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Vanderbilt’s Owen School faculty combines academic prestige with the real-world experience of top practitioners in a uniquely intimate and collaborative learning environment. From global finance and marketing to specialized areas such as health care and HR, Owen students learn from among the world’s best and in the process build relationships that last a lifetime.



Research Seminars

The Volatility Smile in Perfect Markets

Dr. Jay Muthuswamy
Kent State University
Friday, Aug 22, 2014 at 10:30AM | Room Room 218, Owen Graduate School
ABSTRACT

 

Abstract

It is well-known that market prices of options produce implied volatilities that vary by strike in a pattern called the volatility smile. We demonstrate that even if options traded with Black-Scholes-Merton pricing, we would observed smiles, skews, and smirks. This phenomenon arises purely from elements of the computational procedure. We show that elimination of this effect is virtually impossible and that it becomes even more difficult to account for it when volatility smiles also reflect market imperfections, as it is commonly thought. We empirically estimate that the lower bound of this effect is about 18% of the market-observed smile.

Pacing work in knowledge intensive services in a non-stationary environment: Goal-gradient, Deadline and Fatigue

Sarang Deo
Indian School of Business
Tuesday, Oct 14, 2014 at 11:20AM | Room 204
ABSTRACT

There is a growing interest in understanding how work pace in service systems is regulated by workload. The main effect, found in lab experiments as well as field studies is that workers speed up in response to high amount of unfinished workload. We contribute to this literature by specifically investigating the role of fixed deadlines and goals associated with the overall workload in regulating work pace. We base our empirical study on a large operational and clinical dataset on patient appointments and visits in the outpatient department of a tertiary eye care hospital. While analyzing the performance across days, we do not find any evidence of speed up or slowdown in response to the goal (anticipated patient load). However, when investigating the performance within a day, we find that work pace increases as the distance to the goal reduces (goal-gradient effect) and as one approaches the end of the day (deadline effect). Further, we find that the goal-gradient effect is stronger closer to the deadline compared to farther from the deadline. In addition, we also uncover a fatigue effect - work pace reduces as the cumulative output increases - attributable to the knowledge intensity of the tasks. These results have implications for designing critical elements of service systems such as the length of the work shift and setting of intermediate goals during the course of a shift.

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