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.

Evaluating Option Pricing Models

This study evaluates three different time units in option pricing: trading time, calendar time and continuous time using discrete approximations (CTDA). The CTDA-time model partitions the trading day into 30-minute intervals, where each interval is given a weight corresponding to the historical volatility in the respective interval. Furthermore, the non-trading volatility, both overnight and weekend volatility, is included in the first interval of the trading day in the CTDA model. The three models are tested on market prices. The results indicate that the trading-time model gives the best fit to market prices in line with the results of previous studies, but contrary to expectations under non-arbitrage option pricing. Under non-arbitrage pricing, the option premium should reflect the cost of hedging the expected volatility during the option’s remaining life. The study concludes that the historical patterns in volatility are not fully accounted for by the market, rather the market prices options closer to trading time.

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.

Moral Education in the Japanese Primary School Curricular Revision at the Turn of the Twenty-first Century: Aiming at a Rich and Beautiful Kokoro

This study examines values education in Japanese schools at the beginning of the millennium. The topic was approached by asking the following three questions concerning the curricular background, the morality conveyed through textbooks and the characterization of moral education from a comparative viewpoint: 1) What role did moral education play in the curriculum revision which was initiated in 1998 and implemented in 2002? 2) What kinds of moral responsibilities and moral autonomy do the moral texts develop? 3) What does Japanese moral education look like in terms of the comparative framework? The research was based on curriculum research. Its primary empirical data consisted of the national curriculum guidelines for primary school, which were taken into use in 2002, and moral texts, Kokoro no nôto, published by the Ministry of Education in the same context. Since moral education was approached in the education reform context, the secondary research material involved some key documents of the revision process from the mid-1990s to 2003. The research material was collected during three fieldwork periods in Japan (in 2002, 2003 and 2005). The text-analysis was conducted as a theory-dependent qualitative content analysis. Japanese moral education was analyzed as a product of its own cultural tradition and societal answer to the current educational challenges. In order to understand better its character, secular moral education was reflected upon from a comparative viewpoint. The theory chosen for the comparative framework, the value realistic theory of education, represented the European rational education tradition as well as the Christian tradition of values education. Moral education, which was the most important school subject at the beginning of modern school, was eliminated from the curriculum for political reasons in a school reform after the Second World War, but has gradually regained a stronger position since then. It was reinforced particularly at the turn of millennium, when a curriculum revision attempted to respond to educational and learning problems by emphasizing qualitative and value aspects. Although the number of moral lessons and their status as a non-official-subject remained unchanged, the Ministry of Education made efforts to improve moral education by new curricular emphases, new teaching material and additional in-service training possibilities for teachers. The content of the moral texts was summarized in terms of moral responsibility in four moral areas (intrapersonal, interpersonal, natural-supranatural and societal) as follows: 1) continuous self-development, 2) caring for others, 3) awe of life and forces beyond human power, and 4) societal contribution. There was a social-societal and emotional emphasis in what was taught. Moral autonomy, which was studied from the perspectives of rational, affective and individuality development, stressed independence in action through self-discipline and responsibility more than rational self-direction. Japanese moral education can be characterized as the education of kokoro (heart) and the development of character, which arises from virtue ethics. It aims to overcome egoistic individualism by reciprocal and interdependent moral responsibility based on responsible interconnectedness.

Media Education in the Finnish School System : A Conceptual Analysis of the Subject Didactic Dimension of Media Education

The aim of the doctoral dissertation was to further our theoretical and empirical understanding of media education as practised in the context of Finnish basic education. The current era of intensive use of the Internet is recognised too. The doctoral dissertation presents the subject didactic dimension of media education as one of the main results of the conceptual analysis. The theoretical foundation is based on the idea of dividing the concept of media education into media and education (Vesterinen et al., 2006). As two ends of the dimension, these two can be understood didactically as content and pedagogy respectively. In the middle, subject didactics is considered to have one form closer to content matter (Subject Didactics I learning about media) and another closer to general pedagogical questions (Subject Didactics II learning with/through media). The empirical case studies of the dissertation are reported with foci on media literacy in the era of Web 2.0 (Kynäslahti et al., 2008), teacher reasoning in media educational situations (Vesterinen, Kynäslahti - Tella, 2010) and the research methodological implications of the use of information and communication technologies in the school (Vesterinen, Toom - Patrikainen, 2010). As a conclusion, Media-Based Media Education and Cross-Curricular Media Education are presented as two subject didactic modes of media education in the school context. Episodic Media Education is discussed as the third mode of media education where less organised teaching, studying and learning related to media takes place, and situations (i.e. episodes, if you like) without proper planning or thorough reflection are in focus. Based on the theoretical and empirical understanding gained in this dissertation, it is proposed that instead of occupying a corner of its own in the school curriculum, media education should lead the wider change in Finnish schools.

Implementing virtual collaborative inquiry practises in a middle-school context

The aim of the present study was to investigate the challenges that relate to the implementation of virtual inquiry practises in middle school. The case was a school course in which a group of Finnish students (N = 14) and teachers (N = 7) completed group inquiries through virtual collaboration, using a web-based learning environment. The task was to accomplish a cross-disciplinary inquiry into cultural issues. The students worked mainly at home and took much responsibility for their course achievements. The investigators analysed the pedagogical design of the course and the content of the participants' interaction patterns in the web-based environment, using qualitative content analysis and social network analysis. The findings suggest that the students succeeded in producing distinctive cultural products, and both the students and the teachers adopted novel roles during the inquiry. The web-based learning environment was used more as a coordination tool for organizing the collaborative work than as a forum for epistemic inquiry. The tension between the school curriculum and the inquiry practises was manifest in the participants' discussions of the assessment criteria of the course.