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     

Aging in the Era of Regenerative Medicine: Analysis of Aging‐Related Representations among Canadian Researchers

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.     

Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp-optimization

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 L^p-medians encompassing the MS and CTE. For p in (1,2), a tail L^p-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.     

Politics and Scientific Expertise: Scientists, Risk Perception, and Nuclear Waste Policy

To study the homogeneity and influences on scientists'perspectives of environmental risks, we have examined similarities and differences in risk perceptions, particularly regarding nuclear wastes, and policy preferences among 1011 scientists and engineers. We found significant differences ( p 0.05)in the patterns of beliefs among scientists from different fields of research. In contrast to physicists, chemists, and engineers, life scientists tend to: (a)perceive the greatest risks from nuclear energy and nuclear waste management; (b)perceive higher levels of overall environmental risk; (c)strongly oppose imposing risks on unconsenting individuals; and (d)prefer stronger requirements for environmental management. On some issues related to priorities among public problems and calls for government action, there are significant variations among life scientists or physical scientists. We also found that–independently of field of research–perceptions of risk and its correlates are significantly associated with the type of institution in which the scientist is employed. Scientists in universities or state and local governments tend to see the risks of nuclear energy and wastes as greater than scientists who work as business consultants, for federal organizations, or for private research laboratories. Significant differences also are found in priority given to environmental risks, the perceived proximity of environmental disaster, willingness to impose risks on an unconsenting population, and the necessity of accepting risks and sacrifices.     

Suicide Attempts by Adolescent Latinas: An Exploratory Study of Individual and Family Correlates

Epidemiological data show high rates of suicide attempts among adolescent Latinas. Few studies have addressed the psychosocial, cultural and family correlates of suicide attempts among this age group of a rapidly growing population. The authors studied 31 adolescent Hispanic females who were receiving mental health services; 14 girls had attempted suicide in the previous five years and 17 had never attempted suicide. The two groups of girls did not differ significantly with respect to demographic profiles, levels of depression, family type, acculturation, or self-esteem. However, as hypothesized, the mutuality between girls and their mothers was lower among suicide attempters. Maladaptive coping skills of withdrawal and wishful thinking were more commonly used by attempters, and non-attempters used emotional regulation and problem-solving more frequently. Findings are discussed within the context of the empirical and theoretical literature and implications for practice are considered.     

Spatial Variations in Church Burnings: The Social Ecology of Victimized Communities in the South*

Abstract In recent years, church burnings in the South have attracted a great deal of attention. Many commentators have charged that they are a product of strained race relations throughout the South, and particularly of severe racial tensions in Southern rural areas. In this study we evaluate these claims. We begin by mapping the spatial coordinates of recorded church burnings from 1990 to 1997, and find that church arsons indeed are concentrated in the South. Church burnings, however, are a more urban phenomenon than popular media accounts would suggest. Our analysis then explores the influence of contextual factors (population and locale, racial composition and inequality, so‐cioeconomic conditions, local religious ecology, and patterns of reported crime) on church burnings in counties located in the study region. Logistic regression models confirm that church arsons are most likely to occur in small metropolitan statistical areas (MSAs) and non‐MSA counties containing a city of at least 10,000 residents. Church burnings also are especially likely in counties with a higher percentage of black residents, a larger number of churches relative to the rest of the state, and a higher arson rate. We conclude by discussing the implications of these findings for future research and public policy.     

Challenges to professionalism and union voting intentions: The case of pharmacists

Using data from a national survey of pharmacists who are members of the American Pharmaceutical Association, we examine the union voting intentions of employee pharmacists. We find that union instrumentality regarding professionalism is a primary predictor of union voting intent among these employees. In addition, this predictor mediates the relationship between the level of professionalism at a pharmacist’s current employment situation and his or her expected union vote. Also important to union voting intent are respondent beliefs about union instrumentality regarding pecuniary issues, prior union experience, as well as overall job satisfaction. Implications for employers, unions, and researchers are drawn. We thank Mary Graham, Jann Skelton, Paul Swiercz, Terry Thomason, and participants at the Seventh Bar-gaining Group Conference at Michigan State University for their comments on earlier versions of this paper. This research was made possible by a grant from the American Pharmaceutical Association.     

森林可持续经营的政策支持体系——亚太区域示范林项目中国临安示范林实践

运用参与性诊断(即PRRA)方法对临安示范林地区的森林经营主要政策进行了诊断分析,找出了现行政策存在的问题,如:政策环境欠佳,产权政策不到位,税费政策不合理,林业产品生产、加工和销售脱节,森林生态效益补偿政策欠规范、不合理等.同时,运用参与性设计的方法对若干主要政策进行专项设计,并在此基础上,从优化森林可持续经营的政策环境和规范政策系统运行两方面入手,提出一套科学、合理和有效的适合当地水平的森林可持续经营综合设计方案,以促进示范林网络的发展.