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     

侵权诉讼的膨胀及对策

侵权纠纷是民事诉讼机制解决的主要对象。随着社会的发展,侵权案件逐渐增多,过量的侵权诉讼会带来很多不良后果,不仅是对法律制度本身的损害,更对经济发展产生严重的负面影响。要解决侵权诉讼的膨胀问题,必须找到控制侵权诉讼的正确途径。     

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.     

论袁枚诗歌的民主意识

袁枚生活的乾嘉时期 ,民主意识随着资本主义因素的增长而有所发展 ,袁枚在他的诗歌理论和创作中突出地表现了这种可贵的民主意识。这主要体现在五个方面 :对儒学及其传统的叛逆 ;反对等级特权 ,提倡平等 ,尊重女性 ;批判封建礼教 ,大胆表现男女之情 ;“唯我是适” ,追求精神自由与个性解放 ;“不讳好财” ,“九州添设富民侯”的金钱观念。它们代表着袁枚“性灵”诗歌所独有的思想价值。     

司法现代化在我国农村的困境及出路

司法现代化在农村正遭遇着种种困境,这有其深刻的历史背景和现实基础。实现农村的司法现代化,一方面要对传统法律文化进行认真彻底的反思,肃清沿袭至今的消极影响;另一方面则应从制度上保障司法的公正性,在司法领域树立法律的权威。     

Organisationsentwicklung als Thema von Erwachsenenbildung und Supervisionscurricula

Zusammenfassung  Der Beitrag beschreibt Planung, Verlauf und abschlie?ende Beurteilung eines gruppendynamischen Seminars, in dem für angehende Supervisorinnen und Supervisoren das Thema Organisations-Entwicklung dargestellt und vermittelt werden sollte. Ausgangspunkt war die Kl?rung des Inhaltsraums von Organisations-Entwicklung als geplantem sozialen Wandel, der auf sozialwissenschaftlicher Grundlage zielgerichtet, strategisch und mit Zeitperspektive in der Zusammenarbeit zwischen externer und interner Sach-, Prozess- und Entscheidungskompetenz durchgeführt wird. Als Ziele des Seminars wurden festgelegt, Organisations-Entwicklung als sozialwissenschaftliches Instrument zu begründen, Organisations-Entwicklung-Schritte zu konzipieren und sie kollegial zu kommunizieren. Darüber hinaus wurden Qualit?tskriterien für das Seminar formuliert: Praxisn?he, Kl?rung des Inhaltsraum Selbstorganisation, Selbststeuerung, Ressourcenaktivierung, Konfliktregulierung, Analyse des Gruppenprozesses, Nutzung von Feldkompetenz und Verhaltensmodellen, Etablierung von Feedbackschleifen, Koordination und Synergie, kollegialer Austausch und Kl?rung pers?nlicher Organisations-Entwicklungs-Fragen. Bausteine und Lernorte des Seminars waren das Plenum, die Lernpartnerschaft, das OE-Team, die Beobachterfunktion, die Tagesreflexion, die Sitzung Frage und Antwort, die Darstellung von Praxisf?llen, das Plenum-Feinsteuerung, die Analyse der Arbeitsprozesse des OE-Teams sowie Transfer und Auswertung. Der tats?chliche Verlauf des Seminars wird aus der Perspektive des Leiters kommentiert. Anhand von Verlaufsbeobachtungen und Teilnehmer?u?erungen wird der Eindruck begründet, dass diese Form des Vorgehens als lernintensiv, autonomief?rdernd und für die zu erwerbende Supervisionskompetenz als praxisrelevant betrachtet werden kann.

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This article describes the plantification, progress and final evaluation of a group-dynamic seminar for future supervisors in which the topic organization development was presented and introduced. The content of organization development was first defined as a planned social change which is executed based on social sciences in a goal-oriented, strategic way which considers the time perspective of the cooperation between external and internal specialised-, process- and decision competence. Goals of the seminar were to justify that organisation development is a social science tool, to plan organization development steps and to communicate them to peer seminar participants. Further more, the following quality criteria for the seminar were formulated: practice orientation, definition of self-organisation content, self regulation, resources activation, conflict regulation, group process analysis, field competence and behaviour models usage, feedback establishment, coordination and synergy, mutual peer exchange and finding answers to personal questions about organization development. The building blocks and learn places of the seminar were the plenary sessions, the learning partnership, the od-teams, the observer function, the day analysis, the questions and answers session, the case study presentation, the analysis of the work processes as well as transfer and evaluation. The progression of the seminar is commented from the point of view of the seminar leader. Progress observations and participant’s feedback justify the impression that this way to conceptualise provides an intensive learning experience, supports autonomy and provides relevant and practical supervision competence.

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J?rg Fengler ist Professor der Psychologie an der Universit?t zu K?ln, Heilp?dagogische Fakult?t. Arbeitsschwerpunkte sind u.a. P?dagogische und Klinische Psychologie. Er ist Herausgeber dieser Zeitschrift.     

谈鲁迅小说中的逻辑问题

本文运用演绎逻辑、归纳逻辑和辩证逻辑的基本方法 ,对鲁迅小说中的逻辑问题进行分析 ,得到一些有益的结论     

A bayesian estimator for the dependence function of a bivariate extreme‐value distribution

Any continuous bivariate distribution can be expressed in terms of its margins and a unique copula. In the case of extreme‐value distributions, the copula is characterized by a dependence function while each margin depends on three parameters. The authors propose a Bayesian approach for the simultaneous estimation of the dependence function and the parameters defining the margins. They describe a nonparametric model for the dependence function and a reversible jump Markov chain Monte Carlo algorithm for the computation of the Bayesian estimator. They show through simulations that their estimator has a smaller mean integrated squared error than classical nonparametric estimators, especially in small samples. They illustrate their approach on a hydrological data set.     

Intertemporal choice under timing risk: An experimental approach

This paper investigates how individuals evaluate delayed outcomes with risky realization times. Under the discounted expected utility (DEU) model, such evaluations depend only on intertemporal preferences. We obtain several testable hypotheses using the DEU model as a benchmark and test these hypotheses in three experiments. In general, our results show that the DEU model is a poor predictor of intertemporal choice behavior under timing risk. We found that individuals are averse to timing risk and that they evaluate timing lotteries in a rank-dependent fashion. The main driver of timing risk aversion is nothing but probabilistic risk aversion that stems from the nonlinear treatment of probabilities.     

Composition-consistent tournament solutions and social choice functions

This paper introduces a new axiom for choice in preference profiles and tournaments, called composition-consistency. A social choice function is composition-consistent if it is non-sensitive to the cloning of one or several outcomes. The key feature of the composition consistency property is an operation concept called multiple composition product of profiles. The paper provides a brief overview of some social choice functions studied in the literature. Concerning the tournament solutions, it is proved that the Top Cycle, the Slater and the Copeland solutions are not composition-consistent, whereas the Banks, Uncovered Set, TEQ, Minimal Covering Set are composition-consistent. Moreover, we define the composition-consistent hull of a solution as the smallest composition-consistent solution containing . The composition-consistent hulls of the Top cycle and Copeland solutions are specified, and we give some hints about the location of the hull of the Slater set. Concerning social choice functions, it is shown that Kemeny, Borda and Minimax social choice functions are not composition-consistent, whereas the Paretian one is composition-consistent. Moreover, we prove that the latter is the composition-consistent hull of the Borda and Minimax functions.