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     

Aging in the Era of Regenerative Medicine: Analysis of Aging‐Related Representations among Canadian Researchers

Explicitly aimed at understanding and controlling molecular and cellular processes at the root of senescence and biological aging, regenerative medicine aspires to artificially reproduce the biological processes that enable the body to regenerate itself. This no longer involves conserving the body's state of balance by combating disease, as in clinical medicine, but rather fighting degeneration itself. From stem cell research to gene therapy to the production of replacement tissues, regenerative medicine perfectly corresponds to the logic of biomedicalization specific to postmodern society. Based on a series of 18 interviews conducted with Canadian researchers and clinicians in the field of regenerative medicine, this article seeks to understand representations of the aging body among researchers in this field. Seen from a strictly negative angle, aging is assimilated by researchers to an inevitable catastrophe that nevertheless must be combated. More closely observing the theoretical model of regenerative biology and the types of treatments developed, it can be observed, however, that this medicine of the future does not target the elderly, but rather promises youth the ability to regenerate themselves to avoid aging.     

Beyond tail median and conditional tail expectation: Extreme risk estimation using tail Lp-optimization

The conditional tail expectation (CTE) is an indicator of tail behavior that takes into account both the frequency and magnitude of a tail event. However, the asymptotic normality of its empirical estimator requires that the underlying distribution possess a finite variance; this can be a strong restriction in actuarial and financial applications. A valuable alternative is the median shortfall (MS), although it only gives information about the frequency of a tail event. We construct a class of tail L^p-medians encompassing the MS and CTE. For p in (1,2), a tail L^p-median depends on both the frequency and magnitude of tail events, and its empirical estimator is, within the range of the data, asymptotically normal under a condition weaker than a finite variance. We extrapolate this estimator and another technique to extreme levels using the heavy-tailed framework. The estimators are showcased on a simulation study and on real fire insurance data.     

International and intercultural issues in English teaching textbooks: the case of Spain

The sociocultural content of foreign language textbooks has become a concern of scholars and practitioners owing to the fact that the traditional emphasis on purely linguistic issues has been expanded to embrace a language in context approach. This paper studies the English‐speaking communities that are described in English language teaching textbooks marketed in Spain. It examines to what extent an international and/or intercultural approach is a constituent element in their design.     

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     

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.     

发展和完善南宁市新型农村合作医疗制度研究

近年来,党和政府一直把发展和完善新型农村合作医疗制度作为改善民生的一项重要工作。南宁市新型农村合作医疗尽管有了较大的发展,但与同为西部省会城市的西安、昆明、成都相比还存在不少差距。这就需要结合地方实际,从运行机制、资金监管、信息化管理、人才建设等软、硬件方面破解新型农村合作医疗制度发展和完善的难题。     

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.