Management Sciences and Quantitative Methods Commons^™

Intuitive Black-Scholes Option Pricing With A Simple Table, Tom Arnold, Terry D. Nixon, Richard L. Shockley Jr.

Finance Faculty Publications

The Black-Scholes option pricing model (1973) can be intimidating for the novice. By rearranging and combining some of the variables, one can reduce the number of parameters in the valuation problem from five to two: 1) the option's moneyness ratio and 2) its time-adjusted volatility. This allows the computationally complex Black-Scholes formula to be collapsed into an easy-to-use table similar to those in some popular textbooks. The tabular approach provides an excellent tool for building intuition about the comparative statics in the Black-Scholes equation. Further, the pricing table can be used to price options on dividend-paying stocks, commodities, foreign exchange …

Research Strategy And Scoping Survey On Spreadsheet Practices, Thomas A. Grossman Jr., O Ozluk

Business Analytics and Information Systems

We propose a research strategy for creating and deploying prescriptive recommendations for spreadsheet practice. Empirical data on usage can be used to create a taxonomy of spreadsheet classes. Within each class, existing practices and ideal practices can he combined into proposed best practices for deployment. As a first step we propose a scoping survey to gather non-anecdotal data on spreadsheet usage. The scoping survey will interview people who develop spreadsheets. We will investigate the determinants of spreadsheet importance, identify current industry practices, and document existing standards for creation and use of spreadsheets. The survey will provide insight into user attributes, …

Task 3: Quality Assurance Program, Amy J. Smiecinski

Publications (YM)

The University and Community College System of Nevada (UCCSN) is qualified as a supplier of scientific and engineering studies as well as software development. Quality Assurance Procedures (QAPs) comprise the upper tier of the UCCSN QA Program, written in accordance with QAP-2.0, “Quality Assurance Program – Preparation, Approval, and Revision of Procedures”, to meet the requirements of DOE/RW-0333P, OCRWM Quality Assurance Requirements and Description (QARD). The UCCSN Quality Assurance Requirements Matrix is provided to DOE specifying where in the QAPs OCRWM QA requirements are met, as well as exceptions to the QARD, due to scope of work.

The Over-Claiming Technique: Measuring Self-Enhancement Independent Of Ability, Delroy L. Paulhus, Peter D. Harms, M. Nadine Bruce, Daria C. Lysy

Leadership Institute: Faculty Publications

Overclaiming is a concrete operationalization of self-enhancement based on respondents’ ratings of their knowledge of various persons, events, products, and so on. Because 20% of the items are nonexistent, responses can be analyzed with signal detection formulas to index both response bias (over-claiming) and accuracy (knowledge). Study 1 demonstrated convergence of over-claiming with alternative measures of self-enhancement but independence from cognitive ability. In Studies 2–3, the validity of the overclaiming index held even when respondents were (a) warned about the foils or (b) asked to fake good. Study 3 also showed the utility of the over-claiming index for diagnosing faking. …

Finding Firm Value "Quickly" With An Analysis Of Debt, Tom Arnold, Jerry James

Finance Faculty Publications

A firm value calculator (FVC) is introduced that is much faster and less tedious than its pro forma counter-part. The additional benefit of this FVC over what is available in the existing literature is a direct analysis of the effect of leverage. The debt analysis is captured within both the firm's cash flow and the discount rate for the firm's cash flow. The calculator can be implemented on a hand-held calculator or on an Excel spreadsheet making the analysis very amenable to the classroom.

Behavioral Management And Task Performance In Organizations: Conceptual Background, Meta-Analysis, And Test Of Alternative Models, Alexander D. Stajkovic, Fred Luthans

Department of Management: Faculty Publications

In this study, we provide the conceptual background, meta-analyze available behavioral management studies (N = 72) in organizational settings, and examine whether combined reinforcement effects on task performance are additive (sum of individual effects), redundant (combined effects are less than the additive effects), or synergistic (combined effects are greater than the sum of the individual effects). We found a significant overall average effect size of (d.) = .47 (16% improvement in performance; 63% probability of success), and a significant within-group heterogeneity of effect sizes. To account for this variation, we conducted a theory-driven moderator analysis, which indicated that money, feedback, …

Recognizing Macroeconomic Fluctuations In Value Based Management, Lars Oxelheim, Clas Wihlborg

Business Faculty Articles and Research

Value Based Management (VBM) has become a common tool for evaluating corporate strategies and projects from the perspective of shareholder value maximization, and can be an important input for corporate compensation systems. But traditional VBM frameworks make no systematic effort to distinguish between changes in performance attributable to macroeconomic fluctuations beyond management's control and changes in performance that reflect the intrinsic competitive position of the firm.

The authors have developed an approach for “filtering out” the impact of macroeconomic fluctuations on cash flows for purposes of performance evaluation. Such fluctuations are captured by changes in exchange rates, interest rates, and …

360-Degree Feedback With Systematic Coaching: Empirical Analysis Suggests A Winning Combination, Fred Luthans, Suzanne J. Peterson

Department of Management: Faculty Publications

Wanted: High-performance work practices to gain a competitive advantage. An increasingly common answer to this desperate call is 360-degree programs; unfortunately, they have, at best, mixed reviews when empirically assessed. This study found that a way to improve the effectiveness of 360s may be to combine them with coaching focused on enhanced self-awareness and behavioral management. In a small manufacturer, this feedback-coaching resulted in improved manager and employee satisfaction, commitment, intentions to turnover, and at least indirectly, this firm’s performance. This feedback-coaching may be a winning combination to help in the competitive battles in today’s global economy.

What Knowledge Managers Really Do: An Empirical And Comparative Analysis, Arben Asllani, Fred Luthans

Department of Management: Faculty Publications

The advent of information technology has generated not only interest in how to acquire, store and ‘‘mine’’ data, but also how to manage knowledge. Yet, there is still considerable confusion and a lack of understanding of what today’s knowledge managers really do. Continuing a stream of previous research on the behavior activities of traditional managers, this study investigated the relative amount of time today’s knowledge managers (N = 307) spend on traditional management functions, communications, human resources and networking. Besides identifying what knowledge managers really do, this study examined what successful knowledge managers do. Comparisons are then made with …

Complexity Theory And Al Qaeda: Examining Complex Leadership, Russ Marion, Mary Uhl-Bien

Department of Management: Faculty Publications

Recent events in the world are forcing us to restructure our understanding of leadership and organization. The al- Qaeda organization and its pervasive presence in the world demonstrated first-hand the power of a flexible, moderately coupled network of individuals brought together by a common need and aligned behind an informal and emergent leader. Its structure, which resulted from bottom-up coordination of individuals who voluntarily came together based on common need rather than from top-down hierarchical control, clearly demonstrates the power of a networked system based on relationships and shared vision and mission. To understand this and other types of network …

Reciprocity In Manager-Subordinate Relationships: Components, Configurations, And Outcomes, Mary Uhl-Bien, John M. Maslyn

Department of Management: Faculty Publications

The present study examines both positive and negative norms of reciprocity in managerial work relationships by assessing three components of reciprocal behavior: immediacy, equivalence, and interest motive. The findings show that subordinate reports of immediacy, equivalence, and self-interest were negatively associated, and mutual-interest was positively associated, with relationship quality as reported by both subordinates and managers (other-interest was not significant). These components of reciprocity were also subjected to cluster analysis to identify groupings of reciprocity styles. The results indicate styles reflecting high quality (n = 65), low quality (n = 120), and negative social exchanges (n = …

The Duality Of Race And Gender For Managerial African American Women: Implications Of Informal Social Networks On Career Advancement, Gwendolyn Combs

Department of Management: Faculty Publications

Research suggests that women have progressed in equalizing their representation, status, and earning power as managers in organizations. These improvements may not reflect the career advancement of managerial African American women. African American women contend with the convergence of race and gender in improving their organizational standing and career advancement opportunities. The literature on workplace social networks indicates that informal more than formal socialization systems are salient in advancing careers. Due to the duality of race and gender, African American women in managerial and executive positions may be forced into out-group status in terms of informal social networks. Informal social …

Forecasting With A Real-Time Data Set For Macroeconomists, Tom Stark, Dean D. Croushore

Economics Faculty Publications

This paper discusses how forecasts are affected by the use of real-time data rather than latest-available data. The key issue is this: in the literature on developing forecasting models, new models are put together based on the results they yield using the data set available to the model’s developer. But those are not the data that were available to a forecaster in real time.

How much difference does the vintage of the data make for such forecasts? We explore this issue with a variety of exercises designed to answer this question. In particular, we find that the use of real-time …

Attribute-Based Differentiation Of Alternatives, Jeffrey Keisler

Management Science and Information Systems Faculty Publication Series

An intermediate step is introduced to the decision dialogue process for decision analysis. Alternatives are refined after they have been generated within a strategy table but before they are subject to more detailed evaluation. Two or more judges create a subjective mapping from alternatives to attributes that will later be mapped to criteria. In strategy tables, each of the alternative strategies consists of a coherent set of choices made across several decisions that are to be coordinated. These strategic alternatives are modified so as to increase their differentiation in the attribute space, rather than in the decision space alone. When …

Use Of Exemplar Surveys To Reveal Implicit Types Of Intelligence, Delroy L. Paulhus, Paul Wehr, Peter D. Harms, David I. Strasser

Leadership Institute: Faculty Publications

Implicit theories of intelligence were investigated via surveys of exemplars of intelligence. Study 1 was a four-sample survey of famous exemplars. These diverse samples reported a similar set of popular exemplars, which clustered into five groups. These groups represented five types of intelligence: scientific, artistic, entrepreneurial, communicative, and moral intelligence. In Study 2, the minimal overlap of intelligence exemplars with those of fame, creativity, and wisdom refuted the possibility that exemplar reports are indiscriminate or solely a result of availability. In Study 3, knowledgeable judges rated the similarity of 50 famous persons to exemplars representing each type of intelligence. All …

On Uncertainty, Ambiguity, And Complexity In Project Management, Michael T. Pich, Christoph H. Loch, Arnoud De Meyer

Research Collection Lee Kong Chian School Of Business

This article develops a model of a project as a payoff function that depends on the state of the world and the choice of a sequence of actions. A causal mapping, which may be incompletely known by the project team, represents the impact of possible actions on the states of the world. An underlying probability space represents available information about the state of the world. Interactions among actions and states of the world determine the complexity of the payoff function. Activities are endogenous, in that they are the result of a policy that maximizes the expected project payoff.

A key …

Microscopic Chaos And Gaussian Diffusion Processes, L. Y. Chew, Christopher Ting

Research Collection Lee Kong Chian School Of Business

In this paper, we construct and analyze a prototypical model of microscopic chaos. In particular, we extend the results of Beck and Shimizu to the case where the microscopic time scale r is no longer small. The upshot is that a non-Ornstein-Uhlenbeck deterministic process can generate a Gaussian diffusion process.

Job Satisfaction As Related To Safe Performance: A Case For A Manufacturing Firm, Chong W. Kim, Marjorie L. Mcinerney, Robert P. Alexander

Management Faculty Research

Many companies have made significant improvements in safety records, but have eventually reached a plateau. This article examines employee safety performance in regards to their job satisfaction and its implications to managers for improving employees safety performance through job redesign.

Miscellaneous Publication 8/2002 - Statistics Report For The Western Australian Floriculture Industry - August 2000, Department Of Agriculture, Western Australia

Horticulture published reports

Statistical data plays an important role in many decisions faced by both established and prospective businesses within all industry sectors. In order to offer a better service to its customers, the Department of Agriculture (the Department) requires information regarding the cutflower and nursery industry within Australia and Western Australia.

Though there are many avenues available in order to obtain this statistical information, both locally and nationally, there is no concise summary available. In addition, information obtained must be assessed in detail to determine its reliability and relevance.

Current statistics for both the Australian and Western Australian nursery and cutflower industries …

Sampling Concepts, Paul Boyd, Ph.D.

MBA Faculty Conference Papers & Journal Articles

The usefulness of any research is dependent upon how well the group studied represents the group about which decisions are to be made or conclusions drawn. That is, it depends upon how well the sample reflects relevant characteristics of the population. When it is possible to study every member of that group there is no problem, for on these occasions we can easily calculate the exact attribute (parameter) of interest for our population.

For example, if we were interested in determining the average number of gallons of gasoline sold to customers at our service station yesterday, we …

Evaluation Of Cauliflower Varieties, Department Of Agriculture, Western Australia, Horticulture Australia

Horticulture research reports

This document has been prepared from a cauliflower variety evaluation trial conducted at the Manjimup Horticultural Research Institute, South West Highway, Manjimup WA 6258. The results reflect the growth characteristics, yield, quality and density of the cauliflower varieties as recorded at this site during the conditions of the growing period (May 2002 to September 2002).

This report is the thirty-fourth in a series produced from the evaluation of cauliflower and broccoli varieties, conducted at Manjimup Horticultural Research Institute. Cauliflower only has been evaluated in this and in subsequent trials.

The results are provided to allow seed suppliers, seedling nurseries, growers, …

The Quality Problem Solving Method And Its Effectiveness At Nortech Inc., Jeffrey Henderson

Honors Capstones

Capstone submitted as a graduation requirement for the BSU Honors Program.

Modeling Size-Of-Loss Distributions For Exact Data In Winbugs, David P.M. Scollnik

Journal of Actuarial Practice (1993–2006)

This paper discusses how the statistical software WinBUGS can be used to implement a Bayesian analysis of several popular severity models applied to exact size-of-Ioss data. The particular models targeted are the gamma, inverse gamma, loggamma, lognormal, (two-parameter) Pareto, inverse (two-parameter) Pareto, Weibull, and inverse Weibull distributions. It is possible to implement additional size-of-Ioss models (including those for truncated data) using methods analogous to those described herein.

Unearned Premiums And Deferred Policy Acquisition Expenses In Automobile Extended Warranty Insurance, Joseph Cheng

Journal of Actuarial Practice (1993–2006)

A prorata formula is commonly used to calculate unearned premium reserves in property-casualty insurance. I believe, however, that an exposure-adjusted formula is more appropriate in automobile extended warranties. This paper describes the exposure-adjusted approach to calculate the unearned premium reserves of an automobile extended warranty insurance program, to test the adequacy of the calculated reserves, and to determine the allowable deferred policy acquisition expenses from an insurance company's perspective.

Can Utility-Maximization Models Assist With Retirement Planning?, Zaki Khorasanee

Journal of Actuarial Practice (1993–2006)

Utility-maximization models for optimizing portfolio choices can be subdivided into two classes: those based on maximizing the expected utility of lifetime consumption and those based on maximizing the expected utility of retirement wealth. It is argued that the first type of model, which optimizes both saving and investment decisions, is difficult to apply in practice because of inadequate (or unreliable) information about individual preferences. Although the second type of model only optimizes investment decisions, it is of greater practical value because fewer data on individual preferences are required. The second type of model is used to derive formulae for the …

Some Comments On The Pricing Of An Exotic Excess Of Loss Treaty, Jean-Francois Walhin

Journal of Actuarial Practice (1993–2006)

This paper uses a multivariate analog of Panjer's algorithm to develop a method for pricing a complex excess of loss treaty. The treaty is such that some layers inure to the benefit of other layers. The structure of this treaty is discussed. Numerical examples are provided.

Communicating Effectively With Words, Numbers, And Pictures: Drawing On Experience, Karolina Duklan, Michael A. Martin

Journal of Actuarial Practice (1993–2006)

In this paper, we discuss techniques for developing effective communication skills, focusing in particular on technical writing, the use of graphics, and presentation. The key principles of effective communication that we propose to actuaries are as follows:

• Identify your audience and consider their needs and abilities;

• Focus on substantive content;

• Choose appropriate communication tools;

• Use language that is simple, concrete, and familiar;

• Integrate text, numbers, and graphics;

• Respond to information complexity creatively.

We focus in particular on the use of graphics as a communications tool as they are an efficient and potentially highly effective …

Further Remarks On Risk Sources Measuring: The Case Of A Life Annuity Portfolio, Mariarosaria Coppola, Emilia Di Lorenzo, Marilena Sibillo

Journal of Actuarial Practice (1993–2006)

The paper considers a model that allows the actuary to measure the riskiness connected to the randomness of projected mortality tables in evaluating a portfolio of life annuities, obtaining a measure to reflect the risk associated with the randomness of the projection. The coherence of the risk parameters with the specific nature of the considered risk sources is also discussed. Numerical examples illustrate the results, showing the importance of the risk components in terms of the number of policies and comparing measure tools obtained by means of two procedures.

A Note On The Parallelogram Method For Computing The On-Level Premium, David P.M. Scollnik, Wai Man Sara Lau

Journal of Actuarial Practice (1993–2006)

This paper discusses the differences appearing in the descriptions of the parallelogram method for the determination of earned premium at current rate levels given by McClenahan (1996) and Brown and Gottlieb (2001). It observes that the former is consistent with the method of extending exposures while the latter is not. An illustration is provided. This paper also discusses two other approaches to the determination of the earned premium.

Dynamic Funding And Investment Strategy For Defined Benefit Pension Schemes: A Model Incorporating Asset-Liability Matching Criteria, Shih-Chieh Chang, Cheng-Hsien Tsai, Chia-Jung Tien, Chang-Ye Tu

Journal of Actuarial Practice (1993–2006)

This paper studies the dynamic funding policy and investment strategy for defined benefit pension plans using one of the most comprehensive dynamic pension models to date. The model includes three investable assets: one risk free and two risky. The optimal plan decisions are formulated as a stochastic control problem that is solved using dynamic programming. The objective function uses performance measures to take into account the stability and solvency of the plan. The model is then applied to a Taiwanese pension.