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Dr. Antje Mahayni Dipl.-Volksw. Michael Suchanecki 《Zeitschrift für Betriebswirtschaft》2006,76(4):347-372
Zusammenfassung Turbo-Zertifikate geh?ren derzeit zu den beliebtesten strukturierten Produkten für Privatanleger. Sie lassen sich als Spezialformen
von Barrier-Optionen auffassen. In Bezug auf das Produktdesign ist das Verh?ltnis von Kursschranke und Basispreis von Bedeutung.
Unter Ausnutzung der Put-Call-Symmetrie wird gezeigt, dass eine geeignete Wahl der Ausstattungsmerkmale dem Emittenten eine semi-statische überabsicherung in Standard-Optionen
erm?glicht, die bezüglich einer ganzen Modellklasse gültig ist. Im Gegensatz zu der in der Praxis g?ngigen Preisstellung kann
eine Absicherung der Zahlungsverpflichtungen im Allgemeinen nicht unabh?ngig von der Volatilit?t erfolgen.
Product design and semi-static hedging of turbo-certificates
Summary Turbo-Certificates are one of the most popular structured equity products for private investors in Germany. They can be regarded as special forms of barrier options. For the design of these products, the relation between the barrier level and the strike price is especially important. By using the put-call-symmetry, we show that by a certain choice of these parameters, the issuer is able to obtain an almost static (super-) hedge in standard option contracts which is valid for a general class of models. It turns out that in contrast to the pricing rule which is often used in practice, the issuer can neither hedge a single certificate nor a portfolio of certificates independent of the volatility.
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The paper analyzes the systematic risk which is inherent in a portfolio of deferred life annuities. We take into account stochastic mortality as well as stochastic interest rates. For the specification of the mortality rate dynamics, we consider a pure diffusion model as well as a compound Poisson jump model. The interest rate dynamics are given by a one-factor Hull–White model. All models, interest rate and mortality rate, are calibrated to financial market as well as demographic data. We use Monte Carlo simulations to approximate the variance of the discounted cash flow and its decomposition into a pooling and a non-pooling risk part. We also consider pricing effects using the principle of zero expected utility and the quantile principle. The estimated risk premiums are benchmarked to the equivalence premium. Finally, we focus on solvency requirements which are based on the investment decisions and the associated shortfall probability of the annuity provider. 相似文献
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Antje Ducki 《Gruppendynamik und Organisationsberatung》2003,33(4):419-436
Zusammenfassung Behandelt werden psychologisch relevante Aspekte neuer Arbeitsformen in ihrer Bedeutung für Gesundheit und Wohlbefinden. Im
Mittelpunkt steht die Frage, unter welchen organisatorischen Bedingungen sich Chancen oder aber Risiken aus der fortschreitenden
raumzeitlichen Flexibilisierung von Arbeitsprozessen für die Besch?ftigten ergeben k?nnen. Stichworte sind unter anderem Intensivierung
der Arbeit und des privaten Lebens, Work-Life-Balance, Zunahme von emotionalen Belastungen und Verantwortungsdruck. Studien
zu Arbeit im Call Center und zu Telearbeit zeigen, dass auch in neuen Arbeitsformen Handlungs- und Zeitspielr?ume wichtige
situative Ressourcen sind, die es zu erhalten und zu f?rdern gilt. Konsequenzen für Interventionen im Rahmen betrieblicher
Gesundheitsf?rderung werden aufgezeigt und anhand eines neueren Interventionskonzepts beispielhaft erl?utert.
Antje Ducki, Professorin für Arbeits- und Organisationspsychologie. 相似文献
The psycho-social aspects of the consequences of new working forms concerning health and well-being are discussed. Central question is how organizational conditions influence the prospects and possible psycho-social risks to employees resulting from increased temporal and spatial flexibility of the working process. Keywords are intensification of work and privacy, Work-Life Balance, increasing emotional stressors and pressure from responsibility. Studies on work in call centers and teleworking show that high decision and action latitude and flexible time handling are important resources that need to be maintained and promoted in the context of new working forms. Consequences for workplace health promotion are presented and exemplified by a new concept of intervention
Antje Ducki, Professorin für Arbeits- und Organisationspsychologie. 相似文献
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Making sense of the new geography of citizenship: Fragmented citizenship in the European Union 总被引:2,自引:0,他引:2
Theory and Society - 相似文献
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Stress management is a main topic of human resources development. This article discusses therefore characteristics of human resources development by means of stress management and starts by presenting theoretical foundations of stress management, intervention concepts, and evaluation results as well as contexts of intervention and target groups. Demands for interventions in the area of human resources development are then specified. These demands touch neglected target groups like low qualified workers and intervention contexts as well as interventions at the workplace. The further development needs of the intervention process are finally highlighted. The intervention process should systematically consider the motivation for participation and not only the motivation of the employees but also the motivation of the managerial decision-makers. Furthermore the relevance of the analysis and its instruments, the intervention methods, didactics and evaluation methods are pointed-out. A new developed intervention concept for stress and resource management for low qualified workers is presented, in which these demands are seized and used. 相似文献
8.
Ferdinand Buer Christopher Rauen Andrea Naujoks Andrea Niessen Antje Prämaßing Walburga Schroer Nando Belardi 《Organisationsberatung, Supervision, Coaching》2005,12(4):403-406
Ohne Zusammenfassung 相似文献
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This article engages with arguments that contemporary immigration politics is defined by a “loss of settlement” by examining recent developments in Canadian immigration and refugee policy that have made permanent residence less permanent. We suggest that the rise of probationary immigration has been facilitated by horizontal status stratification within groups that were historically marked by relative status equality. In order to examine this claim empirically in the Canadian context, we analyze the rise of temporary foreign worker recruitment, the move from “one-step” to “two-step” immigration, and changes to refugee policy that, for the first time, linked loss of refugee status to the loss of permanent resident status. 相似文献
10.
Relax certificates are written on multiple underlying stocks. Their payoff depends on a barrier condition and is thus path-dependent.
As long as none of the underlying assets crosses a lower barrier, the investor receives the payoff of a coupon bond. Otherwise,
there is a cash settlement at maturity which depends on the lowest stock return. Thus, the products consist of a knock-out
coupon bond and a knock-in claim on the minimum of the stock prices. In a Black-Scholes model setup, the price of the knock-out
part can be given in closed (or semi-closed) form in the case of one or two underlyings only. With the exception of the trivial
case of one underlying, the price of the knock-in minimum claim always has to be calculated numerically. Hence, we derive
semi-closed form upper price bounds. These bounds are the lowest upper price bounds which can be calculated without the use
of numerical methods. In addition, the bounds are especially tight for the vast majority of relax certificates which are traded
at a discount relative to the corresponding coupon bond. This is also illustrated with market data. 相似文献