Estimating the parameters of stochastic volatility models using option price data

This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 to 2011. The method is able to estimate both the parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options), including the volatility and jump risk premia. The estimation is implemented using a particle filter whose efficacy is demonstrated under simulation. The computational load of this estimation method, which previously has been prohibitive, is managed by the effective use of parallel computing using graphics processing units (GPUs). The empirical results indicate that the parameters of the models are reliably estimated and consistent with values reported in previous work. In particular, both the volatility risk premium and the jump risk premium are found to be significant.

A road safety strategy for Norfolk Island, an Australian external territory

Norfolk Island is an Australian external territory in Oceania. The significant road safety reforms in Australia from the 1970s onward bypassed the island, and most road safety ‘silver bullets’ adopted in other Australian jurisdictions were not introduced. While legislative amendments in 2010 introduced mandatory seat belt wearing for vehicle occupants on Norfolk Island, other critical issues face the community including drink driving by residents and visitors, occupant protection for vehicle passengers, and the provision of a more protective road environment. The release of the first Norfolk Island road safety strategy 2014-2016 proposed, inter alia: • a lower BAC of 0.05 and the introduction of compulsory driver alcohol and drug testing by police; • targeted enforcement of occupant protection for vehicle passengers, particularly for passengers riding on vehicle tray backs; • education interventions to challenge values held by some members of the community that support unsafe road use; • ensuring that driver information, training and testing is adequate for all drivers; • identification and rectification of hazardous roadside infrastructure, particularly barrier protection at “high drop locations” within the road network; and • developing a specification for vehicle standards for vehicles imported into Norfolk Island. Norfolk Island is engaging in a process of integration with the Australian community, and wider issues relating to funding and resources have impacted on the implementation of the road safety strategy. The response to the strategy will be discussed, particularly in terms of current attempts to address drink driving and the provision of a safer road environment.

Submission to the External Independent Review of the United Nations Response to Allegations of Sexual Exploitation and Abuse and Other Serious Crimes by Members of Foreign Military Forces Not Under United Nations Command in the Central African Republic

In 2015 the UN Secretary-General established an External Independent Review to review how the United Nations has responded to allegations of child sexual exploitation and child sexual abuse, and to make recommendations concerning how the United Nations should respond to allegations in the future. This submission to the Review Panel draws on literature regarding children's rights, the nature of child sexual abuse, international instruments and policy, the nature of institutional child sexual abuse, and the CAR case itself. It makes recommendations for reform of UN protocols and procedures to better prevent child sexual abuse, and to improve responses to future occurrences.

Does PGA external stenting reduce compliance mismatch in venous grafts?

Background: Autogenous vein grafting is widely used in regular bypassing procedures. Due to its mismatch with the host artery in both mechanical property and geometry, the graft often over expands under high arterial blood pressure and forms a step-depth where eddy flow develops, thus causing restenosis, fibrous graft wall, etc. External stents, such as sheaths being used to cuff the graft, have been introduced to eliminate these mismatches and increase the patency. Although histological and immunochemical studies have shown some positive effects of the external stent, the mechanical mismatch under the protection of an external stent remains poorly analyzed. Methods: In this study, the jugular veins taken from hypercholesterolemic rabbits were transplanted into the carotid arteries, and non-woven polyglycolic acid (PGA) fabric was used to fabricate the external stents to study the effect of the biodegradable external stent. Eight weeks after the operation, the grafts were harvested to perform mechanical tests and histological examinations. An arc tangent function was suggested to describe the relationship between pressure and cross-sectional area to analyse the compliance of the graft. Results: The results from the mechanical tests indicated that grafts either with or without external stents displayed large compliance in the low-pressure range and were almost inextensible in the high-pressure range. This was very different from the behavior of the arteries or veins in vivo. The data from histological tests showed that, with external stents, collagen fibers were more compact, whilst those in the graft without protection were looser and thicker. No elastic fiber was found in either kind of grafts. Furthermore, grafts without protection were over-expanded which resulted in much bigger cross-sectional areas. Conclusion: The PGA external extent contributes little to the reduction of the mechanical mismatch between the graft and its host artery while remodeling develops. For the geometric mismatch, it reduces the cross-section area, therefore matching with the host artery much better. Although there are some positive effects, conclusively the PGA is not an ideal material for external stent.

Study of Pinna nobilis growth from inner record: How biased are posterior adductor muscle scars estimates?

Previous studies have shown that the external growth records of the posterior adductor muscle scar (PAMS) of the bivalve Pinna nobilis are incomplete and do not produce accurate age estimations. We have developed a new methodology to study age and growth using the inner record of the PAMS, which avoids the necessity of costly in situ shell measurements or isotopic studies. Using the inner record we identified the positions of PAMS previously obscured by nacre and estimated the number of missing records in adult specimens with strong abrasion of the calcite layer in the anterior portion of the shell. The study of the PAMS and inner record of two shells that were 6 years old when collected showed that only 2 and 3 PAMS were observed, while 6 inner records could be counted, thus confirming our working methodology. Growth parameters of a P. nobilis population located in Moraira, Spain (western Mediterranean) were estimated with the new methodology and compared to those obtained using PAMS data and in situ measurements. For the comparisons, we applied different models considering the data alternatively as length-at-age (LA) and tag-recapture (TR). Among every method we tested to fit the Von Bertalanffy growth model, we observed that LA data from inner record fitted to the model using non-linear mixed effects and the estimation of missing records using the calcite width was the most appropriate. The equation obtained with this method, L = 573*(1 - e(-0.16(t-0.02))), is very similar to that calculated previously from in situ measurements for the same population.

A simple method for estimating growth parameters from multiple length-frequency data in presence of continuous recruitment

The extended recruitment season for short-lived species such as prawns biases the estimation of growth parameters from length-frequency data when conventional methods are used. We propose a simple method for overcoming this bias given a time series of length-frequency data. The difficulties arising from extended recruitment are eliminated by predicting the growth of the succeeding samples and the length increments of the recruits in previous samples. This method requires that some maximum size at recruitment can be specified. The advantages of this multiple length-frequency method are: it is simple to use; it requires only three parameters; no specific distributions need to be assumed; and the actual seasonal recruitment pattern does not have to be specified. We illustrate the new method with length-frequency data on the tiger prawn Penaeus esculentus from the north-western Gulf of Carpentaria, Australia.

Estimation of growth parameters from multiple-recapture data

This article develops a method for analysis of growth data with multiple recaptures when the initial ages for all individuals are unknown. The existing approaches either impute the initial ages or model them as random effects. Assumptions about the initial age are not verifiable because all the initial ages are unknown. We present an alternative approach that treats all the lengths including the length at first capture as correlated repeated measures for each individual. Optimal estimating equations are developed using the generalized estimating equations approach that only requires the first two moment assumptions. Explicit expressions for estimation of both mean growth parameters and variance components are given to minimize the computational complexity. Simulation studies indicate that the proposed method works well. Two real data sets are analyzed for illustration, one from whelks (Dicathais aegaota) and the other from southern rock lobster (Jasus edwardsii) in South Australia.

Estimating equations for parameters in stochastic growth models from tag-recapture data

James (1991, Biometrics 47, 1519-1530) constructed unbiased estimating functions for estimating the two parameters in the von Bertalanffy growth curve from tag-recapture data. This paper provides unbiased estimating functions for a class of growth models that incorporate stochastic components and explanatory variables. a simulation study using seasonal growth models indicates that the proposed method works well while the least-squares methods that are commonly used in the literature may produce substantially biased estimates. The proposed model and method are also applied to real data from tagged rack lobsters to assess the possible seasonal effect on growth.

Effect of individual variability on estimation of population parameters from length-frequency data

We consider estimation of mortality rates and growth parameters from length-frequency data of a fish stock when there is individual variability in the von Bertalanffy growth parameter L-infinity and investigate the possible bias in the estimates when the individual variability is ignored. Three methods are examined: (i) the regression method based on the Beverton and Holt's (1956, Rapp. P.V. Reun. Cons. Int. Explor. Mer, 140: 67-83) equation; (ii) the moment method of Powell (1979, Rapp. PV. Reun. Int. Explor. Mer, 175: 167-169); and (iii) a generalization of Powell's method that estimates the individual variability to be incorporated into the estimation. It is found that the biases in the estimates from the existing methods are, in general, substantial, even when individual variability in growth is small and recruitment is uniform, and the generalized method performs better in terms of bias but is subject to a larger variation. There is a need to develop robust and flexible methods to deal with individual variability in the analysis of length-frequency data.

An improved Fabens method for estimation of growth parameters in the vonBertalanffy model with individual asymptotes

In the analysis of tagging data, it has been found that the least-squares method, based on the increment function known as the Fabens method, produces biased estimates because individual variability in growth is not allowed for. This paper modifies the Fabens method to account for individual variability in the length asymptote. Significance tests using t-statistics or log-likelihood ratio statistics may be applied to show the level of individual variability. Simulation results indicate that the modified method reduces the biases in the estimates to negligible proportions. Tagging data from tiger prawns (Penaeus esculentus and Penaeus semisulcatus) and rock lobster (Panulirus ornatus) are analysed as an illustration.

Direct shear testing on unsaturated silty soils to investigate the effects of drying and wetting on shear strength parameters at low suction

A modified conventional direct shear device was used to measure unsaturated shear strength of two silty soils at low suction values (0 ~ 50 kPa) that were achieved by following drying and wetting paths of soil water characteristic curves (SWCCs). The results revealed that the internal friction angle of the soils was not significantly affected by either the suction or the drying wetting SWCCs. The apparent cohesion of soil increased with a decreasing rate as suction increased. Shear stress-shear displacement curves obtained from soil specimens subjected to the same net normal stress and different suction values showed a higher initial stiffness and a greater peak stress as suction increased. A soil in wetting exhibited slightly higher peak shear stress and more contractive volume change behavior than that of soil in drying at the same net normal stress and suction.

External administration in corporate insolvency and reorganisation: The insider alternative

This article considers the merits of alternative policy approaches to management of companies in insolvency administration, in particular from an identity economics theoretical perspective. The use of this perspective provides a novel assessment of the policy alternatives for insolvency administration, which can be characterized as either following the more flexible United States Chapter 11-style debtor-in-possession arrangement, or relying on the appointment of an external administrator or trustee to manage the insolvent company who automatically displaces incumbent management. This analysis indicates that stigma and reputational damage from automatic removal of managers in voluntary administration leaders to "identity loss" and that an insider alternative to the current external administration approach could be a beneficial policy change.

Social audit failure: Legal liability of external auditors

In this chapter, we look at the step beyond reporting, to the external audit or assurance function. The role of any audit engagement is to provide a professional opinion on a set of financial or non-financial assertions reported by an organization's management, based on an agreed evaluative framework. Any such opinion is not a guarantee that the underlying report is free from fraud or misstatement. Where an audit opinion on financial statements is incorrect, this is referred to as an audit failure. Specifically, the textbook definition of audit failure has two components: that the financial statements contain a serious error and that the auditor has failed to detect the error due to the auditor's failure during the audit process.

Steel–concrete–steel sandwich system in Arctic offshore structure: Materials, experiments, and design

The gravity based structure (GBS) with external Steel–Concrete–Steel (SCS) sandwich ice-resistant wall has been developed for the Arctic oil and gas drilling. This paper firstly reported the experimental studies on the mechanical properties of steel and concretes under Arctic low temperature. With the test data, design equations were developed to incorporate the influences of the low temperature on these mechanical properties. Two types of Arctic GBS structure with flower-conical SCS sandwich shell type and plate type of ice-resistant wall have been developed for the Arctic offshore structure. Besides the studies on the materials, two SCS sandwich prototype shells and plates were, respectively, prepared and tested under patch loading that simulated the localized ice-contact pressure. The structural behaviors of the SCS sandwich structure under patch loading were reported and discussions were made on the influences of different parameters on the structural behavior of the structure. Analytical models were developed to predict the punching shear resistances of the SCS sandwich structure through modifying the code provisions. The accuracies of the developed analytical models were checked through validations against 27 tests in the literature. Corresponding design procedures on resistances of SCS sandwich structure were recommended based on these discussions and validations.