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     

Australia and the Global South: Knowledge and the Ambiguities of Place and Identity

Australia was settled as a colony of Britain from the 17th century, and its early history of violent occupation has gradually given way to a relatively peaceful, wealthy, multicultural society. As a post-colonial country, its people share characteristics with those of Britain, but, as a multicultural society, national identity is increasingly influenced by the cultures of many countries, from both the global North and South. In this paper, the question of Australia's placement as a country of the global North or South is explored. Considerations of geography, the economy, political regimes and national identity are the backdrop to an investigation of Australian scholarship and the attitudes of scholars to the inclusion of Australia as a country of the global South.     

Relations Between Measures of Irritability and Contingency Detection at 6 Months

The hypothesis that irritability and contingency detection are negatively correlated was examined in thirty‐one 6‐month‐old infants. Observation and maternal report‐based assessments of irritability were correlated with both a criterion score and a continuous score of contingency detection. Results indicated that greater irritability in infants was associated with lower contingency detection scores. Discussion focuses on identifying processes by which the 2 constructs may be associated.     

The potential of integrated modelling in conservation biology: A case study of the black‐footed albatross (Phoebastria nigripes)

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     

Influence of behavioural tactics on recruitment and reproductive trajectory in the kittiwake

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     

Erroneous perceptions and arousal among regular and occasional video poker players

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.     

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.     

Yardstick competition and political agency problems

We examine how yardstick competition between jurisdictions affects the agency problem resulting from uncertainty about politicians (adverse selection) and their policies (moral hazard). We find that yardstick comparison can contribute both to disciplining and to selecting politicians.Earlier versions of this paper have circulated as Queen Mary Working Paper No. 444 and CORE Discussion Paper 2002/29. We would like to thank our editor, Maurice Salles, two anonymous referees, Mark Armstrong and Enrico Minelli for helpful comments and suggestions. We would also like to thank seminar participants at CORE, Queen Mary, Marseilles, and the 2002 Public Economic Theory conference, Université Paris 1.     

Local dependence estimation using semiparametric archimedean copulas

The authors define a new semiparametric Archimedean copula family which has a flexible dependence structure. The generator of the family is a local interpolation of existing generators. It has locally‐defined dependence parameters. The authors present a penalized constrained least‐squares method to estimate and smooth these parameters. They illustrate the flexibility of their dependence model in a bi‐variate survival example.