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.

Intergenerational Transfer of Sabbath Observance : How is Religious Tradition Transferred to Children among Finnish Seventh-day Adventists?

This study examined religious home education in educational, psychological, and sociological context. Growing up within a religious denomination is a process of learning the rules, norms, opinions, and attitudes, which serve to make the individual an active member of the group. It is a process of transferring the cultural inheritance between generations. Sabbathkeeping can be regarded as a strong indicator of the Seventh-day Adventist value system, which is also why I have concentrated on this specific issue in my study. The purpose of the study was to find out, how the Sabbath is transferred from parents to children among Finnish Adventists. It was also examined how parents could make the day of rest positively exceptional for children, and how the parental authoritativeness affects the process of transference. According to Bull & Lockhart s (1989) theory, the amount of Adventist generations in family history influences the transfer of religious tradition. This study aimed to find out whether or not this theory would apply to the present-day Finland. The nature of religious development among Adventist young people was also one of the interests of the research. The methods used in the study were in-depth interviews (n = 10) and a survey (n = 106). The majority of the interviewees was young adults (age 15-30) grown up in Adventist families. The interviews were taped and transcribed for the study, and survey answers were analysed with SPSS-data analysis program. The amount of survey questionnaires evaluated was 106, whole population of 15-30 year-old Finnish Adventists being about one thousand. Democratic relationship between parents and children, parents' example, encouragement to own thinking, and positive experiences of Sabbath and the whole religion, including the social dimension of the Adventism, seem to be some of the most significant factors in transference of religious tradition. Both too severe and too permissive education were considered to lead to similar results: unsuccessful transfer of values, or even rebellion and adopting a totally opposite way of life than that of the parents. In this study the amount of Adventist generations in family history does not correlate significantly with the end results of value transference. Keywords: Sabbath, intergenerational, value transference, religious home education Avainsanat: sapatti, arvojen siirtyminen vanhemmilta lapsille, uskonnollinen kotikasvatus

The expiration day effect of indexoptions and index futures on the underlying shares

This paper studies the effect of the expiration day of index options and futures on the trading volume, variance and price of the underlying shares. The data consists of all trades for the underlying shares in the FOX-index for expiration days during the period October 1995 to the mid of yer 1999. The main results seem to support the findings of Kan 2001, i.e. no manipulation on a larger scale. However, some indication of manipulation could be found if certain characteristics are favorable. These characteristics include: a) a large quantity of outstanding futures or at/in the money options contracts, b) there exists shares with high index weight but fairly low trading volume. Lastly, there is some indication that manipulation might be more popular towards the end of the examined time period.

Foreign Capital and Finland : Central government's first period of reliance on international financial markets, 1862-1938

The main objective of the study is to evaluate the Finnish central government s foreign borrowing between the years 1862 and 1938. Most of this period was characterised by deep capital market integration that bears resemblance to the liberal world financial order at the turn of the millennium. The main aim is to analyse the credit risk associated with the state and its determination by evaluating the world financial market centres perception of Finland. By doing this, the study is also expected to provide an additional dimension to Finland s political and economic history by incorporating into the research the assessments of international capital markets regarding Finland during a period that witnessed profound political and economic changes in Finnish society. The evaluation of the credit risk mainly relies on exchange-rate risk free time series of the state s foreign bonds. They have been collected from quotations in the stock exchanges in Helsinki, Hamburg, Paris and London. In addition, it investigates Finland s exposure to short-term debt and Moody s credit ratings assigned to Finland. The study emphasises the importance of the political risk. It suggests that the hey-day of the state s reliance on foreign capital markets took place during last few decades of the 19th century when Finland enjoyed a wide autonomy in the Russian Empire and prudently managed its economy, highlighted in Finland s adherence to the international gold standard. Political confrontations in Finland and, in particular, in Russia and the turbulence of the world financial system prevented the return of this beneficial position again. Through its issuance of foreign bonds the state was able to import substantial amounts of foreign capital, which was sorely needed to foster economic development in Finland. Moreover, the study argues that the state s presence in the western capital markets not only had economic benefits, but it also increased the international awareness of Finland s distinct and separate status in the Russian Empire and later underlined its position as an independent republic.

Proton magnetic resonance spectroscopy of a boron neutron capture therapy 10B-carrier, L-p-boronophenylalanine-fructose complex

Boron neutron capture therapy (BNCT) is a radiotherapy that has mainly been used to treat malignant brain tumours, melanomas, and head and neck cancer. In BNCT, the patient receives an intravenous infusion of a 10B-carrier, which accumulates in the tumour area. The tumour is irradiated with epithermal or thermal neutrons, which result in a boron neutron capture reaction that generates heavy particles to damage tumour cells. In Finland, boronophenylalanine fructose (BPA-F) is used as the 10B-carrier. Currently, the drifting of boron from blood to tumour as well as the spatial and temporal accumulation of boron in the brain, are not precisely known. Proton magnetic resonance spectroscopy (1H MRS) could be used for selective BPA-F detection and quantification as aromatic protons of BPA resonate in the spectrum region, which is clear of brain metabolite signals. This study, which included both phantom and in vivo studies, examined the validity of 1H MRS as a tool for BPA detection. In the phantom study, BPA quantification was studied at 1.5 and 3.0 T with single voxel 1H MRS, and at 1.5 T with magnetic resonance imaging (MRSI). The detection limit of BPA was determined in phantom conditions at 1.5 T and 3.0 T using single voxel 1H MRS, and at 1.5 T using MRSI. In phantom conditions, BPA quantification accuracy of ± 5% and ± 15% were achieved with single voxel MRS using external or internal (internal water signal) concentration references, respectively. For MRSI, a quantification accuracy of <5% was obtained using an internal concentration reference (creatine). The detection limits of BPA in phantom conditions for the PRESS sequence were 0.7 (3.0 T) and 1.4 mM (1.5 T) mM with 20 × 20 × 20 mm3 single voxel MRS, and 1.0 mM with acquisition-weighted MRSI (nominal voxel volume 10(RL) × 10(AP) × 7.5(SI) mm3), respectively. In the in vivo study, an MRSI or single voxel MRS or both was performed for ten patients (patients 1-10) on the day of BNCT. Three patients had glioblastoma multiforme (GBM), and five patients had a recurrent or progressing GBM or anaplastic astrocytoma gradus III, and two patients had head and neck cancer. For nine patients (patients 1-9), MRS/MRSI was performed 70-140 min after the second irradiation field, and for one patient (patient 10), the MRSI study began 11 min before the end of the BPA-F infusion and ended 6 min after the end of the infusion. In comparison, single voxel MRS was performed before BNCT, for two patients (patients 3 and 9), and for one patient (patient 9), MRSI was performed one month after treatment. For one patient (patient 10), MRSI was performed four days before infusion. Signals from the tumour spectrum aromatic region were detected on the day of BNCT in three patients, indicating that in favourable cases, it is possible to detect BPA in vivo in the patient’s brain after BNCT treatment or at the end of BPA-F infusion. However, because the shape and position of the detected signals did not exactly match the BPA spectrum detected in the in vitro conditions, assignment of BPA is difficult. The opportunity to perform MRS immediately after the end of BPA-F infusion for more patients is necessary to evaluate the suitability of 1H MRS for BPA detection or quantification for treatment planning purposes. However, it could be possible to use MRSI as criteria in selecting patients for BNCT.