This paper compares the pricing and hedging performance of the LMM model against two spot-ratemodels, namely Hull-White and Black-Karasinski, and the more recent Swap Market Model from anAsset-Liability-Management (ALM) perspective. In contrast to previous studies in the literature, ouremphasis...

In this paper, we compare two one-factor short rate models: the Hull White model and the Black-Karasinski model. Despite their inherent shortcomings the short rate models are being used quiteextensively by the practitioners for risk-management purposes. The research, as part of...

This paper tests the co-terminal swap market model (SMM) pricing and hedging performance onBermudan swaptions. To our knowledge, the drift for SMM is derived explicitly for the first timehere, and the procedures for calibration and simulation using a collection of forward swap rates arealso...

AbstractThe impact of universities on the economic wellbeing and innovative potential of regionshas been the object of intense scholarly and policy interest in the last years. Despite thisinterest, a clear picture is missing in relation to the roles universities are seen to play, thebenefits of...

The literature on Regional Systems of Innovation (RSI) has produced an extensivebody of research in recent years and has been used widely as a framework for thedesign and implementation of policies in a variety of regional contexts. However,certain lack of clarity remains in relation to the...

Increased complexity and rapid pace of change demand more from people responsible forregional development at various levels of activity. This paper has its roots in a belief that themore complex situations are the more regional development is dependent on the leadership andnetwork management...

In this paper we analyze the source and magnitude of marketing gains from selling structured debtsecurities at yields that reflect only their credit ratings, or specifically at yields on equivalently ratedcorporate bonds. We distinguish between credit ratings that are based on probabilities of...

This paper adopts the point of view that a crisis will face a person, organisation, region orcountry at some point in their life span or history. The question is how to prepare for thecrises and recover from them afterwards? Some of us recover better than others and in ashorter time. The concept...

AbstractThe objective of this paper is to analyse the dynamics of networks in which new knowledgeemerges and through which it is exchanged. Our conjecture is that the structure of a networkcannot be divorced from the dynamics of the knowledge underpinning its activities. In so doing welook...

Different ways of competing in markets came to dominate particular sectors, regions and national market economies in the postwar period as a result of variations in market conditions, technological regimes and institutional contexts. These varied in terms of production volumes, basis of...