The Three-point volatility smile classification: Evidence from the Warsow Stock Exchange during volatile summer 2011

This paper studies the behavior of the smile in the Warsaw Stock Exchange (WSE) during the volatile summer of 2011.We investigate the volatility smile derived from liquid call and put options on the Polish WIG20 index which option series expired on September 2011. In this period, the polish index has dropped about 20% in two weeks time. By linear interpolation, implied volatilities for moneyness points needed were calculated, then we construct 355 smile curves for calls and puts options to study and make some kind of smile-types classification. We propose seventeen types-smiles which represent all possible cases of three points (three moneynesses) graphical patterns. This classification is made basing upon relationship higher/equal/lower values of implied volatility for each of three points. Furthermore, we distinguish the convexity of pattern. We can note that smiles, smirks and ups are convex in shape, while reversed ones and downs are concave functions

Environmental Performance and Green Culture: The Mediating E ect of Green Innovation. An Application to the Automotive Industry

Globalization and the ever-growing presence of technology have paved the way for better developmental opportunities in society. Nonetheless, these have also been to the detriment of the environment as well as sustainable development. The aim of this study is to discover the mediating e ect of green innovation with regard to the relationship which exists between green culture and environmental performance in the State of Mexico’s automotive sector. The research hypotheses were formulated following an extensive study of the literature available and were based on resource- and capability-based theory, specifically, the natural-resource view of the firm (NRBV). The design of the study was non-experimental and cross-sectional with a confirmatory reach, applied to a sample of 157 observations. The proposed theoretical model was tested using partial least squares structural equation modeling (PLS-SEM). The findings provide empirical evidence that green innovation acts as a mediator variable on the relationship between green culture and environmental performance. The scientific merit of the study is found in its proposal of a hierarchical second-order model, categorized as reflective-formative, and the study’s confirmation of the role of green innovation as a mediating construct. Therefore, the findings herein can be considered as complementary to the existing body of knowledge in the field. The practical implications derived from this study will contribute to sustainable development and expand knowledge in the following areas: Government institutions, companies that operate in the sector, decision makers, academics, and practitioners who are working on this issue at di erent levels

R&D and Innovation Collaboration between Universities and Business—A PLS-SEM Model for the Spanish Province of Huelva

In the last decade we have witnessed a growing amount of interest for developing better ‘exchange’ between universities, research centres and technology parks and companies, governments and other institutions. The biggest aim of those projects is, on the one hand, to make sure that valuable research does not stay hidden in the ivory tower of academia, and, on the other, that there are clear indications for what kinds of solutions are needed in the market. Due to the lack of empirical research in the topic, the focus of this paper is to establish and explain which factors determine the demand for technological services and how they can contribute to the promotion of greater university–business collaboration in R&D and innovation. To achieve that goal, we applied the PLS-SEM (Partial Least Squares Structural Equation Modelling) method in order to create a theoretical model, which was then verified through the application of the CTA (Confirmatory Tetrad Analysis) with the purpose of evaluating whether the specification of the chosen measurement model based on the theoretical rationale was supported by data. The test run was performed on 96 companies from the Spanish region of Huelva. It showed that only four of the considered factors, namely influence of the environment, market conditions, technology adoption decision and economic characteristics of the company, constituted 65.76% of the variance of the endogenous latent Demand for Technological Services. We believe that thanks to the proposed model and its adaptivity, it is possible to design relevant policies and undertakings aimed at promoting the research-business collaboration at the regional, national and international level

A Multiple Full Mediating Effect in a PLS Hierarchical Component Model: Application to the Collaborative Public Management

The objective of this article was to determine the mediating effect of shared knowledge and organisational commitment in the relationship between organisational values and collaborative public management. Organisational values are also made up as a second-order construct consisting of other first order sub-dimensions such as authority, autonomy, conservatism, equality, harmony, and hierarchy. This research is based both on the Theory of Resources and Capacities and the theoretical perspective based on knowledge. The hypotheses proposed were supported with the use of structural equation models based on composites (PLS-SEM). The results show empirical evidence of a multiple fully mediating effect. The findings confirmed that organisational values do not have a significant direct positive impact on collaborative public management unless they are full mediated by shared knowledge and organisational commitment. In addition, this research framework is effective for improving public employees’ work efficiency and has practical implications for scholars, practitioners, and the authoritie

La selección de proveedores internacionales : la metodología AHP

La selección de un proveedor internacional es un proceso marcado por su complejidad, no sólo por la presencia de factores adicionales, tan importantes como las diferencias culturales o lingüísticas sino, también, por la necesidad de evaluar a los diferentes suministradores en función de criterios tanto de carácter cuantitativo como cualitativo y que, a menudo, pueden entrar en conflicto unos con otros. Aunque, tradicionalmente, muchos gerentes y ejecutivos de empresas dedicadas al comercio internacional piensen que estos problemas deben ser resueltos mediante la utilización de técnicas sofisticadas, nosotros proponemos emplear un método, tan fácil de usar y de tan reconocido éxito empírico como el AHP que, además de solventar los inconvenientes anteriores, aporta numerosas ventajas tal y como tendremos ocasión de comprobar mediante el desarrollo de una sencilla aplicación práctica

Social factors that determine the behavior of sustainable consumption in the Querétaro metropolitan area

El objetivo de esta investigación es definir los factores sociales que son determinantes en el comportamiento del consumo sustentable de las personas en México. El estudio presenta un diseño empírico estadístico de corte transversal que obtuvo resultados a través de un modelo integrado PLS-SEM. Se aplicó un cuestionario con 26 indicadores a una muestra probabilística de 244 elementos. Se partió de un modelo teórico que concluyó que el 50.8% de la varianza de la variable comportamiento de consumo sustentable, está explicada por los factores educación e información, presión social, condiciones del mercado, influencias del entorno social y variables demográficas. Este modelo provee información para quienes quieren participar de la transición de la sociedad a la sustentabilidad, toda vez que se cuenta con elementos para el diseño pertinente de estrategias, programas, soluciones y cualquier otra acción encaminada a este fin.The objective of this research is to define the social factors that are determinants in the sustainable consumption behavior of people in Mexico. The study presents a cross-sectional empirical statistical design that obtained results through an integrated PLS-SEM model. A questionnaire with 26 indicators was applied to a probabilistic sample of 244 elements. The starting point was a theoretical model that concluded that 50.8% of the variance of the sustainable consumption behavior variable is explained by the factors of education and information, social pressure, market conditions, influences of the social environment and demographic values. This model provided information for those who want to participate in society's transition to sustainability, since there are elements for the pertinent design of strategies, programs, solutions and any other action aimed at this end

A model for risk alert in the management of call option issues on the IBEX-35 Spanish index

En este trabajo se analizan las posibilidades de formación de carteras réplicas y el establecimiento de estrategias de cobertura basadas en la delta neutral. La idea consiste en estudiar el grado de exposición al riesgo de los emisores de opciones call sobre el índice IBEX-35, intentando diseñar un modelo que lo recoja, e idear un sistema o indicador que dé la voz de alerta cuando el riesgo sea grande. Tras la simulación por ordenador de los resultados de pérdidas y ganancias de las distintas estrategias de cobertura, con ayuda de funciones matemáticas primarias y transformadas y de un análisis de filtros para los parámetros delta, gamma y gamma modificada, proponemos, y contrastamos, un modelo de alerta de utilidad, que sirve como herramienta de gestión del riesgo a los emisores de opciones, basado en una estrategia de cobertura dinámica con cartera réplica.This paper analyses the possibilities of forming replicating portfolio and establishing a hedge strategy based on neutral delta. The idea is based on a study of the degree of risk to which the issuers of call options on the IBEX- 35 stock index are exposed. The goal is to design a model that alerts issuers to an increase in risk. Several useful indicators based on this model are tested. After a computer simulation of gains and losses of different hedge strategies, with primary and transformed mathematics equations, and a filter analysis to delta, gamma and modified gamma parameters, we compare the results obtained. Finally, we recommend a valuable tool for managing the risk of call options issues as a dynamic hedge strategy with replicating portfolio

Concurrent Training Increases Serum Brain-Derived Neurotrophic Factor in Older Adults Regardless of the Exercise Frequency

Background: Human brain function declines with aging. In this sense, exercise-based interventions has a promising effect on brain plasticity for older adults. Serum brain-derived neurotrophic factor (BDNF) is a positive biomarker for brain neuroplasticity in healthy older adults also modified by exercise training. Selected features of the exercise prescription for improving brain health are missing; therefore, the aim of this study was to determine the effects of concurrent exercise training frequency on serum BDNF levels in healthy older adults. Methods: Nineteen volunteers (age: 65 ± 4 year; body mass index: 28.0 ± 4.5 kg/m2) completed either a three times/week (3-t/w) (n = 8) or five times/week (5-t/w) (n = 11) concurrent exercise program. The exercise program lasted 11 weeks and all exercise sessions were performed for 50 min at moderate intensity. Serum BDNF, body composition, cardiovascular, and physical fitness variables were assessed before and after the exercise training program. Results: Regardless of the group, the serum BDNF increased following the intervention (p < 0.001), and there were no significant group (p = 0.827) or interaction (p = 0.063) effects. The maximal oxygen consumption (VO2max) increased regardless of the group (p = 0.007), with a non-significant group (p = 0.722) or interaction (p = 0.223) effects. Upper- and lower-body strength increased in both groups (p = 0.003); however, there was no effect of the training frequency (p = 0.53). For the skeletal muscle mass, there was a trend in the interaction effect (p = 0.053). Finally, the body fat percentage was unchanged. Conclusion: Eleven weeks of combined exercise training increased serum BDNF levels in healthy older adults, a response independent of the training frequency. The overall fitness level improved similarly in both exercise groups. These data reveal that a minimal dosage of concurrent exercise enhance functional capacity and a brain health biomarker in older adults

Recommendations for screening, monitoring, prevention, and prophylaxis of infections in adult and pediatric patients receiving CAR T-cell therapy : a position paper

Chimeric antigen receptor (CAR) T-cell therapy is one of the most promising emerging treatments for B-cell malignancies. Recently, two CAR T-cell products (axicabtagene ciloleucel and tisagenlecleucel) have been approved for patients with aggressive B-cell lymphoma and acute lymphoblastic leukemia; many other CAR-T constructs are in research for both hematological and non-hematological diseases. Most of the patients receiving CAR-T therapy will develop fever at some point after infusion, mainly due to cytokine release syndrome (CRS). The onset of CRS is often indistinguishable from an infection, which makes management of these patients challenging. In addition to the lymphodepleting chemotherapy and CAR T cells, the treatment of complications with corticosteroids and/or tocilizumab increases the risk of infection in these patients. Data regarding incidence, risk factors and prevention of infections in patients receiving CAR-T cell therapy are scarce. To assist in patient care, a multidisciplinary team from hospitals designated by the Spanish Ministry of Health to perform CAR-T therapy prepared these recommendations. We reviewed the literature on the incidence, risk factors, and management of infections in adult and pediatric patients receiving CAR-T cell treatment. Recommendations cover different areas: monitoring and treatment of hypogammaglobulinemia, prevention, prophylaxis, and management of bacterial, viral, and fungal infections as well as vaccination prior and after CAR-T cell therapy