Intraday and Weekend Volatility Patterns- Implications for Option Pricing

This study examines the intraday and weekend volatility on the German DAX. The intraday volatility is partitioned into smaller intervals and compared to a whole day’s volatility. The estimated intraday variance is U-shaped and the weekend variance is estimated to 19 % of a normal trading day. The patterns in the intraday and weekend volatility are used to develop an extension to the Black and Scholes formula to form a new time basis. Calendar or trading days are commonly used for measuring time in option pricing. The Continuous Time using Discrete Approximations model (CTDA) developed in this study uses a measure of time with smaller intervals, approaching continuous time. The model presented accounts for the lapse of time during trading only. Arbitrage pricing suggests that the option price equals the expected cost of hedging volatility during the option’s remaining life. In this model, time is allowed to lapse as volatility occurs on an intraday basis. The measure of time is modified in CTDA to correct for the non-constant volatility and to account for the patterns in volatility.

How the development of condensation particle counters is reforming our view on atmospheric nucleation

Aerosol particles deteriorate air quality, atmospheric visibility and our health. They affect the Earth s climate by absorbing and scattering sunlight, forming clouds, and also via several feed-back mechanisms. The net effect on the radiative balance is negative, i.e. cooling, which means that particles counteract the effect of greenhouse gases. However, particles are one of the poorly known pieces in the climate puzzle. Some of the airborne particles are natural, some anthropogenic; some enter the atmosphere in particle form, while others form by gas-to-particle conversion. Unless the sources and dynamical processes shaping the particle population are quantified, they cannot be incorporated into climate models. The molecular level understanding of new particle formation is still inadequate, mainly due to the lack of suitable measurement techniques to detect the smallest particles and their precursors. This thesis has contributed to our ability to measure newly formed particles. Three new condensation particle counter applications for measuring the concentration of nano-particles were developed. The suitability of the methods for detecting both charged and electrically neutral particles and molecular clusters as small as 1 nm in diameter was thoroughly tested both in laboratory and field conditions. It was shown that condensation particle counting has reached the size scale of individual molecules, and besides measuring the concentration they can be used for getting size information. In addition to atmospheric research, the particle counters could have various applications in other fields, especially in nanotechnology. Using the new instruments, the first continuous time series of neutral sub-3 nm particle concentrations were measured at two field sites, which represent two different kinds of environments: the boreal forest and the Atlantic coastline, both of which are known to be hot-spots for new particle formation. The contribution of ions to the total concentrations in this size range was estimated, and it could be concluded that the fraction of ions was usually minor, especially in boreal forest conditions. Since the ionization rate is connected to the amount of cosmic rays entering the atmosphere, the relative contribution of neutral to charged nucleation mechanisms extends beyond academic interest, and links the research directly to current climate debate.

Autoimmune Regulator (AIRE) in the Maintenance of Immunological Tolerance

Autoimmune regulator (AIRE) is the gene mutated in the human polyglandular autoimmune disease called Autoimmune polyendocrinopathy, candidiasis, and ectodermal dystrophy (APECED) that belongs to the Finnish disease heritage. Murine Aire has been shown to be important in the generation of the T cell central tolerance in the thymus by promoting the expression of ectopic tissue-specific antigens in the thymic medulla. Aire is also involved in the thymus tissue organization during organogenesis. In addition to the thymus, AIRE/Aire is expressed in the secondary lymphoid organs. Accordingly, a role for AIRE/Aire in the maintenance of peripheral tolerance has been suggested. Peripheral tolerance involves mechanisms that suppress immune responses in secondary lymphoid organs. Regulatory T cells (Tregs) are an important suppressive T cell population mediating the peripheral tolerance. Tregs are generated in the thymus but also in the peripheral immune system T cells can acquire the Treg-phenotype. The aim of this study was to characterize Tregs in APECED patients and in the APECED mouse model (Aire-deficient mice). In the mouse model, it was possible to separate Aire expression in the thymus and in the secondary lymphoid organs. The relative importance of thymic and peripheral Aire expression in the maintenance of immunological tolerance was studied in an experimental model that was strongly biased towards autoimmunity, i.e. lymphopenia-induced proliferation (LIP) of lymphocytes. This experimental model was also utilised to study the behaviour of T cells with dual-specific T cell receptors (TCR) during the proliferation. The Treg phenotype was studied by flow cytometry and relative gene expression with real-time polymerase chain reaction. TCR repertoires of the Tregs isolated from APECED patients and healthy controls were also compared. The dual-specific TCRs were studied with the TCR repertoire analysis that was followed with sequencing of the chosen TCR genes in order to estimate changes in the dual-specific TCR diversity. The Treg function was tested with an in vitro suppression assay. The APECED patients had normal numbers of Tregs but the phenotype and suppressive functions of the Tregs were impaired. In order to separate Aire functions in the thymus from its yet unknown role in the secondary lymphoid organs, the phenomenon of LIP was utilised. In this setting, the lymphocytes that are adoptively transferred to a lymphopenic recipient proliferate to stimuli from self-originating antigens. This proliferation can result in autoimmunity if peripheral tolerance is not fully functional. When lymphocytes that had matured without Aire in the thymus were transferred to lymphopenic Aire-sufficient recipients, no clinical autoimmunity followed. The Aire-deficient donor-originating lymphocytes hyperproliferated, and other signs of immune dysregulation were also found in the recipients. Overt autoimmunity, however, was prevented by the Aire-deficient donor-originating Tregs that hyperproliferated in the recipients. Aire-deficient lymphopenic mice were used to study whether peripheral loss of Aire had an impact on the maintenance of peripheral tolerance. When normal lymphocytes were transferred to these Aire-deficient lymphopenic recipients, the majority of recipients developed a clinically symptomatic colitis. The colitis was confirmed also by histological analysis of the colon tissue sections. In the Aire-deficient lymphopenic recipients Tregs were proliferating significantly less than in the control group s recipients that had normal Aire expression in their secondary lymphoid organs. This study shows that Aire is not only important in the central tolerance but is also has a significant role in the maintenance of the peripheral tolerance both in mice and men. Aire expressed in the secondary lymphoid organs is involved in the functions of Tregs during an immune response. This peripheral expression appears to be relatively more important in some situations since only those lymphopenic recipients that had lost peripheral expression of Aire developed a symptomatic autoimmune disease. This AIRE-related Treg defect could be clinically important in understanding the pathogenesis of APECED.

Lower Gastrointestinal Microbiota in Health and Irritable Bowel Syndrome : Characterisation and Effect of Probiotic Intervention

The human gastrointestinal (GI) microbiota is a complex ecosystem that lives in symbiosis with its host. The growing awareness of the importance of the microbiota to the host as well as the development of culture-free laboratory techniques and computational methods has enormously expanded our knowledge of this microbial community. Irritable bowel syndrome (IBS) is a common functional bowel disorder affecting up to a fifth of the Western population. To date, IBS diagnosis has been based on GI symptoms and the exclusion of organic diseases. The GI microbiota has been found to be altered in this syndrome and probiotics can alleviate the symptoms, although clear links between the symptoms and the microbiota have not been demonstrated. The aim of the present work was to characterise IBS related alterations in the intestinal microbiota, their relation to IBS symptoms and their responsiveness to probiotic theraphy. In this thesis research, the healthy human microbiota was characterised by cloning and sequencing 16S rRNA genes from a faecal microbial community DNA pool that was first profiled and fractionated according to its guanine and cytosine content (%G+C). The most noticeable finding was that the high G+C Gram-positive bacteria (the phylum Actinobacteria) were more abundant compared to a corresponding library constructed from the unfractionated DNA pool sample. Previous molecular analyses of the gut microbiota have also shown comparatively low amounts of high G+C bacteria. Furthermore, the %G+C profiling approach was applied to a sample constructed of faecal DNA from diarrhea-predominant IBS (IBS-D) subjects. The phylogenetic microbial community comparison performed for healthy and IBS-D sequence libraries revealed that the IBS-D sample was rich in representatives of the phyla Firmicutes and Proteobacteria whereas Actinobacteria and Bacteroidetes were abundant in the healthy subjects. The family Lachnospiraceae within the Firmicutes was especially prevalent in the IBS-D sample. Moreover, associations of the GI microbiota with intestinal symptoms and the quality of life (QOL) were investigated, as well as the effect of probiotics on these factors. The microbial targets that were analysed with the quantitative real-time polymerase chain reaction (qPCR) in this study were phylotypes (species definition according to 16S rRNA gene sequence similarity) previously associated with either health or IBS. With a set of samples, the presence or abundance of a phylotype that had 94% 16S rRNA gene sequence similarity to Ruminococcus torques (R. torques 94%) was shown to be associated with the severity of IBS symptoms. The qPCR analyses for selected phylotypes were also applied to samples from a six-month probiotic intervention with a mixture of Lactobacillus rhamnosus GG, L. rhamnosus Lc705, Propionibacterium freudenreichii ssp. shermanii JS and Bifidobacterium breve Bb99. The intervention had been previously reported to alleviate IBS symptoms, but no associations with the analysed microbiota representatives were shown. However, with the phylotype-specific assays applied here, the abundance of the R. torques 94% -phylotype was shown to be lowered in the probiotic-receiving group during the probiotic supplementation, whereas a Clostridium thermosuccinogenes 85% phylotype, previously associated with a healthy microbiota, was found to be increased compared to the placebo group. To conclude, with the combination of methods applied, higher abundance of Actinobacteria was detected in the healthy gut than found in previous studies, and significant phylum-level microbiota alterations could be shown in IBS-D. Thus, the results of this study provide a detailed overview of the human GI microbiota in healthy subjects and in subjects with IBS. Furthermore, the IBS symptoms were linked to a particular clostridial phylotype, and probiotic supplementation was demonstrated to alter the GI microbiota towards a healthier state with regard to this and an additional bacterial phylotype. For the first time, distinct phylotype-level alterations in the microbiota were linked to IBS symptoms and shown to respond to probiotic therapy.

Combination antiretroviral therapy -associated lipodystrophy : insights into pathogenesis and treatment

Introduction: Combination antiretroviral therapy (cART) has decreased morbidity and mortality of individuals infected with human immunodeficiency virus type 1 (HIV-1). Its use, however, is associated with adverse effects which increase the patients risk of conditions such as diabetes and coronary heart disease. Perhaps the most stigmatizing side effect is lipodystrophy, i.e., the loss of subcutaneous adipose tissue (SAT) in the face, limbs and trunk while fat accumulates intra-abdominally and dorsocervically. The pathogenesis of cART-associated lipodystrophy is obscure. Nucleoside reverse transcriptase inhibitors (NRTI) have been implicated to cause lipoatrophy via mitochondrial toxicity. There is no known effective treatment for cART-associated lipodystrophy during unchanged antiretroviral regimen in humans, but in vitro data have shown uridine to abrogate NRTI-induced toxicity in adipocytes. Aims: To investigate whether i) cART or lipodystrophy associated with its use affect arterial stiffness; ii) lipoatrophic SAT is inflamed compared to non-lipoatrophic SAT; iii) abdominal SAT from patients with compared to those without cART-associated lipoatrophy differs with respect to mitochondrial DNA (mtDNA) content, adipose tissue inflammation and gene expression, and if NRTIs stavudine and zidovudine are associated with different degree of changes; iv) lipoatrophic abdominal SAT differs from preserved dorsocervical SAT with respect to mtDNA content, adipose tissue inflammation and gene expression in patients with cART-associated lipodystrophy and v) whether uridine can revert lipoatrophy and the associated metabolic disturbances in patients on stavudine or zidovudine based cART. Subjects and methods: 64 cART-treated patients with (n=45) and without lipodystrophy/-atrophy (n=19) were compared cross-sectionally. A marker of arterial stiffness, heart rate corrected augmentation index (AgIHR), was measured by pulse wave analysis. Body composition was measured by magnetic resonance imaging and dual-energy X-ray absorptiometry, and liver fat content by proton magnetic resonance spectroscopy. Gene expression and mtDNA content in SAT were assessed by real-time polymerase chain reaction and microarray. Adipose tissue composition and inflammation were assessed by histology and immunohistochemistry. Dorsocervical and abdominal SAT were studied. The efficacy and safety of uridine for the treatment of cART-associated lipoatrophy were evaluated in a randomized, double-blind, placebo-controlled 3-month trial in 20 lipoatrophic cART-treated patients. Results: Duration of antiretroviral treatment and cumulative exposure to NRTIs and protease inhibitors, but not the presence of cART-associated lipodystrophy, predicted AgIHR independent of age and blood pressure. Gene expression of inflammatory markers was increased in SAT of lipodystrophic as compared to non-lipodystrophic patients. Expression of genes involved in adipogenesis, triglyceride synthesis and glucose disposal was lower and of those involved in mitochondrial biogenesis, apoptosis and oxidative stress higher in SAT of patients with than without cART-associated lipoatrophy. Most changes were more pronounced in stavudine-treated than in zidovudine-treated individuals. Lipoatrophic SAT had lower mtDNA than SAT of non-lipoatrophic patients. Expression of inflammatory genes was lower in dorsocervical than in abdominal SAT. Neither depot had characteristics of brown adipose tissue. Despite being spared from lipoatrophy, dorsocervical SAT of lipodystrophic patients had lower mtDNA than the phenotypically similar corresponding depot of non-lipodystrophic patients. The greatest difference in gene expression between dorsocervical and abdominal SAT, irrespective of lipodystrophy status, was in expression of homeobox genes that regulate transcription and regionalization of organs during embryonal development. Uridine increased limb fat and its proportion of total fat, but had no effect on liver fat content and markers of insulin resistance. Conclusions: Long-term cART is associated with increased arterial stiffness and, thus, with higher cardiovascular risk. Lipoatrophic abdominal SAT is characterized by inflammation, apoptosis and mtDNA depletion. As mtDNA is depleted even in non-lipoatrophic dorsocervical SAT, lipoatrophy is unlikely to be caused directly by mtDNA depletion. Preserved dorsocervical SAT of patients with cART-associated lipodystrophy is less inflamed than their lipoatrophic abdominal SAT, and does not resemble brown adipose tissue. The greatest difference in gene expression between dorsocervical and abdominal SAT is in expression of transcriptional regulators, homeobox genes, which might explain the differential susceptibility of these adipose tissue depots to cART-induced toxicity. Uridine is able to increase peripheral SAT in lipoatrophic patients during unchanged cART.

A maximal operator, Carleson's embedding, and tent spaces for vector-valued functions

This thesis is concerned with the area of vector-valued Harmonic Analysis, where the central theme is to determine how results from classical Harmonic Analysis generalize to functions with values in an infinite dimensional Banach space. The work consists of three articles and an introduction. The first article studies the Rademacher maximal function that was originally defined by T. Hytönen, A. McIntosh and P. Portal in 2008 in order to prove a vector-valued version of Carleson's embedding theorem. The boundedness of the corresponding maximal operator on Lebesgue-(Bochner) -spaces defines the RMF-property of the range space. It is shown that the RMF-property is equivalent to a weak type inequality, which does not depend for instance on the integrability exponent, hence providing more flexibility for the RMF-property. The second article, which is written in collaboration with T. Hytönen, studies a vector-valued Carleson's embedding theorem with respect to filtrations. An earlier proof of the dyadic version assumed that the range space satisfies a certain geometric type condition, which this article shows to be also necessary. The third article deals with a vector-valued generalizations of tent spaces, originally defined by R. R. Coifman, Y. Meyer and E. M. Stein in the 80's, and concerns especially the ones related to square functions. A natural assumption on the range space is then the UMD-property. The main result is an atomic decomposition for tent spaces with integrability exponent one. In order to suit the stochastic integrals appearing in the vector-valued formulation, the proof is based on a geometric lemma for cones and differs essentially from the classical proof. Vector-valued tent spaces have also found applications in functional calculi for bisectorial operators. In the introduction these three themes come together when studying paraproduct operators for vector-valued functions. The Rademacher maximal function and Carleson's embedding theorem were applied already by Hytönen, McIntosh and Portal in order to prove boundedness for the dyadic paraproduct operator on Lebesgue-Bochner -spaces assuming that the range space satisfies both UMD- and RMF-properties. Whether UMD implies RMF is thus an interesting question. Tent spaces, on the other hand, provide a method to study continuous time paraproduct operators, although the RMF-property is not yet understood in the framework of tent spaces.