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.