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     

Pleasing the students: teachers' orientaton to classroom life in adult education

It is noted that existing sociological research on classrooms has focused too narrowly on compulsory schooling with the result that we have no data showing the rituals and routines of Adult Classrooms or the ways that teachers cope and resolve them. The paper presents fieldnote and interview data from a small ethnographic study of the two Adult Evening classes. The data suggest that in contrast to the teacher of school aged pupils, who seeks control and discipline, ‘pleasing students’ is the major orientation to classroom life of the evening class teacher. Do not say, the people must be educated when after all you only mean amused, refreshed, soothed put into good spirits and good humour or kept from vicious excesses. (Newman, 1873).     

The emergence of an Alpine environmental expertise

This article reports on the findings of research carried out on conflicts concerning major transport infrastructure projects in the Southern Alps. These conflicts were analyzed as delineating the gradual emergence of an environmental expertise network. Rather than fighting the administration and/or the transport operator in the field of transport, some opponents try to relocate the expertise into the field of the environment so as to catch the experts in the different administrations off guard. This resulting Alpine environmental expertise is based on the constitution of trans‐Alpine associative networks and the emergence of a constantly more supportive and structuring notion: sustainable development. In this article, we analyze the manner in which this notion is diffused and how it gradually builds up its definition in the course of action. The Alpine Agreement plays a major role in this operationalization: it constitutes a multilateral semantic point of reference for a variable Alpine policy and has influenced both major trans‐Alpine associative networks and official French land transport policy.     

The Chinese-speaking Muslims (Dungans) of Central Asia: A Case of Multiple Identities in a Changing Context

Chinese-speaking Muslims, called Dungans in Central Asia and Huizu in China, were forced to migrate to present-day Kazakhstan, Kyrgyzstan and Uzbekistan at the end of the nineteenth century. They reconstructed their identity through interrelations with local populations and the soviet categorisation of nationality. But after 1991, their status has being gradually destabilised owing to the changes in economic, social and political rules as well as citizenship regulations in these countries. They have to readapt to the new situation created by the independence of the three former Soviet Republics, which has challenged their unity.     

Real Men,Real Women,Real Lives? Gender issues in learning disabilities and challenging behaviour

This article seeks to define gender issues and explores the significance of these issues for challenging behaviour in the field of learning disability. It is argued that lack of awareness about these issues contributes to the development of challenging behaviour and to difficulties in identifying the needs expressed through these behaviours, whatever their origin. Specific areas examined include models of residential provision for adults, prioritisation of service activities, attribution processes (needs identification), and the sexuality of people with learning disabilities. In each area issues are raised and the implications for service practice defined.     

Analyse biographique du travail féminin

Cet article montre comment l'application d'une méthode d'analyse biographique d'interaction à un domaine où l'interaction paraît évidente — activité féminine et fécondite — ouvre des perspectives nouvelles. En effet, les limites qui apparaissent lors de cette analyse conduisent les auteurs à conclure que ce n'est pas en raffinant les méthodes mais plutôt la collecte que l'on parviendra à progresser dans ce domaine. Le problème des interactions de l'activité et de la fécondité semble mal posé avant même le recours à la méthode. Cela justifie la nécessité de saisir le travail féminin comme concept unifié ne dissociant pas la sphère domestique et la sphère rémunérée. Cela conduit les auteurs à dégager quelques principes de collecte mieux adaptés aux préoccupations récentes dans ce domaine: des données biographiques sur le travail féminin. L'interaction collectée à sa source se prêterait alors à une analyse biographique plus révélatrice que celle qui confronte deux processus sans en évaluer les modalités changeantes.This article demonstrates how life event history analysis applied to the interaction between fertility and female economic activity can lead to new perspectives in the analysis of this complicated relationship. The authors identify limits to the analysis of the interaction given the anticipatory nature of behaviour. They conclude that progress in this field requires not the refinement of methods but rather a fundamental change in the approach to the data collected. If fertility and employment are considered separately, a problem is created even before the methods of analysis are applied. They recommend a conception of women's work as a whole, a conception that does not dissociate domestic and paid work. The authors go on to identify ways of improving the relevance of data collection to contemporary issues in the life history analysis of women's work. They argue that data on the interaction, collected at its source, would yield a more revealing life history than that which sees domestic work and paid work as separate spheres, and fails to take account of changes in their relationship.     

Optimal scaling of Metropolis algorithms: Heading toward general target distributions

The authors provide an overview of optimal scaling results for the Metropolis algorithm with Gaussian proposal distribution. They address in more depth the case of high‐dimensional target distributions formed of independent, but not identically distributed components. They attempt to give an intuitive explanation as to why the well‐known optimal acceptance rate of 0.234 is not always suitable. They show how to find the asymptotically optimal acceptance rate when needed, and they explain why it is sometimes necessary to turn to inhomogeneous proposal distributions. Their results are illustrated with a simple example.     

Approximations of rational criteria under complete ignorance and the independence axiom

Rational decision making under complete ignorance, a limit case of uncertainty, is defined. Through a concept of approximation, a meaning is given to a criterion almost possessing a property. Rational criteria depend almost on the sole bounds of the outcome range of each decision, they are almost continuous, they can almost possess a transitive indifference relation; however, under Savage's Independence Axiom, this last property restricts possible criteria to those which can be approximated, at least partly, by either the Maximin or the Maximax criterion.