A Generalization Of Lattice Specifications For Currency Options

This article revisits the topic of two-state pricing of currency options.  It examines the models developed by Cox, Ross, and Rubinstein, Rendleman and Bartter, and Trigeorgis, and presents two alternative binomial models based on the continuous and discrete time Geometric Brownian Motion processes respectively.  This work generalizes the standard binomial approach incorporating the main existing models as particular cases.  The proposed models are straightforward, flexible, accommodate any drift condition and afford additional insights into binomial trees and lattice models in general.  Further, the alternative parameterizations are free of the negative aspects associated with the Cox, Ross, and Rubinstein model

To the public procurement cost-effectiveness evaluation in Russia

Objective to search for and substantiate the single criterion of economic efficiency of state purchases in Russia. Methods econometric modelling benchmarking. Results the article identifies the need to assess the effectiveness of the state purchases system in Russia under the conditions of its reforming. The studies are analyzed which are devoted to the approaches to estimating the state purchases efficiency and the problems of ensuring the transparency of purchasing procedures. Special attention is paid to the analysis of studying the benchmarking of state purchases which helped to identify the key areas of benchmarking focusing on certain performance indicators. To implement the research objective the purchases effectiveness was analyzed from the viewpoint of the savings achieved. For this we studied the evaluation of savings in purchases as reflected in various sources of information including the data of the state statistics authorities audit and monitoring of purchases. As a result of the data systematization and generalization we identified a functional relationship between savings in purchases and the average number of participants in the purchasing process. A similar conclusion was formulated according to the analysis of indicators of the national rating of purchases transparency. There was also built a functional dependency of the discount on increasing the number of purchasing participants up to five for different ways of determining the provider. A slowdown of the discount to the initial price was revealed as the number of eligible applications grows. Based on the regional rating of the public purchases ldquoPurchases 360rdquo a factor analysis of differences of the Russian constituent entities was carried out in terms of savings. The analysis confirmed the hypothesis about the existence of a relationship between savings and the level of competition in purchases. The study also identified other factors that determine the level of savings under competitive procedures the indicators of planning quality and of institutional conflict violations of antimonopoly legislation. Scientific novelty on the basis of several alternative data sources the study formulated and confirmed the hypothesis about the dependency of the average savings from the competitive purchasing procedures in a region on the average number of admitted applications in one procedure. The method is proposed of evaluating the performance of a federal contract system in the Russian regions on the basis of the potential economic losses in the region in the framework of public purchases. A specific feature and scientific novelty of the work is the use of benchmarking tools for each of the 82 Russian regions included in the sample. Practical significance the method is proposed of evaluating the performance of a federal contract system in the Russian regions. The methodology is based on an indicator of the amount of potential economic losses in a region in the sphere of state purchases made in the framework of Federal Law No. 44FZ