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.

Molecular background of three lethal fetal syndromes

This study identified the molecular defects underlying three lethal fetal syndromes. Lethal Congenital Contracture Syndrome 1 (LCCS1, MIM 253310) and Lethal Arthrogryposis with Anterior Horn Cell Disease (LAAHD, MIM 611890) are fetal motor neuron diseases. They affect the nerve cells that control voluntary muscle movement, and eventually result in severe atrophy of spinal cord motor neurons and fetal immobility. Both LCCS1 and LAAHD are caused by mutations in the GLE1 gene, which encodes for a multifunctional protein involved in posttranscriptional mRNA processing. LCCS2 and LCCS3, two syndromes that are clinically similar to LCCS1, are caused by defective proteins involved in the synthesis of inositol hexakisphosphate (IP6), an essential cofactor of GLE1. This suggests a common mechanism behind these fetal motor neuron diseases, and along with accumulating evidence from genetic studies of more late-onset motor neuron diseases such as Spinal muscular atrophy (SMA) and Amyotrophic lateral sclerosis (ALS), implicates mRNA processing as a common mechanism in motor neuron disease pathogenesis. We also studied gle1-/- zebrafish in order to investigate whether they would be a good model for studying the pathogenesis of LCCS1 and LAAHD. Mutant zebrafish exhibit cell death in their central nervous system at two days post fertilization, and the distribution of mRNA within the cells of mutant zebrafish differs from controls, encouraging further studies. The third lethal fetal syndrome is described in this study for the first time. Cocoon syndrome (MIM 613630) was discovered in a Finnish family with two affected individuals. Its hallmarks are the encasement of the limbs under the skin, and severe craniofacial abnormalities, including the lack of skull bones. We showed that Cocoon syndrome is caused by a mutation in the gene encoding the conserved helix-loop-helix ubiquitous kinase CHUK, also known as IκB kinase α (IKKα). The mutation results in the complete lack of CHUK protein expression. CHUK is a subunit of the IκB kinase enzyme that inhibits NF-κB transcription factors, but in addition, it has an essential, independent role in controlling keratinocyte differentiation, as well as informing morphogenetic events such as limb and skeletal patterning. CHUK also acts as a tumor suppressor, and is frequently inactivated in cancer. This study has brought significant new information about the molecular background of these three lethal fetal syndromes, as well as provided knowledge about the prerequisites of normal human development.

Renewable Energy and Climate Policies: Studies in the Forest and Energy Sector

‪This dissertation examines the impacts of energy and climate policies on the energy and forest sectors, focusing on the case of Finland. The thesis consists of an introduction article and four separate studies. The dissertation was motivated by the climate concern and the increasing demand of renewable energy. In particular, the renewable energy consumption and greenhouse gas emission reduction targets of the European Union were driving this work. In Finland, both forest and energy sectors are in key roles in achieving these targets. In fact, the separation between forest and energy sector is diminishing as the energy sector is utilizing increasing amounts of wood in energy production and as the forest sector is becoming more and more important energy producer.‬ ‪The objective of this dissertation is to find out and measure the impacts of climate and energy policies on the forest and energy sectors. In climate policy, the focus is on emissions trading, and in energy policy the dissertation focuses on the promotion of renewable forest-based energy use. The dissertation relies on empirical numerical models that are based on microeconomic theory. Numerical partial equilibrium mixed complementarity problem models were constructed to study the markets under scrutiny. The separate studies focus on co-firing of wood biomass and fossil fuels, liquid biofuel production in the pulp and paper industry, and the impacts of climate policy on the pulp and paper sector.‬ ‪The dissertation shows that the policies promoting wood-based energy may have have unexpected negative impacts. When feed-in tariff is imposed together with emissions trading, in some plants the production of renewable electricity might decrease as the emissions price increases. The dissertation also shows that in liquid biofuel production, investment subsidy may cause high direct policy costs and other negative impacts when compared to other policy instruments. The results of the dissertation also indicate that from the climate mitigation perspective, perfect competition is the favored wood market competition structure, at least if the emissions trading system is not global.‬ ‪In conclusion, this dissertation suggests that when promoting the use of wood biomass in energy production, the favored policy instruments are subsidies that promote directly the renewable energy production (i.e. production subsidy, renewables subsidy or feed-in premium). Also, the policy instrument should be designed to be dependent on the emissions price or on the substitute price. In addition, this dissertation shows that when planning policies to promote wood-based renewable energy, the goals of the policy scheme should be clear before decisions are made on the choice of the policy instruments.‬