Price bias and common practice in option pricing

Generally, the semiclosed-form option pricing formula for complex financial models depends on unobservable factors such as stochastic volatility and jump intensity. A popular practice is to use an estimate of these latent factors to compute the option price. However, in many situations this plug-and-play approximation does not yield the appropriate price. This article examines this bias and quantifies its impacts. We decompose the bias into terms that are related to the bias on the unobservable factors and to the precision of their point estimators. The approximated price is found to be highly biased when only the history of the stock price is used to recover the latent states. This bias is corrected when option prices are added to the sample used to recover the states' best estimate. We also show numerically that such a bias is propagated on calibrated parameters, leading to erroneous values. The Canadian Journal of Statistics 48: 8–35; 2020 © 2019 Statistical Society of Canada     

地区信息化水平的综合评价

本文从信息化的发展入手,阐述了信息化建设及各地区信息化水平评价的重要性,采用多元统计中的主成分分析和主成分回归法,设计一个综合指标用以评估各类地区的信息化水平及其在全国所处的位置,指导各地区的信息化建设。     

The Measurement of Multidimensional Poverty

Many authors have insisted on the necessity of defining poverty as a multidimensional concept rather than relying on income or consumption expenditures per capita. Yet, not much has actually been done to include the various dimensions of deprivation into the practical definition and measurement of poverty. Existing attempts along that direction consist of aggregating various attributes into a single index through some arbitrary function and defining a poverty line and associated poverty measures on the basis of that index. This is merely redefining more generally the concept of poverty, which then essentially remains a one dimensional concept. The present paper suggests that an alternative way to take into account the multi-dimensionality of poverty is to specify a poverty line for each dimension of poverty and to consider that a person is poor if he/she falls below at least one of these various lines. The paper then explores how to combine these various poverty lines and associated one-dimensional gaps into multidimensional poverty measures. An application of these measures to the rural population in Brazil is also given with poverty defined on income and education.     

数学分析中基本概念的教学

通过导数、数列极限、函数的连续性和函数项级数不一致收敛等概念的教学 ,阐明了数学分析中基本概念教学的重要性     

A simple procedure for the selection of significant effects

Summary.  Given a large number of test statistics, a small proportion of which represent departures from the relevant null hypothesis, a simple rule is given for choosing those statistics that are indicative of departure. It is based on fitting by moments a mixture model to the set of test statistics and then deriving an estimated likelihood ratio. Simulation suggests that the procedure has good properties when the departure from an overall null hypothesis is not too small.     

论刘勰文学批评的“文本”精神

刘勰的文学批评有别于先秦两汉时期的“以德为本”的文学批评。贯穿刘勰文学批评始终的是“以文为本”的精神,“文”是刘勰文学批评理论的核心,也是刘勰文学批评方法论依据。刘勰文学批评中的“文本”精神是我国文学批评走向自觉的重要标志。     

试论完善我国散居少数民族立法

少数民族权益的法律保障始终是我国法治进程中的一件大事,而散居少数民族立法工作又是我国整个民族法治建设的重要组成部分。本文主要通过分析完善我国散居少数民族立法的意义,指出我国散居少数民族立法的基本情况以及存在的问题,探求完善散居少数民族立法的方法。     

我国优秀女子背越式跳高运动员力量水平评价

本文通过对我国 45名优秀女子背越式跳高运动员力量训练手段进行分析研究 ,找出影响专项成绩的关键因素 ,为检查评定运动员的力量训练水平提供准确、易行的检查性项目。通过R型因子分析和逐步回归分析 ,得到各项检查性指标与运动成绩的数学模型 ,制定出评定运动员力量训练水平的评定标准和评定方法 ,从而给教练员提供了评价力量训练水平的量化标准     

明代宋史著述关于《宋史》史料之增补与纠谬

元修《宋史》的粗陋屡遗后人斥责，改撰重修者接连不断，其中以明人成绩最为显著。由于元修《宋史》利用了大量的《国史》和《实录》等第一手史料，使得该书在史料价值方面占有绝时优势。明代宋史学者对此有着清楚地认识，因而并未抛弃《宋史》史料，而是本着求实存真、广征博采的原则，对《宋史》史料扩充补遗、考辨纠谬，尤其在人物传记和南渡诸事上增添了丰富的内容，使得宋史记载更趋真实、完备，亦为后人的进一步辨析准备了条件。