Examining and Modeling the Dynamics of the Volatility Surface

The objective of this paper is to investigate and model the characteristics of the prevailing volatility smiles and surfaces on the DAX- and ESX-index options markets. Continuing on the trend of Implied Volatility Functions, the Standardized Log-Moneyness model is introduced and fitted to historical data. The model replaces the constant volatility parameter of the Black & Scholes pricing model with a matrix of volatilities with respect to moneyness and maturity and is tested out-of-sample. Considering the dynamics, the results show support for the hypotheses put forward in this study, implying that the smile increases in magnitude when maturity and ATM volatility decreases and that there is a negative/positive correlation between a change in the underlying asset/time to maturity and implied ATM volatility. Further, the Standardized Log-Moneyness model indicates an improvement to pricing accuracy compared to previous Implied Volatility Function models, however indicating that the parameters of the models are to be re-estimated continuously for the models to fully capture the changing dynamics of the volatility smiles.

Pricing Index Options with Stochastic Volatility

The objective of this paper is to investigate the pricing accuracy under stochastic volatility where the volatility follows a square root process. The theoretical prices are compared with market price data (the German DAX index options market) by using two different techniques of parameter estimation, the method of moments and implicit estimation by inversion. Standard Black & Scholes pricing is used as a benchmark. The results indicate that the stochastic volatility model with parameters estimated by inversion using the available prices on the preceding day, is the most accurate pricing method of the three in this study and can be considered satisfactory. However, as the same model with parameters estimated using a rolling window (the method of moments) proved to be inferior to the benchmark, the importance of stable and correct estimation of the parameters is evident.

Simulating and Forecasting the Demand for New Consumer Durables

A diffusion/replacement model for new consumer durables designed to be used as a long-term forecasting tool is developed. The model simulates new demand as well as replacement demand over time. The model is called DEMSIM and is built upon a counteractive adoption model specifying the basic forces affecting the adoption behaviour of individual consumers. These forces are the promoting forces and the resisting forces. The promoting forces are further divided into internal and external influences. These influences are operationalized within a multi-segmental diffusion model generating the adoption behaviour of the consumers in each segment as an expected value. This diffusion model is combined with a replacement model built upon the same segmental structure as the diffusion model. This model generates, in turn, the expected replacement behaviour in each segment. To be able to use DEMSIM as a forecasting tool in early stages of a diffusion process estimates of the model parameters are needed as soon as possible after product launch. However, traditional statistical techniques are not very helpful in estimating such parameters in early stages of a diffusion process. To enable early parameter calibration an optimization algorithm is developed by which the main parameters of the diffusion model can be estimated on the basis of very few sales observations. The optimization is carried out in iterative simulation runs. Empirical validations using the optimization algorithm reveal that the diffusion model performs well in early long-term sales forecasts, especially as it comes to the timing of future sales peaks.

Electrocardiographic parameters of ventricular repolarization : modifiers and the prognostic value

Electric activity of the heart consists of repeated cardiomyocyte depolarizations and repolarizations. Abnormalities in repolarization predispose to ventricular arrhythmias. In body surface electrocardiogram, ventricular repolarization generates the T wave. Several electrocardiographic measures have been developed both for clinical and research purposes to detect repolarization abnormalities. The study aim was to investigate modifiers of ventricular repolarization with the focus on the relationship of the left ventricular mass, antihypertensive drugs, and common gene variants, to electrocardiographic repolarization parameters. The prognostic value of repolarization parameters was also assessed. The study subjects originated from a population of more than 200 middle-aged hypertensive men attending the GENRES hypertension study, and from an epidemiological survey, the Health 2000 Study, including more than 6000 participants. Ventricular repolarization was analysed from digital standard 12-lead resting electrocardiograms with two QT-interval based repolarization parameters (QT interval, T-wave peak to T-wave end interval) and with a set of four T-wave morphology parameters. The results showed that in hypertensive men, a linear change in repolarization parameters is present even in the normal range of left ventricular mass, and that even mild left ventricular hypertrophy is associated with potentially adverse electrocardiographic repolarization changes. In addition, treatments with losartan, bisoprolol, amlodipine, and hydrochlorothiazide have divergent short-term effects on repolarization parameters in hypertensive men. Analyses of the general population sample showed that single nucleotide polymorphisms in KCNH2, KCNE1, and NOS1AP genes are associated with changes in QT-interval based repolarization parameters but not consistently with T-wave morphology parameters. T-wave morphology parameters, but not QT interval or T-wave peak to T-wave end interval, provided independent prognostic information on mortality. The prognostic value was specifically related to cardiovascular mortality. The results indicate that, in hypertension, altered ventricular repolarization is already present in mild left ventricular mass increase, and that commonly used antihypertensive drugs may relatively rapidly and treatment-specifically modify electrocardiographic repolarization parameters. Common variants in cardiac ion channel genes and NOS1AP gene may also modify repolarization-related arrhythmia vulnerability. In the general population, T-wave morphology parameters may be useful in the risk assessment of cardiovascular mortality.

Kalman Filter Algorithm for Rating and Prediction in Basketball

The Thesis presents a state-space model for a basketball league and a Kalman filter algorithm for the estimation of the state of the league. In the state-space model, each of the basketball teams is associated with a rating that represents its strength compared to the other teams. The ratings are assumed to evolve in time following a stochastic process with independent Gaussian increments. The estimation of the team ratings is based on the observed game scores that are assumed to depend linearly on the true strengths of the teams and independent Gaussian noise. The team ratings are estimated using a recursive Kalman filter algorithm that produces least squares optimal estimates for the team strengths and predictions for the scores of the future games. Additionally, if the Gaussianity assumption holds, the predictions given by the Kalman filter maximize the likelihood of the observed scores. The team ratings allow probabilistic inference about the ranking of the teams and their relative strengths as well as about the teams’ winning probabilities in future games. The predictions about the winners of the games are correct 65-70% of the time. The team ratings explain 16% of the random variation observed in the game scores. Furthermore, the winning probabilities given by the model are concurrent with the observed scores. The state-space model includes four independent parameters that involve the variances of noise terms and the home court advantage observed in the scores. The Thesis presents the estimation of these parameters using the maximum likelihood method as well as using other techniques. The Thesis also gives various example analyses related to the American professional basketball league, i.e., National Basketball Association (NBA), and regular seasons played in year 2005 through 2010. Additionally, the season 2009-2010 is discussed in full detail, including the playoffs.

Using a botanic garden collection to test a bioclimatic vegetation scheme

Vegetation maps and bioclimatic zone classifications communicate the vegetation of an area and are used to explain how the environment regulates the occurrence of plants on large scales. Many practises and methods for dividing the world’s vegetation into smaller entities have been presented. Climatic parameters, floristic characteristics, or edaphic features have been relied upon as decisive factors, and plant species have been used as indicators for vegetation types or zones. Systems depicting vegetation patterns that mainly reflect climatic variation are termed ‘bioclimatic’ vegetation maps. Based on these it has been judged logical to deduce that plants moved between corresponding bioclimatic areas should thrive in the target location, whereas plants moved from a different zone should languish. This principle is routinely applied in forestry and horticulture but actual tests of the validity of bioclimatic maps in this sense seem scanty. In this study I tested the Finnish bioclimatic vegetation zone system (BZS). Relying on the plant collection of Helsinki University Botanic Garden’s Kumpula collection, which according to the BZS is situated at the northern limit of the hemiboreal zone, I aimed to test how the plants’ survival depends on their provenance. My expectation was that plants from the hemiboreal or southern boreal zones should do best in Kumpula, whereas plants from more southern and more northern zones should show progressively lower survival probabilities. I estimated probability of survival using collection database information of plant accessions of known wild origin grown in Kumpula since the mid 1990s, and logistic regression models. The total number of accessions I included in the analyses was 494. Because of problems with some accessions I chose to separately analyse a subset of the complete data, which included 379 accessions. I also analysed different growth forms separately in order to identify differences in probability of survival due to different life strategies. In most analyses accessions of temperate and hemiarctic origin showed lower survival probability than those originating from any of the boreal subzones, which among them exhibited rather evenly high probabilities. Exceptionally mild and wet winters during the study period may have killed off hemiarctic plants. Some winters may have been too harsh for temperate accessions. Trees behaved differently: they showed an almost steadily increasing survival probability from temperate to northern boreal origins. Various factors that could not be controlled for may have affected the results, some of which were difficult to interpret. This was the case in particular with herbs, for which the reliability of the analysis suffered because of difficulties in managing their curatorial data. In all, the results gave some support to the BZS, and especially its hierarchical zonation. However, I question the validity of the formulation of the hypothesis I tested since it may not be entirely justified by the BZS, which was designed for intercontinental comparison of vegetation zones, but not specifically for transcontinental provenance trials. I conclude that botanic gardens should pay due attention to information management and curational practices to ensure the widest possible applicability of their plant collections.

Non-industrial private forest landowners’ choices of timber management strategies and potential allowable cut.

In the study, the potential allowable cut in the district of Pohjois-Savo - based on the non-industrial private forest landowners' (NIPF) choices of timber management strategies - was clarified. Alternative timber management strategies were generated, and the choices and factors affecting the choices of timber management strategies by NIPF landowners were studied. The choices of timber management strategies were solved by maximizing the utility functions of the NIPF landowners. The parameters of the utility functions were estimated using the Analytic Hierarchy Process (AHP). The level of the potential allowable cut was compared to the cutting budgets based on the 7th and 8th National Forest Inventories (NFI7 and NFI8), to the combining of private forestry plans, and to the realized drain from non-industrial private forests. The potential allowable cut was calculated using the same MELA system as has been used in the calculation of the national cutting budget. The data consisted of the NIPF holdings (from the TASO planning system) that had been inventoried compartmentwise and had forestry plans made during the years 1984-1992. The NIPF landowners' choices of timber management strategies were clarified by a two-phase mail inquiry. The most preferred strategy obtained was "sustainability" (chosen by 62 % of landowners). The second in order of preference was "finance" (17 %) and the third was "saving" (11 %). "No cuttings", and "maximum cuttings" were the least preferred (9 % and 1 %, resp.). The factors promoting the choices of strategies with intensive cuttings were a) "farmer as forest owner" and "owning fields", b) "increase in the size of the forest holding", c) agriculture and forestry orientation in production, d) "decreasing short term stumpage earning expectations", e) "increasing intensity of future cuttings", and f) "choice of forest taxation system based on site productivity". The potential allowable cut defined in the study was 20 % higher than the average of the realized drain during the years 1988-1993, which in turn, was at the same level as the cutting budget based on the combining of forestry plans in eastern Finland. Respectively, the potential allowable cut defined in the study was 12 % lower than the NFI8-based greatest sustained allowable cut for the 1990s. Using the method presented in this study, timber management strategies can be clarified for non-industrial private forest landowners in different parts of Finland. Based on the choices of timber managemet strategies, regular cutting budgets can be calculated more realistically than before.

Modelling initial survival and growth of radiata pine in New Zealand.

A sensitive framework has been developed for modelling young radiata pine survival, its growth and its size class distribution, from time of planting to age 5 or 6 years. The data and analysis refer to the Central North Island region of New Zealand. The survival function is derived from a Weibull probability density function, to reflect diminishing mortality with the passage of time in young stands. An anamorphic family of trends was used, as very little between-tree competition can be expected in young stands. An exponential height function was found to fit best the lower portion of its sigmoid form. The most appropriate basal area/ha exponential function included an allometric adjustment which resulted in compatible mean height and basal area/ha models. Each of these equations successfully represented the effects of several establishment practices by making coefficients linear functions of site factors, management activities and their interactions. Height and diameter distribution modelling techniques that ensured compatibility with stand values were employed to represent the effects of management practices on crop variation. Model parameters for this research were estimated using data from site preparation experiments in the region and were tested with some independent data sets.

Monetary policy rules and estimated reaction functions for the European Central Bank

This thesis studies the interest-rate policy of the ECB by estimating monetary policy rules using real-time data and central bank forecasts. The aim of the estimations is to try to characterize a decade of common monetary policy and to look at how different models perform at this task.The estimated rules include: contemporary Taylor rules, forward-looking Taylor rules, nonlinearrules and forecast-based rules. The nonlinear models allow for the possibility of zone-like preferences and an asymmetric response to key variables. The models therefore encompass the most popular sub-group of simple models used for policy analysis as well as the more unusual non-linear approach. In addition to the empirical work, this thesis also contains a more general discussion of monetary policy rules mostly from a New Keynesian perspective. This discussion includes an overview of some notable related studies, optimal policy, policy gradualism and several other related subjects. The regression estimations are performed with either least squares or the generalized method of moments depending on the requirements of the estimations. The estimations use data from both the Euro Area Real-Time Database and the central bank forecasts published in ECB Monthly Bulletins. These data sources represent some of the best data that is available for this kind of analysis. The main results of this thesis are that forward-looking behavior appears highly prevalent, but that standard forward-looking Taylor rules offer only ambivalent results with regard to inflation. Nonlinear models are shown to work, but on the other hand do not have a strong rationale over a simpler linear formulation. However, the forecasts appear to be highly useful in characterizing policy and may offer the most accurate depiction of a predominantly forward-looking central bank. In particular the inflation response appears much stronger while the output response becomes highly forward-looking as well.

Sydämen hypertrofian ja kroonisen vajaatoiminnan farmakologinen hoito

Sydämen krooninen vajaatoiminta on merkittävä maailmanlaajuinen ongelma. Se on erilaisten sydän- ja verisuonisairauksien aiheuttama monimuotoinen oireyhtymä. Sydämen vasemman kammion hypertrofia eli sydämen seinämien paksuuntuminen on yksi keskeinen tekijä, joka voi olla sydämen vajaatoiminnan taustalla. Kohonnut verenpaine on yleisin syy, joka johtaa sydänlihaksen paksuuntumiseen. Tämä johtaa sydämen pumppaustoiminnan häiriintymiseen, erilaisten neurohormonaalisten mekanismien aktivaatioon ja edelleen sydämen vajaatoimintaan. Sydämen vajaatoiminnan neurohormonaalisista mekanismeista tärkeimmät ovat reniini-angiotensiini-aldosteroni-järjestelmän ja sympaattisen hermoston aktivaatio, sydämen rakenteiden uudelleenmuovautuminen, sydänlihassolujen apoptoosi ja systeeminen tulehdustila. Sydämen hypertrofiaa ja sen syntymistä pyritään estämään kohonneen verenpaineen lääkehoidolla. Reniini-angiotensiini-aldosteronijärjestelmällä on keskeinen merkitys sydämen vajaatoiminnassa. Sydämen vajaatoiminnan ennusteeseen vaikuttavista lääkeaineista angiotensiinikonvertasin estäjät (ACEestäjät) ovat säilyttäneet johtoasemansa jo vuosikymmenten ajan. Angiotensiinireseptoreiden salpaajien (AT1-salpaajien) odotettiin syrjäyttävän ACE-estäjät sydämen vajaatoiminnan hoidossa, mutta toistaiseksi niitä pidetään vain vaihtoehtoisina lääkkeinä. Sympaattisen hermoston aktivaatiota vähentävät β-salpaajat ovat vakiinnuttaneet asemansa toiseksi tärkeimpänä lääkeryhmänä. Diureetit ovat paljon käytetty lääkeaineryhmä sydämen vajaatoiminnan hoidossa, mutta niistä ainoastaan aldosteroniantagonisteilla on tutkitusti ennustetta parantavaa vaikutusta. Kroonisen vajaatoiminnan hoidossa käytetään edelleen myös digoksiinia. Tulevaisuudessa sydämen vajaatoiminnan ennusteeseen vaikuttavia lääkeaineita voivat olla reniinin estäjät, neutraaliendopeptidaasin estäjät, vasopressiinin antagonistit tai inflammatroisiin sytokiineihin vaikuttavat molekyylit. Erikoistyön kokeellisessa osiossa tarkoituksena oli tutkia sydämen hypertrofian kehittymistä vatsa-aortta kuristetuilla rotilla ja kalsiumherkistäjä levosimendaanin sekä AT1-salpaaja valsartaanin vaikutuksia hypertrofian kehittymiseen. Kokeellisessa osiossa arvioitiin myös sydämen hypertrofian ja vajaatoiminnan jyrsijämallina käytetyn vatsa-aortan kuristuksen (koarktaation) toimivuutta ja vaikutuksia ultraäänen avulla määritettyihin kardiovaskulaarisiin parametreihin. Vatsa-aortta kuristettiin munuaisvaltimoiden yläpuolelta. Kuristus saa aikaan verenpaineen kohoamisen ja sydämen työtaakan lisääntymisen. Pitkittyessään tila johtaa sydänlihaksen hypertrofiaan ja vajaatoimintaan. 64 eläintä jaettiin ryhmiin, siten että jokaiseen ryhmään tuli kahdeksan eläintä. Ryhmistä kolmelle annettiin lääkeaineena levosimendaania kolmella eri päiväannoksella (0,01 mg/kg; 0,10 mg/kg; 1,00 mg/kg) ja kolmelle valsartaania kolmella eri päiväannoksella (0,10 mg/kg; 1,00 mg/kg; 10,00 mg/kg) juomaveden mukana. Lääkitys aloitettiin leikkauksen jälkeen ja jatkettiin kahdeksan viikon ajan. Kardiovaskulaariset parametrit, kuten isovolumetrinen relaksaatioaika (IVRT), vasemman kammion läpimitta systolessa ja diastolessa sekä seinämäpaksuudet, ejektiofraktio (EF), supistuvuusosuus (FS), minuuttitilavuus (CO) ja iskutilavuus (SV) määritettiin kahdeksan viikon kuluttua leikkauksesta ultraäänitutkimuksen avulla. Lisäksi määritettiin eläinten sydämen paino suhteessa ruumiin painoon. Tuloksia verrattiin ilman lääkehoitoa olleeseen koarktaatioryhmään. Eläinmallin toimivuutta arvioitiin vertaamalla koarktaatioryhmän tuloksia sham-operoidun ryhmän tuloksiin. Levosimendaanilla havaittiin työssä sydämen systolista toimintaa parantava vaikutus. Tämä näkyi tendenssinä parantaa ejektiofraktioita ja vasemman kammion supistuvuusosuuksia. Sydämen diastoliseen toimintaan ei kummallakaan lääkeaineella ollut merkittävää vaikutusta. Diastolista toimintaa arvioitiin isovolumetrisen relaksaatioajan muutoksilla. Sydämen hypertrofian kehittymiseen ei kummallakaan lääkeaineella ollut merkittävää vaikutusta. Eläinmallin todettiin mallintavan hyvin sydämen hypetrofiaa ihmisellä, mutta ei niinkään sydämen vajaatoimintaa.