Model Error in Contingent Claim Models Dynamic Evaluation

We formally incorporate parameter uncertainty and model error in the estimation of contingent claim models and the formulation of forecasts. This allows an inference on any function of interest (option values, bias functions, hedge ratios) consistent with the uncertainty in both parameters and models. We show how to recover the exact posterior distributions of the parameters or any function of interest. It is crucial to obtain exact posterior or predictive densities because the most likely implementation, a frequent updating setup, results in small samples and requires the incorporation of specific prior information. We develop Markov Chain Monte Carlo estimators to solve the estimation problem posed. We provide both within sample and predictive model specification tests which can be used in dynamic testing or trading systems, making use of both the cross-sectional and time series information in the options data. Finally, we generalize the error distribution by allowing for the (small) probability that an observation has a larger error. For each observation, this produces the probability of its being an outlier, and may help distinguish market from model error. We apply these new techniques to equity options. When model error is taken into account, the black-Scholes appears very robust, in contrast with previous studies which at best only incorporated parameter uncertainty. We then extend the base model, e.g., Black-Scholes, by polynomial functions of parameters. This allows for intuitive specification tests. The Black-Scholes in-sample error properties can be improved by the use of these simple extended models but this does not result in major improvements in out of sample predictions. The differences between these models may be important however because, as we document it, they produce different functions of economic interest such as hedge ratios, probability of mispricing. Nous incorporons formellement l'incertitude des paramètres et l'erreur de modèle dans l'estimation des modèles d'option et la formulation de prévisions. Ceci permet l'inférence de fonctions d'intérêt (prix de l'option, biais, ratios) cohérentes avec l'incertitude des paramètres et du modèle. Nous montrons comment extraire la distribution postérieure exacte (de fonctions) des paramètres. Ceci est crucial parce que l'utilisation la plus probable, réestimation périodique des paramètres, est analogues à des échantillons de petite taille et demande l'incorporation d'informations a priori spécifiques. Nous développons des modèles Monte Carlo de chaînes markoviennes afin de résoudre les problèmes d'estimation posés. Nous fournissons des tests de spécification, à la fois pour l'échantillon et le modèle prédictif, qui peuvent être utilisés pour les tests dynamiques et les systèmes de trading en utilisant l'information en coupe transversale et temporelle des données d'option. Finalement, nous généralisons la distribution d'erreurs en tenant compte de la (faible) probabilité qu'une observation ait une plus grande probabilité d'erreur. Cela fournit pour chaque observation la probabilité d'une donnée aberrante et peut aider à différencier erreur de modèle et erreur de marché. Nous appliquons ces nouvelles techniques aux options d'équité. Quand l'erreur de modèle est prise en considération, le Black-Scholes apparaît très robuste, en contraste avec les études précédentes qui, au mieux, incluait l'erreur de paramètre. Après, nous étendons le modèle de base, i.e. Black-Schles, par des fonctions polynomiales des paramètres. Cela permet des tests intuitifs de spécification. Les erreurs en échantillon du B-S sont améliorées par l'utilisation de ces simples modèles étendus,0501s cela n'apporte pas d'amélioration majeure dans les prédictions hors-échantillon. Quoi qu'il en soit, les différences entre ces modèles peuvent être importantes parcequ'elles produisent différentes fonctions d'intérêt telles que les ratios et la probabilité d'erreur d'évaluation.

Gender differences in adolescents’ exposure to stressful life events and differential links to impaired school functioning

Gender differences in exposure and reactivity to specific stressful life events (SLE) contribute to explaining adolescent boys’ and girls’ differential susceptibility to common adjustment difficulties like depression and behavioral problems. However, it is unclear whether these gender differences are also relevant to understanding another key marker of adolescent maladjustment: high school dropout. A state-of-the-art interview protocol was used to assess recent SLE in a sample of academically vulnerable Canadian adolescents (N = 545, 52% boys). The sample was comprised of three groups in approximately equal proportions: 1) students who had recently dropped out; 2) matched students at risk of dropping out but who persevered nevertheless; and 3) “normative” students with an average level of risk. When SLE of all types were considered together, overall exposure was similar for adolescent boys and girls, and the SLE-dropout association did not vary as a function of gender. However, gender differences emerged for specific events. Boys were especially exposed to SLE related to performance (e.g., school failure, suspension) and conflicts with authority figures (e.g., with teachers or the police), whereas girls were particularly exposed to SLE involving relationship problems with family members, peers, or romantic partners. In terms of specific SLE-dropout associations, one consistent result emerged, showing that performance/authority-related SLE were significantly associated with dropout only among boys. It therefore seems that considering gendered exposure and sensitivity to SLE is important for understanding the emergence of educational difficulties with long-ranging consequences for future health and well-being

Ker de Massat, grotte

Le siteLa grotte de Massat, ou du Ker de Massat, domine la haute vallée de l’Arac, affluent du Salat. Elle fait partie d’un réseau complexe de plusieurs étages, dont la grotte inférieure, dite grotte de la Campagnole, constitue la partie ornée. Si le porche de la grotte est assez vaste, la galerie d’accès se rétrécit rapidement avant d’arriver au niveau de l’accès à la galerie ornée, qui se fait par une chatière de 60 cm de hauteur située à 2 m du sol.La grotte de Massat fut le premier site ..

Fontanet, grotte

Le siteLa grotte de Fontanet se situe dans le massif du Quié-de-Sinsat, sur la rive droite de l’Ariège, à 580 m d’altitude. La grotte, connue dès le xixe siècle, appartient à un vaste réseau karstique creusé sur cinq niveaux. Son vaste porche s’ouvre au pied d’une falaise calcaire crétacé, à proximité de Niaux, du réseau Clastres, de Pradières, de Bédeilhac et des Églises.D’anciennes fouilles, effectuées notamment par J.-B. Noulet, F. Garrigou et le docteur Cugulière, avaient conduit à des d..

Evolution of seismic signals and slip patterns along subduction zones: insights from a friction lab scale experiment.

International audienceContinuous GPS and broadband seismic monitoring have revealed a variety of disparate slip patterns especially in shallow dipping subduction zones, among which regular earthquakes, slow slip events and silent quakes1,2. Slow slip events are sometimes accompanied by Non Volcanic Tremors (NVT), which origin remains unclear3, either related to fluid migration or to friction. The present understanding of the whole menagerie of slip patterns is based upon numerical simulations imposing ad hoc values of the rate and state parameters a and b4-6 derived from the temperature dependence of a and b of a wet granite gouge7. Here we investigate the influence of the cumulative slip on the frictional and acoustic patterns of a lab scale subduction zone. Shallow loud earthquakes (stick-slip events), medium depth slow, deeper silent quakes (smooth sliding oscillations) and deepest steady-state creep (continuous sliding) are reproduced by the ageing of contact interface with cumulative displacement8. The Acoustic Emission evolves with cumulative displacement and interface ageing, following a trend from strong impulsive events, similar to earthquake seismic signals, to a collection of smaller amplitude and longer duration signals, similar to Non Volcanic Tremors. NVT emerge as the recollection of the local unstable behaviour of the contact interface globally evolving towards the stable sliding regime

Does business influence government regulations? Newevidence from Canadian impact assessments

Regulatory impact assessments frequently embed stakeholder consultations in their design. Canada was one of the early adopters of such an approach and therefore has systematic documentation on the actors taking part in these consultations. This article asks whether these consultations have an influence on regulatory change and whether business disproportionally benefits from them. After converting the documentation into data, we find that these consultations do in fact matter: the more diversified the stakeholders taking part, the more stringent the changed regulations. But we also found that for a subset of regulatory changes, those likely to carry high economic stakes, business takes advantage of the consultation, often obtaining some reduction in regulatory stringency. These reductions, however, are conditioned on the relative absence of opposing views expressed during the consultations

Les contraintes et opportunités organisationnelles des nouvelles technologies d'intégration : le cas d'un système de gestion de la maintenance dans une entreprise de transformation

Les "impacts" de la technologie sur l'organisation -- L'entreprise -- La nouvelle technologie -- Les changements organisationnels reliefs au changement technologique -- Le poids de la gestion du changement technologique -- La gestion technique du changement -- La gestion organisationnelle du changement -- La modulation opérée par la gestion organisationnelle du changement

Domme – Grotte de Saint-Front dite « du Mammouth »

Depuis 2014, une nouvelle étude est engagée dans la grande grotte de Saint-Front, ou grotte du Mammouth, initiée dans le cadre du projet collectif de recherches « Archéologie des sites ornés de Dordogne : cadre conceptuel, potentiels et réalité » (Cretin et al. 2014). Elle se fait en intégrant la totalité des ressources documentaires, en confrontant l’analyse des représentations graphiques à celle du matériel archéologique et à la géomorphologie des parois et de la cavité, dont les facteurs s..

Stressors and turning points in high school and dropout : a stress process, life course framework

High school dropout is commonly seen as the result of a long-term process of failure and disengagement. As useful as it is, this view has obscured the heterogeneity of pathways leading to dropout. Research suggests, for instance, that some students leave school not as a result of protracted difficulties but in response to situations that emerge late in their schooling careers, such as health problems or severe peer victimization. Conversely, others with a history of early difficulties persevere when their circumstances improve during high school. Thus, an adequate understanding of why and when students drop out requires a consideration of both long-term vulnerabilities and proximal disruptive events and contingencies. The goal of this review is to integrate long-term and immediate determinants of dropout by proposing a stress process, life course model of dropout. This model is also helpful for understanding how the determinants of dropout vary across socioeconomic conditions and geographical and historical contexts

High school dropout in proximal context : the triggering role of stressful life events

Adolescents who drop out of high school experience enduring negative consequences across many domains. Yet, the circumstances triggering their departure are poorly understood. This study examined the precipitating role of recent psychosocial stressors by comparing three groups of Canadian high school students (52% boys; Mage = 16.3 years; N = 545): recent dropouts, matched at-risk students who remain in school, and average students. Results indicate that in comparison with the two other groups, dropouts were over three times more likely to have experienced recent acute stressors rated as severe by independent coders. These stressors occurred across a variety of domains. Considering the circumstances in which youth decide to drop out has implications for future research and for policy and practice