A snakes and ladders representation of stock prices and returns

Snakes and ladders is an ancient Indian game of chance that offers amusement as well as a metaphor for life’s many ups and downs. Games offer useful and fun ways of conveying ideas as well as solution techniques and this game has considerable mathematical tractability. This note shows how snakes and ladders can be used to represent the ups and downs of share ownership and solve for fair values of a multistage project that pays fixed dividends at uncertain completion times and has random returns

Chronology for climate change: Developing age models for the biogeochemical ocean flux study cores

We construct age models for a suite of cores from the northeast Atlantic Ocean by means of accelerator mass spectrometer dating of a key core, BOFS 5K, and correlation with the rest of the suite. The effects of bioturbation and foraminiferal species abundance gradients upon the age record are modeled using a simple equation. The degree of bioturbation is estimated by comparing modeled profiles with dispersal of the Vedde Ash layer in core 5K, and we find a mixing depth of roughly 8 cm for sand-sized material. Using this value, we estimate that age offsets between unbioturbated sediment and some foraminifera species after mixing may be up to 2500 years, with lesser effect on fine carbonate (<10 mu m) ages. The bioturbation model illustrates problems associated with the dating of ''instantaneous'' events such as ash layers and the ''Heinrich'' peaks of ice-rafted detritus. Correlations between core 5K and the other cores from the BOFS suite are made on the basis of similarities in the downcore profiles of oxygen and carbon isotopes, magnetic susceptibility, water and carbonate content, and via marker horizons in X radiographs and ash beds

Northeastern Atlantic benthic foraminifera during the last 45,000 years: Changes in productivity seen from the bottom up

We studied benthic foraminifera from the last 45 kyr in the >63 mu m size fraction in Biogeochemical Ocean Flux Studies (BOFS) cores 5K (50 degrees 41.3'N, 21 degrees 51.9'W, depth 3547 m) and 14K (58 degrees 37.2'N, 19 degrees 26.2'W, depth 1756 m), at a time resolution of several hundreds to a thousand years. The deepest site showed the largest fluctuations in faunal composition, species richness, and benthic foraminiferal accumulation rates; the fluctuations resulted from changes in abundance of Epistominella exigua and Alabaminella weddellensis. In the present oceans, these species bloom opportunistically when a spring plankton bloom results in seasonal deposition of phytodetritus on the seafloor. The ''phytodetritus species'' had very low relative abundances and accumulation rates during the last glacial maximum. A strong increase in absolute and relative abundance of E. exigua and A weddellensis during deglaciation paralleled the decrease in abundance of the polar planktonic foraminifer Neogloboquadrina pachyderma (s), and the increase in abundance of warmer water planktonic species such as Globigerina bulloides. This strong increase in relative abundance of the ''phytodetritus species'' and the coeval increase in benthic foraminiferal accumulation rate were thus probably caused by an increase in the deposition of phytodetritus to the seafloor (and thus probably of surface productivity) when the polar front retreated to higher latitudes. The abundance of ''phytodetritus species'' decreased during the Younger Dryas, but not to the low levels of fully glacial conditions. During Heinrich events (periods of excessive melt-water formation and ice rafting) benthic accumulation rates were very low, as were the absolute and relative abundances of the ''phytodetritus species'', supporting suggestions that surface productivity was very low during these events. In both cores Pullenia and Cassidulina species were common during isotope stages 2, 3 and 4, as were bolivinid, buliminid and uvigerinid species. High relative abundances of these species have been interpreted as indicative either of sluggish deep water circulation or of high organic carbon fluxes to the seafloor. In our cores, relative abundances of these species are negatively correlated with benthic foraminiferal accumulation rates, and we can thus not interpret them as indicative of increased productivity during glacials. The percentage of these ''low oxygen'' species calculated on a ''phytodetritus species'' - free basis decreased slightly at deglaciation at 5K, but not at 14K. This suggests that decreased production of North Atlantic Deep Water during the last glacial might have slightly affected benthic foraminiferal faunas in the eastern North Atlantic at 3547 m depth, but not at 1756 m. In conclusion, major changes in deep-sea benthic foraminiferal faunas over the last 45,000 years in our cores from the northeastern Atlantic were the result of changes in surface water productivity, not of changes in deep water circulation; productivity was lower during the glacial, probably because of extensive ice cover

The importance of non-timber forest products in rural livelihood security and as safety nets: a review of evidence from South Africa

We review and synthesize recent South African work that examines the role and importance of non-timber forest products (NTFPs) in the daily lives of rural people in South Africa. The most commonly used such products are wild spinaches, fuelwood, wooden utensils edible fruits, grass hand-brushes, and twig hand-brushes, used by 85% or more of households. More than half the households investigated also make use of edible insects, wood for construction, bushmeat, wild honey and reeds for weaving. Individual households may exploit dozens of animal and plant species. The range in annual, direct-use values is large, from less than R1000 per household per year to over R12 000. The value to rural households is manifest through a daily net function which represents a cost saving to the families involved and to the state, as well as through an emergency net, which serves as an insurance in times of misfortune, such as drought, disease, and unexpected economic hardship. The emergency net function has hardly been quantified in South Africa and internationally. Ad hoc trade in NTFPs is a common emergency net, which in some instances evolves into a permanent way of life. Financial returns from trade are variable, depending on resource type and hours worked, but are typically low. Despite the small cash incomes from trade, they provide an important contribution that complement the diverse livelihood strategies within a household, especially for the poorer sectors of rural society. Moreover, there are non-financial benefits of NTFP trade that are commonly overlooked

Empirical pricing kernels obtained from the UK index options market

Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse representative agent, unlike similar estimates for the US market

Early Neoproterozoic limestones from the Gwna Group, Anglesey

Limestone megaclasts up to hundreds of metres in size are present within the Gwna Group mélange, North Wales, UK. The mélange has been interpreted as part of a Peri-Gondwanan fore-arc accretionary complex although the age of deposition remains contentious, proposals ranging from Neoproterozoic to Early Ordovician. This paper uses strontium isotope chemostratigraphy to establish the age of the limestone blocks and thus provide a maximum age constraint on mélange formation. Results show that, although the carbonates are locally dolomitized, primary 87Sr/86Sr ratios can be identified and indicate deposition sometime between the late Tonian and earliest Cryogenian. This age is older than that suggested by stromatolites within the limestone and indicates that the limestone did not form as cap carbonate deposits

Risk-based school inspections: impact of targeted inspection approaches on Dutch secondary schools

In most countries, publicly funded schools are held accountable to one inspectorate and are judged against agreed national standards. Many inspectorates of education have recently moved towards more proportional risk-based inspection models, targeting high-risk schools for visits, while schools with satisfactory student attainment levels are excluded from inspections. This paper looks into these newer inspection models and aims to enhance our understanding of the potential effectiveness of such targeted models on student attainment and other performance indicators. Random effects models, analyzing changes in schools over time, indicate that targeted inspections particularly have an effect on student attainment in literacy in weak schools, while also impacting on student satisfaction, student numbers and student-staff ratios

Buyback Behaviour and the Anti-Dilution of Dilutive Stock Options

Paper presented at 2016 FMA Annual Meeting, October 19-22, 2016, Las Vegas, NevadaWe study how dilutive board-level stock options impact anti-dilutive daily buybacks in the UK. We show that buyback behaviour and stock option holdings positively influence cumulative post-buyback returns. Buybacks, however, have anti-dilutive implications and are thus linked to the level and nature of dilutive stock options outstanding. We find increases in aggregate stock options to escalate buyback implementation. This is driven largely by unvested stock options that significantly enhance anti-dilutive benefits. Robustness tests using “overconfident” board classification and treasury share regulation confirm the anti-dilutive motive behind buybacks when stock options are unvested

Continuous Workout Mortgages

This paper models Continuous Workout Mortgages (CWMs) in an economic environment with refinancings and prepayments by employing a market-observable variable such as the house price index of the pertaining locality. Our main results include: (a) explicit modelling of repayment and interest-only CWMs; (b) closed form formulae for mortgage payment and mortgage balance of a repayment CWM; (c) a closed form formula for the actuarially fair mortgage rate of an interest-only CWM. For repayment CWMs we extend our analysis to include two negotiable parameters: adjustable "workout proportion" and adjustable "workout threshold." These results are of importance as they not only help understanding the mechanics of CWMs and estimating key contract parameters. These results are of importance as they not only help in the understanding of the mechanics of CWMs and estimating key contract parameters, but they also provide guidance on how to enhance the resilience of the financial architecture and mitigate systemic risk.Continuous Workout Mortgage (CWM), Repayment, Interest-only, House price index, Prepayment intensity, Cap and floor on continuous flow

The importance of dry woodlands and forests in rural livelihoods and poverty alleviation in South Africa

Indigenous forests and savannas, along with plantation forests, offer numerous benefits to rural communities and society at large. Yet, the role of forests and forestry in contributing to sustainable livelihoods and poverty alleviation are widely debated. However, much of the debate pertains to lessons from the humid tropics, with little consideration of the widespread dry forests and savannas. This paper considers the role of dry forest types, including savannas, using South Africa as a case example. It concludes that a large proportion of the population makes use of forests and the resources from them. These are vital components of local livelihoods, which probably prevent people from slipping into deeper poverty. Moreover, for a measurable proportion, engagement in informal forest activities, as well as the formal forestry sector, has resulted in them being able to move out of poverty. Additionally, the generally dry nature of forests in South Africa, coupled with the high unemployment rate, limit the extent of alternative locally based livelihood options, thereby magnifying the contributions from forests and forest products. The depressing effects of widespread HIV/AIDS on labour availability, economic activities and livelihoods has exacerbated peoples' dependence on forest products