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     

(Un)ethical practices: intimacy and Internet in the media coverage of the Ashley Madison hack

In the summer of 2015, the “cheating website” known as Ashley Madison came under scrutiny, as a group calling itself the Impact Team revealed users’ private information. This case study explores the controversy’s Canadian media coverage and sheds light on the main discourses about intimacy and the Internet that were made visible during this event. It interrogates how cheaters, hackers, and the company were represented. To varying degrees, the mainstream press condemns the cheaters, the hackers, and the company for their behaviour. The article also addresses the ways intimate practices are politicized and commercialized in the digital context, including a discussion of the emphasis on “privacy.” To conclude the article, I discuss the transparency and privacy issues implicated in digital intimacies and the power–knowledge (im)balance implied by hackers’ online anonymity.     

Parenting as a Dynamic Process: A Test of the Resource Dilution Hypothesis

In this paper, we tested the resource dilution hypothesis, which posits that, because parenting resources are finite, the addition of a new sibling depletes parenting resources for other children in the household. We estimated growth curve models on the self‐reported parenting practices of mothers using four waves of data collected biennially between 1994 and 2000 on a nationally representative sample of 2,082 Canadian children aged 2 to 5 at initial interview and in continuously intact, two‐biological‐parent households. Results showed that when new children were added to the household, mothers exhibited declines in positive interaction, but increased their levels of consistent parenting. Taken together, these findings suggested that parenting resources were reallocated, rather than diluted, when family size increased.     

Des corps étrange(r)s dans la police ? Les policiers minoritaires à Paris et à Berlin

Fieldwork in police stations in the Parisian region and Berlin is used to comparatively analyze how the assignment of identities shapes the occupational experiences of police officers recruited from among visible minorities. The processes for constructing and deconstructing the positions of minorities take place through negotiations during interactions among colleagues. They also depend on the institutional context. The stance of “denial” adopted by the French staff opens the way to tensions between officers from visible minorities and the others, whereas interventions by superiors in Berlin reduce the room for conflict while assigning a cultural identity to police officers recruited “from immigration”.     

Family Benefits and Fertility: An Econometric Analysis

A population's growth potential is significantly underestimated by conventional calculations of population momentum which assume an immediate drop to replacement level fertility. Here we assume that the growth rate of births linearly declines to zero over a specified time interval, and find simple and intuitively meaningful expressions for the size of the ultimate birth cohort and the resultant population momentum. In particular, we find that the increase in the number of births over the transition is equal to growth at the initial rate for half the time needed to attain a constant birth level. Thus our formula readily calculates the growth potential of a population under a gradual approach to stationarity without the need for a numerical projection. Calculations for actual and hypothetical populations are presented to show the demographic impact of such gradual approaches to zero growth.     

Instable career paths among workers 45 and over: Insight gained from long-term career trajectories

The study presented in this article focused on the instable career paths of older workers. The study, which is based on the life course approach, had two objectives: 1) identify the main variables which, through their interactions, characterized end-of-career paths; 2) piece together, from the beginning of the career onward, the sequence of key events, transitions, and turning points in the career trajectories that preceded these paths. The results, based on an analysis of in-depth interviews with 32 Canadian workers 45 years and older, showed that these participants' particular career path was characterized by considerable interdependent precariousness whose effects accumulated and intensified as the workers aged. The results also show that this career path was preceded by two distinct career trajectories: one named “fragmented,” which was punctuated by discontinuity and breaks of all kinds, and the other called “severed,” which was characterized by the sudden loss of a career job. Finally, the link between the end-of-career path seen here and the trajectories that preceded it sheds at least some light on the processes that can lead to an instable end-of-career path. These processes were condensed in our discussion into two distinct career biographies.     

Religiosity and Fertility Intentions: Can the Gender Regime Explain Cross-Country Differences?

Research on the relationship between religiosity and fertility intentions revealed substantial cross-national differences. In some countries, a strong and positive effect of religiosity on fertility intentions was found, while in others, the effect was weaker or not significant, and the reasons underlying these cross-national differences are still unclear. The aim of this article is to explain these macro-level differences from the perspective of the prevailing gender regime. We argue that in countries with more traditional regimes, a stronger effect of religiosity on fertility intentions could be expected than in countries with a more egalitarian view. We make use of the first wave of the Generations and Gender Survey and incorporate data from a total of 12 European countries in our analysis. We examine the influence of gender regime according to various macro-level indicators on gender attitudes and gender equality using meta-regression analyses. We also conduct robustness checks using other indicators such as the Gender Development Index. Our results reveal that the gender regime is only able to explain these differences in certain situations, specifically those relating to the long-term fertility intentions of men.     

Paternity leave implementation in Switzerland: a challenge to gendered representations and practices of fatherhood?

Transition to parenthood in Switzerland takes place in a particularly gendered institutional context. It is the only European country where men do not have access to any kind of statutory parental or paternity leaves. This study empirically investigates the extent to which institutional change – through paternity leave implementation at the company level – challenges gendered representations and practices of fatherhood. The study draws on a mixed methods case study conducted in a public administration which implemented a one-month paid paternity leave. Using register data about leave recipients (N = 95), we adopt a longitudinal and typological approach of leave uptake patterns by means of sequence and cluster analyses. In-depth interviews conducted with recipient fathers and managers working for the company (n = 30) enable an analysis of the implementation process and the meanings associated with paternity leave and fatherhood. Results show that paternity leave implementation challenged, in a limited way, gendered representations and practices of fatherhood. Fatherhood was made more visible within the company, but workplace characteristics and informal norms influenced fathers' leave uptake. Overall, motherhood and fatherhood were associated with different and specialized responsibilities. Fathers mainly had a secondary and temporary role with the newborn, while mothers were the central and taken-for-granted parent.     

Approximation of IMSE-optimal Designs via Quadrature Rules and Spectral Decomposition

We address the problem of computing integrated mean-squared error (IMSE) optimal designs for interpolation of random fields with known mean and covariance. We assume that the mean squared error is integrated through a discrete measure and restrict the design space to its support. We show that the IMSE and its approximation by spectral truncation can be easily evaluated, which makes their global minimization affordable. Numerical experiments are carried out that illustrate the effectiveness of the approach.