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.

The German Military Entrepreneur Ernst von Mansfeld and His Conduct of Asymmetrical Warfare in the Thirty Years War

The dissertation examines aspects of asymmetrical warfare in the war-making of the German military entrepreneur Ernst von Mansfeld during his involvement in the Thirty Years War. Due to the nature of the inquiry, which combines history with military-political theory, the methodological approach of the dissertation is interdisciplinary. The theoretical framework used is that of asymmetrical warfare. The primary sources used in the dissertation are mostly political pamphlets and newsletters. Other sources include letters, documents, and contemporaneous chronicles. The secondary sources are divided into two categories, literature on the history of the Thirty Years War and textbooks covering the theory of asymmetrical warfare. The first category includes biographical works on Ernst von Mansfeld, as well as general histories of the Thirty Years War and seventeenth-century warfare. The second category combines military theory and political science. The structure of the dissertation consists of eight lead chapters, including an introduction and conclusion. The introduction covers the theoretical approach and aims of the dissertation, and provides a brief overlook of the sources and previous research on Ernst von Mansfeld and asymmetrical warfare in the Thirty Years War. The second chapter covers aspects of Mansfeld s asymmetrical warfare from the perspective of operational art. The third chapter investigates the illegal and immoral aspects of Mansfeld s war-making. The fourth chapter compares the differing methods by which Mansfeld and his enemies raised and financed their armies. The fifth chapter investigates Mansfeld s involvement in indirect warfare. The sixth chapter presents Mansfeld as an object and an agent of image and information war. The seventh chapter looks into the counter-reactions, which Mansfeld s asymmetrical warfare provoked from his enemies. The eighth chapter offers a conclusion of the findings. The dissertation argues that asymmetrical warfare presented itself in all the aforementioned areas of Mansfeld s conduct during the Thirty Years War. The operational asymmetry arose from the freedom of movement that Mansfeld enjoyed, while his enemies were constrained by the limits of positional warfare. As a non-state operator Mansfeld was also free to flout the rules of seventeenth-century warfare, which his enemies could not do with equal ease. The raising and financing of military forces was another source of asymmetry, because the nature of early seventeenth-century warfare favoured private military entrepreneurs rather than embryonic fiscal-military states. The dissertation also argues that other powers fought their own asymmetrical and indirect wars against the Habsburgs through Mansfeld s agency. Image and information were asymmetrical weapons, which were both aimed against Mansfeld and utilized by him. Finally, Mansfeld s asymmetrical threat forced the Habsburgs to adapt to his methods, which ultimately lead to the formation of a subcontracted Imperial Army under the management and leadership of Albrecht von Wallenstein. Therefore Mansfeld s asymmetrical warfare ultimately paved way for the kind of state-monopolized, organised, and symmetrical warfare that has prevailed from 1648 onwards. The conclusion is that Mansfeld s conduct in the Thirty Years War matched the criteria for asymmetrical warfare. While traditional historiography treated Mansfeld as an anomaly in the age of European state formation, his asymmetrical warfare has begun to bear resemblance to the contemporary conflicts, where nation states no longer hold the monopoly of violence.