The Parabolic Anderson Model with Acceleration and Deceleration

We describe the large-time moment asymptotics for the parabolic Anderson model where the speed of the diffusion is coupled with time, inducing an acceleration or deceleration. We find a lower critical scale, below which the mass flow gets stuck. On this scale, a new interesting variational problem arises in the description of the asymptotics. Furthermore, we find an upper critical scale above which the potential enters the asymptotics only via some average, but not via its extreme values. We make out altogether five phases, three of which can be described by results that are qualitatively similar to those from the constant-speed parabolic Anderson model in earlier work by various authors. Our proofs consist of adaptations and refinements of their methods, as well as a variational convergence method borrowed from finite elements theory.Comment: 19 page

Default swaps and hedging credit baskets

We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS) based on a model for the joint dynamics of the fair CDS spreads. In the situation of the market flow of information being a pure jump filtration, we present an extremely efficient approach to pricing and study explicit hedging strategies. --credit default swap,credit basket,hedging

Lost in Translation - Empirical Evidence for Liability of Foreignness as Barriers to Knowledge Spillovers

Entering host country networks of knowledge flows (new competencies, innovative technologies, and lead-market knowledge) is a major rationale of multinational firms for investing abroad. Foreign firms find it difficult to overcome cultural and social barriers which make their foreign engagements more strenuous and error prone (liability of foreignness). In our analysis we break down the complex mechanisms behind knowledge spillovers and identify conceptual links with liability of foreignness. We hypothesise that liability of foreignness acts as a filter for foreign firms, restricting their access to host country knowledge. We use a broad sample of roughly 1,000 firms in Germany to empirically test the existence of liabilities of foreignness in leveraging knowledge spillovers. Our particular setting allows us to distinguish between upstream (suppliers, academia) and downstream (customers) liabilities of foreignness. We find that multinational firms can compete on an equal footing with host country rivals when it comes to generating impulses for innovations from suppliers and academia. They are significantly challenged by liabilities of foreignness, though, where customers are involved. We suggest that the frictional losses from a lack of social and cultural embeddedness (liability of foreignness) in the host country are especially relevant when promising lead customers have to be identified and their tacit and often unarticulated impulses have to be transferred, understood and prioritised.

Lost in Translation: Empirical Evidence for Liability of Foreignness as a Barrier to Knowledge Spillovers

Entering host country networks of knowledge flows (new competencies, innovative technologies, and lead-market knowledge) is a major rationale of multinational firms for investing abroad. Foreign firms find it difficult to overcome cultural and social barriers which make their foreign engagements more strenuous and error prone (liability of foreignness). In our analysis we break down the complex mechanisms behind knowledge spillovers and identify conceptual links with liability of foreignness. We hypothesise that liability of foreignness acts as a filter for foreign firms, restricting their access to host country knowledge. We use a broad sample of roughly 1,000 firms in Germany to empirically test the existence of liabilities of foreignness in leveraging knowledge spillovers. Our particular setting allows us to distinguish between upstream (suppliers, academia) and downstream (customers) liabilities of foreignness. We find that multinational firms can compete on an equal footing with host country rivals when it comes to generating impulses for innovations from suppliers and academia. They are significantly challenged by liabilities of foreignness, though, where customers are involved. We suggest that the frictional losses from a lack of social and cultural embeddedness (liability of foreignness) in the host country are especially relevant when promising lead customers have to be identified and their tacit and often unarticulated impulses have to be transferred, understood and prioritised. --Liability of foreignness,knowledge spillover,globalisation,trivariate probit

I Like The Way You Move: An Empirical Investigation into the Mechanisms Behind First Mover and Follower Strategies

There appears to be an ambivalent dimension in innovation strategies: timing. When is an innovation ready for the market or when is the market ready for the innovation? This paper empirically investigates the determinants of a firm?s decision to become a first mover or a follower in innovation strategies. Much of theoretical and empirical work has focused on whether first mover strategies pay off or not. Here we take a different approach by analysing the determinants that lead companies to opt for either a first mover or a follower strategy. One of this paper?s major goals is to distinguish between firm and industry specific effects on this particular strategic choice. We estimate our model using the most recent data from the German innovation survey of 2003. This dataset allows us to identify deliberate followers rather than outstripped first movers. One of our main findings is that firms choosing a first mover strategy operate in industries with intensive knowledge exchange and further leverage this advantage through excellent internal absorptive capacities. Followers, though, compete by way of their operational excellence for streamlining processes and cutting costs. Hence, we argue that neither of these two innovation strategies is per se superior to the other. --innovation strategy,first mover,bivariate probit

I Like the Way you Move - An Empirical Investigation into the Mechanisms Behind First Mover and Follower Strategies

There appears to be an ambivalent dimension in innovation strategies: timing. When is an innovation ready for the market or when is the market ready for the innovation? This paper empirically investigates the determinants of a firm’s decision to become a first mover or a follower in innovation strategies. Much of theoretical and empirical work has focused on whether first mover strategies pay off or not. Here we take a different approach by analysing the determinants that lead companies to opt for either a first mover or a follower strategy. One of this paper’s major goals is to distinguish between firm and industry specific effects on this particular strategic choice. We estimate our model using the most recent data from the German innovation survey of 2003. This dataset allows us to identify deliberate followers rather than outstripped first movers. One of our main findings is that firms choosing a first mover strategy operate in industries with intensive knowledge exchange and further leverage this advantage through excellent internal absorptive capacities. Followers, though, compete by way of their operational excellence for streamlining processes and cutting costs. Hence, we argue that neither of these two innovation strategies is per se superior to the other.innovation strategy, first mover, bivariat probit

Auswirkungen der Einbringung von Buche (Fagus sylvatica L.) auf die Artendiversität und Naturnähe von Nadelholzbeständen in Niedersachsen

The promotion and extension of continuous cover mixed stands with a simultaneous reduction of conifer-monocultures play a major role in current silvicultural practices in Central Europe. It is assumed that the admixture of the natural dominant beech (Fagus sylvatica) in pure non site-specific conifer stands automatically indicates better conditions in terms of nature conservation and forest management. To test this hypothesis three different conifer-beech-comparisons of pure and mixed stands in Lower Saxony are studied, analyzing plant species diversity and naturalness of understory vegetation as one important indicator for the ecological status of forests. Each comparison includes pure coniferous stands (Picea abies, Pinus sylvestris, Pseudotsuga menziesii), mixed coniferous-beech-stands, and pure beech stands on similar acidic mineral soils where the potential natural vegetation will be an oligotrophic beech forest (L u z u l o - Fa g e t um). The age of stands varies between 50 and 150 years. To specify tree species influence on site conditions and vegetation, the study also includes light climate and soil data of the stands. It is observed that, with regard to all comparisons, the admixture of beech reduces plant species diversity but increases naturalness of the stands. The intensity of beech admixture effects differs. While in Scots pine stands the impact of admixed beech is very noticeable, with the mixed stands being nearly identical with pure beech stands, the species change in Douglas-fir and Norway spruce stands proceeds more slowly. Assuming that the status in nature conservation and forest management is improving with increasing plant species diversity and increasing naturalness, the results of this study show a contrary development on a stand scale, as the potential natural vegetation of the L u z u l o - F a g e t u m is in its self very species poor on vascular plants.Die Förderung und Ausweitung von Mischwäldern bei gleichzeitiger Reduktion reiner Nadelholz-Bestände spielt aktuell eine große Rolle im mitteleuropäischen Waldbau. Gemeinhin wird angenommen, dass die Beimischung der standortsgemäßen Buche (Fagus sylvatica) in standortsfremden Nadelholz Monokulturen die Bedingungen im Sinne des Naturschutzes und der Forstwirtschaft verbessert. Diese Hypothese wird auf der Grundlage von drei unterschiedlichen Nadelholz- Buchen-Versuchsreihen geprüft. Im Mittelpunkt steht dabei die Bodenvegetation als wichtiger und sensitiver Indikator für den ökologischen Zustand von Wäldern. Jede Versuchsreihe umfasst reine Nadelholz-Bestände (Picea abies, Pinus sylvestris, Pseudotsuga menziesii), Nadelholz-Buchen- Mischbestände und reine Buchen-Bestände auf sauren Mineralböden, auf denen von Natur aus nährstoffarme Buchenwälder (L u z u l o - Fa g e t um) vorherrschen würden. Das Alter der Bestände variiert zwischen 50 und 150 Jahren. Schwerpunkte der Analyse sind die Artenvielfalt und Naturnähe der Bodenvegetation. Um den Einfluss der Baumarten auf den Standort und die Vegetation zu bewerten, werden die Licht- und Bodenverhältnisse der Bestände charakterisiert. Es zeigt sich, dass mit der Beimischung der Buche in allen Versuchsreihen die Pflanzenartenvielfalt abnimmt und die Naturnähe zunimmt. Unterschiedlich ist dabei die Intensität der Veränderungen. Zwischen den Kiefern-Buchen-Mischbeständen und den Kiefern-Reinbeständen bestehen sehr deutliche Unterschiede im Aufbau der Bodenvegetation, so dass die Mischbestände den Buchen-Reinbeständen bereits sehr ähnlich sind. In den Douglasien- und Fichten-Versuchsreihen vollzieht sich der Artenwechsel vergleichsweise unauffällig und kontinuierlich. Wenn man davon ausgeht, dass der naturschutzfachliche und waldbauliche Status sich sowohl mit zunehmender Phytodiversität als auch bei zunehmender Naturnähe verbessert, so zeigen diese Ergebnisse auf Bestandesebene eine gegenläufige Entwicklung, da das in der Region der potenziell natürlichen Vegetation entsprechende L u z u l o - Fa g e tum von Natur aus sehr artenarm an Gefäßpflanzen ist

Latin hypercube sampling with dependence and applications in finance

In Monte Carlo simulation, Latin hypercube sampling (LHS) [McKay et al. (1979)] is a well-known variance reduction technique for vectors of independent random variables. The method presented here, Latin hypercube sampling with dependence (LHSD), extends LHS to vectors of dependent random variables. The resulting estimator is shown to be consistent and asymptotically unbiased. For the bivariate case and under some conditions on the joint distribution, a central limit theorem together with a closed formula for the limit variance are derived. It is shown that for a class of estimators satisfying some monotonicity condition, the LHSD limit variance is never greater than the corresponding Monte Carlo limit variance. In some valuation examples of financial payoffs, when compared to standard Monte Carlo simulation, a variance reduction of factors up to 200 is achieved. LHSD is suited for problems with rare events and for high-dimensional problems, and it may be combined with Quasi-Monte Carlo methods. --Monte Carlo simulation,variance reduction,Latin hypercube sampling,stratified sampling