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     

Influence of competition level on referees’ decision-making in handball

The influence of competition level on referees’ decision-making was investigated. Referees’ decisions in 90 handball games (30 games X 3 competition levels) were observed in different situations related to the advantage rule, and 100 referees from two different levels of expertise were subsequently asked to offer explanations for the competition-level effects from the first part of the study. Results revealed that at the highest level of competition referees intervened less frequently with sporting sanctions, but more frequently with disciplinary sanctions. These effects were apparent mainly in immediate intervention situations and unsuccessful advantage situations, but not in successful situations. Referees explained these effects of competition level in terms of a player competence stereotype, in addition to referees’ different expertise across competition level. The implications of the findings for understanding how status-related stereotypes impact on intervention behavior are discussed.     

When Passion Leads to Problematic Outcomes: A Look at Gambling

Vallerand et al. (2003) have proposed that individuals can have two distinct types of passion toward an activity. Harmonious passion, an internal force leading one to choose to engage in the activity, is proposed to be associated with positive consequences. Obsessive passion, an internal pressure forcing one to engage in an activity, is posited to be associated with negative consequences. The present study sought to determine the role of the two types of passion in various cognitive and affective states associated with dependence and problems with gambling. Participants (n = 412) were recruited at the Montréal Casino and given a questionnaire measuring passion toward gambling, as well as consequences associated with dependence and problem gambling. Results showed that obsessive passion for gambling predicted poorer vitality and concentration in daily tasks, as well as increased rumination, anxiety, negative mood, guilt, and problem gambling. These relations were not found for harmonious passion for gambling. Results are discussed in light of the motivational approach to passion (Vallerand et al., 2003).     

Transformational leadership and optimal functioning at work: On the mediating role of employees' perceived job characteristics and motivation

This study aimed to deepen our understanding of the motivational mechanisms involved in the relationship between transformational leadership (TFL) and employee functioning. Drawing on the TFL literature, the job demands–resources model and self-determination theory, we propose an integrative model that relates TFL to employee psychological health (burnout and psychological distress), attitudes (occupational commitment and turnover intention) and performance (professional efficacy, self-reported individual and objective organizational performance) through two explanatory mechanisms: perceived job characteristics (job demands and resources) and employee motivation (autonomous and controlled). This research was conducted in two occupational settings (nurses and school principals), using a distinct variable operationalization for each. Results of both studies provide support for the hypothesized model, suggesting that TFL relates to optimal job functioning (psychological health, job attitudes and performance) by contributing to favourable perceptions of job characteristics (more resources and less demands) and high-quality work motivation (more autonomous motivation and less controlled motivation) in employees. Theoretical contributions and managerial implications as well as directions for future research are presented.     

On the psychological and motivational processes linking job characteristics to employee functioning: Insights from self-determination theory

The aim of this study was to provide insight into the differential relationships between job characteristics (job demands and resources) and employee functioning by examining the psychological and motivational processes involved. Drawing on self-determination theory, we tested a model in which job demands are positively related to negative manifestations of employee functioning (psychological distress and psychosomatic complaints) through psychological need frustration and low-quality work motivation (controlled motivation), whereas job resources are positively related to positive manifestations of employee functioning (work engagement and job performance) through need satisfaction and high-quality work motivation (autonomous motivation). Data were collected from 699 Canadian nurses. Structural equation modelling (SEM) results support the proposed model: psychological needs and work motivation partially mediated the relationship between job characteristics and employee functioning. Specifically, job demands negatively predicted employee functioning (high distress and psychosomatic complaints, low engagement and performance) through need frustration and controlled motivation. In contrast, while positively predicting need satisfaction and negatively predicting need frustration, job resources fostered optimal work motivation (more autonomous and less controlled motivation) and employee functioning. The implications for self-determination theory (SDT) and research on occupational health and stress are discussed.     

Child custody issues and co‐occurrence of intimate partner violence and child maltreatment: controversies and points of agreement amongst practitioners

The situation of families undergoing separation in a context of co‐occurrence of intimate partner violence (IPV) and child maltreatment raises certain issues related to child custody. The results presented in this paper were collected and analysed within the framework of a qualitative study aiming to identify the principal points of agreement and the main controversies amongst practitioners in several different types of organizations. Focus groups were held with a total of 43 practitioners from six different settings concerned with child custody in cases of co‐occurrence of IPV and child maltreatment. Although they agreed on the importance of ensuring the safety of victims of violence, their views diverged on three points: (1) the importance of preserving the father–child relationship; (2) collaboration between voluntary organizations and semi‐voluntary or legal agencies; and (3) consideration of cultural differences.     

Deviant Peers and Adolescent Risky Behaviors: The Protective Effect of Nonverbal Display of Parental Warmth

This study examines whether nonverbal displays of parents’ warmth during an in‐lab conflict discussion mitigate the links between affiliation with deviant peers and risky behaviors. A sample of 107 youth and their parents participated in a study spanning from mid‐adolescence (T1) to late adolescence (T2). At T1, family members discussed a contentious issue, which was coded for parents’ nonverbal warmth. At T1 and T2, youth reported on their friends’ and their own risky behaviors. Fathers’ warmth moderated each prospective association between deviant peers and risky behaviors. Mothers’ warmth did not emerge as a significant moderator. Girls, in particular, benefitted from fathers’ warmth as a buffer in the trajectory from T1 risky behaviors to T2 risky behaviors and deviant peers.     

Estimation of a Conditional Copula and Association Measures

Abstarct. This paper is concerned with studying the dependence structure between two random variables Y ₁ and Y ₂ conditionally upon a covariate X. The dependence structure is modelled via a copula function, which depends on the given value of the covariate in a general way. Gijbels et al. (Comput. Statist. Data Anal., 55, 2011, 1919) suggested two non‐parametric estimators of the ‘conditional’ copula and investigated their numerical performances. In this paper we establish the asymptotic properties of the proposed estimators as well as conditional association measures derived from them. Practical recommendations for their use are then discussed.     

Women's abuse of their children in the context on domestic violence: reflection from women's accounts

This paper draws upon the findings of a study that looked at women's experiences of mothering in the context of co-occurrence of domestic violence and child abuse, and considers the issue of women's violence towards children – while acknowledging the fact that men are the main perpetrators of violence towards women and children in these families. The paper first explores the relationship between women's victimization and women's violence, and suggests that women's abuse of their children can be seen as a consequence of their own experiences of domestic violence. The findings nonetheless suggest that abused women have agency, and therefore have responsibilities when they chose to use violence towards their children. The paper also considers the feelings of guilt and blame that tend to arise in these circumstances. Implications for research, policy and practice are identified.     

Key decisions in child protection services in cases of domestic violence: maintaining services and out‐of‐home placement

This paper looks at the response of the child protection services (CPS) system in cases where exposure to domestic violence occurs alone or together with abuse or neglect, focusing on the factors involved in decisions to maintain the case open for ongoing services or remove children from the home. The study is based on an analysis of clinical and administrative data from the files on children reported to a CPS agency in Montreal, Canada. A total of 1 071 substantiated reports were documented, including 337 cases of co‐occurrence (32%). Analysis of the data shows that domestic violence does not by itself constitute a factor liable to lead to more intrusive intervention. The CPS response appears to be influenced more by the existence of other forms of maltreatment and risk factors. Additionally, while domestic violence may be associated with more severe individual and family problems, it does not influence the decision to keep the case open because the child still need services. The lack of any connection between domestic violence and this decision is a cause for concern, as results indicate that such families need help. Knowing how to respond to their needs therefore remains a major challenge.