishes the expected approximations. The convergence and the robustness of the procedure are analyzed in practice but not in theory. The resulting approximations allow a study of the parameters influence and can also be used as a calibration tool for a range of parameters

Negation to Fulfillment: The Development of a Soviet Atheist Worldview in the 1970s

Current scholarship the late Soviet Union has used Soviet atheism to reveal tensions of Soviet communism, such as ideology vs governance, superstition vs science, and spiritual negation vs fulfillment. This paper explores these tensions by analyzing the transition of atheism from Kruschev's negation of religion to a positive worldview developed under Brezhnev through the Soviet anti-religious publication Science and Religion (Nauka i Religiia). I therefore argue that this transition focused on positing atheism vis-à-vis marginalized religions of the Soviet Union and highlighting the potential fulfillment Soviet citizens could find in their workplace communities in order to sway readers from their beliefs and into the folds of atheism. This shift in Soviet leaders’ idea of “atheism”' in response to social pressures is indicative of larger questions of legitimacy as one must ask where compromise to maintain legitimacy ends, and delegitimization begins.Master of Art

Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges

This article investigates the latest developments in longevity risk modelling, and explores the key risk management challenges for both the financial and insurance industries. The article discusses key definitions that are crucial for the enhancement of the way longevity risk is understood; providing a global view of the practical issues for longevity-linked insurance and pension products that have evolved concurrently with the steady increase in life expectancy since 1960s. In addition, the article frames the recent and forthcoming developments that are expected to action industry-wide changes as more effective regulation, designed to better assess and efficiently manage inherited risks, is adopted. Simultaneously, the evolution of longevity is intensifying the need for capital markets to be used to manage and transfer the risk through what are known as Insurance-Linked Securities (ILS). Thus, the article will examine the emerging scenarios, and will finally highlight some important potential developments for longevity risk management from a financial perspective with reference to the most relevant modelling and pricing practices in the banking industry.Longevity Risk ; securitization ; risk transfer ; incomplete market ; life insurance ; stochastic mortality ; pensions ; long term interest rate ; regulation ; population dynamics

Partial Splitting of Longevity and Financial Risks: The Longevity Nominal Choosing Swaptions

International audienceIn this paper, we introduce a new structured financial product: the so-called Life Nominal Chooser Swaption (LNCS). Thanks to such a contract, insurers could keep pure longevity risk and transfer a great part of interest rate risk underlying annuity portfolios to financial markets. Before the issuance of the contract, the insurer determines a confidence band of survival curves for her portfolio. An interest rate hedge is set up, based on swaption mechanisms. The bank uses this band as well as an interest rate model to price the product. At the end of the first period (e.g. 8 to 10 years), the insurer has the right to enter into an interest rate swap with the bank, where the nominal is adjusted to her (re-forecasted) needs. She chooses (inside the band) the survival curve that better fits her anticipation of future mortality of her portfolio (during 15 to 20 more years, say) given the information available at that time. We use a population dynamics longevity model and a classical two-factor interest rate model %two-factor Heath-Jarrow-Morton (HJM) model for interest rates to price this product. Numerical results show that the option offered to the insurer (in terms of choice of nominal) is not too expensive in many real-world cases. We also discuss the pros and the cons of the product and of our methodology. This structure enables insurers and financial institutions to remain in their initial field of expertise

Characteristics and use of urban health indicator tools by municipal built environment policy and decision-makers: a systematic review protocol.

BACKGROUND: There is wide agreement that there is a lack of attention to health in municipal environmental policy-making, such as urban planning and regeneration. Explanations for this include differing professional norms between health and urban environment professionals, system complexity and limited evidence for causality between attributes of the built environment and health outcomes. Data from urban health indicator (UHI) tools are potentially a valuable form of evidence for local government policy and decision-makers. Although many UHI tools have been specifically developed to inform policy, there is poor understanding of how they are used. This study aims to identify the nature and characteristics of UHI tools and their use by municipal built environment policy and decision-makers. METHODS: Health and social sciences databases (ASSIA, Campbell Library, EMBASE, MEDLINE, Scopus, Social Policy and Practice and Web of Science Core Collection) will be searched for studies using UHI tools alongside hand-searching of key journals and citation searches of included studies. Advanced searches of practitioner websites and Google will also be used to find grey literature. Search results will be screened for UHI tools, and for studies which report on or evaluate the use of such tools. Data about UHI tools will be extracted to compile a census and taxonomy of existing tools based on their specific characteristics and purpose. In addition, qualitative and quantitative studies about the use of these tools will be appraised using quality appraisal tools produced by the UK National Institute for Health and Care Excellence (NICE) and synthesised in order to gain insight into the perceptions, value and use of UHI tools in the municipal built environment policy and decision-making process. This review is not registered with PROSPERO. DISCUSSION: This systematic review focuses specifically on UHI tools that assess the physical environment's impact on health (such as transport, housing, air quality and greenspace). This study will help indicator producers understand whether this form of evidence is of value to built environment policy and decision-makers and how such tools should be tailored for this audience. SYSTEMATIC REVIEW REGISTRATION: N/A

Human thermal sensitivity: A methodological comparison

Human thermal sensitivity: A methodological compariso