Estimating long-term volatility parameters for market-consistent models

Contemporary actuarial and accounting practices (APN 110 in the South African context) require the use of market-consistent models for the valuation of embedded investment derivatives. These models have to be calibrated with accurate and up-to-date market data. Arguably, the most important variable in the valuation of embedded equity derivatives is implied volatility. However, accurate long-term volatility estimation is difficult because of a general lack of tradable, liquid medium- and long-term derivative instruments, be they exchange-traded or over the counter. In South Africa, given the relatively short-term nature of the local derivatives market, this is of particular concern. This paper attempts to address this concern by: — providing a comprehensive, critical evaluation of the long-term volatility models most commonly used in practice, encompassing simple historical volatility estimation and econometric, deterministic and stochastic volatility models; and — introducing several fairly recent nonparametric alternative methods for estimating long-term volatility, namely break-even volatility and canonical option valuation. The authors apply these various models and methodologies to South African market data, thus providing practical, long-term volatility estimates under each modelling framework whilst accounting for real-world difficulties and constraints. In so doing, they identify those models and methodologies they consider to be most suited to long-term volatility estimation and propose best estimation practices within each identified area. Thus, while application is restricted to the South African market, the general discussion, as well as the suggestion of best practice, in each of the evaluated modelling areas remains relevant for all long-term volatility estimation

Gastric variceal bleeding caused by an intrahepatic arterioportal fistula that formed after liver biopsy: a case report and review of the literature

An intrahepatic arterioportal fistula is a rare cause of portal hypertension and variceal bleeding. We report on a patient with an intrahepatic arterioportal fistula following liver biopsy who was successfully treated by hepatectomy after unsuccessful arterial embolization. We also review the literature on symptomatic intrahepatic arterioportal fistulas after liver biopsy. A 48-year-old male with bleeding gastric varices and hepatitis B virus-associated liver cirrhosis was transferred to our hospital; this patient previously underwent percutaneous liver biopsies 3 and 6 years ago. Abdominal examination revealed a bruit over the liver, tenderness in the right upper quadrant, and splenomegaly. Ultrasonographic examination, computed tomography, and angiography confirmed an arterioportal fistula between the right hepatic artery and the right portal vein with portal hypertension. After admission, the patient suffered a large hematemesis and developed shock. He was treated with emergency transarterial embolization using microcoils. Since some collateral vessels bypassed the obstructive coils and still fed the fistulous area, embolization was performed again. Despite the second embolization, the collateral vessels could not be completely controlled. Radical treatment involving resection of his right hepatic lobe was performed. For nearly 6 years postoperatively, this patient has had no further episodes of variceal bleeding

Understanding stories of professional formation during early childhood education and care practice placements

Narrative inquiry as a methodological approach enables us to examine how people represent their experiences and selves through storytelling (Chase, S. E. 2005. ‘Narrative Inquiry: Multiple Lenses, Approaches, Voices.’ In The Sage Handbook of Qualitative Research, edited by N. Denzin and Y. Lincoln, 651–679. London: Sage). To understand these constructions, other kinds of knowledge are required. Theories of social life, for example, help to interpret areas which narrative inquiry is good at revealing about human experiences such as the animation of temporality, sociality and place (Clandinin, J., V. Caine, A. Estefan, J. Huber, M. S. Murphy, and P. Steeves. 2015. ‘Places of Practice: Learning to Think Narratively.’ Narrative Works 5 (1). Accessed November 30, 2017. https://journals.lib.unb.ca/index.php/NW/issue/view/1799). Drawing on interviews with practice educators and final-year undergraduate early childhood education and care (ECEC) students in North-West Ireland, this paper considers how narrative inquiry and education theories work together to illuminate key learning experiences of ECEC undergraduate students during 12-week practice placements. In this paper I attempt to show how two education theories – ‘Threshold Concepts’ and ‘Communities of Practice’ – shed light on the nature of these key learning experiences. The paper suggests that narrative inquiry offers an emancipatory research approach by uncovering human and reflective elements of learning journeys made by ECEC students during their practice placements