The Day of the Week Effect and Option Pricing - A Study of the German Option Market

The use of different time units in option pricing may lead to inconsistent estimates of time decay and spurious jumps in implied volatilities. Different time units in the pricing model leads to different implied volatilities although the option price itself is the same.The chosen time unit should make it necessary to adjust the volatility parameter only when there are some fundamental reasons for it and not due to wrong specifications of the model. This paper examined the effects of option pricing using different time hypotheses and empirically investigated which time frame the option markets in Germany employ over weekdays. The paper specifically tries to get a picture of how the market prices options. The results seem to verify that the German market behaves in a fashion that deviates from the most traditional time units in option pricing, calendar and trading days. The study also showed that the implied volatility of Thursdays was somewhat higher and thus differed from the pattern of other days of the week. Using a GARCH model to further investigate the effect showed that although a traditional tests, like the analysis of variance, indicated a negative return for Thursday during the same period as the implied volatilities used, this was not supported using a GARCH model.

EU Accession and FDI inflows : The cases of the Czech Republic and Slovakia

Central and East European countries have faced a difficult process of transition since the dissolution of the Soviet bloc. Ten transition countries (Hungary, Poland, teh Czech Republic, Slovakia, Slovenia, Lithuania, Latvia, Estonia, Bulgaria and Romania have chosen to join the EU and have moulded their transition reforms to ensure the compliance of their legal and institutional framework with EU requirements. The high levels of FDI attracted by the candidate countries for EU membership had been attributed to rapid transition of the countries aiming to join the European Union and the fact that favourable evaluations by EU authorities of the progress made by the candidates had a large impact on improving investor confidence. The aim of this paper is to investigate the reform strategies of the Czech Republic and Slovakia undertaken when the countries were preparing for EU membership and the dynamics of FDI inflows into these economies. Subsequently a comparative analysis of FDI stocks in these countries is conducted. We find that both countries faced similar economic challenges in implementing structural and institutional reforms. In accordance with EU requirements the Czech Republic and Slovakia have perfected their legal and institutional framework, increased the authority of regulatory and supervisory bodies and focused on implementation of new or amended legislation. During the period of the analysis (1998 - 2007) the Czech Republic and Slovakia have attracted increasing amounts of FDI. Comparative analysis in terms of important determinants of FDI reveals further similar features: macroeconomic stability; an open and liberalised market; low labour costs compared to EU-15 and a similar breakdown of FDI inflows by investor country. Consequently, the fact that the Czech Republic received much larger volumes of net FDI inflows could be attributed to the difference in market size between the two states. This conclusion is consistent with previous empirical studies that list market size among the main determinants of FDI. However, when we look at FDI as a percentage of GDP the evidence is more mixed. In 2004 - 2007, Slovakia has surpassed the Czech Republic twice. Whether this tendency will persist remains to be seen. The analysis in this paper based on empirical data. However, the choice of the method, namely case studies and comparative analysis, means that the conclusions of this study are theoretical and remain to be further tested in quantitative models.

Geochemistry and petrology of the ferropicrite dikes and associated rocks of Vestfjella, western Dronning Maud Land, Antarctica

This study provides insights into the composition and origin of ferropicrite dikes (FeOtot = 13 17 wt. %; MgO = 13 19 wt. %) and associated meimechite, picrite, picrobasalt, and basalt dikes found at Vestfjella, western Dronning Maud Land, Antarctica. The dikes crosscut Jurassic Karoo continental flood basalts (CFB) that were emplaced during the early stages of the breakup of the Gondwana supercontinent ~180 Ma ago. Selected samples (31 overall from at least eleven dikes) were analyzed for their mineral chemical, major element, trace element, and Sr, Nd, Pb, and Os isotopic compositions. The studied samples can be divided into two geochemically distinct types: (1) The depleted type (24 samples from at least nine dikes) is relatively depleted in the most incompatible elements and exhibits isotopic characteristics (e.g., initial εNd of +4.8 to +8.3 and initial 187Os/188Os of 0.1256 0.1277 at 180 Ma) similar to those of mid-ocean ridge basalts (MORB); (2) The enriched type (7 samples from at least two dikes) exhibits relatively enriched incompatible element and isotopic characteristics (e.g., initial εNd of +1.8 to +3.6 and initial 187Os/188Os of 0.1401 0.1425 at 180 Ma) similar to those of oceanic island basalts. Both magma types have escaped significant contamination by the continental crust. The depleted type is related to the main phase of Karoo magmatism and originated as highly magnesian (MgO up to 25 wt. %) partial melts at high temperatures (mantle potential temperature >1600 °C) and pressures (~5 6 GPa) from a sublithospheric, water-bearing, depleted peridotite mantle source. The enriched type sampled pyroxene-bearing heterogeneities that can be traced down to either recycled oceanic crust or melt-metasomatized portions of the sublithospheric or lithospheric mantle. The source of the depleted type represents a sublithospheric end-member source for many Karoo lavas and has subsequently been sampled by the MORBs of the Indian Ocean. These observations, together with the purported high temperatures, indicate that the Karoo CFBs were formed in an extensive melting episode caused mainly by internal heating of the upper mantle beneath the Gondwana supercontinent. My research supports the view that ferropicritic melts can be generated in several ways: the relative Fe-enrichment of mantle partial melts is most readily achieved by (1) relatively low degree of partial melting, (2) high pressure of partial melting, and (3) melting of enriched source components (e.g., pyroxenite and metasomatized peridotite). Ferropicritic whole-rock compositions could also result from accumulation, secondary alteration, and fractional crystallization, however, and caution is required when addressing the parental magma composition.

Taxonomy and phylogeny of the manna lichens and allied species (Megasporaceae)

This dissertation is focused on the taxonomy, phylogeny, and ecology of the vagrant, erratic and allied terricolous and saxicolous species of the genera Aspicilia A. Massal. and Circinaria Link (Megasporaceae), particularly those traditionally referred to as manna lichens . The group has previously been defined on the basis of few morphological characters. The phylogeny of the family Megasporaceae is inferred from the combined dataset of nuLSU and mtSSU sequences. Five genera Aspicilia, Circinaria, Lobothallia, Megaspora, and Sagedia are recognized. Lobothallia is sister of the four other genera, while Aspicilia and Sagedia form the next clade. All these genera have small asci with eight spores. Circinaria is a sister genus of Megaspora, and these two have in common asci with (1 4) 6 8 large spores. Circinaria forms a monophyletic group and sphaerothallioid species form a monophyletic group within Circinaria. The presence of certain morphological characters such as pseudocyphellae, thickness of cortex and medulla layers, as well as ecological differences in sphaerothallioid species distinguish it from some other crustose species, especially those containing aspicilin and characterised by thin cortex and medulla layers, conidium length c. 6 12 µm and absence of pseudocyphellae. If sphaerothallioid species are accepted as a distinct genus, the rest of the Circinaria species would remain as a paraphyletic assemblage. Currently, the genus Circinaria includes all the sphaerothallioid species and its generic position is confirmed and accepted. Thus, it is proposed as a correct generic name also for the manna lichens described originally in other genera. Phylogeny at the species level was studied using nrITS sequence data. Traditionally, morphological characters have been used for the recognition of species. They were re-evaluated in the light of molecular data. Since characters such as vagrant, erratic and crustose growth forms proved to be misleading for the recognition of some species, a combination of several characters (including molecular data) is recommended. Vagrant growth form seems to have evolved several times among the distantly related lineages and even within a single population. The reasons behind the high plasticity in the external morphology of the sphaerothallioid Circinaria remain, however, unknown. Six new species are recognized: Aspicilia tibetica, Circinaria arida, C. digitata nom provis., C. gyrosa nom. provis., C. rogeri nom. provis., and C. rostamii nom. provis. Based on an analysis of nrITS dataset, three new erratic, vagrant and crustose species were also recognized, but these require additional study. The results also reveal that C. elmorei and C. hispida are not monophyletic as currently understood. In addition, 13 new combinations in the genus Circinaria are proposed.

FGF signaling in neurogenesis and patterning of the developing midbrain and anterior hindbrain

Embryonic midbrain and hindbrain are structures which will give rise to brain stem and cerebellum in the adult vertebrates. Brain stem contains several nuclei which are essential for the regulation of movements and behavior. They include serotonin-producing neurons, which develop in the hindbrain, and dopamine-producing neurons in the ventral midbrain. Degeneration and malfunction of these neurons leads to various neurological disorders, including schizophrenia, depression, Alzheimer s, and Parkinson s disease. Thus, understanding their development is of high interest. During embryogenesis, a local signaling center called isthmic organizer regulates the development of midbrain and anterior hindbrain. It secretes peptides belonging to fibroblast growth factor (FGF) and Wingless/Int (Wnt) families. These factors bind to their receptors in the surrounding tissues, and activate various downstream signaling pathways which lead to alterations in gene expression. This in turn affects the various developmental processes in this region, such as proliferation, survival, patterning, and neuronal differentiation. In this study we have analyzed the role of FGFs in the development of midbrain and anterior hindbrain, by using mouse as a model organism. We show that FGF receptors cooperate to receive isthmic signals, and cell-autonomously promote cell survival, proliferation, and maintenance of neuronal progenitors. FGF signaling is required for the maintenance of Sox3 and Hes1 expression in progenitors, and Hes1 in turn suppresses the activity of proneural genes. Loss of Hes1 is correlated with increased cell cycle exit and premature neuronal differentiation. We further demonstrate that FGF8 protein forms an antero-posterior gradient in the basal lamina, and might enter the neuronal progenitors via their basal processes. We also analyze the impact of FGF signaling on the various neuronal nuclei in midbrain and hindbrain. Rostral serotonergic neurons appear to require high levels of FGF signaling in order to develop. In the absence of FGF signaling, these neurons are absent. We also show that embryonic meso-diencephalic dopaminergic domain consists of two populations in the anterior-posterior direction, and that these populations display different molecular profiles. The anterior diencephalic domain appears less dependent on isthmic FGFs, and lack several genes typical of midbrain dopaminergic neurons, such as Pitx3 and DAT. In Fgfr compound mutants, midbrain dopaminergic neurons begin to develop but soon adopt characteristics which highly resemble those of diencephalic dopaminergic precursors. Our results indicate that FGF signaling regulates patterning of these two domains cell-autonomously.