The Multivariate binomial model and its application to the valuation of employee share options and other multivariate contingent claims

This talk discusses a multivariate extension of the well known the binomial option pricing method, and shows how it may be applied to the valuation of employee share options (ESOs) and multi-asset, multi-period contingent claims. Most of the more complex ESOs are of this type. Recently developed analytical methods permit the derivation of analytic formulae for the valuation of multi asset, multi period options and contingent claims. These usually involve the multivariate Gaussian distribution. However these formulae don’t apply when the contingent claim has early exercise features. The multivariate binomial method however can handle these types of problems. Several numerical examples are given to demonstrate the applicability of the method for contingent claims valuation. This numerical method is easy to program and practical, at least for low dimensional problems

The Role of universities in preparing graduates to use software in the financial services workplace

The role of universities in preparing students to use spreadsheet and other technical software in the financial services workplace has been investigated through surveys of university graduates, university academics, and employers. It is found that graduates are less skilled users of software than employers would like, due at least in part to a lack of structured formal training opportunities in the workplace, and a lack of targeted, coherent learning opportunities at university. The widespread and heavy use of software in the workplace means that there is significant potential for productivity gains if universities and employers address these issues.14 page(s

Software used for quantitative analysis in the financial services workplace, and the perspectives of graduates, employers and academics

For quantitative analysts working in the financial sector workplace, skills in using software for model development, model fitting and quantitative analysis are essential. The financial services industry is a significant employer of graduates from quantitative disciplines such as Actuarial Science, Mathematics, Statistics and Econometrics as well as financial disciplines such as Economics, Finance and Accounting. In this talk we report on an investigation of the use of software for quantitative analysis in the workplace by recent graduates and compare this to the software used at university for training these same graduates. We sought the opinions of recent graduates, their employers and academics who were involved in the education of these graduates. We used questionnaires for this purpose.1 page(s

Perceptions of the software skills of graduates by employers in the financial services industry

Software, particularly spreadsheet software, is ubiquitous in the financial services workplace. Yet little is known about the extent to which universities should, and do, prepare graduates for this aspect of the modern workplace. We have investigated this issue through a survey of financial services employers of graduates, the results of which are reported in this paper, as well as surveys of university graduates and academics, reported previously. Financial services employers rate software skills as important, would like their employees to be more highly skilled in the use of such software, and tend to prefer 'on-the-job' training rather than university training for statistical, database and specialized actuarial/financial software. There is a perception among graduates that employers do not provide adequate formal workplace training in the use of technical software.15 page(s

Long service leave : past, present, and future

As a result of changes to the Australian industrial relations framework, long service leave benefits are under review. State and Commonwealth governments are working towards the development of a new national standard for long service leave (LSL). It is, therefore, timely to re-examine the purpose of LSL. How do people use their LSL benefits? What are the main benefits of LSL for employers, employees, and the community as a whole? This paper provides a historical overview of developments, as well as a summary of current trends, and discusses some proposals for improved vesting and portability of benefits.18 page(s

Threshold concepts in finance : student perspectives

Finance threshold concepts are the essential conceptual knowledge that underpin well-developed financial capabilities and are central to the mastery of finance. In this paper we investigate threshold concepts in finance from the point of view of students, by establishing the extent to which students are aware of threshold concepts identified by finance academics. In addition, we investigate the potential of a framework of different types of knowledge to differentiate the delivery of the finance curriculum and the role of modelling in finance. Our purpose is to identify ways to improve curriculum design and delivery, leading to better student outcomes. Whilst we find that there is significant overlap between what students identify as important in finance and the threshold concepts identified by academics, much of this overlap is expressed by indirect reference to the concepts. Further, whilst different types of knowledge are apparent in the student data, there is evidence that students do not necessarily distinguish conceptual from other types of knowledge. As well as investigating the finance curriculum, the research demonstrates the use of threshold concepts to compare and contrast student and academic perceptions of a discipline and, as such, is of interest to researchers in education and other disciplines.17 page(s

The case for a national portable long service leave scheme in Australia

This report provides the most comprehensive framework for the establishment of a National Portable Long Service Leave Scheme ever produced in Australia. Long service leave is unique to AustralIa and New Zealand. The origins of Long Service Leave can be traced back to the 19th century as an entitlement given to civil servants which enabled those who had served for a long period of time to travel home to Britain, confident that they could return to Australia and return to their previous job. The entitlement was transformed from leave provided to visit Britain, to leave provided after a long period of employment for workers to have a break and return to work fresh and renewed. While the length of leave and qualification periods vary from State to State, the general entitlement a worker receives today is two months leave after ten continuous years of service with the same employer. However, due to the changing nature of employment, Australian workers are more frequently changing jobs and careers. This has meant Long Service Leave in its current form has become inaccessible to the overwhelming majority of Australian workers. Only one in four Australian workers stay with the same employer for 10 years. In this context, the McKell Institute believes the time has come to again restructure Long Service Leave and create a 21st century entitlement by making Long Service Leave fully portable. If Long Service Leave were to follow a worker as they change jobs and careers (as our superannuation does), the majority of Australian workers would again be able to take a well earned break after a long period of time in the workforce