Suchergebnisse

It has often been argued that there exists an underlying biological basis of utility
functions. Taking this line of argument a step further in this paper, we have aimed
to computationally demonstrate the biological basis of the Black-Scholes functional
form as applied to classical option pricing and hedging theory. The evolutionary
optimality of the classical Black-Scholes function has been computationally established
by means of a haploid genetic algorithm model. The objective was to minimize the dynamic
hedging error for a portfolio of assets that is built to replicate the payoff from a European
multi-asset option. The functional form that is seen to evolve over successive generations
which best attains this optimization objective is the classical Black-Scholes function
extended to a multiasset scenario.Computational Exploration of the Biological Basis of Black-Scholes Expected Utility Function

Traditionally, central banks have used direct intervention in currency markets when the exchange rate has moved away from equilibrium or when the volatility has been excessive and the literature on the effects of indirect intervention is sparse. We examine whether indirect intervention has any impact on the exchange rate levels by examining the central bank verbal communications in Australia and Canada. We find evidence that the Bank of Canada's (BOC's) speeches reduce the mean exchange rate returns but not the Reserve Bank of Australia's (RBA's) speeches. Our results show that the socio-economic similarities between countries do not guarantee a similar impact of indirect intervention.

This study examines derivative practices of Australian and Canadian firms from 2009 to 2013 in a post-global financial crisis environment. Our results show significant differences in the level of derivative usage between both countries, in contrast to earlier hedging studies. We also observe that Canadian firms have a higher propensity to use financial derivatives. We find similarities in derivative usage for firms operating in the industrials, materials, consumer discretionary, and healthcare industries. However, corporate derivative practices seem to be significantly different for energy and IT firms during the sample period.

Machines are increasingly becoming a substitute for human skills and intelligence in a number of fields where decisions that are crucial to group performance have to be taken under stringent constraints—for example, when an army contingent has to devise battlefield tactics or when a medical team has to diagnose and treat a life-threatening condition or illness. We hypothesize a scenario where similar machine-based intelligent technology is available to support, and even substitute human decision making in an organizational leadership context. We do not engage in any metaphysical debate on the plausibility of such a scenario. Rather, we contend that given what we observe in several other fields of human decision making, such a scenario may very well eventuate in the near future. We argue a number of "positives" that can be expected to emerge out of automated group and organizational leadership decision making. We also posit several anti-theses—"negatives" that can also potentially emerge from the hypothesized scenario and critically consider their implications. We aim to bring leadership and organization theorists, as well as researchers in machine intelligence, together at the discussion table for the first time and postulate that while leadership decision making in a group/organizational context could be effectively delegated to an artificial-intelligence (AI)-based decision system, this would need to be subject to the devising of crucial safeguarding conditions.

Computational models pervade all branches of the exact sciences and have in recent times also started to prove to be of immense utility in some of the traditionally 'soft' sciences like ecology, sociology and politics. This volume is a collection of a few cuttingedge research papers on the application of variety of computational models and tools in the analysis, interpretation and solution of vexing real-world problems and issues in economics, management, ecology and global politics by some prolific researchers in the field.