Extracting expectations from currency option prices: a comparison of methods

This paper compares the goodness-of-fit and the stability of six methods used to extract risk-neutral probability density functions from currency option prices. We first compare five existing methods commonly employed to recover risk-neutral density functions from option prices. Specifically, we compare the methods introduced by Shimko (1993), Madan and Milne (1994), Malz (1996), Melick and Thomas (1997) and Bliss and Panigirtzoglou (2002). In addition, we propose a new method based on the piecewise cubic Hermite interpolation of the implied volatility function. We use data on 12 emerging market currencies against the US dollar and find that the piecewise cubic Hermite interpolation method is by far the method with the best accuracy in fitting observed option prices. We also find that there is a relative tradeoff between the goodness-of-fit and the stability of the methods. Thus, methods which have a better accuracy in fitting observed option prices appear to be more sensitive to option pricing errors, while the most stable methods have a fairly disappointing fitting. However, for the first two PDF moments as well as the quartiles of the risk-neutral distributions we find that the estimates do not differ significantly across methods. This suggests that there is a large scope for selection between these methods without essentially sacrificing the accuracy of the analysis. Nonetheless, depending on the particular use of these PDFs, some methods may be more suitable than othersRisk-neutral probability density functions, option pricing, exchange rate expectations

Standards and Costs for Quality Management of E-Learning Services

The proportions of the technological development in the field of communications and information represent an irrefutable premise for significant changes in all the spheres of human life. Corroborated with the advance of the Internet recorded in the last decade, these changes form the perfect recipe for the emergence (ever since the '90s), functioning and development of flexible forms of labour at distance, using the technology of information and communication. Among the first domains where the impact of technology is very strong may be named education, marketing, advertising and commerce; the forms of manifestation are materialized in e-learning, cyber-marketing, online advertising and electronic commerce. But the simple use of technology does not automatically assure the success of the new forms of activity. These transformations of the traditional into digital, of the classic into virtual must be accompanied by the adequate support with respect to the quality of services, standards, platforms and the hardware and software technologies. If we are referring to the educational domain, we have to analyze the e-learning phenomenon or tele-education in its spectacular evolution in such a recent history. Quality represents a landmark of major importance in all the fields of modern society based on knowledge. From the perspective of tele-education, quality assurance must be focalized on three main directions: the quality of the actual educational process (class/course support, platform, technology, etc.); the quality of the instructor (professional training, qualification, specialization, pedagogic ability, teaching method, etc.); the quality of the person undergoing the course/class (training, knowledge thesaurus, involvement, accumulation wish, etc.). Also, like in any activity, quality standard reporting means an economic approach by quality costs. Theat means that the good product or quality services in e-learning are very strongly linked with educational multimedia production and good costs.quality, standards, e-learning, technology, cost

The Audit of Business Intelligence Solutions

Although in this period humanity passes through a relative economic crisis, we all agree that our environment is that of a society of information and knowledge, based on communication and teleactivity, one that is also called information society. Every new form of activity in the information society has an associated informational component consisting in a software program, an application, a system, etc. It is a certainty that in the new economic environment it is necessary to adjust quickly to the opportunities of the market, through Business Process Reengineering, adoption of Business Intelligence solutions, implementation of complex automation applications like Enterprise Resource Planning. But, more than this, in, the digital economy the stress is put on the “labelâ€, the “imageâ€, the “brandâ€, and these features that are associated to organizations may be obtained by the information audit processes. The present study is focusing on the problem of information audit developed in one of the upper forms of manifestation of the information society in the field of changing the ways of doing business: Business Intelligence.Audit, Business Intelligence, Information and Communication Technology, Data & Metadata, Value Chain, Performance

Knowledge based economy –technological perspective: implications and solutions for agility improvement and innovation achievement in higher education

Nowadays, the universities, as driving forces of innovative economy and as components of modern society, based on knowledge and collaboration, face a number of challenges and difficulties. In order to overcome them and to create/ensure the bases of eScience education and research activities, universities have to change culturally, strategically, and operationally. The paper highlights the need for ICT (Information and Communications Technology) use and its implications for higher education. In addition, the study places the theoretical aspects into a specific context, combining technologies through interfunctionality in order to ensure academic education agility and innovation. This involves the use of knowledge, process management, service oriented architectures, and Cloud solutions, exemplifying on the Academy of Economic Studies, Bucharest case. The integrated approach is extended using the SharePoint 2010 platform to improve academic management and achieve harmonization of teaching and research and development content and methods with European Union standards. The platform has been implemented and tested within two AES departments and the Master’s Degree Studies in Computer Economics. The results have encouraged the integration of the proposed solution within the institution. The study was based on the authors' competences in the areas addressed and was joined with a rigorous analysis of technology trends and various EU countries (Italy, Germany France, Belgium, Netherlands etc.) universities outputs regarding knowledge economy implications for economic higher education studies.knowledge-based economy, information and communications technology, university studies in economics, university management, agility, innovation, SharePoint 2010

SOA, SoBI & EDA - Paradigms for Integration Capabilities of BI Platform

A Business Intelligence (BI) provider may offer a basic solution, a packed application or a comprising BI platform which integrates components from individual technologies in a synergic system. The providers’ tendency is to standardize the instruments offered on a single server platform. The article analyzes the integration capabilities and problems of BI platforms, emphasizes the differences between emergent technologies and suggests integration solutions. The analysis is useful both to the providers of BI solutions - in order to develop some agile platforms, as well as to their users - representing an important factor in selecting the solution. In addition, the conclusions to be drawn will emphasize the tendencies from the BI market and will represent the support in creating some agile platforms.Business Intelligence, agile platform, integration, metadata management, Service Oriented Architecture (SOA), Event Driven Architecture (EDA)

Informational trends for organizations in information society

Companies have always been very carefully managed money, raw materials, machines and human resources. Today, they recognize the growing importance of the fifth big resource: information. They have finally understood that the within the global market with increased competition, using modern methods for planning, coordination and control, a company can-not function without acknowledging information and communications technology progress.Information and communication technology, information society, e-commerce, telework

Collaborative Solution Architecture for Developing a National Interoperability Framework in Romania

Interoperability framework is a set of standards and guidelines that describe how organizations have established or will establish to interact. The framework is not static, but one that adapts to the change of standards, administrative requirements and technology. It can be adapted to the socio - economic, political, cultural, linguistic, historical and geographical purposes and to a specific context or situation. The article aims to clarify the essential concepts necessary for outlining Romanian national interoperability framework and to propose collaborative solution architecture for its development, updating and maintaining.Interoperability Framework, National Interoperability Framework, European Interoperability Strategy, Collaborative Solution Architecture

The Audit of Business Intelligence Solutions

Although in this period humanity passes through a relative economic crisis, we all agree that our environment is that of a society of information and knowledge, based on communication and teleactivity, one that is also called information society. Every new form of activity in the information society has an associated informational component consisting in a software program, an application, a system, etc. It is a certainty that in the new economic environment it is necessary to adjust quickly to the opportunities of the market, through Business Process Reengineering, adoption of Business Intelligence solutions, implementation of complex automation applications like Enterprise Resource Planning. But, more than this, in, the digital economy the stress is put on the “label”, the “image”, the “brand”, and these features that are associated to organizations may be obtained by the information audit processes. The present study is focusing on the problem of information audit developed in one of the upper forms of manifestation of the information society in the field of changing the ways of doing business: Business Intelligence

Cloud Computing and Agile Organization Development

In the 3rd millennium economy, defined by globalization and continuous reduction of natural resources, the economic organization becomes the main actor in the phenomenon of transfor-mation and adaptation to new conditions. Even more, the economic environment, which is closely related to the social environment, undergoes complex metamorphoses, especially in the management area. In this dynamic and complex social and environmental context, the econom-ic organization must possess the ability to adapt, becoming a flexible and agile answer to new market opportunities. Considering the spectacular evolution of information and communica-tions technology, one of the solutions to ensure organization agility is cloud computing. Just like the development of any science requires adaptation to theories and instruments specific to other fields, a cloud computing paradigm for the agile organization must appeal to models from management, cybernetics, mathematics, structuralism and information theory (or information systems theory)