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1.
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 相似文献
2.
Aging in the Era of Regenerative Medicine: Analysis of Aging‐Related Representations among Canadian Researchers 下载免费PDF全文
Céline Lafontaine 《The Sociological quarterly》2015,56(1):62-79
Explicitly aimed at understanding and controlling molecular and cellular processes at the root of senescence and biological aging, regenerative medicine aspires to artificially reproduce the biological processes that enable the body to regenerate itself. This no longer involves conserving the body's state of balance by combating disease, as in clinical medicine, but rather fighting degeneration itself. From stem cell research to gene therapy to the production of replacement tissues, regenerative medicine perfectly corresponds to the logic of biomedicalization specific to postmodern society. Based on a series of 18 interviews conducted with Canadian researchers and clinicians in the field of regenerative medicine, this article seeks to understand representations of the aging body among researchers in this field. Seen from a strictly negative angle, aging is assimilated by researchers to an inevitable catastrophe that nevertheless must be combated. More closely observing the theoretical model of regenerative biology and the types of treatments developed, it can be observed, however, that this medicine of the future does not target the elderly, but rather promises youth the ability to regenerate themselves to avoid aging. 相似文献
3.
Laurent Gardes Stéphane Girard Gilles Stupfler 《Scandinavian Journal of Statistics》2020,47(3):922-949
The conditional tail expectation (CTE) is an indicator of tail behavior that takes into account both the frequency and magnitude of a tail event. However, the asymptotic normality of its empirical estimator requires that the underlying distribution possess a finite variance; this can be a strong restriction in actuarial and financial applications. A valuable alternative is the median shortfall (MS), although it only gives information about the frequency of a tail event. We construct a class of tail Lp-medians encompassing the MS and CTE. For p in (1,2), a tail Lp-median depends on both the frequency and magnitude of tail events, and its empirical estimator is, within the range of the data, asymptotically normal under a condition weaker than a finite variance. We extrapolate this estimator and another technique to extreme levels using the heavy-tailed framework. The estimators are showcased on a simulation study and on real fire insurance data. 相似文献
4.
María del Carmen Méndez García 《Intercultural Education》2005,16(1):57-68
The sociocultural content of foreign language textbooks has become a concern of scholars and practitioners owing to the fact that the traditional emphasis on purely linguistic issues has been expanded to embrace a language in context approach. This paper studies the English‐speaking communities that are described in English language teaching textbooks marketed in Spain. It examines to what extent an international and/or intercultural approach is a constituent element in their design. 相似文献
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Conservation biology aims at assessing the status of a population, based on information which is often incomplete. Integrated population modelling based on state‐space models appears to be a powerful and relevant way of combining into a single likelihood several types of information such as capture‐recapture data and population surveys. In this paper, the authors describe the principles of integrated population modelling and they evaluate its performance for conservation biology based on a case study, that of the black‐footed albatross, a northern Pacific albatross species suspected to be impacted by longline fishing 相似文献
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Emmanuelle Cam Bernard Cadiou James E. Hines Jean Yves Monnat 《Journal of applied statistics》2002,29(1):163-185
Many studies have provided evidence that, in birds, inexperienced breeders have a lower probability of breeding successfully. This is often explained by lack of skills and knowledge, and sometimes late laying dates in the first breeding attempt. There is growing evidence that in many species with deferred reproduction, some prebreeders attend breeding places, acquire territories and form pairs. Several behavioural tactics assumed to be associated with territory acquisition have been described in different species. These tactics may influence the probability of recruiting in the breeding segment of the population, age of first breeding, and reproductive success in the first breeding attempt. Here we addressed the influence of behaviour ('squatting') during the prebreeding period on demographic parameters (survival and recruitment probability) in a long-lived colonial seabird species: the kittiwake. We also investigated the influence of behaviour on reproductive trajectory. Squatters have a higher survival and recruitment probability, and a higher probability of breeding successfully in the first breeding attempt in all age-classes where this category is represented. The influence of behaviour is mainly expressed in the first reproduction. However, there is a relationship between breeding success in the first occasion and subsequent occasions. The influence of breeding success in the first breeding attempt on the rest of the trajectory may indirectly reflect the influence of behaviour on breeding success in the first occasion. The shape of the reproductive trajectory is influenced by behaviour and age of first breeding. There is substantial individual variation from the mean reproductive trajectory, which is accounted for by heterogeneity in performance among individuals in the first attempt, but there is no evidence of individual heterogeneity in the rate of change over time in performance in subsequent breeding occasions 相似文献
9.
Andrée Coulombe M.Ps. Robert Ladouceur Ph.D. Raymond Desharnais Ph.D. Jean Jobin Ph.D. 《Journal of gambling studies / co-sponsored by the National Council on Problem Gambling and Institute for the Study of Gambling and Commercial Gaming》1992,8(3):235-244
This study investigated the relationship between the level of arousal (Heart Rate) and the number of erroneous perceptions among video poker players. Twelve regular and twelve occasional gamblers participated in a gambling session conducted in a natural environment. It was hypothesised that 1) a significant positive correlation would be observed between arousal and the number of erroneous verbalizations, 2) regular players would show a higher level of arousal than occasional players, and 3) they would emit more erroneous verbalizations. Results showed that hypotheses one and three were confirmed. Theoretical and practical implications of these results for the psychology of gambling are discussed.This study was supported by a grant from Loto-Québec. 相似文献
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