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     

《未成年人保护法(修订草案)》述评与完善

未成年人保护法修订草案积极回应了当前面临的未成年人法律困境和现实诉求,提出和细化了许多具体举措,尤其是新增了未成年人最大利益原则,确立了国家监护制度,体现了重大的进步。在立法关系上,无论是与预防未成年人犯罪法草案,还是与现行的其他涉及未成年保护的相关法律,未保法草案均与之存在着不协调问题。未保法草案的修法思路亟待从“理想化的统领和难以操作的补漏”转向务实性的“重点明晰和问题导向”,亦即未成年人保护法的“福利法化”并呼应预防未成年人犯罪法的“少年法化”。未保法草案的体例布局未能充分体现立法本意和修法初衷,在概念厘清、文本形式、涵盖内容与表达逻辑上均需要进一步改进和完善。     

CRM的理念与实施中关键因素分析

随着市场环境、竞争环境的快速变化 ,企业的管理理念、服务观念开始发生重大转变 ,使得CRM(CustomerRelationshipManagement,客户关系管理 )成为当前热点。本文试从CRM在国内外的应用情况、CRM体现的管理理念、服务宗旨以及实施中应考虑的一些重要因素进行分析     

谭献词学理论的继承与创新

谭献是晚清一位词学大家 ,在继承常州派张惠言、周济词学理论的基础上 ,根据自己创作和整理词集的经验和心得 ,提出了新的词学观点 ,进一步完善了常州派词论 ,对中国词学理论有杰出的贡献。谭献的词论主要有 :一、继承常州词派的观点 ,继续推尊词体。二、在词的创作方面 ,提倡比兴柔厚。三、在词的鉴赏批评上 ,提出“作者之用心未必然 ,读者之用心何必不然”的著名观点。     

提高企业家物质激励水平的理论思考

企业家作为社会阶层一特殊群体,必须取得与其业绩相对应的报酬。文章试图从委托-代理理论、人力资本理论、新古典经济增长理论和能力本位制理论等视角分析提高企业家物质激励现有水平的必要性。     

Data tilting for time series

Summary. We develop a general methodology for tilting time series data. Attention is focused on a large class of regression problems, where errors are expressed through autoregressive processes. The class has a range of important applications and in the context of our work may be used to illustrate the application of tilting methods to interval estimation in regression, robust statistical inference and estimation subject to constraints. The method can be viewed as 'empirical likelihood with nuisance parameters'.     

二维拟线性散度型二阶椭圆型方程弱解的弱收敛

本文用 H—测度来研究二维拟线性散度型二阶椭圆型方程弱解的弱收敛性,并讨论了非一致椭圆的情形,得到了一些很好的结果.     

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.     

宋代绍兴城镇发展简论

宋代绍兴地区城镇已得到初步发展 ,并呈现出城市化趋势 ,其原因是社会经济发展、人口增长和交通发达。这一时期城镇的发展 ,无论是数量、规模 ,还是经济发展状况、市镇管理等 ,均居于浙江地区的前列 ,为明清时期的进一步繁荣奠定了基础。但各地城镇的发展又是不平衡的 ,显示了一定的地区差异 ,并从城镇居民的生活中 ,反映出社会的贫富现象。