Hedging Options with Different Time Units in the Pricing Models

This study examined the effects of the Greeks of the options and the trading results of delta hedging strategies, with three different time units or option-pricing models. These time units were calendar time, trading time and continuous time using discrete approximation (CTDA) time. The CTDA time model is a pricing model, that among others accounts for intraday and weekend, patterns in volatility. For the CTDA time model some additional theta measures, which were believed to be usable in trading, were developed. The study appears to verify that there were differences in the Greeks with different time units. It also revealed that these differences influence the delta hedging of options or portfolios. Although it is difficult to say anything about which is the most usable of the different time models, as this much depends on the traders view of the passing of time, different market conditions and different portfolios, the CTDA time model can be viewed as an attractive alternative.

Real Estate Investment and Uncertainty: Econometric Modelling using Finnish Data

The purpose of this paper is to test for the effect of uncertainty in a model of real estate investment in Finland during the hihhly cyclical period of 1975 to 1998. We use two alternative measures of uncertainty. The first measure is the volatility of stock market returns and the second measure is the heterogeneity in the answers of the quarterly business survey of the Confederation of Finnish Industry and Employers. The econometric analysis is based on the autoregressive distributed lag (ADL) model and the paper applies a 'general-to-specific' modelling approach. We find that the measure of heterogeneity is significant in the model, but the volatility of stock market returns is not. The empirical results give some evidence of an uncertainty-induced threshold slowing down real estate investment in Finland.

With Good Reputation Size Does not Matter: Issue Frequency and the Determinants of Debt Maturity

This paper examines empirically the effect firm reputation has on the determinants of debt maturity. Utilising data from European primary bond market between 1999 and 2005, I find that the maturity choice of issuers with a higher reputation is less sensitive to macroeconomic conditions, market credit risk-premiums, prevailing firm credit quality and size of the debt issue. The annualised coupon payments are shown to be a significant factor in determining the debt maturity and reveal a monotonously increasing relationship between credit quality and debt maturity once controlled for. Finally, I show that issuers lacking a credit rating have an implied credit quality positioned between investment-grade and speculative-grade debt.

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.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

An Empirical Study of the Mixture of Time and Movements in Prices

This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Monikasvoinen TAVA-partisiippi : Tutkimus suomen TAVA-partisiipin käyttökonteksteista ja verbiliittojen kieliopillistumisesta

The multifaceted passive present participle in Finnish This study investigates the uses of the passive present participle in Finnish. The participle occurs in a variety of syntactic environments and exhibits a rich polysemy. Former descriptions have treated it as a mainly modal element, but it has several non-modal uses as well. The present study provides an overview of its uses and meanings, with the main focus on the factors which trigger the modal reading. In addition, the study contains two case studies on modal periphrastic constructions consisting of the verb 'to be' and the present passive participle, the Obligation construction, e.g., on men-tä-vä [is go-pass-ptc], and the Possiblity construction, e.g., on pelaste-tta-v-i-ssa [is save-pass-ptc-pl-ine]. The study is based on empirical data of 9000 sentences obtained from i) large collections of transcribed material from Finnish dialects, ii) a corpus of modern Finnish newspaper texts, iii) corpora of Old Finnish texts. Both in colloquial and standard Finnish the reading of the participle is highly dependent of the context and determined by such factors as the overall syntactic environment and other co-occurring elements. One of the main findings here is that the Finnish passive present participle is not modal per se. The contextual modal reading arises whenever the state of affairs is conceptualized from the viewpoint of the implied subject of the participle, and the meaning of possibility or obligation depends mostly on whether the situation is pleasant or undesirable. In sections examining the grammaticalization of the Possibility and Obligation constructions, the perspective is diachronic. Both constructions have derived from copula constructions with the passive present participle as a predicate (adjective or adverb). These sections show how a linguistic change can be investigated on the basis of the patterns of usage in the empirical data. The Possibility construction is currently going through a restructuration to a passive verbal complex. The source of this construction is reflected in its present-day use by the fact that it heavily biased towards a small set of verbs. The Obligation construction has grammaticalized to a construction comparable to a compound tense. Patterns of use of the construction show that grammaticalization originates in specific syntactic constructions with an implication of practical necessity. Furthermore, it is shown that the Obligation construction has grammaticalized in different directions in standard and colloquial Finnish. Differing from the study on most typical phenomena investigated in the literature on grammaticalization of modality, the present study opens new perspectives and methods for discussion on these questions.

After interpretation.

Using 58 audio recorded sessions of psychoanalysis (coming from two analysts and three patients) as data and conversation analysis as method, this paper shows how psychoanalysts deal with patients’ responses to interpretations. After the analyst offers an interpretation, the patient responds: at that point (in the “third position”), the analysts recurrently modify the tenor of the description from what it was in the patients’ responses. They intensify the emotional valence of the description, or they reveal layers of the patients’ experience other than those that the patient reported. Both are usually accomplished in an implicit, non-marked way, and they discreetly index possible opportunities for the patients to modify their understandings of the initial interpretation. Although the patients usually do not fully endorse these modifications, the data available suggests that during the sessions that follow, the participants do work with the aspects of patients’ experience that the analyst highlighted. In discussion, it is suggested that actions that the psychoanalysts produce in therapy, such as choices of turn design in third position, may be informed by working understanding of the minds and mental conflicts of individual patients, alongside the more general therapeutic model of mind they hold to.

The Enlightenment Idea of History as a Legitimation Tool of Kemalism in Turkey

The study analyzes the effort to build political legitimacy in the Republic of Turkey by ex-ploring a group of influential texts produced by Kemalist writers. The study explores how the Kemalist regime reproduced certain long-lasting enlightenment meta-narrative in its effort to build political legitimacy. Central in this process was a hegemonic representation of history, namely the interpretation of the Anatolian Resistance Struggle of 1919 1922 as a Turkish Revolution executing the enlightenment in the Turkish nation-state. The method employed in the study is contextualizing narratological analysis. The Kemalist texts are analyzed with a repertoire of concepts originally developed in the theory of narra-tive. By bringing these concepts together with epistemological foundations of historical sciences, the study creates a theoretical frame inside of which it is possible to highlight how initially very controversial historical representations in the end manage to construct long-lasting, emotionally and intellectually convincing bases of national identity for the secular middle classes in Turkey. The two most important explanatory concepts in this sense are di-egesis and implied reader. The diegesis refers to the ability of narrative representation to create an inherently credible story-world that works as the basis of national community. The implied reader refers to the process where a certain hegemonic narrative creates a formula of identification and a position through which any individual real-world reader of a story can step inside the narrative story-world and identify oneself as one of us of the national narra-tive. The study demonstrates that the Kemalist enlightenment meta-narrative created a group of narrative accruals which enabled generations of secular middle classes to internalize Kemalist ideology. In this sense, the narrative in question has not only worked as a tool utilized by the so-called Kemalist state-elite to justify its leadership, but has been internalized by various groups in Turkey, working as their genuine world-view. It is shown in the study that secular-ism must be seen as the core ingredient of these groups national identity. The study proposes that the enlightenment narrative reproduced in the Kemalist ideology had its origin in a simi-lar totalizing cultural narrative created in and for Europe. Currently this enlightenment project is challenged in Turkey by those who are in an attempt to give religion a greater role in Turkish society. The study argues that the enduring practice of legitimizing political power through the enlightenment meta-narrative has not only become a major factor contributing to social polarization in Turkey, but has also, in contradiction to the very real potentials for crit-ical approaches inherent in the Enlightenment tradition, crucially restricted the development of critical and rational modes of thinking in the Republic of Turkey.

Tavallisuudesta tyylikkyyteen? : Sukupuoli ja maku kodinmuutosohjelmissa

The study focuses on the Finnish home makeover shows Inno (2004 , Nelonen) and Kodin kääntöpiiri (2001 2005; YLE TV2) and their episodes broadcast in spring 2004. The research material also includes the websites of both shows and messages concerning Inno from an online discussion forum. As people decorate their homes and reflect on them, they engage in negotiations of taste and in the construction of the ideal self. The main question of the study is: how are representations of the gendered self produced in home makeover shows? The broader theoretical and methodological context of the study is based on intersectionality, or simultaneous study of different identity categories. In this study, the main focus is on the intersections of gender, class and sexuality. Hence, the secondary research question is: how do ways of doing gender intersect with producing the ideas of class and sexuality in the representations of home makeover shows? The theoretical framework of the study combines Judith Butler s theory of gender performativity and Pierre Bourdieu s theory of taste. The analysis is founded upon a close reading focusing on the details and ambiguous meanings contained in the televisual representation. Home makeover shows are explored as a part of contemporary television culture, which is characterised by a significant increase in the number of both television channels and global television formats, as well as the hybridisation of programme types. Researchers on lifestyle television have paid attention to male designers and their ability to reconstruct meanings related to domesticity and home decoration as feminine spheres. The dissertation contributes to this discussion by analysing the representations of the male interior decorator in Inno and the four female interior decorators in Kodin kääntöpiiri. The focus is on the professional self and how it is both gendered and defined as an arbiter of taste. The programme concepts produce the impression that the makeover homes and their occupants are ordinary . The manufactured sense of ordinariness often conceals differences between the participants. One argument of the study is that the ordinariness of participants on lifestyle television should not be taken for granted without further reflection on the implications of labeling something as ordinary. Updating of interior decoration in home makeover shows can be interpreted as an area of doing gender that requires deliberation, effort, expert knowledge and a sufficient budget. The ideal lay decorator is portrayed as culturally omnivorous, brave and receptive to new ideas. The ability to reflect on ways of representing masculinity and femininity through decoration is also implied. In home makeover shows, greater self-awareness regarding the ways in which gender is produced does not lead to repeating gender differently. The idea of normative heterosexuality is in a hegemonic position in the representations of the participants. In Inno and Kodin kääntöpiiri questions of class are not made explicit. However, the idea of class is produced indirectly e.g. by describing the apartments and houses of the participants, by discussing their hobbies or interest in cultural products. In Inno, home decoration is primarily depicted as an individualistic consumer choice, while in Kodin kääntöpiiri it is often defined as a way to strengthen the ties of nuclear families. In Kodin kääntöpiiri, the ethos of familism is combined with pleasures gained from consumption and DIY activities. As a whole, the multidisciplinary study indicates a great number of differences between the two shows.