The Pricing of American Put Options on Stock with Dividends

Pricing American put options on dividend-paying stocks has largely been ignored in the option pricing literature because the problem is mathematically complex and valuation usually resorts to computationally expensive and impractical pricing applications. This paper computed a simulation study, using two different approximation methods for the valuation of American put options on a stock with known discrete dividend payments. This to find out if there were pricing errors and to find out which could be the most usable method for practical users. The option pricing models used in the study was the dividend approximation by Blomeyer (1986) and the one by Barone-Adesi and Whaley (1988). The study showed that the approximation method by Blomeyer worked satisfactory for most situations, but some errors occur for longer times to the dividend payment, for smaller dividends and for in-the-money options. The approximation method by Barone-Adesi and Whaley worked well for in-the-money options and at-the-money options, but had serious pricing errors for out-of-the-money options. The conclusion of the study is that a combination of the both methods might be preferable to any single model.

Adaptive tree multigrids and simplified spherical harmonics approximation in deterministic neutral and charged particle transport

A new deterministic three-dimensional neutral and charged particle transport code, MultiTrans, has been developed. In the novel approach, the adaptive tree multigrid technique is used in conjunction with simplified spherical harmonics approximation of the Boltzmann transport equation. The development of the new radiation transport code started in the framework of the Finnish boron neutron capture therapy (BNCT) project. Since the application of the MultiTrans code to BNCT dose planning problems, the testing and development of the MultiTrans code has continued in conventional radiotherapy and reactor physics applications. In this thesis, an overview of different numerical radiation transport methods is first given. Special features of the simplified spherical harmonics method and the adaptive tree multigrid technique are then reviewed. The usefulness of the new MultiTrans code has been indicated by verifying and validating the code performance for different types of neutral and charged particle transport problems, reported in separate publications.

Novel Mass Spectrometric Analysis Methods for Anabolic Androgenic Steroids in Sports Drug Testing

The feasibility of different modern analytical techniques for the mass spectrometric detection of anabolic androgenic steroids (AAS) in human urine was examined in order to enhance the prevalent analytics and to find reasonable strategies for effective sports drug testing. A comparative study of the sensitivity and specificity between gas chromatography (GC) combined with low (LRMS) and high resolution mass spectrometry (HRMS) in screening of AAS was carried out with four metabolites of methandienone. Measurements were done in selected ion monitoring mode with HRMS using a mass resolution of 5000. With HRMS the detection limits were considerably lower than with LRMS, enabling detection of steroids at low 0.2-0.5 ng/ml levels. However, also with HRMS, the biological background hampered the detection of some steroids. The applicability of liquid-phase microextraction (LPME) was studied with metabolites of fluoxymesterone, 4-chlorodehydromethyltestosterone, stanozolol and danazol. Factors affecting the extraction process were studied and a novel LPME method with in-fiber silylation was developed and validated for GC/MS analysis of the danazol metabolite. The method allowed precise, selective and sensitive analysis of the metabolite and enabled simultaneous filtration, extraction, enrichment and derivatization of the analyte from urine without any other steps in sample preparation. Liquid chromatographic/tandem mass spectrometric (LC/MS/MS) methods utilizing electrospray ionization (ESI), atmospheric pressure chemical ionization (APCI) and atmospheric pressure photoionization (APPI) were developed and applied for detection of oxandrolone and metabolites of stanozolol and 4-chlorodehydromethyltestosterone in urine. All methods exhibited high sensitivity and specificity. ESI showed, however, the best applicability, and a LC/ESI-MS/MS method for routine screening of nine 17-alkyl-substituted AAS was thus developed enabling fast and precise measurement of all analytes with detection limits below 2 ng/ml. The potential of chemometrics to resolve complex GC/MS data was demonstrated with samples prepared for AAS screening. Acquired full scan spectral data (m/z 40-700) were processed by the OSCAR algorithm (Optimization by Stepwise Constraints of Alternating Regression). The deconvolution process was able to dig out from a GC/MS run more than the double number of components as compared with the number of visible chromatographic peaks. Severely overlapping components, as well as components hidden in the chromatographic background could be isolated successfully. All studied techniques proved to be useful analytical tools to improve detection of AAS in urine. Superiority of different procedures is, however, compound-dependent and different techniques complement each other.

Univariate, bivariate, and multivariate methods in corpus-based lexicography : A study of synonymy

In this dissertation, I present an overall methodological framework for studying linguistic alternations, focusing specifically on lexical variation in denoting a single meaning, that is, synonymy. As the practical example, I employ the synonymous set of the four most common Finnish verbs denoting THINK, namely ajatella, miettiä, pohtia and harkita ‘think, reflect, ponder, consider’. As a continuation to previous work, I describe in considerable detail the extension of statistical methods from dichotomous linguistic settings (e.g., Gries 2003; Bresnan et al. 2007) to polytomous ones, that is, concerning more than two possible alternative outcomes. The applied statistical methods are arranged into a succession of stages with increasing complexity, proceeding from univariate via bivariate to multivariate techniques in the end. As the central multivariate method, I argue for the use of polytomous logistic regression and demonstrate its practical implementation to the studied phenomenon, thus extending the work by Bresnan et al. (2007), who applied simple (binary) logistic regression to a dichotomous structural alternation in English. The results of the various statistical analyses confirm that a wide range of contextual features across different categories are indeed associated with the use and selection of the selected think lexemes; however, a substantial part of these features are not exemplified in current Finnish lexicographical descriptions. The multivariate analysis results indicate that the semantic classifications of syntactic argument types are on the average the most distinctive feature category, followed by overall semantic characterizations of the verb chains, and then syntactic argument types alone, with morphological features pertaining to the verb chain and extra-linguistic features relegated to the last position. In terms of overall performance of the multivariate analysis and modeling, the prediction accuracy seems to reach a ceiling at a Recall rate of roughly two-thirds of the sentences in the research corpus. The analysis of these results suggests a limit to what can be explained and determined within the immediate sentential context and applying the conventional descriptive and analytical apparatus based on currently available linguistic theories and models. The results also support Bresnan’s (2007) and others’ (e.g., Bod et al. 2003) probabilistic view of the relationship between linguistic usage and the underlying linguistic system, in which only a minority of linguistic choices are categorical, given the known context – represented as a feature cluster – that can be analytically grasped and identified. Instead, most contexts exhibit degrees of variation as to their outcomes, resulting in proportionate choices over longer stretches of usage in texts or speech.

Genotyping for genetic association studies: Methods and applications

In this thesis, two separate single nucleotide polymorphism (SNP) genotyping techniques were set up at the Finnish Genome Center, pooled genotyping was evaluated as a screening method for large-scale association studies, and finally, the former approaches were used to identify genetic factors predisposing to two distinct complex diseases by utilizing large epidemiological cohorts and also taking environmental factors into account. The first genotyping platform was based on traditional but improved restriction-fragment-length-polymorphism (RFLP) utilizing 384-microtiter well plates, multiplexing, small reaction volumes (5 µl), and automated genotype calling. We participated in the development of the second genotyping method, based on single nucleotide primer extension (SNuPeTM by Amersham Biosciences), by carrying out the alpha- and beta tests for the chemistry and the allele-calling software. Both techniques proved to be accurate, reliable, and suitable for projects with thousands of samples and tens of markers. Pooled genotyping (genotyping of pooled instead of individual DNA samples) was evaluated with Sequenom s MassArray MALDI-TOF, in addition to SNuPeTM and PCR-RFLP techniques. We used MassArray mainly as a point of comparison, because it is known to be well suited for pooled genotyping. All three methods were shown to be accurate, the standard deviations between measurements being 0.017 for the MassArray, 0.022 for the PCR-RFLP, and 0.026 for the SNuPeTM. The largest source of error in the process of pooled genotyping was shown to be the volumetric error, i.e., the preparation of pools. We also demonstrated that it would have been possible to narrow down the genetic locus underlying congenital chloride diarrhea (CLD), an autosomal recessive disorder, by using the pooling technique instead of genotyping individual samples. Although the approach seems to be well suited for traditional case-control studies, it is difficult to apply if any kind of stratification based on environmental factors is needed. Therefore we chose to continue with individual genotyping in the following association studies. Samples in the two separate large epidemiological cohorts were genotyped with the PCR-RFLP and SNuPeTM techniques. The first of these association studies concerned various pregnancy complications among 100,000 consecutive pregnancies in Finland, of which we genotyped 2292 patients and controls, in addition to a population sample of 644 blood donors, with 7 polymorphisms in the potentially thrombotic genes. In this thesis, the analysis of a sub-study of pregnancy-related venous thromboses was included. We showed that the impact of factor V Leiden polymorphism on pregnancy-related venous thrombosis, but not the other tested polymorphisms, was fairly large (odds ratio 11.6; 95% CI 3.6-33.6), and increased multiplicatively when combined with other risk factors such as obesity or advanced age. Owing to our study design, we were also able to estimate the risks at the population level. The second epidemiological cohort was the Helsinki Birth Cohort of men and women who were born during 1924-1933 in Helsinki. The aim was to identify genetic factors that might modify the well known link between small birth size and adult metabolic diseases, such as type 2 diabetes and impaired glucose tolerance. Among ~500 individuals with detailed birth measurements and current metabolic profile, we found that an insertion/deletion polymorphism of the angiotensin converting enzyme (ACE) gene was associated with the duration of gestation, and weight and length at birth. Interestingly, the ACE insertion allele was also associated with higher indices of insulin secretion (p=0.0004) in adult life, but only among individuals who were born small (those among the lowest third of birth weight). Likewise, low birth weight was associated with higher indices of insulin secretion (p=0.003), but only among carriers of the ACE insertion allele. The association with birth measurements was also found with a common haplotype of the glucocorticoid receptor (GR) gene. Furthermore, the association between short length at birth and adult impaired glucose tolerance was confined to carriers of this haplotype (p=0.007). These associations exemplify the interaction between environmental factors and genotype, which, possibly due to altered gene expression, predisposes to complex metabolic diseases. Indeed, we showed that the common GR gene haplotype associated with reduced mRNA expression in thymus of three individuals (p=0.0002).

Variation in tracheid cross-sectional dimensions and wood viscoelasticity extent and control methods

Printing papers have been the main product of the Finnish paper industry. To improve properties and economy of printing papers, controlling of tracheid cross-sectional dimensions and wood viscoelasticity are examined in this study. Controlling is understood as any procedure which yields raw material classes with distinct properties and small internal variation. Tracheid cross-sectional dimensions, i.e., cell wall thickness and radial and tangential diameters can be controlled with methods such as sorting wood into pulpwood and sawmill chips, sorting of logs according to tree social status and fractionation of fibres. These control methods were analysed in this study with simulations, which were based on measured tracheid cross-sectional dimensions. A SilviScan device was used to measure the data set from five Norway spruce (Picea abies) and five Scots pine (Pinus sylvestris) trunks. The simulation results indicate that the sawmill chips and top pulpwood assortments have quite similar cross-sectional dimensions. Norway spruce and Scots pine are on average also relatively similar in their cross-sectional dimensions. The distributions of these species are somewhat different, but from a practical point of view, the differences are probably of minor importance. The controlling of tracheid cross-sectional dimensions can be done most efficiently with methods that can separate fibres into earlywood and latewood. Sorting of logs or partitioning of logs into juvenile and mature wood were markedly less efficient control methods than fractionation of fibres. Wood viscoelasticity affects energy consumption in mechanical pulping, and is thus an interesting control target when improving energy efficiency of the process. A literature study was made to evaluate the possibility of using viscoelasticity in controlling. The study indicates that there is considerable variation in viscoelastic properties within tree species, but unfortunately, the viscoelastic properties of important raw material lots such as top pulpwood or sawmill chips are not known. Viscoelastic properties of wood depend mainly on lignin, but also on microfibrillar angle, width of cellulose crystals and tracheid cross-sectional dimensions.

From a tree to a stand in Finnish boreal forests: biomass estimation and comparison of methods

There is an increasing need to compare the results obtained with different methods of estimation of tree biomass in order to reduce the uncertainty in the assessment of forest biomass carbon. In this study, tree biomass was investigated in a 30-year-old Scots pine (Pinus sylvestris) (Young-Stand) and a 130-year-old mixed Norway spruce (Picea abies)-Scots pine stand (Mature-Stand) located in southern Finland (61º50' N, 24º22' E). In particular, a comparison of the results of different estimation methods was conducted to assess the reliability and suitability of their applications. For the trees in Mature-Stand, annual stem biomass increment fluctuated following a sigmoid equation, and the fitting curves reached a maximum level (from about 1 kg/yr for understorey spruce to 7 kg/yr for dominant pine) when the trees were 100 years old. Tree biomass was estimated to be about 70 Mg/ha in Young-Stand and about 220 Mg/ha in Mature-Stand. In the region (58.00-62.13 ºN, 14-34 ºE, ≤ 300 m a.s.l.) surrounding the study stands, the tree biomass accumulation in Norway spruce and Scots pine stands followed a sigmoid equation with stand age, with a maximum of 230 Mg/ha at the age of 140 years. In Mature-Stand, lichen biomass on the trees was 1.63 Mg/ha with more than half of the biomass occurring on dead branches, and the standing crop of litter lichen on the ground was about 0.09 Mg/ha. There were substantial differences among the results estimated by different methods in the stands. These results imply that a possible estimation error should be taken into account when calculating tree biomass in a stand with an indirect approach.

Modifications of surface materials and their effects on cleanability as studied by radiochemical methods

Modifications of surface materials and their effects on cleanability have important impacts in many fields of activity. In this study the primary aim was to develop radiochemical methods suitable for evaluating cleanability in material research for different environments. Another aim was to investigate the effects of surface modifications on cleanabilitity and surface properties of plastics, ceramics, concrete materials and also their coatings in conditions simulating their typical environments. Several new 51Cr and 14C labelled soils were developed for testing situations. The new radiochemical methods developed were suitable for examining different surface materials and different soil types, providing quantitative information about the amount of soil on surfaces. They also take into account soil soaked into surfaces. The supporting methods colorimetric determination and ATP bioluminescence provided semi-quantitative results. The results from the radiochemical and supporting methods partly correlated with each other. From a material research point of view numerous new materials were evaluated. These included both laboratory-made model materials and commercial products. Increasing the amount of plasticizer decreased the cleanability of poly(vinyl chloride) (PVC) materials. Microstructured surfaces of plastics improved the cleanability of PVC from particle soils, whereas for oil soil microstructuring reduced the cleanability. In the case of glazed ceramic materials, coatings affected the cleanability. The roughness of surfaces correlated with cleanability from particle soils and the cleanability from oil soil correlated with the contact angles. Organic particle soil was removed more efficiently from TiO2-coated ceramic surfaces after UV-radiation than without UV treatment, whereas no effect was observed on the cleanability of oil soil. Coatings improved the cleanability of concrete flooring materials intended for use in animal houses.

Lantibiotic Nisin and Its Detection Methods

The type A lantibiotic nisin produced by several Lactococcus lactis strains, and one Streptococcus uberis strainis a small antimicrobial peptide that inhibits the growth of a wide range of gram-positive bacteria, such as Bacillus, Clostridium, Listeria and Staphylococcus species. It is nontoxic to humans and used as a food preservative (E234) in more than 50 countries including the EU, the USA, and China. National legislations concerning maximum addition levels of nisin in different foods vary greatly. Therefore, there is a demand for non-laborious and sensitive methods to identify and quantify nisin reliably from different food matrices. The horizontal inhibition assay, based on the inhibitory effect of nisin to Micrococcus luteus is the base for most quantification methods developed so far. However, the sensitivity and accuracy of the agar diffusion method is affected by several parameters. Immunological tests have also been described. Taken into account the sensitivity of immunological methods to interfering substances within sample matrices, and possible cross-reactivities with lantibiotics structurally close to nisin, their usefulness for nisin detection from food samples remains limited. The proteins responsible for nisin biosynthesis, and producer self-immunity are encoded by genes arranged into two inducible operons, nisA/Z/QBTCIPRK and nisFEG, which also contain internal, constitutive promoters PnisI and PnisR. The transmembrane histidine kinase NisK and the response regulator NisR form a two-component signal transduction system, in which NisK autophosphorylates after exposure to extra cellular nisin, and subsequently transfers the phosphate to NisR. The phosphorylated NisR then relays the signal downstream by binding to two regulated promoters in the nisin gene cluster, i.e the nisA/Z/Qand the nisF promoters, thus activating transcription of the structural gene nisA/Z/Q and the downstream genes nisBTCIPRK from the nisA/Z/Q promoter, and the genes nisFEG from the nisF promoter. In this work two novel and highly sensitive nisin bioassays were developed. Both of these quantification methods were based on NisRK mediated, nisin induced Green Fluorescent Protein (GFP) fluorescence. The suitabilities of these assays for quantifica¬tion of nisin from food samples were evaluated in several food matrices. These bioassays had nisin sensitivities in the nanogram or picogram levels. In addition, shelf life of nisin in cooked sausages and retainment of the induction activity of nisin in intestinal chyme (intestinal content) was assessed.