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.

The Pursuit of Efficient Copyright Licensing : How Some Rights Reserved Attempts to Solve the Problems of All Rights Reserved

This dissertation analyses the growing pool of copyrighted works, which are offered to the public using Creative Commons licensing. The study consist of analysis of the novel licensing system, the licensors, and the changes of the "all rights reserved" —paradigm of copyright law. Copyright law reserves all rights to the creator until seventy years have passed since her demise. Many claim that this endangers communal interests. Quite often the creators are willing to release some rights. This, however, is very difficult to do and needs help of specialized lawyers. The study finds that the innovative Creative Commons licensing scheme is well suited for low value - high volume licensing. It helps to reduce transaction costs on several le¬vels. However, CC licensing is not a "silver bullet". Privacy, moral rights, the problems of license interpretation and license compatibility with other open licenses and collecting societies remain unsolved. The study consists of seven chapters. The first chapter introduces the research topic and research questions. The second and third chapters inspect the Creative Commons licensing scheme's technical, economic and legal aspects. The fourth and fifth chapters examine the incentives of the licensors who use open licenses and describe certain open business models. The sixth chapter studies the role of collecting societies and whether two institutions, Creative Commons and collecting societies can coexist. The final chapter summarizes the findings. The dissertation contributes to the existing literature in several ways. There is a wide range of prior research on open source licensing. However, there is an urgent need for an extensive study of the Creative Commons licensing and its actual and potential impact on the creative ecosystem.

Extraction of polymeric galactoglucomannans from spruce wood by pressurized hot water

The major type of non-cellulosic polysaccharides (hemicelluloses) in softwoods, the partly acetylated galactoglucomannans (GGMs), which comprise about 15% of spruce wood, have attracted growing interest because of their potential to become high-value products with applications in many areas. The main objective of this work was to explore the possibilities to extract galactoglucomannans in native, polymeric form in high yield from spruce wood with pressurised hot-water, and to obtain a deeper understanding of the process chemistry involved. Spruce (Picea abies) chips and ground wood particles were extracted using an accelerated solvent extractor (ASE) in the temperature range 160 – 180°C. Detailed chemical analyses were done on both the water extracts and the wood residues. As much as 80 – 90% of the GGMs in spruce wood, i.e. about 13% based on the original wood, could be extracted from ground spruce wood with pure water at 170 – 180°C with an extraction time of 60 min. GGMs comprised about 75% of the extracted carbohydrates and about 60% of the total dissolved solids. Other substances in the water extracts were xylans, arabinogalactans, pectins, lignin and acetic acid. The yields from chips were only about 60% of that from ground wood. Both the GGMs and other non-cellulosic polysaccharides were extensively hydrolysed at severe extraction conditions when pH dropped to the level of 3.5. Addition of sodium bicarbonate increased the yields of polymeric GGMs at low additions, 2.5 – 5 mM, where the end pH remained around 3.9. However, at higher addition levels the yields decreased, mainly because the acetyl groups in GGMs were split off, leading to a low solubility of GGMs. Extraction with buffered water in the pH range 3.8 – 4.4 gave similar yields as with plain water, but gave a higher yield of polymeric GGMs. Moreover, at these pH levels the hydrolysis of acetyl groups in GGMs was significantly inhibited. It was concluded that hot-water extraction of polymeric GGMs in good yields (up to 8% of wood) demands appropriate control of pH, in a narrow range about 4. These results were supported by a study of hydrolysis of GGM at constant pH in the range of 3.8 – 4.2 where a kinetic model for degradation of GGM was developed. The influence of wood particle size on hot-water extraction was studied with particles in the range of 0.1 – 2 mm. The smallest particles (< 0.1 mm) gave 20 – 40% higher total yield than the coarsest particles (1.25 – 2 mm). The difference was greatest at short extraction times. The results indicated that extraction of GGMs and other polysaccharides is limited mainly by the mass transfer in the fibre wall, and for coarse wood particles also in the wood matrix. Spruce sapwood, heartwood and thermomechnical pulp were also compared, but only small differences in yields and composition of extracts were found. Two methods for isolation and purification of polymeric GGMs, i.e. membrane filtration and precipitation in ethanol-water, were compared. Filtration through a series of membranes with different pore sizes separated GGMs of different molar masses, from polymers to oligomers. Polysaccharides with molar mass higher than 4 kDa were precipitated in ethanol-water. GGMs comprised about 80% of the precipitated polysaccharides. Other polysaccharides were mainly arabinoglucuronoxylans and pectins. The ethanol-precipitated GGMs were by 13C NMR spectroscopy verified to be very similar to GGMs extracted from spruce wood in low yield at a much lower temperature, 90°C. The obtained large body of experimental data could be utilised for further kinetic and economic calculations to optimise technical hot-water extractionof softwoods.

Rising to the impossible challenge: the storage of all research data, forever?

Presentation at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014

Pressurized hot water flow-through extraction of birch wood

Effective processes to fractionate the main compounds in biomass, such as wood, are a prerequisite for an effective biorefinery. Water is environmentally friendly and widely used in industry, which makes it a potential solvent also for forest biomass. At elevated temperatures over 100 °C, water can readily hydrolyse and dissolve hemicelluloses from biomass. In this work, birch sawdust was extracted using pressurized hot water (PHWE) flow-through systems. The hypothesis of the work was that it is possible to obtain polymeric, water-soluble hemicelluloses from birch sawdust using flow-through PHW extractions at both laboratory and large scale. Different extraction temperatures in the range 140–200 °C were evaluated to see the effect of temperature to the xylan yield. The yields and extracted hemicelluloses were analysed to obtain sugar ratios, the amount of acetyl groups, furfurals and the xylan yields. Higher extraction temperatures increased the xylan yield, but decreased the molar mass of the dissolved xylan. As the extraction temperature increased, more acetic acid was released from the hemicelluloses, thus further decreasing the pH of the extract. There were only trace amounts of furfurals present after the extractions, indicating that the treatment was mild enough not to degrade the sugars further. The sawdust extraction density was increased by packing more sawdust in the laboratory scale extraction vessel. The aim was to obtain extracts with higher concentration than in typical extraction densities. The extraction times and water flow rates were kept constant during these extractions. The higher sawdust packing degree decreased the water use in the extractions and the extracts had higher hemicellulose concentrations than extractions with lower sawdust degrees of packing. The molar masses of the hemicelluloses were similar in higher packing degrees and in the degrees of packing that were used in typical PHWE flow-through extractions. The structure of extracted sawdust was investigated using small angle-(SAXS) and wide angle (WAXS) x-ray scattering. The cell wall topography of birch sawdust and extracted sawdust was compared using x-ray tomography. The results showed that the structure of the cell walls of extracted birch sawdust was preserved but the cell walls were thinner after the extractions. Larger pores were opened inside the fibres and cellulose microfibrils were more tightly packed after the extraction. Acetate buffers were used to control the pH of the extracts during the extractions. The pH control prevented excessive xylan hydrolysis and increased the molar masses of the extracted xylans. The yields of buffered extractions were lower than for plain water extractions at 160–170 °C, but at 180 °C yields were similar to those from plain water and pH buffers. The pH can thus be controlled during extraction with acetate buffer to obtain xylan with higher molar mass than those obtainable using plain water. Birch sawdust was extracted both in the laboratory and pilot scale. The performance of the PHWE flow-through system was evaluated in the laboratory and the pilot scale using vessels with the same shape but different volumes, with the same relative water flow through the sawdust bed, and in the same extraction temperature. Pre-steaming improved the extraction efficiency and the water flow through the sawdust bed. The extracted birch sawdust and the extracted xylan were similar in both laboratory and pilot scale. The PHWE system was successfully scaled up by a factor of 6000 from the laboratory to pilot scale and extractions performed equally well in both scales. The results show that a flow-through system can be further scaled up and used to extract water-soluble xylans from birch sawdust. Extracted xylans can be concentrated, purified, and then used in e.g. films and barriers, or as building blocks for novel material applications.

Continuous Counter-current Solvent Extraction of Magnesium and Calcium from Lithium-rich Brine

Solvent extraction of calcium and magnesium impurities from a lithium-rich brine (Ca ~ 2,000 ppm, Mg ~ 50 ppm, Li ~ 30,000 ppm) was investigated using a continuous counter-current solvent extraction mixer-settler set-up. The literature review includes a general review about resources, demands and production methods of Li followed by basics of solvent extraction. Experimental section includes batch experiments for investigation of pH isotherms of three extractants; D2EHPA, Versatic 10 and LIX 984 with concentrations of 0.52, 0.53 and 0.50 M in kerosene respectively. Based on pH isotherms LIX 984 showed no affinity for solvent extraction of Mg and Ca at pH ≤ 8 while D2EHPA and Versatic 10 were effective in extraction of Ca and Mg. Based on constructed pH isotherms, loading isotherms of D2EHPA (at pH 3.5 and 3.9) and Versatic 10 (at pH 7 and 8) were further investigated. Furthermore based on McCabe-Thiele method, two extraction stages and one stripping stage (using HCl acid with concentration of 2 M for Versatic 10 and 3 M for D2EHPA) was practiced in continuous runs. Merits of Versatic 10 in comparison to D2EHPA are higher selectivity for Ca and Mg, faster phase disengagement, no detrimental change in viscosity due to shear amount of metal extraction and lower acidity in stripping. On the other hand D2EHPA has less aqueous solubility and is capable of removing Mg and Ca simultaneously even at higher Ca loading (A/O in continuous runs > 1). In general, shorter residence time (~ 2 min), lower temperature (~23 °C), lower pH values (6.5-7.0 for Versatic 10 and 3.5-3.7 for D2EHPA) and a moderately low A/O value (< 1:1) would cause removal of 100% of Ca and nearly 100% of Mg while keeping Li loss less than 4%, much lower than the conventional precipitation in which 20% of Li is lost.

Modelling the simultaneous effects of intellectual capital and knowledge management on the organisational performance of Finnish companies

The aim of this study was to contribute to the current knowledge-based theory by focusing on a research gap that exists in the empirically proven determination of the simultaneous but differentiable effects of intellectual capital (IC) assets and knowledge management (KM) practices on organisational performance (OP). The analysis was built on the past research and theoreticised interactions between the latent constructs specified using the survey-based items that were measured from a sample of Finnish companies for IC and KM and the dependent construct for OP determined using information available from financial databases. Two widely used and commonly recommended measures in the literature on management science, i.e. the return on total assets (ROA) and the return on equity (ROE), were calculated for OP. Thus the investigation of the relationship between IC and KM impacting OP in relation to the hypotheses founded was possible to conduct using objectively derived performance indicators. Using financial OP measures also strengthened the dynamic features of data needed in analysing simultaneous and causal dependences between the modelled constructs specified using structural path models. The estimates were obtained for the parameters of structural path models using a partial least squares-based regression estimator. Results showed that the path dependencies between IC and OP or KM and OP were always insignificant when analysed separate to any other interactions or indirect effects caused by simultaneous modelling and regardless of the OP measure used that was either ROA or ROE. The dependency between the constructs for KM and IC appeared to be very strong and was always significant when modelled simultaneously with other possible interactions between the constructs and using either ROA or ROE to define OP. This study, however, did not find statistically unambiguous evidence for proving the hypothesised causal mediation effects suggesting, for instance, that the effects of KM practices on OP are mediated by the IC assets. Due to the fact that some indication about the fluctuations of causal effects was assessed, it was concluded that further studies are needed for verifying the fundamental and likely hidden causal effects between the constructs of interest. Therefore, it was also recommended that complementary modelling and data processing measures be conducted for elucidating whether the mediation effects occur between IC, KM and OP, the verification of which requires further investigations of measured items and can be build on the findings of this study.