Risk preference based option pricing in a fractional Brownian market

We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation. The obtained formulae - as well as further results - accord with classical Brownian theory and con?rm economic intuition towards fractional Brownian motion. Furthermore the in?uence of the Hurst parameter H on the price of a European option will be analyzed. --Fractional Brownian motion,Conditional expectation,Risk preference based option pricing,Fractional option pricing,Fractional Greeks

Bundling without Price Discrimination

This paper examines the optimal bundling strategies of a multiproduct monopoly in markets in which a seller cannot monitor and thereby restrict the purchases of buyers to a single bundle, while buyers have resale opportunities. In such markets, the standard mechanism through which bundling increases seller profits, based on price discrimination, is not feasible. The profit-maximizing bundling strategy is characterized, given the restrictions on pricing policies resulting from resale and a lack of monitoring. The welfare implications of optimal bundling are analyzed.Bundling ; Pricing ; Revenue Maximization ; Product Design JEL Codes: D42 ; L12

Narracje w edukacji STEM

Looking from the perspective of the requirements of the modern world, STEM education is a significant challenge related to teaching both people whose professional paths will be associated with STEM and those who will use knowledge in this area “unprofessionally” – only to solve everyday problems. Teachers and educators face a difficult challenge related to arousing the interest of learners in the subject of STEM, developing understanding of scientific concepts and processes, and strengthening the involvement in scientific activity. Narratives are becoming an important tool available to educators in the implementation of this task. They can arouse the students’ interest through an attractive form of presentation of, e.g. the figures of outstanding scientists or brilliant discoveries. Such forms of presentation can introduce both basic and advanced scientific knowledge, and, at the same time, save cognitive resources, strengthening the children’s involvement by making them actively participate in discovering not only the scientific laws, but also the meaning (including the personal one) of science. It is also important that narratives can become a useful tool for building the positive image of science as a world accessible to everyone, regardless of gender, age or origins. The purpose of this article is to indicate only a few areas of possible applications of narratives in STEM education, and to encourage the use of various narrative materials in education in this area at various stages of education.Edukacja STEM, patrząc z perspektywy wymagań współczesnego świata, stanowi istotne wyzwanie, związane z uczeniem zarówno osób, których ścieżki zawodowe związane będą ze STEM-em, jak i tych, które będą korzystały z wiedzy w tym obszarze „nieprofesjonalnie”, wyłącznie do rozwiązywania problemów życia codziennego. Nauczyciele i wychowawcy stają przed trudnym zadaniem związanym z wzbudzeniem zainteresowania uczących się systemem STEM, rozwijaniem rozumienia pojęć i procesów naukowych oraz wzmacnianiem zaangażowania w aktywność naukową. Istotnym narzędziem dostępnym dla edukatorów w realizacji tego zadania stają się narracje: wzbudzające poprzez atrakcyjną formę przekazu zainteresowanie, np. postaciami wybitnych naukowców czy genialnych odkryć; wprowadzające w sposób oszczędzający zasoby poznawcze zarówno w obszar podstawowej, jak i zaawansowanej wiedzy naukowej; wzmacniające zaangażowanie poprzez zaproszenie dziecka do aktywnego uczestniczenia w odkrywaniu nie tylko praw, ale i znaczenia, w tym także osobistego, nauki. Co również istotne, narracje mogą stać się użytecznym narzędziem budującym pozytywny obraz nauki jako świata dostępnego dla wszystkich, bez względu na płeć, wiek czy środowisko pochodzenia. Celem artykułu jest wskazanie jedynie kilku obszarów możliwych zastosowań narracji w edukacji STEM oraz zachęta do korzystania z różnorodnych materiałów narracyjnych w edukacji w tym obszarze, na różnych etapach kształcenia

Evaluation of the possibility of predicting social reactions using in-depth analysis of information published on web-portals

Na podstawie analizy literatury dotyczącej zastosowania modeli ekonometrycznych i analitycznych w prognozowaniu reakcji społecznych stwierdzono, że dominującą rolę odgrywają warunki i reguły wynikające ze statystyki. Modele te badają proste zachowania i reakcje członków grupy w konkretnej sytuacji. Brak jest modeli, w których zachowanie uczestników związane jest ze zjawiskami zachodzącymi w ich otoczeniu (bliższym i dalszym) oraz dynamicznie zmieniającymi się stanami tego środowiska (w szczególności środowiskiem informacyjnym). Celem badania było określenie zależności pomiędzy informacjami pochodzącymi z sieciowych serwisów internetowych, a reakcją społeczną wyrażoną zmianą indeksów GPW w Warszawie. Zaproponowano model badania wpływu informacji internetowych na reakcje społeczne, który następnie wykorzystano w podejmowaniu decyzji inwestycyjnych na Giełdzie Papierów Wartościowych w Warszawie. Przeprowadzone analizy wskazują na przydatność modelu i możliwość jego dalszego rozwoju w szerszym kontekście zastosowań społecznych.Based on a literature analysis of the applicability of econometric and analytical models in the forecasting of social responses it was concluded that a dominating role is played by conditions and rules deriving from statistical physics. These models examine the straight behaviour and reactions of group members in a specific situation. There are no models where the behaviour of participants is related to phenomena occurring in their environment (closer and further) and dynamically changing states of this environment (in particular the information environment). A model for the study of the web information impact on social responses has been proposed to complement the identified research gap. The model has been evaluated on the basis of investment decisions made at the Warsaw Stock Exchange. The conducted analyzes show the usefulness of the model and the possibility of its further development in the wider context of social applications

Making Sense of the Future of Post-Secondary Education

The complexity and uncertainty of today’s global environment has created a bewildering array of interactions and interdependencies across all societal sectors including the educational sector. While many believe that modern communication and information technology reduces uncertainty and complexity, paradoxically, the real effect is the opposite: information overload leads to a poverty of attention (Nye, 2002, p. 43) that complicates the process of filtering out the critical signals from the distracting noise (Habegger, 2010, p. 49). Past methods for examining and understating this environment have proven to be ineffective in this fast-moving environment and sector leaders are now required to systematically assess their environment in order to reduce surprises, to increase the room for manoeuvre, and to improve the overall flexibility of governance (Habegger, 2010, p. 49). Increasingly, strategic foresight is used to respond to this new environment. “Foresight is the ability to see developments before they become trends, to recognize patterns before they emerge, and to grasp the features of social currents that are likely to have an impact; it is not the ability to make predictions” (Rohrbeck & Schwarz, 2013, p. 1593). Strategic foresight begins with an environmental scan of the contextual environment, “that part of the environment which has important repercussions for the organization but in which it has little or no influence” (van der Heijden, 2010, p. 115). Within the contextual environment, PSE institutions do not have direct influence but must understand economic developments, demographics, politics, technological developments and social developments in order proactively respond to the rapidly changing PSE environment

Exchange Design and Efficiency

Most assets clear independently rather than jointly. This paper presents a model based on the uniform‐price double auction which accommodates arbitrary restrictions on market clearing, including independent clearing across assets (allowed when demand for each asset is contingent only on the price of that asset) and joint market clearing for all assets (required when demand for each asset is contingent on the prices of all assets). Additional trading protocols for traded assets—neutral when the market clears jointly—are generally not redundant innovations, even if all traders participate in all protocols. Multiple trading protocols that clear independently can be designed to be at least as efficient as joint market clearing for all assets. The change in price impact brought by independence in market clearing can overcome the loss of information, and enhance diversification and risk sharing. Except when the market is competitive, market characteristics should guide innovation in trading technology

Information Aggregation and Innovation in Market Design

The literature on information aggregation predicts that market growth unambiguously reduces uncertainty about the value of traded goods. The results were developed within the classical model, which assumes that traders’ values for the exchanged good are determined by fundamental (common) shocks. At the same time, design innovation in contemporaneous markets seems to exploit demand interdependence among agents with similar tastes or common information sharing (e.g., Facebook ads, the practice of customer targeting). This paper demonstrates that with heterogeneous interdependence among agents’ values or noise in signals about values, opportunities to innovate in smaller or less connected (in the network-theoretic sense) markets may dominate those in larger or better connected markets