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     

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.     

Adolescent Protective Factors Promoting Resilience in Young Adults at Risk for Depression

In a longitudinal, community-based study, adolescent protective factors for those at risk for depression were identified that were associated with resilient outcomes in young adulthood. For those with childhood risk factors for major depression, significant protective factors included family cohesion, positive self appraisals, and good interpersonal relations. Findings may help inform the development of prevention and treatment programs for adolescents vulnerable to depression. Implications for future research and clinical practice are discussed.     

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.     

Efe fathers: one among many? A comparison of forager children's involvement with fathers and other males

The study reported describes Efe (pygmy) forager one-, two-, and three-year-olds' involvement with males. The Efe of northeastern Zaïre were chosen because their social organization allows us to examine hypotheses based on studies in Western, technologically complex societies about the distinctive role fathers play in the lives of their young children. Behavioral observations of Efe children's day-to-day activities with fathers, men and boys were recorded using a focal subject sampling technique (Altmann, 1974). Two behavioral measures were created to capture the extent to which males were involved with children: Social engagement describes males' involvement with children and social attention describes eavesdropping by children on males' everyday activities. Eight one-year-olds, 7 two-year-olds and 8 three-year-olds were each observed for six, one-hour observation sessions that were distributed evenly over the daylight hours. Data were analyzed using the traditional measure of involvement (e.g., adult males) and using a newly developed measure of the involvement of the average individual (e.g., average adult mate). Comparisons at each of the ages showed that fathers were consistently like other men in the extent to which children participated in social activities with them and watched their activities. Only fathers' level of social engagement declined significantly as children grew older. Boys' role relative to other males became increasingly distinctive as children aged. The findings suggest that Efe fathers may not be unique in the same sense assumed by Western study ideals, and raise questions about the special status given to fathers in Western theory and data. The patterning of mate involvement with children is discussed in terms of Efe community life, and in terms of Efe children's developing understanding of their relationship with fathers and other males.     

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.     

Preparing Parents for Adoption: An Agency Experience

To prepare for the complexities of family formation, 78 prospective adoptive parents participated in Pre-Adopt, a psychosocial educational orientation program offered by one private nonprofit agency. The five-session curriculum included an overview of adoption policies and procedures, discussion of the child placement process, exploration of couples' adoption concerns and expectations about child characteristics, information about adoption laws and birth-parent/child searches, and examination of anticipatory fantasies about birth parents. Program evaluation yielded statistically significant and clinically meaningful findings about changes in emotional readiness to adopt, parenting knowledge, and satisfaction with group participation, adoption policies and agency practices. Practice implications are considered.     

Improving flexibility and efficiency by adding parallelism to genetic algorithms

In this paper we develop a study on several types of parallel genetic algorithms (PGAs). Our motivation is to bring some uniformity to the proposal, comparison, and knowledge exchange among the traditionally opposite kinds of serial and parallel GAs. We comparatively analyze the properties of steady-state, generational, and cellular genetic algorithms. Afterwards, this study is extended to consider a distributed model consisting in a ring of GA islands. The analyzed features are the time complexity, selection pressure, schema processing rates, efficacy in finding an optimum, efficiency, speedup, and resistance to scalability. Besides that, we briefly discuss how the migration policy affects the search. Also, some of the search properties of cellular GAs are investigated. The selected benchmark is a representative subset of problems containing real world difficulties. We often conclude that parallel GAs are numerically better and faster than equivalent sequential GAs. Our aim is to shed some light on the advantages and drawbacks of various sequential and parallel GAs to help researchers using them in the very diverse application fields of the evolutionary computation.