On Option Price Information Content and Extraction of Implied Probability Distributions

In this study we used market settlement prices of European call options on stock index futures to extract implied probability distribution function (PDF). The method used produces a PDF of returns of an underlying asset at expiration date from implied volatility smile. With this method, the assumption of lognormal distribution (Black-Scholes model) is tested. The market view of the asset price dynamics can then be used for various purposes (hedging, speculation). We used the so called smoothing approach for implied PDF extraction presented by Shimko (1993). In our analysis we obtained implied volatility smiles from index futures markets (S&P 500 and DAX indices) and standardized them. The method introduced by Breeden and Litzenberger (1978) was then used on PDF extraction. The results show significant deviations from the assumption of lognormal returns for S&P500 options while DAX options mostly fit the lognormal distribution. A deviant subjective view of PDF can be used to form a strategy as discussed in the last section.

A Feasibility Study of a Pelleting Plant as an Option for By Product Upgrading in Wood-Processing Industry

Tämän kannattavuustutkimuksen lähtökohtana oli se, että Yhtyneet Sahat Oy:n Kaukaan sahalla ja Luumäen jatkojalostuslaitoksella haluttiin selvittää pellettitehtaan kannattavuus nykyisessä markkinatilanteessa. Tämä työon luonteeltaan teknis-taloudellinen selvitys eli ns. feasibility study. Pelletöintiprosessi on tekniikaltaan yksinkertainen eikä edellytä korkea teknologian laitteita. Toimiala on maailmanlaajuisesti varsin uusi. Suomessa pellettimarkkinat ovat vielä pienet ja kehittymättömät, mutta kasvua on viime vuosina tapahtunut. Valtaosa kotimaan tuotannosta menee vientiin. Investoinnin laskentaprosessissa saadut tuotannon alkuarvot sekä kustannusrakenteen määrittelyt ovat perustana varsinaisille kannattavuuslaskelmille. Laskelmista on selvitetty investointeihin liittyvät yleisimmät taloudelliset tunnusluvut ja herkimpiä muuttujia on tutkittu ja pohdittu herkkyysanalyysiä apuna käyttäen.

Investigation of interface between Multimedia IP Network and Call Processing Server in 3G IP Telephony Core Network

The thesis presents an overview of third generation of IP telephony. The architecture of 3G IP Telephony and its components are described. The main goal of the thesis is to investigate the interface between the Call Processing Server and Multimedia IP Networks. The interface functionality, proposed protocol stack and a general description are presented in the thesis. To provide useful services, 3G IP Telephony requires a set of control protocols for connection establishment, capabilities exchange and conference control. The Session Initiation Protocol (SIP) and the H.323 are two protocols that meet these needs. In the thesis these two protocols are investigated and compared in terms of Complexity, Extensibility, Scalability, Services, Resource Utilization and Management.

Adaptive optimization schemes for mobile VoIP applications Battery life and call quality aspects

In this thesis programmatic, application-layer means for better energy-efficiency in the VoIP application domain are studied. The work presented concentrates on optimizations which are suitable for VoIP-implementations utilizing SIP and IEEE 802.11 technologies. Energy-saving optimizations can have an impact on perceived call quality, and thus energy-saving means are studied together with those factors affecting perceived call quality. In this thesis a general view on a topic is given. Based on theory, adaptive optimization schemes for dynamic controlling of application's operation are proposed. A runtime quality model, capable of being integrated into optimization schemes, is developed for VoIP call quality estimation. Based on proposed optimization schemes, some power consumption measurements are done to find out achievable advantages. Measurement results show that a reduction in power consumption is possible to achieve with the help of adaptive optimization schemes.

Components of customer value in nurse call solutions

This study aimed to identify the value components of nurse call solutions. The value creation of such systems was analyzed by using a framework that was created based on the existing customer value literature. The empirical part of the study was conducted as a multiple-case study by using qualitative research methods. The data for the analysis was gathered through structured interviews in ten Finnish eldercare centers. The results indicate that a nurse call solution creates value for eldercare centers by increasing the safety of the residents, and by improving the efficiency of the staff while also providing cost savings.

”They Call it Christmas”. An Ethnological Analysis of Alienation in Tove Jansson’s Short Story The Fir Tree

Artikel i tidskrift med referee-praxis

Rocking the Euro boat: scheduled market announcements' effects on Euro implied volatility

The purpose of this thesis is to investigate scheduled market announcements’ effects on Euro implied volatility. Timeline selected for this study ranges from 2005 to 2009. The method chosen is so-called event study approach, in which five days prior to a news announcement stand for a pre-event period, and five days after the announcement form a post-event period. Statistical research method employed is Mann-Whitney-Wilcoxon test, which examines two evenly-sized distributions’ equality, in this case the distributions being the pre- and post-event periods. Observations are based on daily data of US dollar nominated Euro at-the-money call options. Research results partially back up previous literature’s view of uncertainty increasing prior to the news announcement. After the exact contents of the news is public, uncertainty levels measured by implied volatility tend to lower.

Fuzzy real option analysis in patent related decision making and patent valuation

The shift towards a knowledge-based economy has inevitably prompted the evolution of patent exploitation. Nowadays, patent is more than just a prevention tool for a company to block its competitors from developing rival technologies, but lies at the very heart of its strategy for value creation and is therefore strategically exploited for economic pro t and competitive advantage. Along with the evolution of patent exploitation, the demand for reliable and systematic patent valuation has also reached an unprecedented level. However, most of the quantitative approaches in use to assess patent could arguably fall into four categories and they are based solely on the conventional discounted cash flow analysis, whose usability and reliability in the context of patent valuation are greatly limited by five practical issues: the market illiquidity, the poor data availability, discriminatory cash-flow estimations, and its incapability to account for changing risk and managerial flexibility. This dissertation attempts to overcome these impeding barriers by rationalizing the use of two techniques, namely fuzzy set theory (aiming at the first three issues) and real option analysis (aiming at the last two). It commences with an investigation into the nature of the uncertainties inherent in patent cash flow estimation and claims that two levels of uncertainties must be properly accounted for. Further investigation reveals that both levels of uncertainties fall under the categorization of subjective uncertainty, which differs from objective uncertainty originating from inherent randomness in that uncertainties labelled as subjective are highly related to the behavioural aspects of decision making and are usually witnessed whenever human judgement, evaluation or reasoning is crucial to the system under consideration and there exists a lack of complete knowledge on its variables. Having clarified their nature, the application of fuzzy set theory in modelling patent-related uncertain quantities is effortlessly justified. The application of real option analysis to patent valuation is prompted by the fact that both patent application process and the subsequent patent exploitation (or commercialization) are subject to a wide range of decisions at multiple successive stages. In other words, both patent applicants and patentees are faced with a large variety of courses of action as to how their patent applications and granted patents can be managed. Since they have the right to run their projects actively, this flexibility has value and thus must be properly accounted for. Accordingly, an explicit identification of the types of managerial flexibility inherent in patent-related decision making problems and in patent valuation, and a discussion on how they could be interpreted in terms of real options are provided in this dissertation. Additionally, the use of the proposed techniques in practical applications is demonstrated by three fuzzy real option analysis based models. In particular, the pay-of method and the extended fuzzy Black-Scholes model are employed to investigate the profitability of a patent application project for a new process for the preparation of a gypsum-fibre composite and to justify the subsequent patent commercialization decision, respectively; a fuzzy binomial model is designed to reveal the economic potential of a patent licensing opportunity.

Verification and Implementation of Call Sequence Analysing Algorithm

Työssä arvioidaan ja verifioidaan puheluiden luokitteluun suunniteltu Call Sequence Analysing Algorithm (CSA-algoritmi). Algoritmin tavoitteena on luokitella riittävän samankaltaiset puhelut ryhmiksi tarkempaa vika-analyysia varten. Työssä esitellään eri koneoppimisalgoritmien pääluokitukset ja niiden tyypilliset eroavaisuudet, eri luokitteluprosesseille ominaiset datatyypit, sekä toimintaympäristöt, joissa kyseinen toteutus on suunniteltu toimivaksi. CSA-algoritmille syötetään verkon ylläpitoviesteistä koostuvia viestisarjoja, joiden sisällön perusteella samankaltaiset sarjat ryhmitellään kokonaisuuksiksi. Algoritmin suorituskykyä arvioidaan 94 käsin luokitellun verrokkisarjan avulla. Sarjat on kerätty toimivasta 3G-verkon kontrollerista. Kahta sarjaa vertailemalla sarjaparille muodostetaan keskinäinen tunnusluku: sarjojen samanlaisuutta kuvaava etäisyys. Tässä työssä keskitytään erityisesti Hamming-etäisyyteen. Etäisyyden avulla sarjat koostetaan ryhmiksi. Muuttamalla hyväksyttävää maksimietäisyyttä, jonka perusteella kaksi sarjaa lasketaan kuuluvaksi samaan ryhmään, saadaan aikaiseksi alaryhmiä, joihin kuuluu ainoastaan samankaltaisia sarjoja. Hyväksyttävän etäisyyden kasvaessa, myös virheluokitusten määrä kasvaa. Oikeiden lajittelutulosten vertailukohteena toimii käsin luokiteltu ryhmittely. CSA-algoritmin luokittelutuloksen tarkkuus esitetään prosentuaalisena osuutena tavoiteryhmittelystä maksimietäisyyden funktiona. Työssä osoitetaan, miten etäisyysattribuutiksi valittu Hamming-etäisyys ei sovellu tämän datan luokitteluun. Työn lopussa ehdotetaan menetelmää ja työkalua, joiden avulla useampaa eri lajittelija-algoritmia voidaan testata nopealla kehityssyklillä.