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.

Routine Measurement of Health-Related Quality of Life in Assessing Cost-Effectiveness in Secondary Health Care

Aims: The aims of this study were 1) to identify and describe health economic studies that have used quality-adjusted life years (QALYs) based on actual measurements of patients' health-related quality of life (HRQoL); 2) to test the feasibility of routine collection of health-related quality of life (HRQoL) data as an indicator of effectiveness of secondary health care; and 3) to establish and compare the cost-utility of three large-volume surgical procedures in a real-world setting in the Helsinki University Central Hospital, a large referral hospital providing secondary and tertiary health-care services for a population of approximately 1.4 million. Patients and methods: So as to identify studies that have used QALYs as an outcome measure, a systematic search of the literature was performed using the Medline, Embase, CINAHL, SCI and Cochrane Library electronic databases. Initial screening of the identified articles involved two reviewers independently reading the abstracts; the full-text articles were also evaluated independently by two reviewers, with a third reviewer used in cases where the two reviewers could not agree a consensus on which articles should be included. The feasibility of routinely evaluating the cost-effectiveness of secondary health care was tested by setting up a system for collecting HRQoL data on approximately 4 900 patients' HRQoL before and after operative treatments performed in the hospital. The HRQoL data used as an indicator of treatment effectiveness was combined with diagnostic and financial indicators routinely collected in the hospital. To compare the cost-effectiveness of three surgical interventions, 712 patients admitted for routine operative treatment completed the 15D HRQoL questionnaire before and also 3-12 months after the operation. QALYs were calculated using the obtained utility data and expected remaining life years of the patients. Direct hospital costs were obtained from the clinical patient administration database of the hospital and a cost-utility analysis was performed from the perspective of the provider of secondary health care services. Main results: The systematic review (Study I) showed that although QALYs gained are considered an important measure of the effectiveness of health care, the number of studies in which QALYs are based on actual measurements of patients' HRQoL is still fairly limited. Of the reviewed full-text articles, only 70 reported QALYs based on actual before after measurements using a valid HRQoL instrument. Collection of simple cost-effectiveness data in secondary health care is feasible and could easily be expanded and performed on a routine basis (Study II). It allows meaningful comparisons between various treatments and provides a means for allocating limited health care resources. The cost per QALY gained was 2 770 for cervical operations and 1 740 for lumbar operations. In cases where surgery was delayed the cost per QALY was doubled (Study III). The cost per QALY ranges between subgroups in cataract surgery (Study IV). The cost per QALY gained was 5 130 for patients having both eyes operated on and 8 210 for patients with only one eye operated on during the 6-month follow-up. In patients whose first eye had been operated on previous to the study period, the mean HRQoL deteriorated after surgery, thus precluding the establishment of the cost per QALY. In arthroplasty patients (Study V) the mean cost per QALY gained in a one-year period was 6 710 for primary hip replacement, 52 270 for revision hip replacement, and 14 000 for primary knee replacement. Conclusions: Although the importance of cost-utility analyses has during recent years been stressed, there are only a limited number of studies in which the evaluation is based on patients own assessment of the treatment effectiveness. Most of the cost-effectiveness and cost-utility analyses are based on modeling that employs expert opinion regarding the outcome of treatment, not on patient-derived assessments. Routine collection of effectiveness information from patients entering treatment in secondary health care turned out to be easy enough and did not, for instance, require additional personnel on the wards in which the study was executed. The mean patient response rate was more than 70 %, suggesting that patients were happy to participate and appreciated the fact that the hospital showed an interest in their well-being even after the actual treatment episode had ended. Spinal surgery leads to a statistically significant and clinically important improvement in HRQoL. The cost per QALY gained was reasonable, at less than half of that observed for instance for hip replacement surgery. However, prolonged waiting for an operation approximately doubled the cost per QALY gained from the surgical intervention. The mean utility gain following routine cataract surgery in a real world setting was relatively small and confined mostly to patients who had had both eyes operated on. The cost of cataract surgery per QALY gained was higher than previously reported and was associated with considerable degree of uncertainty. Hip and knee replacement both improve HRQoL. The cost per QALY gained from knee replacement is two-fold compared to hip replacement. Cost-utility results from the three studied specialties showed that there is great variation in the cost-utility of surgical interventions performed in a real-world setting even when only common, widely accepted interventions are considered. However, the cost per QALY of all the studied interventions, except for revision hip arthroplasty, was well below 50 000, this figure being sometimes cited in the literature as a threshold level for the cost-effectiveness of an intervention. Based on the present study it may be concluded that routine evaluation of the cost-utility of secondary health care is feasible and produces information essential for a rational and balanced allocation of scarce health care resources.

Novel conditional mouse models for targeted kidney research : Emphasis on the analysis of the biological function of nephrin

Nephrin is a transmembrane protein belonging to the immunoglobulin superfamily and is expressed primarily in the podocytes, which are highly differentiated epithelial cells needed for primary urine formation in the kidney. Mutations leading to nephrin loss abrogate podocyte morphology, and result in massive protein loss into urine and consequent early death in humans carrying specific mutations in this gene. The disease phenotype is closely replicated in respective mouse models. The purpose of this thesis was to generate novel inducible mouse-lines, which allow targeted gene deletion in a time and tissue-specific manner. A proof of principle model for succesful gene therapy for this disease was generated, which allowed podocyte specific transgene replacement to rescue gene deficient mice from perinatal lethality. Furthermore, the phenotypic consequences of nephrin restoration in the kidney and nephrin deficiency in the testis, brain and pancreas in rescued mice were investigated. A novel podocyte-specific construct was achieved by using standard cloning techniques to provide an inducible tool for in vitro and in vivo gene targeting. Using modified constructs and microinjection procedures two novel transgenic mouse-lines were generated. First, a mouse-line with doxycycline inducible expression of Cre recombinase that allows podocyte-specific gene deletion was generated. Second, a mouse-line with doxycycline inducible expression of rat nephrin, which allows podocyte-specific nephrin over-expression was made. Furthermore, it was possible to rescue nephrin deficient mice from perinatal lethality by cross-breeding them with a mouse-line with inducible rat nephrin expression that restored the missing endogenous nephrin only in the kidney after doxycycline treatment. The rescued mice were smaller, infertile, showed genital malformations and developed distinct histological abnormalities in the kidney with an altered molecular composition of the podocytes. Histological changes were also found in the testis, cerebellum and pancreas. The expression of another molecule with limited tissue expression, densin, was localized to the plasma membranes of Sertoli cells in the testis by immunofluorescence staining. Densin may be an essential adherens junction protein between Sertoli cells and developing germ cells and these junctions share similar protein assembly with kidney podocytes. This single, binary conditional construct serves as a cost- and time-efficient tool to increase the understanding of podocyte-specific key proteins in health and disease. The results verified a tightly controlled inducible podocyte-specific transgene expression in vitro and in vivo as expected. These novel mouse-lines with doxycycline inducible Cre recombinase and with rat nephrin expression will be useful for conditional gene targeting of essential podocyte proteins and to study in detail their functions in the adult mice. This is important for future diagnostic and pharmacologic development platforms.

Offloading content routing cost from routers

The publish/subscribe paradigm has lately received much attention. In publish/subscribe systems, a specialized event-based middleware delivers notifications of events created by producers (publishers) to consumers (subscribers) interested in that particular event. It is considered a good approach for implementing Internet-wide distributed systems as it provides full decoupling of the communicating parties in time, space and synchronization. One flavor of the paradigm is content-based publish/subscribe which allows the subscribers to express their interests very accurately. In order to implement a content-based publish/subscribe middleware in way suitable for Internet scale, its underlying architecture must be organized as a peer-to-peer network of content-based routers that take care of forwarding the event notifications to all interested subscribers. A communication infrastructure that provides such service is called a content-based network. A content-based network is an application-level overlay network. Unfortunately, the expressiveness of the content-based interaction scheme comes with a price - compiling and maintaining the content-based forwarding and routing tables is very expensive when the amount of nodes in the network is large. The routing tables are usually partially-ordered set (poset) -based data structures. In this work, we present an algorithm that aims to improve scalability in content-based networks by reducing the workload of content-based routers by offloading some of their content routing cost to clients. We also provide experimental results of the performance of the algorithm. Additionally, we give an introduction to the publish/subscribe paradigm and content-based networking and discuss alternative ways of improving scalability in content-based networks. ACM Computing Classification System (CCS): C.2.4 [Computer-Communication Networks]: Distributed Systems - Distributed applications

Optimaalinen rangaistus talousrikoksesta : Tutkimus velallisen rikoksista

Optimal Punishment of Economic Crime: A Study on Bankruptcy Crime This thesis researches whether the punishment practise of bankruptcy crimes is optimal in light of Gary S. Becker’s theory of optimal punishment. According to Becker, a punishment is optimal if it eliminates the expected utility of the crime for the offender and - on the other hand - minimizes the cost of the crime to society. The decision process of the offender is observed through their expected utility of the crime. The expected utility is calculated based on the offender's probability of getting caught, the cost of getting caught and the profit from the crime. All objects including the punishment are measured in cash. The cost of crimes to the society is observed defining the disutility caused by the crime to the society. The disutility is calculated based on the cost of crime prevention, crime damages, punishment execution and the probability of getting caught. If the goal is to minimize the crime profits, the punishments of bankruptcy crimes are not optimal. If the debtors would decide whether or not to commit the crime solely based on economical consideration, the crime rate would be multiple times higher than the current rate is. The prospective offender relies heavily on non-economic aspects in their decision. Most probably social pressure and personal commitment to oblige the laws are major factors in the prospective criminal’s decision-making. The function developed by Becker measuring the cost to society was not useful in the measurement of the optimality of a punishment. The premise of the function that the costs of the society correlate to the costs for the offender from the punishment proves to be unrealistic in observation of the bankruptcy crimes. However, it was observed that majority of the cost of crime for the society are caused by the crime damages. This finding supports the preventive criminal politics.

The Population Consequences of Sex and Conflict

Natural selection generally operates at the level of the individual, or more specifically at the level of the gene. As a result, individual selection does not always favour traits which benefit the population or species as a whole. The spread of an individual gene may even act to the detriment of the organism in which it finds. Thus selection at the level of the individual can affect processes at the level of the organism, group or even at the level of the species. As most behaviours ultimately affect births, deaths and the distribution of individuals, it seems inevitable that behavioural decisions will have an impact on population dynamics and population densities. Behavioural decisions can often involve costs through allocation of energy into behavioural strategies, such as the investment into armaments involved in fighting over resources or increased mortality due to injury or increased predation risk. Similarly, behaviour may act o to benefit the population, in terms of higher survival and increased fecundity. Examples include increased investment through parental care, choosing a mate based on the nuptial gifts they may supply and choosing territories in the face of competition. Investigating the impact of behaviour on population ecology may seem like a trivial task, but it is likely to have important consequences at different levels. For example, antagonistic behaviour may occasionally become so extreme that it increases the risk of extinction, and such extinction risk may have important implications for conservation. As a corollary, any such behaviour may also act as a macroevolutionary force, weeding out populations with traits which, whilst beneficial to the individuals in the short term, ultimately result in population extinction. In this thesis, I examine how behaviours, specifically conflict and competition over a resource and aspects of behaviour involved in sexual selection, can affect population densities, and what the implications are for the evolution and ecology of the populations in question. It is found that both behaviours related to individual conflict and mating strategies can have an effect at the level of the population, but that various factors, such as a feedback between selection and population densities or macroevolution caused by species extinctions, may act to limit the intensity of conflicts that we observe in nature.

Pre- and post-copulatory sexual selection in the least killifish, Heterandria formosa

It has been only recently realized that sexual selection does not end at copulation but that post-copulatory processes are often important in determining the fitness of individuals. In this thesis, I experimentally studied both pre- and post-copulatory sexual selection in the least killifish, Heterandria formosa. I found that this species suffers from severe inbreeding depression in male reproductive behaviour, offspring viability and offspring maturation times. Neither sex showed pre-copulatory inbreeding avoidance but when females mated with their brothers, less sperm were retrieved from their reproductive system compared to the situation when females mated with unrelated males. Whether the difference in sperm numbers is due to female or male effect could not be resolved. Based on theory, females should be more eager to avoid inbreeding than males in this species, because females invest more in their offspring than males do. Inbreeding seems to be an important part of this species biology and the severe inbreeding depression has most likely selected for the evolution of the post-copulatory inbreeding avoidance mechanism that I found. In addition, I studied the effects of polyandry on female reproductive success. When females mated with more than one male, they were more likely to get pregnant. However, I also found a cost of polyandry. The offspring of females mated to four males took longer to reach sexual maturity compared to the offspring of monandrous females. This cost may be explained by parent-offspring conflict over maternal resource allocation. In another experiment, in which within-brood relatedness was manipulated, offspring sizes decreased over time when within-brood relatedness was low. This result is partly in accordance with the kinship theory of genomic imprinting. When relatedness decreases, offspring are expected to be less co-operative and demand fewer resources from their mother, which leads to impaired development. In the last chapter of my thesis, I show that H. formosa males do not prefer large females as in other Poeciliidae species. I suggest that males view smaller females as more profitable mates because those are more likely virgin. In conclusion, I found both pre- and post-copulatory sexual selection to be important factors in determining reproductive success in H. formosa.

Barrett's Esophagus and Associated Adenocarcinoma : studies on pathogenesis, clinical staging and cost-utility of cancer treatment

Esophageal and gastroesophageal junction (GEJ) adenocarcinoma is rapidly increasing disease with a pathophysiology connected to oxidative stress. Exact pre-treatment clinical staging is essential for optimal care of this lethal malignancy. The cost-effectiviness of treatment is increasingly important. We measured oxidative metabolism in the distal and proximal esophagus by myeloperoxidase activity (MPA), glutathione content (GSH), and superoxide dismutase (SOD) in 20 patients operated on with Nissen fundoplication and 9 controls during a 4-year follow-up. Further, we assessed the oxidative damage of DNA by 8-hydroxydeoxyguanosine (8-OHdG) in esophageal samples of subjects (13 Barrett s metaplasia, 6 Barrett s esophagus with high-grade dysplasia, 18 adenocarcinoma of the distal esophagus/GEJ, and 14 normal controls). We estimated the accuracy (42 patients) and preoperative prognostic value (55 patients) of PET compared with computed tomography (CT) and endoscopic ultrasound (EUS) in patients with adenocarcinoma of the esophagus/GEJ. Finally, we clarified the specialty-related costs and the utility of either radical (30 patients) or palliative (23 patients) treatment of esophageal/GEJ carcinoma by the 15 D health-related quality-of-life (HRQoL) questionnaire and the survival rate. The cost-utility of radical treatment of esophageal/GEJ carcinoma was investigated using a decision tree analysis model comparing radical, palliative, and hypothetical new treatment. We found elevated oxidative stress ( measured by MPA) and decreased antioxidant defense (measured by GSH) after antireflux surgery. This indicates that antireflux surgery is not a perfect solution for oxidative stress of the esophageal mucosa. Elevated oxidative stress in turn may partly explain why adenocarcinoma of the distal esophagus is found even after successful fundoplication. In GERD patients, proximal esophageal mucosal anti-oxidative defense seems to be defective before and even years after successful antireflux surgery. In addition, antireflux surgery apparently does not change the level of oxidative stress in the proximal esophagus, suggesting that defective mucosal anti-oxidative capacity plays a role in development of oxidative damage to the esophageal mucosa in GERD. In the malignant transformation of Barrett s esophagus an important component appears to be oxidative stress. DNA damage may be mediated by 8-OHdG, which we found to be increased in Barrett s epithelium and in high-grade dysplasia as well as in adenocarcinoma of the esophagus/GEJ compared with controls. The entire esophagus of Barrett s patients suffers from increased oxidative stress ( measured by 8-OhdG). PET is a useful tool in the staging and prognostication of adenocarcinoma of the esophagus/GEJ detecting organ metastases better than CT, although its accuracy in staging of paratumoral and distant lymph nodes is limited. Radical surgery for esophageal/GEJ carcinoma provides the greatest benefit in terms of survival, and its cost-utility appears to be the best of currently available treatments.

Mitä hyötyä tehohoidosta? : Tehohoitoa sisältäneiden hoitojaksojen vaikuttavuuden arviointi

Intensive care is to be provided to patients benefiting from it, in an ethical, efficient, effective and cost-effective manner. This implies a long-term qualitative and quantitative analysis of intensive care procedures and related resources. The study population consists of 2709 patients treated in the general intensive care unit (ICU) of Helsinki University Hospital. Study sectors investigate intensive care patients mortality, quality of life (QOL), Quality-Adjusted Life-Years (QALY units) and factors related to severity of illness, length of stay (LOS), patient s age, evaluation period as well as experiences and memories connected with the ICU episode. In addition, the study examines the qualities of two QOL measures, the RAND 36 Item Health Survey 1.0 (RAND-36) and the 5 Item EuroQol-5D (EQ-5D) and assesses the correlation of the test results. Patients treated in 1995 responded to the RAND-36 questionnaire in 1996. All patients, treated from 1995-2000, received a QOL questionnaires in 2001, when 1 7 years had lapsed from the intensive treatment. Response rate was 79.5 %. Main Results 1) Of the patients who died within the first year (n = 1047) 66 % died during the intensive care period or within the following month. The non-survivors were more aged than the surviving patients, had generally a higher than average APACHE II and SOFA score depicting the severity of illness, their ICU LOS was longer and hospital stay shorter than of the surviving patients (p < 0.001). Mortality of patients receiving conservative treatment was higher than of those receiving surgical treatment. Patients replying to the QOL survey in 2001 (n = 1099) had recovered well: 97 % of those lived at home. More than half considered their QOL as good or extremely good, 40 % as satisfactory and 7 % as bad. All QOL indexes of those of working-age were considerably lower (p < 0.001) than comparable figures of the age- and gender-adjusted Finnish population. The 5-year monitoring period made evident that mental recovery was slower than physical recovery. 2) The results of RAND-36 and EQ-5D correlated well (p < 0.01). The RAND-36 profile measure distinguished more clearly between the different categories of QOL and their levels. EQ-5D measured well the patient groups general QOL and the sum index was used to calculate QALY units. 3) QALY units were calculated by multiplying the time the patient survived after ICU stay or expected life-years by the EQ-5D sum index. Aging automatically lowers the number of QALY units. Patients under the age of 65 receiving conservative treatment benefited from treatment to a greater extent measured in QALY units than their peers receiving surgical treatment, but in the age group 65 and over patients with surgical treatment received higher QALY ratings than recipients of conservative treatment. 4) The intensive care experience and QOL ratings were connected. The QOL indices were statistically highest for those recipients with memories of intensive care as a positive experience, albeit their illness requiring intensive care treatment was less serious than average. No statistically significant differences were found in the QOL indices of those with negative memories, no memories or those who did not express the quality of their experiences.

Expected Performance of the ATLAS Experiment - Detector, Trigger and Physics

A detailed study is presented of the expected performance of the ATLAS detector. The reconstruction of tracks, leptons, photons, missing energy and jets is investigated, together with the performance of b-tagging and the trigger. The physics potential for a variety of interesting physics processes, within the Standard Model and beyond, is examined. The study comprises a series of notes based on simulations of the detector and physics processes, with particular emphasis given to the data expected from the first years of operation of the LHC at CERN.

Männyn neulaskadon arviointi laserkeilauksella

Leaf and needle biomasses are key factors in forest health. Insects that feed on needles cause growth losses and tree mortality. Insect outbreaks in Finnish forests have increased rapidly during the last decade and due to climate change the damages are expected to become more serious. There is a need for cost-efficient methods for inventorying these outbreaks. Remote sensing is a promising means for estimating forests and damages. The purpose of this study is to investigate the usability of airborne laser scanning in estimating Scots pine defoliation caused by the common pine sawfly (Diprion pini L.). The study area is situated in Ilomantsi district, eastern Finland. Study materials included high-pulse airborne laser scannings from July and October 2008. Reference data consisted of 90 circular field plots measured in May-June 2009. Defoliation percentage on these field plots was estimated visually. The study was made on plot-level and methods used were linear regression, unsupervised classification, Maximum likelihood method, and stepwise linear regression. Field plots were divided in defoliation classes in two different ways: When divided in two classes the defoliation percentages used were 0–20 % and 20–100 % and when divided in four classes 0–10 %, 10–20 %, 20–30 % and 30–100 %. The results varied depending on method and laser scanning. In the first laser scanning the best results were obtained with stepwise linear regression. The kappa value was 0,47 when using two classes and 0,37 when divided in four classes. In the second laser scanning the best results were obtained with Maximum likelihood. The kappa values were 0,42 and 0,37, correspondingly. The feature that explained defoliation best was vegetation index (pulses reflected from height > 2m / all pulses). There was no significant difference in the results between the two laser scannings so the seasonal change in defoliation could not be detected in this study.

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.

Estramustine and its Derivatives in Potentiating Radiotherapy of Prostate Cancer

The purpose of this study was to deepen our knowledge of the combined use of estramustine and radiotherapy in the treatment of prostate cancer. Prostate cancer is a common disease, with a high variability between subjects in its malignant potential. In many cases, the disease is an incidental finding with little or no clinical significance. In other cases, however, prostate cancer may be an aggressive malignant disease, which, if the initial treatment fails, lacks an effective cure and may lead to severe symptoms, metastasis, and death despite all treatment. In many cases, the methods of treatment available at the moment provide cure or significant regression of symptoms, but often at the cost of considerable side effects. Estramustine, a cytostatic drug used for treating advanced cancer of the prostate, has been shown to inhibit prostate cancer progression and also to increase the sensitivity of cancer cells to radiotherapy. The goals of this study were, first, to find out whether it is possible to use either estramustine or an antibody against estramustine binding protein as carrier molecules for bringing therapeutic radioisotopes into prostate cancer cells, and, secondly, to gain more understanding of the mechanisms behind the known radiosensitising effect of estramustine. Estramustine and estramustine binding protein antibody were labelled with iodine-125 to study the biodistribution of these substances in mice. In the first experiment, both of the substances accumulated in the prostate, but radioiodinated estramustine also showed affinity to the liver and the lungs. Since the radiolabelled antibody was found out to accumulate more selectively to the prostate, we studied its biodistribution in nude mice with DU-145 human prostate cancer implants. In this experiment, the prostate and the tumour accumulated more radioactivity than other organs, but we concluded that the difference in the dose of radiation compared to other organs was not sufficient for the radioiodinated antibody to be advocated as a carrier molecule for treating prostate cancer. Mice with similar DU-145 prostate cancer implants were then treated with estramustine and external beam irradiation, with and without neoadjuvant estramustine treatment. The tumours responded to the treatment as expected, showing the radiation potentiating effect of estramustine. In the third experiment, this effect was found without an increase in the amount of apoptosis in the tumour cells, despite previous suggestions to the contrary. In the fourth experiment, we gave a similar treatment to the mice with DU-145 tumours. A reduction in proliferation was found in the groups treated with radiotherapy, and an increased amount of tumour hypoxia and tumour necrosis in the group treated with both neoadjuvant estramustine and radiation. This finding is contradictory to the suggestion that the radiation sensitising effect of estramustine could be attributed to its angiogenic activity.