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     

The Chinese-speaking Muslims (Dungans) of Central Asia: A Case of Multiple Identities in a Changing Context

Chinese-speaking Muslims, called Dungans in Central Asia and Huizu in China, were forced to migrate to present-day Kazakhstan, Kyrgyzstan and Uzbekistan at the end of the nineteenth century. They reconstructed their identity through interrelations with local populations and the soviet categorisation of nationality. But after 1991, their status has being gradually destabilised owing to the changes in economic, social and political rules as well as citizenship regulations in these countries. They have to readapt to the new situation created by the independence of the three former Soviet Republics, which has challenged their unity.     

Analyse biographique du travail féminin

Cet article montre comment l'application d'une méthode d'analyse biographique d'interaction à un domaine où l'interaction paraît évidente — activité féminine et fécondite — ouvre des perspectives nouvelles. En effet, les limites qui apparaissent lors de cette analyse conduisent les auteurs à conclure que ce n'est pas en raffinant les méthodes mais plutôt la collecte que l'on parviendra à progresser dans ce domaine. Le problème des interactions de l'activité et de la fécondité semble mal posé avant même le recours à la méthode. Cela justifie la nécessité de saisir le travail féminin comme concept unifié ne dissociant pas la sphère domestique et la sphère rémunérée. Cela conduit les auteurs à dégager quelques principes de collecte mieux adaptés aux préoccupations récentes dans ce domaine: des données biographiques sur le travail féminin. L'interaction collectée à sa source se prêterait alors à une analyse biographique plus révélatrice que celle qui confronte deux processus sans en évaluer les modalités changeantes.This article demonstrates how life event history analysis applied to the interaction between fertility and female economic activity can lead to new perspectives in the analysis of this complicated relationship. The authors identify limits to the analysis of the interaction given the anticipatory nature of behaviour. They conclude that progress in this field requires not the refinement of methods but rather a fundamental change in the approach to the data collected. If fertility and employment are considered separately, a problem is created even before the methods of analysis are applied. They recommend a conception of women's work as a whole, a conception that does not dissociate domestic and paid work. The authors go on to identify ways of improving the relevance of data collection to contemporary issues in the life history analysis of women's work. They argue that data on the interaction, collected at its source, would yield a more revealing life history than that which sees domestic work and paid work as separate spheres, and fails to take account of changes in their relationship.     

Optimal scaling of Metropolis algorithms: Heading toward general target distributions

The authors provide an overview of optimal scaling results for the Metropolis algorithm with Gaussian proposal distribution. They address in more depth the case of high‐dimensional target distributions formed of independent, but not identically distributed components. They attempt to give an intuitive explanation as to why the well‐known optimal acceptance rate of 0.234 is not always suitable. They show how to find the asymptotically optimal acceptance rate when needed, and they explain why it is sometimes necessary to turn to inhomogeneous proposal distributions. Their results are illustrated with a simple example.     

A comparison of poverty in seven European countries and regions using subjective and relative measures

This paper presents comparative results on poverty in seven countries and regions of the European Community: Belgium, The Netherlands, Luxembourg, Lorraine, Ireland, Catalonia and Greece. The data are obtained from comparable socio-economic surveys in each country. Subjective as well as relative poverty lines are used. The results indicate that the subjective poverty lines are plausible in a comparative context, although the levels of the subjective standards are rather generous. The estimated equivalence scales are much flatter than the one recommended by the OECD. The extent of poverty is much greater in the peripheral EC-countries than in the central ones. Though similar factors are found to be associated with poverty in all countries, there are also important differences in the characteristics of the poor across countries. The impact of social security transfers on poverty appears to be much smaller in the southern countries Greece and Catalonia, than in the Benelux and Lorraine.     

Approximations of rational criteria under complete ignorance and the independence axiom

Rational decision making under complete ignorance, a limit case of uncertainty, is defined. Through a concept of approximation, a meaning is given to a criterion almost possessing a property. Rational criteria depend almost on the sole bounds of the outcome range of each decision, they are almost continuous, they can almost possess a transitive indifference relation; however, under Savage's Independence Axiom, this last property restricts possible criteria to those which can be approximated, at least partly, by either the Maximin or the Maximax criterion.     

Beyond Contact? Policy approaches to work with families of looked after children in four European countries

In England, placement within the looked after system is not viewed as a desirable long‐term solution for most children, and policy has prioritised continued contact with parents, and swift return home, wherever possible. This review examines policy approaches to work with families of looked after children in England and in three other European countries: Denmark, France and the Netherlands, aiming to identify areas for shared learning in relation to this challenging area of policy and practice. The research highlights relationships between care populations and policy understandings of the purpose of work with families, including understandings of children's and/or parents’ rights.     

Public relations critical intersections special section introduction

The theme of this special section arose from the idea that interdisciplinary interactions, or the cross-fertilization of methods, philosophies, theories, and modes of practice across disciplines, can open out productive ways of addressing complex issues and wicked problems. Our call for papers reached out to public relations scholars and to researchers in other fields to submit articles at these generative intersections at different time. They were invited to reflect on traditional concerns, or current issues, or projected trends in public relations and elsewhere. As editors making a call to open boundaries, we invited participation along a spectrum of possible intersections whether of content, methods, pedagogy or technology. Taking different positions on that spectrum, the articles in the section examine the nature, engagement and evaluation of intersections. In writing this introduction, the editors took an overview of the articles in the light of three fundamental questions: “How and where does interdisciplinarity occur in public relations?”; “Are there indications of how public relations intersects with other fields to engage existing and potential future challenges?”; and “What principles might serve to evaluate answers to questions one and two?” In addition, we explore how each of the selected intersections in the articles might add value to public relations as a discipline and a practice.     

Medieval propaganda, longue durée and New History: Towards a nonlinear approach to the history of public relations

This article offers a new perspective on the historical approach to public relations by drawing from the work of French medievalist Jacques Le Goff, who was the principal representative of the Nouvelle Histoire (New History) French historiographical movement. Based on the notions of mentality and longue durée, which Le Goff inherited from the Annales movement, we propose that a nonlinear approach to the history of public relations will help to extend its time scale back to the beginnings of civilization. This seeks to overcome the historical boundaries usually established between the prehistory (or proto-history) and the history of public relations as a profession.     

Impact of physical activity and sedentary behaviour on fall risks in older people: a systematic review and meta-analysis of observational studies

The objective of this work was to summarise and evaluate the evidence showing that physical activity is a protector factor as regards falls in older people. Relevant studies were identified through a systematic search in the MEDLINE and Cochrane Library, under the keywords of accidental fall/numerical data and risk factors, and with the bibliographies of retrieved papers. The combined odds ratio (OR) [95% confidence interval] for physical activity was 0.75 [0.64, 0.88] with moderate heterogeneity (I ²?=?33%). For fall injury, it was 0.59 [0.47, 0.74] and, for falls in general, it rose to 0.94 [0.76, 1.17] with nil heterogeneity. The combined OR for sedentary factors was 1.14 [1.10, 1.82] with moderate heterogeneity (I ²?=?36%). Regular physical activity in daily life yields significant reduction in falls in older people, especially falls with injuries.