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.

Harmful algae in the planktonic food web of the Baltic Sea

This study deals with algal species occurring commonly in the Baltic Sea: haptophyte Prymnesium parvum, dinoflagellates Dinophysis acuminata, D. norvegica and D. rotundata, and cyanobacterium Nodularia spumigena. The hypotheses are connected to the toxicity of the species, to the factors determining toxicity, to the consequences of toxicity and to the transfer of toxins in the aquatic food web. Since the Baltic Sea is severely eutrophicated, the fast-growing haptophytes have potential in causing toxic blooms. In our studies, the toxicity (as haemolytic activity) of the haptophyte P. parvum was highest under phosphorus-limited conditions, but the cells were toxic also under nitrogen limitation and under nutrient-balanced growth conditions. The cellular nutrient ratios were tightly related to the toxicity. The stoichiometric flexibility for cellular phosphorus quota was higher than for nitrogen, and nitrogen limitation led to decreased biomass. Negative allelopathic effects on another algae (Rhodomonas salina) could be observed already at low P. parvum cell densities, whereas immediate lysis of R. salina cells occurred at P. parvum cell densities corresponding to natural blooms. Release of dissolved organic carbon from the R. salina cells was measured within 30 minutes, and an increase in bacterial number and biomass was measured within 23 h. Because of the allelopathic effect, formation of a P. parvum bloom may accelerate after a critical cell density is reached and the competing species are eliminated. A P. parvum bloom indirectly stimulates bacterial growth, and alters the functioning of the planktonic food web by increasing the carbon transfer through the microbial loop. Our results were the first reports on DSP toxins in Dinophysis cells in the Gulf of Finland and on PTX-2 in the Baltic Sea. Cellular toxin contents in Dinophysis spp. ranged from 0.2 to 149 pg DTX-1 cell-1 and from 1.6 to 19.9 pg PTX-2 cell-1 in the Gulf of Finland. D. norvegica was found mainly around the thermocline (max. 200 cells L-1), whereas D. acuminata was found in the whole mixed layer (max. 7 280 cells L-1). Toxins in the sediment trap corresponded to 1 % of DTX-1 and 0.01 % PTX-2 of the DSP pool in the suspended matter. This indicates that the majority of the DSP toxins does not enter the benthic community, but is either decomposed in the water column, or transferred to higher trophic levels in the planktonic food chain. We found that nodularin, produced by Nodularia spumigena, was transferred to the copepod Eurytemora affinis through three pathways: by grazing on filaments of small Nodularia, directly from the dissolved pool, and through the microbial food web by copepods grazing on ciliates, dinoflagellates and heterotrophic nanoflagellates. The estimated proportion of the microbial food web in nodularin transfer was 22-45 % and 71-76 % in our two experiments, respectively. This highlights the potential role of the microbial food web in the transfer of toxins in the planktonic food web.

Epithelial sodium channel in airway epithelium of the newborn infant : Implications for postnatal pulmonary adaptation

The aim of the present thesis was to study the role of the epithelial sodium channel (ENaC) in clearance of fetal lung fluid in the newborn infant by measurement of airway epithelial expression of ENaC, of nasal transepithelial potential difference (N-PD), and of lung compliance (LC). In addition, the effect of postnatal dexamethasone on airway epithelial ENaC expression was measured in preterm infants with bronchopulmonary dysplasia (BPD). The patient population was formed of selected term newborn infants born in the Department of Obstetrics (Studies II-IV) and selected preterm newborn infants treated in the neonatal intensive care unit of the Hospital for Children and Adolescents (Studies I and IV) of the Helsinki University Central Hospital in Finland. A small population of preterm infants suffering from BPD was included in Study I. Studies I, III, and IV included airway epithelial measurement of ENaC and in Studies II and III, measurement of N-PD and LC. In Study I, ENaC expression analyses were performed in the Research Institute of the Hospital for Sick Children in Toronto, Ontario, Canada. In the following studies, analyses were performed in the Scientific Laboratory of the Hospital for Children and Adolescents. N-PD and LC measurements were performed at bedside in these hospitals. In term newborn infants, the percentage of amiloride-sensitive N-PD, a surrogate for ENaC activity, measured during the first 4 postnatal hours correlates positively with LC measured 1 to 2 days postnatally. Preterm infants with BPD had, after a therapeutic dose of dexamethasone, higher airway epithelial ENaC expression than before treatment. These patients were subsequently weaned from mechanical ventilation, probably as a result of the clearance of extra fluid from the alveolar spaces. In addition, we found that in preterm infants ENaC expression increases with gestational age (GA). In preterm infants, ENaC expression in the airway epithelium was lower than in term newborn infants. During the early postnatal period in those born both preterm and term airway epithelial βENaC expression decreased significantly. Term newborn infants delivered vaginally had a significantly smaller airway epithelial expression of αENaC after the first postnatal day than did those delivered by cesarean section. The functional studies showed no difference in N-PD between infants delivered vaginally and by cesarean section. We therefore conclude that the low airway epithelial expression of ENaC in the preterm infant and the correlation of N-PD with LC in the term infant indicate a role for ENaC in the pathogenesis of perinatal pulmonary adaptation and neonatal respiratory distress. Because dexamethasone raised ENaC expression in preterm infants with BPD, and infants were subsequently weaned from ventilator therapy, we suggest that studies on the treatment of respiratory distress in the preterm infant should include the induction of ENaC activity.

Pathological changes at the target tissue level in Sjögren's syndrome and their effect on the exocrine function of the salivary glands

Sjögren s syndrome (SS) is a common autoimmune disease affecting the lacrimal and salivary glands. SS is characterized by a considerable female predominance and a late age of onset, commonly at the time of adreno- and menopause. The levels of the androgen prohormone dehydroepiandrosterone-sulphate (DHEA-S) in the serum are lower in patients with SS than in age- and sex-matched healthy control subjects. The eventual systemic effects of low androgen levels in SS are not currently well understood. Basement membranes (BM) are specialized layers of extracellular matrix and are composed of laminin (LM) and type IV collagen matrix networks. BMs deliver messages to epithelial cells via cellular LM-receptors including integrins (Int) and Lutheran blood group antigen (Lu). The composition of BMs and distribution of LM-receptors in labial salivary glands (LSGs) of normal healthy controls and patients with SS was assessed. LMs have complex and highly regulated distribution in LSGs. LMs seem to have specific tasks in the dynamic regulation of acinar cell function. LM-111 is important for the normal acinar cell differentiation and its expression is diminished in SS. Also LM-211 and -411 seem to have some acinar specific functional tasks in LSGs. LM-311, -332 and -511 seem to have more general structure maintaining and supporting roles in LSGs and are relatively intact also in SS. Ints α3β1, α6β1, α6β4 and Lu seem to supply structural basis for the firm attachment of epithelial cells to the BM in LSGs. The expression of Ints α1β1 and α2β1 differed clearly from other LM-receptors in that they were found almost exclusively around the acini and intercalated duct cells in salivons suggesting some type of acinar cell compartment-specific or dominant function. Expression of these integrins was lower in SS compared to healthy controls suggesting that the LM-111 and -211-to-Int α1β1 and α2β1 interactions are defective in SS and are crucial to the maintenance of the acini in LSGs. DHEA/DHEA-S concentration in serum and locally in saliva of patients with SS seems to have effects on the salivary glands. These effects were first detected using the androgen-dependent CRISP-3 protein, the production and secretion of which were clearly diminished in SS. This might be due to the impaired function of the intracrine DHEA prohormone metabolizing machinery, which fails to successfully convert DHEA into its active metabolites in LSGs. The progenitor epithelial cells from the intercalated ductal area of LSGs migrate to the acinar compartment and then undergo a phenotype change into secretory acinar cells. This migration and phenotype change seem to be regulated by the LM-111-to-Int α1β1/Int α2β1 interactions. Lack of these interactions could be one factor limiting the normal remodelling process. Androgens are effective stimulators of Int α1β1 and α2β1 expression in physiologic concentrations. Addition of DHEA to the culture medium had effective stimulating effect on the Int α1β1 and α2β1 expression and its effect may be deficient in the LSGs of patients with SS.

Acceleration of the Cosmological Expansion as an Effect of Inhomogeneities

The cosmological observations of light from type Ia supernovae, the cosmic microwave background and the galaxy distribution seem to indicate that the expansion of the universe has accelerated during the latter half of its age. Within standard cosmology, this is ascribed to dark energy, a uniform fluid with large negative pressure that gives rise to repulsive gravity but also entails serious theoretical problems. Understanding the physical origin of the perceived accelerated expansion has been described as one of the greatest challenges in theoretical physics today. In this thesis, we discuss the possibility that, instead of dark energy, the acceleration would be caused by an effect of the nonlinear structure formation on light, ignored in the standard cosmology. A physical interpretation of the effect goes as follows: due to the clustering of the initially smooth matter with time as filaments of opaque galaxies, the regions where the detectable light travels get emptier and emptier relative to the average. As the developing voids begin to expand the faster the lower their matter density becomes, the expansion can then accelerate along our line of sight without local acceleration, potentially obviating the need for the mysterious dark energy. In addition to offering a natural physical interpretation to the acceleration, we have further shown that an inhomogeneous model is able to match the main cosmological observations without dark energy, resulting in a concordant picture of the universe with 90% dark matter, 10% baryonic matter and 15 billion years as the age of the universe. The model also provides a smart solution to the coincidence problem: if induced by the voids, the onset of the perceived acceleration naturally coincides with the formation of the voids. Additional future tests include quantitative predictions for angular deviations and a theoretical derivation of the model to reduce the required phenomenology. A spin-off of the research is a physical classification of the cosmic inhomogeneities according to how they could induce accelerated expansion along our line of sight. We have identified three physically distinct mechanisms: global acceleration due to spatial variations in the expansion rate, faster local expansion rate due to a large local void and biased light propagation through voids that expand faster than the average. A general conclusion is that the physical properties crucial to account for the perceived acceleration are the growth of the inhomogeneities and the inhomogeneities in the expansion rate. The existence of these properties in the real universe is supported by both observational data and theoretical calculations. However, better data and more sophisticated theoretical models are required to vindicate or disprove the conjecture that the inhomogeneities are responsible for the acceleration.

Evaluation and modelling of the spatial and temporal variability of particulate matter in urban areas

This thesis contains three subject areas concerning particulate matter in urban area air quality: 1) Analysis of the measured concentrations of particulate matter mass concentrations in the Helsinki Metropolitan Area (HMA) in different locations in relation to traffic sources, and at different times of year and day. 2) The evolution of traffic exhaust originated particulate matter number concentrations and sizes in local street scale are studied by a combination of a dispersion model and an aerosol process model. 3) Some situations of high particulate matter concentrations are analysed with regard to their meteorological origins, especially temperature inversion situations, in the HMA and three other European cities. The prediction of the occurrence of meteorological conditions conducive to elevated particulate matter concentrations in the studied cities is examined. The performance of current numerical weather forecasting models in the case of air pollution episode situations is considered. The study of the ambient measurements revealed clear diurnal variation of the PM10 concentrations in the HMA measurement sites, irrespective of the year and the season of the year. The diurnal variation of local vehicular traffic flows seemed to have no substantial correlation with the PM2.5 concentrations, indicating that the PM10 concentrations were originated mainly from local vehicular traffic (direct emissions and suspension), while the PM2.5 concentrations were mostly of regionally and long-range transported origin. The modelling study of traffic exhaust dispersion and transformation showed that the number concentrations of particles originating from street traffic exhaust undergo a substantial change during the first tens of seconds after being emitted from the vehicle tailpipe. The dilution process was shown to dominate total number concentrations. Minimal effect of both condensation and coagulation was seen in the Aitken mode number concentrations. The included air pollution episodes were chosen on the basis of occurrence in either winter or spring, and having at least partly local origin. In the HMA, air pollution episodes were shown to be linked to predominantly stable atmospheric conditions with high atmospheric pressure and low wind speeds in conjunction with relatively low ambient temperatures. For the other European cities studied, the best meteorological predictors for the elevated concentrations of PM10 were shown to be temporal (hourly) evolutions of temperature inversions, stable atmospheric stability and in some cases, wind speed. Concerning the weather prediction during particulate matter related air pollution episodes, the use of the studied models were found to overpredict pollutant dispersion, leading to underprediction of pollutant concentration levels.

Effect of water vapour stabilization of raw materials on the quality of the inhalation product

Generation of raw materials for dry powder inhalers by different size reduction methods can be expected to influence physical and chemical properties of the powders. This can cause differences in particle size, size distribution, shape, crystalline properties, surface texture and energy. These physical properties of powders influence the behaviour of particles before and after inhalation. Materials with an amorphous surface have different surface energy compared to materials with crystalline surface. This can affect the adhesion and cohesion of particles. Changes in the surface nature of the drug particles results in a change in product performance. By stabilization of the raw materials the amorphous surfaces are converted into crystalline surfaces. The primary aim of the study was to investigate the influence of the surface properties of the inhalation particles on the quality of the product. The quality of the inhalation product is evaluated by measuring the fine particle dose (FPD). FDP is the total dose of particles with aerodynamic diameters smaller than 5,0 μm. The secondary aim of this study was to achieve the target level of the FPD and the stability of the FPD. This study was also used to evaluate the importance of the stabilization of the inhalation powders. The study included manufacturing and analysing drug substance 200 μg/dose inhalation powder batches using non-stabilized or stabilized raw materials. The inhaler formulation consisted of micronized drug substance, lactose <100μm and micronized lactose <10μm. The inhaler device was Easyhaler®. Stabilization of the raw materials was done in different relative humidity, temperature and time. Surface properties of the raw materials were studied by dynamic vapour sorption, scanning electron microscopy and three-point nitrogen adsorption technique. Particle size was studied by laser diffraction particle size analyzer. Aerodynamic particle size distribution from inhalers was measured by new generation impactor. Stabilization of all three raw materials was successful. A clear difference between nonstabilized and stabilized raw materials was achieved for drug substance and lactose <10μm. However for lactose <100μm the difference wasn’t as clear as wanted. The surface of the non-stabilized drug substance was more irregular and the particles had more roughness on the surface compared to the stabilized drug substances particles surface. The surface of the stabilized drug particles was more regular and smoother than non-stabilized. Even though a good difference between stabilized and non-stabilized raw materials was achieved, a clear evidence of the effect of the surface properties of the inhalation particles on the quality of the product was not observed. Stabilization of the raw materials didn’t lead to a higher FPD. Possible explanations for the unexpected result might be too rough conditions in the stabilization of the drug substance or smaller than wanted difference in the degree of stabilization of the main component of the product <100μm. Despite positive effects on the quality of the product were not seen there appears to be some evidence that stabilized drug substance results in smaller particle size of dry powder inhalers.