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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.

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.

Regulators require banks to employ value‐at‐risk (VaR) to estimate the exposure of their trading portfolios to market risk, in order to establish capital requirements. However, portfolio‐level VaR analysis is a high‐dimensional problem and hence computationally intensive. This article presents two new portfolio‐based approaches to reducing the dimensionality of the VaR analysis.

The value of waiting to invest has been acknowledged in management of real capital investments. Investment decision should be undertaken only if it can justify giving up the value of the option to wait; the same logic is proposed here to be applicable on divestment management of a real estate fund. The purpose of this paper is to test option pricing to quantify the option to wait in a residential real estate fund divestment. It is argued that standard industry valuation practices miss the value of active fund management that should be included when planning a fund divestment strategy.

Dynamic programming, specifically binomial option-pricing model is suggested to complement the current industry standard valuation approaches. The approach is tested in an embedded case study where assets of a residential real estate fund are valuated using the model.

Option pricing can provide risk-neutral quantified value whether an apartment building portfolio should be divested in a single transaction or in multiple transactions over time. In the case study, an option value of 6.6 per cent was found for a residential real estate portfolio.

This study is the first of its kind to propose that value of waiting to divest is an important element when planning a real estate fund divestment. The approach proposed in this study risk-neutrally calculates the value appreciation from the range of the potential values. This provides the decision-maker a deeper understanding of the implications regarding the chosen line of action.

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.

The purpose of this special issue is first to highlight the need for wider understanding of the “civilisational challenge” facing humanity, as it encounters and then exceeds significant limits to growth. The second is to present material that provides grounds for developing effective responses.

The issue draws on evidence from previous research, economic modelling and a range of other sources to investigate the hypothesis that humanity is heading towards an “overshoot and collapse” future. It further suggests that a useful way of responding is to explore the possibility that the prospect of collapse can be moderated or avoided through a process of “conscious descent.”

The main findings are that a very wide spectrum of policies, actions, strategies and options is available that can and should be used to help us avoid the most disastrous manifestations of “overshoot and collapse.” Yet there are also many barriers and impediments that continue to inhibit effective responses. This means that the process of coming to grips with the “civilisational challenge” will take longer and become increasingly costly. Denialism and short term thinking remain embedded in dominant institutions and mainstream practice. Currently, vastly more is miss-spent on various perverse incentives (e.g. advertising, the funding of denial, fossil fuel subsidies) than on securing the future of civilisation. This can be seen as a consequence of outdated values and inadequate worldviews.

The contributions here represent a sample from within a rapidly expanding field of enquiry and action. They should therefore be seen as indicating the need for further high quality investigation, work and action. The main implication is that this process needs to be taken seriously, properly resourced and eventually transformed into a mainstream social project.

The papers are contributions to an in-depth understanding of a complex and evolving situation. Their value lies in the fact that greater understanding and a commitment to early action are among the most productive investments available to societies vulnerable to the systemic threats outlined here. As such, the special issue evokes a fundamental tenet of foresight work in general. Or to put this in the words of Bertrand de Jouvenel, “the proof of improvidence lies in falling under the empire of necessity.”

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.

For many years within Organization Studies, broadly conceived, there was general agreement concerning the pitfalls of assuming a ‘one best way of organizing’. Organizations, it was argued, must balance different criteria of (e)valuation against one another – for example ‘exploitation’ and ‘exploration’ – depending on the situation at hand. However, in recent years a pre-commitment to values of a certain sort – expressed in a preference for innovation, improvisation and entrepreneurship over other criteria – has emerged within the field, thus shifting the terms of debate concerning organizational survival and flourishing firmly onto the terrain of ‘exploration’. This shift has been accompanied by the return of what we describe as a ‘metaphysical stance’ within Organization Studies. In this article we highlight some of the problems attendant upon the return of metaphysics to the field of organizational analysis, and the peculiar re-emergence of a ‘one best way of organizing’ that it engenders. In so doing, we re-visit two classic examples of what we describe as ‘the empirical stance’ within organization theory – the work of Wilfred Brown on bureaucratic hierarchy, on the one hand, and that of Paul Lawrence and Jay Lorsch on integration and differentiation, on the other – in order to highlight the continuing importance of March's argument that any organization is a balancing act between different and non-reducible criteria of (e)valuation. We conclude that the proper balance is not something that can be theoretically deduced or metaphysically framed, but should be based on a concrete description of the situation at hand.

Discourses on ageing and childlessness coalesce around the notion that childless women will experience regret and loneliness in old age. In the United Kingdom, the idea that children (mostly women) will provide care in old age tends to be normalised and underpins social care provision. In recent times, media coverage of childless women has also tended to sustain and promote this. This discourse occurs within a context where childlessness is on the rise and where there is little academic interest in the topic.

Our chapter will report on a constructivist grounded theory study with women who choose not to have children. A key aim of the study was to explore the consequences of participants’ choices on their lives. Twenty-one women aged between 45 and 75, from across England, Scotland and Wales participated. The age criteria were chosen to reflect the category that is used by the Office of National Statistics to denote that women’s reproduction ends at 45. This also helps to construct a social norm that women aged 45 and over are seen as older women. Findings reveal that most participants experience no regrets following their choice not to have children. Some express ‘half regrets’ while all challenge the societal expectation that without children there will be no one to care for them when they are older.

This supports the limited, mainly autobiographical literature, on loss and regret. It also refutes the unquestioned and widely believed assumption that women who choose not have children will live to regret it. For participants, the choice for motherhood was but one choice from a menu of many others. Their choice was for something more meaningful for them rather than a choice against motherhood. Consequently, participants had no reason to experience loss or regret. These findings also question the discourse, which implies that children will ensure care in older age. It presents a challenge to the myth that the family is a haven of happiness and support in an ever-changing world. Crucially, it supports calls for more inclusive policy making to address the care needs of all older people.