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.

An Axiom of Military Law : Applicability of National Criminal Law to Military Personnel and Associated Civilians Abroad

States regularly deploy elements of their armed forces abroad. When that happens, the military personnel concerned largely remain governed by the penal law of the State that they serve. This extraterritorial extension of national criminal law, which has been treated as axiomatic in domestic law and ignored by international law scholarship, is the subject of this dissertation. The first part of the study considers the ambit of national criminal law without any special regard to the armed forces. It explores the historical development of the currently prevailing system of territorial law and looks at the ambit that national legal systems claim today. Turning then to international law, the study debunks the oddly persistent belief that States enjoy a freedom to extend their laws to extraterritorial conduct as they please, and that they are in this respect constrained only by some specific prohibitions in international law. Six arguments historical, empirical, ideological, functional, doctrinal and systemic are advanced to support a contrary view: that States are prohibited from extending the reach of their legal systems abroad, unless they can rely on a permissive principle of international law for doing so. The second part of the study deals specifically with State jurisdiction in a military context, that is to say, as applied to military personnel in the strict sense (service members) and various civilians serving with or accompanying the forces (associated civilians). While the status of armed forces on foreign soil has transformed from one encapsulated in the customary concept of extraterritoriality to a modern regulation of immunities granted by treaties, elements of armed forces located abroad usually do enjoy some degree of insulation from the legal system of the host State. As a corollary, they should generally remain covered by the law of their own State. The extent of this extraterritorial extension of national law is revealed in a comparative review of national legislation, paying particular attention to recent legal reforms in the United States and the United Kingdom two states that have sought to extend the scope of their national law to cover the conduct of military contractor personnel. The principal argument of the dissertation is that applying national criminal law to service members and associated civilians abroad is distinct from other extraterritorial claims of jurisdiction (in particular, the nationality principle or the protective principle of jurisdiction). The service jurisdiction over the armed forces has a distinct aim: ensuring the coherence and indivisibility of the forces and maintaining discipline. Furthermore, the exercise of service jurisdiction seeks to reduce the chances of the State itself becoming internationally liable for the conduct of its service members and associated civilians. Critically, the legal system of the troop-deploying State, by extending its reach abroad, seeks to avoid accountability gaps that might result from immunities from host State law.

Effects of forestry extension on the use of allowable cut in non-industrial private forests.

XVIII IUFRO World Congress, Ljubljana 1986.

Microfinance, Efficiency and Agricultural Production in Bangladesh

The objectives of this study were to make a detailed and systematic empirical analysis of microfinance borrowers and non-borrowers in Bangladesh and also examine how efficiency measures are influenced by the access to agricultural microfinance. In the empirical analysis, this study used both parametric and non-parametric frontier approaches to investigate differences in efficiency estimates between microfinance borrowers and non-borrowers. This thesis, based on five articles, applied data obtained from a survey of 360 farm households from north-central and north-western regions in Bangladesh. The methods used in this investigation involve stochastic frontier (SFA) and data envelopment analysis (DEA) in addition to sample selectivity and limited dependent variable models. In article I, technical efficiency (TE) estimation and identification of its determinants were performed by applying an extended Cobb-Douglas stochastic frontier production function. The results show that farm households had a mean TE of 83% with lower TE scores for the non-borrowers of agricultural microfinance. Addressing institutional policies regarding the consolidation of individual plots into farm units, ensuring access to microfinance, extension education for the farmers with longer farming experience are suggested to improve the TE of the farmers. In article II, the objective was to assess the effects of access to microfinance on household production and cost efficiency (CE) and to determine the efficiency differences between the microfinance participating and non-participating farms. In addition, a non-discretionary DEA model was applied to capture directly the influence of microfinance on farm households production and CE. The results suggested that under both pooled DEA models and non-discretionary DEA models, farmers with access to microfinance were significantly more efficient than their non-borrowing counterparts. Results also revealed that land fragmentation, family size, household wealth, on farm-training and off farm income share are the main determinants of inefficiency after effectively correcting for sample selection bias. In article III, the TE of traditional variety (TV) and high-yielding-variety (HYV) rice producers were estimated in addition to investigating the determinants of adoption rate of HYV rice. Furthermore, the role of TE as a potential determinant to explain the differences of adoption rate of HYV rice among the farmers was assessed. The results indicated that in spite of its much higher yield potential, HYV rice production was associated with lower TE and had a greater variability in yield. It was also found that TE had a significant positive influence on the adoption rates of HYV rice. In article IV, we estimated profit efficiency (PE) and profit-loss between microfinance borrowers and non-borrowers by a sample selection framework, which provided a general framework for testing and taking into account the sample selection in the stochastic (profit) frontier function analysis. After effectively correcting for selectivity bias, the mean PE of the microfinance borrowers and non-borrowers were estimated at 68% and 52% respectively. This suggested that a considerable share of profits were lost due to profit inefficiencies in rice production. The results also demonstrated that access to microfinance contributes significantly to increasing PE and reducing profit-loss per hectare land. In article V, the effects of credit constraints on TE, allocative efficiency (AE) and CE were assessed while adequately controlling for sample selection bias. The confidence intervals were determined by the bootstrap method for both samples. The results indicated that differences in average efficiency scores of credit constrained and unconstrained farms were not statistically significant although the average efficiencies tended to be higher in the group of unconstrained farms. After effectively correcting for selectivity bias, household experience, number of dependents, off-farm income, farm size, access to on farm training and yearly savings were found to be the main determinants of inefficiencies. In general, the results of the study revealed the existence substantial technical, allocative, economic inefficiencies and also considerable profit inefficiencies. The results of the study suggested the need to streamline agricultural microfinance by the microfinance institutions (MFIs), donor agencies and government at all tiers. Moreover, formulating policies that ensure greater access to agricultural microfinance to the smallholder farmers on a sustainable basis in the study areas to enhance productivity and efficiency has been recommended. Key Words: Technical, allocative, economic efficiency, DEA, Non-discretionary DEA, selection bias, bootstrapping, microfinance, Bangladesh.

Global, Local and Vector-Valued Tb Theorems on Non-Homogeneous Metric Spaces

Various Tb theorems play a key role in the modern harmonic analysis. They provide characterizations for the boundedness of Calderón-Zygmund type singular integral operators. The general philosophy is that to conclude the boundedness of an operator T on some function space, one needs only to test it on some suitable function b. The main object of this dissertation is to prove very general Tb theorems. The dissertation consists of four research articles and an introductory part. The framework is general with respect to the domain (a metric space), the measure (an upper doubling measure) and the range (a UMD Banach space). Moreover, the used testing conditions are weak. In the first article a (global) Tb theorem on non-homogeneous metric spaces is proved. One of the main technical components is the construction of a randomization procedure for the metric dyadic cubes. The difficulty lies in the fact that metric spaces do not, in general, have a translation group. Also, the measures considered are more general than in the existing literature. This generality is genuinely important for some applications, including the result of Volberg and Wick concerning the characterization of measures for which the analytic Besov-Sobolev space embeds continuously into the space of square integrable functions. In the second article a vector-valued extension of the main result of the first article is considered. This theorem is a new contribution to the vector-valued literature, since previously such general domains and measures were not allowed. The third article deals with local Tb theorems both in the homogeneous and non-homogeneous situations. A modified version of the general non-homogeneous proof technique of Nazarov, Treil and Volberg is extended to cover the case of upper doubling measures. This technique is also used in the homogeneous setting to prove local Tb theorems with weak testing conditions introduced by Auscher, Hofmann, Muscalu, Tao and Thiele. This gives a completely new and direct proof of such results utilizing the full force of non-homogeneous analysis. The final article has to do with sharp weighted theory for maximal truncations of Calderón-Zygmund operators. This includes a reduction to certain Sawyer-type testing conditions, which are in the spirit of Tb theorems and thus of the dissertation. The article extends the sharp bounds previously known only for untruncated operators, and also proves sharp weak type results, which are new even for untruncated operators. New techniques are introduced to overcome the difficulties introduced by the non-linearity of maximal truncations.

Functional regulation of the Neurofibromatosis 2 tumor suppressor merlin

Neurofibromatosis 2 (NF2) is an autosomal dominant disorder manifested by the formation of multiple benign tumors of the nervous system. Affected individuals typically develop bilateral vestibular schwannomas which lead to deafness and balance disorders. The syndrome is caused by inactivation of the NF2 tumor suppressor gene, and mutation or loss of the NF2 product, merlin, is sufficient for tumorigenesis in both hereditary and sporadic NF2-associated tumors. Merlin belongs to the band 4.1 superfamily of cytoskeletal proteins, which also contain the related ezrin, radixin, and moesin (ERM) proteins. The ERM members provide a link between the cell cytoskeleton and membrane by connecting membrane-associated proteins to actin filaments. By stabilizing complexes in the cell cortex, the ERMs modulate morphology, growth, and migration of cells. Despite their structural homology, overlapping subcellular distribution, direct molecular association, and partial overlap of molecular interactions, merlin and ezrin exert opposite effects on cell proliferation. Merlin suppresses cell proliferation, whereas ezrin expression is linked to oncogenic activity. We hypothesized that the regions which differ between the proteins might explain merlin s specificity as a tumor suppressor. We therefore analyzed the regions, which are most diverse between merlin and ezrin; the N-terminal tail and the C-terminus. To determine the properties of the C-terminal region, we studied the two most predominant merlin isoforms together with truncation variants similar to those found in patients. We also focused on the evolutionally conserved C-terminal residues, E545-E547, that harbor disease causing mutations in its corresponding DNA sequence. In addition to inhibiting cell proliferation, merlin regulates cytoskeletal organization. The morphogenic properties of merlin may play a role in tumor suppression, since patient-derived tumor cells demonstrate cytoskeletal abnormalities. We analyzed the mechanisms of merlin-induced extension formation and determined that the C-terminal region of amino acids 538-568 is particularly important for the morphogenic activity. We also characterized the role of C-terminal merlin residues in the regulation of proliferation, phosphorylation, and intramolecular associations. In contrast to previous reports, we demonstrated that both merlin isoforms are able to suppress cell proliferation, whereas C-terminally mutated merlin constructs showed reduced growth inhibition. Phosphorylation serves as a mechanism to regulate the tumor suppressive activity of merlin. The C-terminal serine 518 is phosphorylated in response to both p21-activated kinase (PAK) and protein kinase A (PKA), which inactivates the growth inhibitory function of merlin. However, at least three differentially phosphorylated forms of the protein exist. In this study we demonstrated that also the N-terminus of merlin is phosphorylated by AGC kinases, and that both PKA and Akt phosphorylate merlin at serine 10 (S10). We evaluated the impact of this N-terminal tail phosphorylation, and showed that the phosphorylation state of S10 is an important regulator of merlin s ability to modulate cytoskeletal organization but also regulates the stability of the protein. In summary, this study describes the functional effect of merlin specific regions. We demonstrate that both S10 in the N-terminal tail and residues E545-E547 in the C-terminus are essential for merlin activity and function.

Asukkaan Helsinki? : Tapaustutkimus vuorovaikutteisuudesta kaupunkisuunnittelussa

This study examines the interaction between inhabitants and urban planning. In addition to traditional methods of participation there can be seen an increasing need to find new channels and means to influence on one´s environment. Hearing of inhabitants during planning is hoped to decrease the amount of claims and this way to speed up the planning process. Discussion that emphasizes competitiveness and innovativeness in planning has brought out the role of inhabitants as selective consumers and end users. This extension of civil perspective completes the thought of participation in city planning and adds the pressure on developing the interaction and user orientation. The aim of the study is to point out the present situation of inhabitant´s participation and influencing in Helsinki. Helsinki City Planning Department opened a new information and exhibiotion hall called Laituri in 2008. Laituri provides the latest information about planning projects in Helsinki and temporary exhibitions as well as it operates as communication channel and information point for the department. In this study Laituri is examined as a case study of interaction between citizen and planner. The study is divided into two principal themes. The aim is to research action and interactivity at Laituri from the inhabitants´and planners´point of view. The qualitative study has inquiries, interview surveys and observation as research methods. Empiricial data of the study consists of three parts which complement each other: Laituri operational reseach, inquiry directed to the members of Laituri team and interviews of three experts. The aim is to find answers to questions like, does Laituri reach the citizens and will the opportunities to participate improve along Laituri. The study examines also how the local knowledge of inhabitants will come across to planners and further to planning. The study combines discussions of inhabitants´ influencing in Finnish society and science community. Cornerstones of the study are inhabitant participation, interaction and local knowledge in urban planning. The theory behind the study is communicative planning theory. In addition the theory consists of key concepts. The study introduces a concept of Inhabitant´s Helsinki, which reflects the inhabitant as customer-citizen who is an active product developer in participative urban planning. According to the research results the experts of Laituri and majority of inhabitants in Helsinki experience that the inhabitant´s possibilities to participate will improve along Laituri. However half of the citizens in Helsinki believe that local knowledge and ideas will only have minor impact on the final plan. According to city dwellers the present practise used by Helsinki City Planning Department supports only partially adequate interaction. The experts of Laituri experience that the role of Laituri is first of all forum of communication and discussion channel instead of effective local data collector. Based on the results the study introduces a model of inhabitant´s participation field. According to the model Laituri can be seen as phenomenom in Helsinki urban planning which has the elements of network municipality. The planner is more like diplomatic trend-setter and visionary. The inhabitant of Helsinki is an expert in city living and participative producer of local knowledge. Participation methods are increasingly segmented and tailored in every plan and project. The study argues that Inhabitant´s Helsinki is a pluralistic milieu in constant pressure for change. Therefore reaching the everyday life experiencies of inhabintants should be at higher degree in Helsinki City Planning Department´s operations.