Multiasset Derivatives and Joint Distributions of Asset Prices

Several of multiasset derivatives like basket options or options on the weighted maximum of assets exhibit the property that their prices determine uniquely the underlying asset distribution. Related to that the question how to retrieve this distributions from the corresponding derivatives quotes will be discussed. On the contrary, the prices of exchange options do not uniquely determine the underlying distributions of asset prices and the extent of this non-uniqueness can be characterised. The discussion is related to a geometric interpretation of multiasset derivatives as support functions of convex sets. Following this, various symmetry properties for basket, maximum and exchange options are discussed alongside with their geometric interpretations and some decomposition results for more general payoff functions.

Initiation and continuation of randomized trials after the publication of a trial stopped early for benefit asking the same study question: STOPIT-3 study design

BACKGROUND Randomized control trials (RCTs) stopped early for benefit (truncated RCTs) are increasingly common and, on average, overestimate the relative magnitude of benefit by approximately 30%. Investigators stop trials early when they consider it is no longer ethical to enroll patients in a control group. The goal of this systematic review is to determine how investigators of ongoing or planned RCTs respond to the publication of a truncated RCT addressing a similar question. METHODS/DESIGN We will conduct systematic reviews to update the searches of 210 truncated RCTs to identify similar trials ongoing at the time of publication, or started subsequently, to the truncated trials ('subsequent RCTs'). Reviewers will determine in duplicate the similarity between the truncated and subsequent trials. We will analyze the epidemiology, distribution, and predictors of subsequent RCTs. We will also contact authors of subsequent trials to determine reasons for beginning, continuing, or prematurely discontinuing their own trials, and the extent to which they rely on the estimates from truncated trials. DISCUSSION To the extent that investigators begin or continue subsequent trials they implicitly disagree with the decision to stop the truncated RCT because of an ethical mandate to administer the experimental treatment. The results of this study will help guide future decisions about when to stop RCTs early for benefit.

Item Sum: A New Technique for Asking Quantitative Sensitive Questions

This article contributes to an ongoing debate about how to measure sensitive topics in population surveys. We propose a novel technique that can be applied to the measurement of quantitative sensitive variables: the item sum technique (IST). This method is closely related to the item count technique, which was developed for the measurement of dichotomous sensitive items. First, we provide a description of our new technique and discuss how data collected by the IST can be analyzed. Second, we present the results of a CATI survey on undeclared work in Germany, in which the IST has been applied. Using an experimental design, we compare the IST to direct questioning. Our empirical results indicate that the IST is a promising data-collection technique for sensitive questions. We conclude by discussing the limitations of the new technique and outlining possible improvements for future studies.

Asking sensitive questions: Possibilities and limits of randomized response and other techniques in different survey modes

In our project within the DFG Priority Programme on Survey Methodology (SPP 1292) we conducted various methodological studies on survey techniques for asking sensitive questions. For example, we compared results from the randomized response technique (RRT) to true known data in a validation study, developed and evaluated implementations of the RRT for CATI and online mode, and compared the performance of the RRT to competing approaches. In our talk, we will give an overview of the studies conducted in this project and will present our key findings. Furthermore, we will identify open research questions and give guidelines for future research on asking sensitive questions.

Asking Sensitive Questions in Online Surveys: An Experimental Comparison of the Randomized Response Technique and the Crosswise Model

Self-administered online surveys provide a higher level of privacy protection to respondents than surveys administered by an interviewer. Yet, studies show that asking sensitive questions is problematic also in self-administered mode. Because respondents might not be willing to reveal the truth and provide answers that are subject to social desirability bias, the validity of prevalence estimates of sensitive behaviors gained via online surveys can be challenged. A well-known method to combat these problems is the Randomized Response Technique (RRT). However, convincing evidence that the RRT provides more valid estimates than direct questioning in online mode is still lacking. Moreover, an alternative approach called the Crosswise Model (CM) has recently been suggested to overcome some of the deficiencies of the RRT. In the context of an online survey on plagiarism and cheating on exams among students of two Swiss universities (N = 6,494), we tested different implementations of the RRT and the CM and compared them to direct questioning using a randomized experimental design. Results reveal a poor performance of the RRT, which failed to elicit higher prevalence estimates than direct questioning. Using the CM however, significantly higher prevalence estimates were obtained making it a promising new alternative to the conventional RRT.

Three essays on prices and selection

Competitive Market Segmentation Abstract In a two-firm model where each firm sells a high-quality and a low-quality version of a product, customers differ with respect to their brand preferences and their attitudes towards quality. We show that the standard result of quality-independent markups crucially depends on the assumption that the customers' valuation of quality is identical across firms. Once we relax this assumption, competition across qualities leads to second-degree price discrimination. We find that markups on low-quality products are higher if consuming a low-quality product involves a firm-specific disutility. Likewise, markups on high-quality products are higher if consuming a high-quality product creates a firm-specific surplus. Selection upon Wage Posting Abstract We discuss a model of a job market where firms announce salaries. Thereupon, they decide through the evaluation of a productivity test whether to hire applicants. Candidates for a job are locked in once they have applied at a given employer. Hence, such a market exhibits a specific form of the bargain-then-ripoff principle. With a single firm, the outcome is efficient. Under competition, what might be called "positive selection" leads to market failure. Thus our model provides a rationale for very small employment probabilities in some sectors. Exclusivity Clauses: Enhancing Competition, Raising Prices Abstract In a setting where retailers and suppliers compete for each other by offering binding contracts, exclusivity clauses serve as a competitive device. As a result of these clauses, firms addressed by contracts only accept the most favorable deal. Thus the contract-issuing parties have to squeeze their final customers and transfer the surplus within the vertical supply chain. We elaborate to what extent the resulting allocation depends on the sequence of play and discuss the implications of a ban on exclusivity clauses.