Search results

This article has been withdrawn as it was published elsewhere and accidentally duplicated. The original article can be seen here: 10.1108/eb013383. When citing the article, please cite: R.A. Wilmott, (1976), “Measurement of Financial Performance”, Managerial Finance, Vol. 2 Iss: 3, pp. 195 - 210.

Increases in productivity have their origins at the level of the individual firm and are reflected through improved efficiency. Improved efficiency is brought about by more effective use of scarce economic resources and unless some satisfactory measure exists for the evaluation of the effectiveness of industry in utilising the resources at its disposal, national objectives aimed at securing growth without inflation cannot be incorporated into the individual objectives of industrial firms themselves. Irrespective of the needs of the economy for growth most industrial firms have their own growth targets the assessment of which equally require a reliable measure of efficiency. To be satisfactory, the measure of efficiency employed must permit comparison of performance by firms over time, as well as comparison with other firms in the same industry and, ideally, in other industries also. There is no unanimity of opinion as to what is the most reliable single yardstick of industrial efficiency.

Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide positive profits and how the transaction costs existed in the real market affect the effectiveness of volatility arbitrage strategy.

A number of hedging approaches proposed to improve the hedging results and final returns of Black-Scholes model are analyzed and compared.

The general finding is that volatility arbitrage strategy can provide satisfactory returns based on the samples in Chinese market. Regarding transaction costs, the variable bandwidth delta and delta tolerance approach showed better results. Besides, choosing futures together with ETFs as hedging underlying can increase the VaR for better risk management.

This paper offers a new method for volatility arbitrage in Chinese financial market.

This paper researches the profitability of the volatility arbitrage strategy on ETF 50 options using volatility cones method for the first time. This method has advantage over the point-wise estimation such as GARCH model and stochastic volatility model.

The purpose of this paper is to explain the Black–Scholes model with minimal technical requirements and to illustrate its impact from a business perspective.

The paper employs simple accounting concepts and an argument part based on business need.

The Black–Scholes partial differential equation can be derived in many ways, some easy to understand, some hard, some useful and others not. The two methods in this paper are extremely insightful.

The paper takes a big-picture view of derivatives valuation. As such, it is a simple accompaniment to more complex methods and aims to keep modelling grounded in reality.

This chapter asks: ‘How often do we as social scientists question the validity of our theories and our findings? How often do we reflexively examine the distortions in the lenses we use to analyse organizations? ‘It proceeds to answer these questions by defining reflexivity and presenting six perspectives on reflexive analysis that build on and extend previous analytical treatments of reflexivity, especially that by Alvesson, Hardy, and Harley (2008). Illustrations of the six are drawn from my own experiences as well as those of other scholars. The intention is to stimulate greater interest in reflexivity and provoke other scholars to look more reflexively at their own work.

The purpose of this paper is to present an arbitrarily accurate approximation for the value of European options written on a Black‐Scholes stock paying a discrete dividend.

The proposed method is a computational method for the analytical solution of the problem.

It was found that the proposed method is computationally faster than any other exact computational available method, including Monte‐Carlo simulations.

The method is applied for a single dividend payment, but can be extended for several payments. The exact amount of the dividend must be known ex‐ante, as well as the precise date of payment.

The paper provides the most efficient way to compute with absolute precision the value of European options on dividend‐paying assets, under the Black‐Scholes assumption.

The computing time in the approach is several orders of magnitude faster than with traditional Monte Carlo methods, for the same desired accuracy.

The purpose of this chapter is to study the mathematisation of finance – excessive use of mathematical models in finance – which has been widely blamed for the recent financial and economic crisis. We argue that the problem might actually be the financialisation of mathematics, as evidenced by the gradual embedding of branches of mathematics into financial economics. The concept of embeddedness, originally proposed by Polanyi, is relevant to describe the sociological relationship between fields of knowledge. After exploring the relationship between mathematics, finance and economics since antiquity, we find that theoretical developments in the 1950s and 1970s lead directly to this embedding. The key implication of our findings is the realization that it has become necessary to disembed mathematics from finance and economics, and proposes a number of partial steps to facilitate this process. This chapter contributes to the debate on the mathematisation of finance by uniquely combining a historical approach, which chronicles the evolution of the relation between mathematics and finance, with a sociological approach from the perspective of Polyani’s concept of embedding.

This paper applies organizational development (OD) process‐cultural and structural change strategies to synthesize Etzioni's three approaches to power and compliance: normative, coercive and remunerative to study the management control systems of teams in organizations.

The paper uses library‐archives research.

OD's process and structural differences have affected team members' commitment and operating performance in these three control systems. Advances in information technology have introduced new forms of normative: surveillance control.

If MCS are viewed as adaptive systems, the design and implementation of MCS center on identifying those contingent OD process and structural conditions that support team management in these three control systems.

The management control literature has not applied Etzioni's basis of power and compliance typologies to study the administrative control of teams. This paper fills this research gap by synthesizing and integrating the OD and MCS literature.

This paper proposes to rethink the concepts of relevance and usefulness and their relation to the theory–practice gap in management research.

On the basis of the cognitive-linguistic relevance theory or inferential pragmatics, supplemented by insights from information science, we define relevance as a general conceptual category, while reserving usefulness for the instrumental application in a particular case.

There is no reason to hold onto the difference between theoretical and practical relevance, nor to distinguish between instrumental and conceptual relevance.

This novel approach will help to clarify the confusion in the field and contribute to a better understanding of the added value of management research.