Semistatic hedging and pricing American floating strike lookback options

We price an American floating strike lookback option under the Black–Scholes model with a hypothetic static hedging portfolio (HSHP) composed of nontradable European options. Our approach is more efficient than the tree methods because recalculating the option prices is much quicker. Applying put–call duality to an HSHP yields a tradable semistatic hedging portfolio (SSHP). Numerical results indicate that an SSHP has better hedging performance than a delta-hedged portfolio. Finally, we investigate the model risk for SSHP under a stochastic volatility assumption and find that the model risk is related to the correlation between asset price and volatility.     

The poor outside the lamplight: on the prevalence of poverty among population groups not included in household surveys

Poverty rate calculations are often based on household surveys that exclude some of the groups most vulnerable to poverty such as the homeless. This paper documents the nature of the excluded groups and the quantitative importance of their omission for the Czech Republic. Our study combines European Union Statistics on Income and Living Conditions data for 2011 with information from the 2011 Population Census. Our preferred estimate indicates an increase in the poverty rate by almost one percentage point. The paper contributes to accurately identifying the most vulnerable members of the society, which is essential for setting effective social policies.     

Do pensions foster education? An empirical perspective

The paper examines the effect of population ageing on public education spending. On the one hand, ageing is expected to have a negative effect on education, as an increasing number of retirees results in ‘intergenerational conflict’ and, hence, the condemnation of education expenditure. On the other hand, ageing, in combination with pay-as-you-go pension systems, offers incentives for the working-age generation to invest in the public education of the young in order to ‘reap’ the benefits (that is, higher income tax/contributions) of their greater future productivity. Empirical evidence derived from the application of a fixed effects approach to panel data for OECD countries shows that the increasing share of elderly people has a non-linear effect on education spending. This indicates a certain degree of intergenerational conflict. Nevertheless, we find that future population ageing, which reinforces the mechanism linking public education and pensions, reflects positively on education expenditure. Furthermore, by disaggregating total education expenditure by educational levels, we observe that this effect is led by levels of non-compulsory education, probably as a reflection of the direct connection to labor productivity.     

Where can obesity management policy make the largest impact? Evaluating sub-populations through a microsimulation approach

Background: There is a critical need to focus limited resources on sub-groups of patients with obesity where we expect the largest return on investment. This paper identifies patient sub-groups where an investment may result in larger positive economic and health outcomes.

Methods: The baseline population with obesity was derived from a public survey database and divided into sub-populations defined by demographics and disease status. In 2016, a validated model was used to simulate the incidence of diabetes, absenteeism, and direct medical cost in five care settings. Research findings were derived from the difference in population outcomes with and without weight loss over 15 years. Modeled weight loss scenarios included initial 5% or 12% reduction in body mass index followed by a gradual weight regain. Additional simulations were conducted to show alternative outcomes from different time courses and maintenance scenarios.

Results: Univariate analyses showed that age 45–64, pre-diabetes, female, or obesity class III are independently predictive of larger savings. After considering the correlation between these factors, multivariate analyses projected young females with obesity class I as the optimal sub-group to control obesity-related medical expenditures. In contrast, the population aged 20–35 with obesity class III will yield the best health outcomes. Also, the sub-group aged 45–54 with obesity class I will produce the biggest productivity improvement. Each additional year of weight loss maintained showed increased financial benefits.

Conclusions: This paper studied the heterogeneity between many sub-populations affected by obesity and recommended different priorities for decision-makers in economic, productivity, and health realms.     

Clinical and economic benefits of professional CGM among people with type 2 diabetes in the United States: analysis of claims and lab data

Background: It is estimated that one in 10 people in the US have a diagnosis of diabetes. Type 2 diabetes accounts for 95% of all cases in the US, with annual costs estimated to be $246 billion per year. This study investigated the impact of a glucose-measuring intervention to the burden of type 2 diabetes.

Objective: This analysis seeks to understand how professional continuous glucose monitoring (professional CGM) impacts clinical and economic outcomes when compared to patients who are not prescribed professional CGM.

Methods: This study utilized a large healthcare claims and lab dataset from the US, and identified a cohort of patients who were prescribed professional CGM as identified by CPT codes 95250 and 95251. It calculated economic and clinical outcomes 1 year before and 1 year after the use of professional CGM, using a generalized linear model.

Results: Patients who utilized professional CGM saw an improvement in hemoglobin A1C. The “difference-in-difference” calculation for A1C was shown to be –0.44%. There was no statistically significant difference in growth of total annual costs for people who used professional CGM compared to those who did not ($1,270, p?=?.08). Patients using professional CGM more than once per year had a –$3,376 difference in the growth of total costs (p?=?.05). Patients who used professional CGM while changing their diabetes treatment regimen also had a difference of –$3,327 in growth of total costs (p?=?.0023).

Conclusion: Significant clinical benefits were observed for patients who used professional CGM. Economic benefits were observed for patients who utilized professional CGM more than once within a 1-year period or who used it during a change of diabetes therapy. This suggests that professional CGM may help decrease rising trends in healthcare costs for people with type 2 diabetes, while also improving clinical outcomes.     

老龄化与碳排放：消费效应还是生产效应？——基于2002-2017年中国省级面板数据的实证研究

人口老龄化是经济增长的一大阻碍,它对碳排放的影响是做出环境政策抉择的关键因素.以中国2002—2017年的省级面板数据为研究样本,从理论与实证两个层面分析人口老龄化与碳排放的关系及影响机制.一方面,构建包含碳排放的世代交叠模型(overlapping generations,OLG),发现老龄化主要通过消费效应和生产效应两个路径对碳排放产生影响;另一方面,从实证层面发现老龄化与碳排放之间存在倒"U"形关系,而且消费效应在人口老龄化与碳排放的关系中起到部分中介作用,生产效应的影响则不显著.     

茭簰考释--兼及江汉平原湖区人水关系

明清时期长江中游地区地方文献记载的茭簰,并非漂浮种植性质的葑田,而是漂浮居住性质的水上居家设施。“随波上下”且“不时迁移”是其基本特性,实质是借水之力以避水之害,乃湖区居民应对洪涝灾害的居住创举。茭簰不同于为众熟知的舟船,亦有别于水上航行的排筏,茭簰居民并非渔民,而是备有“种莳牲畜”的农民。茭簰与葑田,虽然一耕一居,却具有共同的指向。茭簰是湖区农家适应环境变化,根据生产生活需要而做出的相对选择,堪称湖区居民趋利避害、协调人水关系的代表性举措。     

The long breadth of cities: revisiting worldwide urbanization patterns, 1950–2030

ABSTRACT

A comparative analysis of population dynamics worldwide contributes to profile distinctive demographic and economic trajectories of urban growth, discriminating processes of settlement concentration or dispersion under sequential cycles of urbanization. However, a wide-ranging characterization of urban cycles based on demographic dynamics worldwide is still missing. The present work is aimed at filling such a gap analysing long-term changes (1950–2030) in annual population growth rate of 1691 urban agglomerations with more than 300,000 inhabitants in 74 world countries. Results of this study indicate that metropolitan growth worldwide was associated with largely variable rates of population growth, highly positive before 2000 and progressively reducing over recent decades. Despite important differences at continental (and country) scale, demographic expansion of urban agglomerations showed two contrasting phases with a break point in the 1980s denoting a progressive reduction in spatial heterogeneity of population growth rates and a moderate slowdown in demographic dynamics. Intensity of urban expansion and spatial heterogeneity in population growth rates across metropolitan agglomerations evidences a trade-off between fast and slow demographic dynamics. These findings can be better understood to support theories of sequential city growth, making a suitable contribution to policy making, especially in countries where urban population is expanding more rapidly.     

An Empirical Assessment of the Swedish Bullionist Controversy*

In the 18th century, a fierce political debate broke out in Sweden about the causes of an extraordinary depreciation of the currency. More specifically, the deteriorating value of the Swedish currency was blamed arbitrarily on monetary causes (e.g., the overissuing of banknotes) and on non-monetary causes (such as balance-of-payments deficits). This paper provides a comprehensive empirical assessment of this so-called “Swedish Bullionist Controversy”. The results of vector autoregressions suggest that increasing amounts of paper money did give rise to inflation and a depreciation of the exchange rate. Conversely, non-monetary factors were probably less important for these developments.     

经济密度、人口规模与环境污染——基于城市面板数据的实证分析

选取2005-2016年285个地级及以上城市数据,利用静态和动态短面板模型分析经济密度和人口规模对环境污染的影响,分析表明:经济密度与环境污染之间存在“倒U型”关系,人口规模扩大会抑制污染物排放;不同等级城市经济密度、不同规模城市人口对环境污染的影响方向一致,但影响程度有所差异;前期污染排放对当期具有正向影响,环境污染物排放存在路径依赖;经济发展水平、工业产值占比和对外开放也是影响污染物排放的重要因素,但各指标对三类污染物排放的影响方向和影响程度存在差异。据此认为,在综合考虑城市具体空间区位条件下,人口适度集聚,提高城市经济密度,优化产业结构以及加强环境监管是环境治理的重要方向。