Implisiittisen volatiliteetin vaikutukset warranttien hinnoitteluun

Työssä käydään lyhyesti läpi warranttien rakenne ja hinnoittuminen. Empiirisessä osassa testataan voidaanko volatiliteettihymy havaita myös Suomessa. In the paper the structure and pricing of warrants will be introduced. In the empirical part is tested if the volatility smile can be observed in Finland.

Warranttihaarojen tuotot ja markkinoiden tehokkuus Nokian osavuosikatsausten yhteydessä vuosina 2002-2009

Työssä pyrittiin löytämään indikaatioita markkinoiden epätehokkuudesta ja arbitraasimahdollisuuksia Suomen warranttimarkkinoilla muodostamalla osavuosikatsausten ympärille erilaisia aikaikkunoita at-the-money warranttihaaroilla. Kohde-etuutena käytettiin Nokian osaketta. Tilastollista merkitsevyyttä testattiin haarojen päivittäisistä logaritmisista tuotoista muodostetulla jakaumalla ja Excelin prosenttijärjestys() -funktiolla. Työn pohjana käytettiin McKentzien, Thomsenin ja Phelanin (2007) työtä, jossa löydettiin teurassikafutuurimarkkinoilta tilastollisesti merkitseviä tuottoja straddle-haaroilla markkinakatsausten aikana. Työssä ei löydetty tilastollisesti merkitseviä tuottoja tai tappioita pääasialli-sella merkitsevyyden mittausmenetelmällä, mutta kahdensuuntaista t-jakauman jakaumaa käyttämällä kyllä.

18F-Labeled Presynaptic Dopaminergic Tracers. Synthesis, Radiochemical Analyses, and Preclinical Evaluation of [18F]FDOPA and [18F]CFT

Dysfunction of the dopaminergic system in brain is involved in several pathological conditions such as Parkinson’s disease and depression. 2β-Carbomethoxy-3β-(4-[18F] fluorophenyl)tropane ([18F]CFT) and 6-[18F]fluoro-L-dopa ([18F]FDOPA) are tracers for imaging the dopaminergic function with positron emission tomography (PET). Peripheral uptake of [18F]FDOPA is also used in the localization and diagnosis of neuroendocrine tumors. [18F]FDOPA and [18F]CFT can be synthesized by electrophilic fluorodestannylation. However, the specific radioactivity (SA) in the electrophilic fluorination is low with traditional synthetic methods. In this study, [18F]FDOPA and [18F]CFT were synthesized using post-target-produced [18F]F2 as an electrophilic fluorination agent. With this method, tracers are produced with sufficient SA for neuroreceptor studies. Specific aims in this study were to replace Freon-11 in the production of [18F]FDOPA due to the ozone depleting properties of this solvent, to determine pharmacological specificity and selectivity of [18F]CFT with respect to monoamine transporters, and to compare the ability of these tracers to reflect the degree of nigral neuronal loss in rats in which the dopaminergic system in the brain had been unilaterally destroyed by 6- OHDA. Post-target-produced [18F]F2 was successfully used in the production of [18F]FDOPA and [18F]CFT. The SA achieved was substantially higher than in previous synthetic methods. Deuterated compounds, CD2Cl2, CDCl3 and C3D6O, were found to be suitable solvents for replacing Freon-11. Both [18F]FDOPA and [18F]CFT demonstrated nigrostriatal dopaminergic hypofunction and correlated with the number of nigral dopaminergic neurons in the 6-OHDA lesioned rat. However, the dopamine transporter (DAT) tracer [18F]CFT was more sensitive than the dopamine synthesis tracer [18F]FDOPA in detecting these defects because of the higher non-specific uptake of [18F]FDOPA. [18F]CFT can also be used for imaging the norepinephrine transporter (NET) because of the specific uptake into the locus coeruleus. The observation that [18F]CFT exhibits specific uptake in the pancreas warrants further studies in humans with respect to potential utility in pancreatic imaging

Optiohinnoittelumallien empiirinen vertailu OMX 25 Helsinki -warranttimarkkinoilla

Tämän tutkimuksen tarkoituksena on selvittää pystytäänkö OMX 25 Helsinki kohde-etuusindeksin warranttien hintoja ennustamaan käyttämällä erilaisia optiohinnoittelumalleja. Tutkielman aineisto koostuu OMXH25-indeksiä seuraavien warranttien hinta-aikasarjatiedoista vuosilta 2009-2011. Tutkimuksessa käytettiin kolmea eri hinnoittelumallia warranttien hinnoitteluvirheiden tutkimiseen. Perinteistä Black-Scholes-hinnoittelumallia käytettiin siten, että warranttiaineistosta joh-dettu implisiittinen volatiliteetti regressoitiin maturiteetin ja toteutushinnan mu-kaan, jonka jälkeen regression perusteella valittiin kulloiseenkin tilanteeseen sopiva volatiliteettiestimaatti. Black-Scholes-mallin lisäksi tutkimuksessa käy-tettiin kahta GARCH-pohjaista optiohinnoittelumallia. Mallien estimoimia hin-toja verrattiin markkinoiden warranttihintoihin. Tulosten perusteella voitiin todeta, että mallit onnistuvat hinnoittelemaan war-rantteja paremmin lyhyen ajan päähän mallien kalibroinnista. Tulokset vaihte-livat suuresti eri vuosien välillä eikä minkään käytetyn mallin nähty suoriutu-van systemaattisesti muita malleja paremmin.

THE ROLE OF DYNAMIC CAPABILITIES IN THE INTERNATIONALIZATION OF MEDIUM SIZED FINNISH MANUFACTURING FIRMS - A case for Sormat Oy

A rapidly changing business environment has necessitated most small and medium sized enterprises with international ambitions to reconsider their sources of competitive advantage. To survive in the face of a changing business environment, firms should utilize their dynamic organizational capabilities as well as their internationalization capabilities. Firms develop a competitive advantage if they can exploit their unique organizational competences in a new or foreign market and also if they can acquire new capabilities as a result of engaging in foreign markets. The acquired capabilities from foreign locations enhance the existing capability portfolio of a firm with a desire to internationalize. The study combined the research streams of SME organizational dynamic capability and internationalization capability to build a complete picture on the existing knowledge. An intensive case study was used for empirically testing the theoretical framework of the study and compared with the literature on various organizational capability factors and internationalization capabilities. Sormay Oy was selected because it is a successful medium sized company operating in Finland in the manufacturing industry which has a high international profile. In addition, it has sufficient rate of growth in sales that warrants it to engage internationally in matters such as, acquisitions, joint ventures and partnerships. The key findings of the study suggests that, medium sized manufacturing firms have a set of core competences arising from their organizational capabilities which were identified to be employee know how and relationship with stakeholders which aid the firm in its quest for attaining competitive advantage, ensuring production flexibility and gaining benefits present in a network. In addition, internationalization capabilities were identified under both the RAT test and CAT test whereby the primary findings suggests that, firms that outperform their competitors produce products that meet specific customer and country requirements, foresee the pitfalls of imitation brought about by the foreign local companies and members of a particular network through joint ventures, acquisitions or partnerships as well as those firms that are capable to acquire new capabilities in the foreign markets and successfully use these acquired capabilities to enhance or renew their capability portfolio for their competitive advantage. Additional significant findings under internationalization capabilities were discovered whereby, Sormay Oy was able to develop a new market space for its products despite the difficult institutional environment present in Russia.