Dynamic Hedging with Credit Default Swaps: Empirical Evidence from the European Monetary Union

This thesis investigates the effectiveness of time-varying hedging during the financial crisis of 2007 and the European Debt Crisis of 2010. In addition, the seven test economies are part of the European Monetary Union and these countries are in different economical states. Time-varying hedge ratio was constructed using conditional variances and correlations, which were created by using multivariate GARCH models. Here we have used three different underlying portfolios: national equity markets, government bond markets and the combination of these two. These underlying portfolios were hedged by using credit default swaps. Empirical part includes the in-sample and out-of-sample analysis, which are constructed by using constant and dynamic models. Moreover, almost in every case dynamic models outperform the constant ones in the determination of the hedge ratio. We could not find any statistically significant evidence to support the use of asymmetric dynamic conditional correlation model. In addition, our findings are in line with prior literature and support the use of time-varying hedge ratio. Finally, we found that in some cases credit default swaps are not suitable instruments for hedging and they act more as a speculative instrument.

The Combined treatment of UV Light and Titanium Dioxide (TiO2) in Grease Filtration Technique

The aim of this thesis was to identify the best grease removal technique with the application of low power of UV light to TiO2 coated grease filters. The treatment with various power series of ozone generating and ozone free lamps to normal grease filters and TiO2 coated grease filters were examined and the obtained results are compared to each other in this paper. The effect of ozone reaction was observed and compared with the effect of TiO2. The experiments were solely based on the photo oxidation and photo catalytic oxidation reactions. TiO2 is a green catalyst used in the photocatalytic reaction. Sunflower oil was used for grease production and tetracholoroethylene as a solvent. Grease samples were collected from the ventilation duct connected to the cooking hood system. Sample extraction was done in ultrasonic bath with the principle of sonication. The sample analysis was done by FTIR machine. The result determining the concentration of grease was the quantification of saturated C-H bonds in the chosen peak group of the spectrum. A very low power of UVC light functions perfectly with the Titanium dioxide. The experimental results have shown the combined treatment of titanium dioxide and UV light is an effective method in grease removal process. The photocatalytic reaction with titanium dioxide is better than photo oxidation reaction with ozone treatment. Photocatalytic reaction is environmentally friendly, energy efficient and economical.

Particle Size Analysis of Pharmaceutical Powders by Laser Diffraction

Raaka-aineen hiukkaskoko on lääkekehityksessä keskeinen materiaaliparametri. Lääkeaineen partikkelikoko vaikuttaa moneen lääketuotteen tärkeään ominaisuuteen, esimerkiksi lääkkeen biologiseen hyväksikäytettävyyteen. Tässä diplomityössä keskityttiin jauhemaisten lääkeaineiden hiukkaskoon määrittämiseen laserdiffraktiomenetelmällä. Menetelmä perustuu siihen, että partikkeleista sironneen valon intensiteetin sirontakulmajakauma on riippuvainen partikkelien kokojakaumasta. Työn kirjallisuusosassa esiteltiin laserdiffraktiomenetelmän teoriaa. PIDS (Polarization Intensity Differential Scattering) tekniikka, jota voidaan käyttää laserdiffraktion yhteydessä, on myös kuvattu kirjallisuusosassa. Muihin menetelmiin perustuvista analyysimenetelmistä tutustuttiin mikroskopiaan sekä aerodynaamisen lentoajan määrittämiseen perustuvaan menetelmään. Kirjallisuusosassa esiteltiin myös partikkelikoon yleisimpiä esitystapoja. Työn kokeellisen osan tarkoituksena oli kehittää ja validoida laserdiffraktioon perustuva partikkelikoon määritysmenetelmä tietylle lääkeaineelle. Menetelmäkehitys tehtiin käyttäen Beckman Coulter LS 13 320 laserdiffraktoria. Laite mahdollistaa PIDS-tekniikan käytön laserdiffraktiotekniikan ohella. Menetelmäkehitys aloitettiin arvioimalla, että kyseinen lääkeaine soveltuu parhaiten määritettäväksi nesteeseen dispergoituna. Liukoisuuden perusteella väliaineeksi valittiin tällä lääkeaineella kyllästetty vesiliuos. Dispergointiaineen sekä ultraäänihauteen käyttö havaittiin tarpeelliseksi dispergoidessa kyseistä lääkeainetta kylläiseen vesiliuokseen. Lopuksi sekoitusnopeus näytteensyöttöyksikössä säädettiin sopivaksi. Validointivaiheessa kehitetyn menetelmän todettiin soveltuvan hyvin kyseiselle lääkeaineelle ja tulosten todettiin olevan oikeellisia sekä toistettavia. Menetelmä ei myöskään ollut herkkä pienille häiriöille.

Characterisation of pigment particles by scanning electron microscope and image analysis programs

Coating and filler pigments have strong influence to the properties of the paper. Filler content can be even over 30 % and pigment content in coating is about 85-95 weight percent. The physical and chemical properties of the pigments are different and the knowledge of these properties is important for optimising of optical and printing properties of the paper. The size and shape of pigment particles can be measured by different analysers which can be based on sedimentation, laser diffraction, changes in electric field etc. In this master's thesis was researched particle properties especially by scanning electron microscope (SEM) and image analysis programs. Research included nine pigments with different particle size and shape. Pigments were analysed by two image analysis programs (INCA Feature and Poikki), Coulter LS230 (laser diffraction) and SediGraph 5100 (sedimentation). The results were compared to perceive the effect of particle shape to the performance of the analysers. Only image analysis programs gave parameters of the particle shape. One part of research was also the sample preparation for SEM. Individual particles should be separated and distinct in ideal sample. Analysing methods gave different results but results from image analysis programs corresponded even to sedimentation or to laser diffraction depending on the particle shape. Detailed analysis of the particle shape required high magnification in SEM, but measured parameters described very well the shape of the particles. Large particles (ecd~1 µm) could be used also in 3D-modelling which enabled the measurement of the thickness of the particles. Scanning electron microscope and image analysis programs were effective and multifunctional tools for particle analyses. Development and experience will devise the usability of analysing method in routine use.

Simplified sample handing in mass spectrometry based protein research - focus on protein phosphorylation

The human genome comprises roughly 20 000 protein coding genes. Proteins are the building material for cells and tissues, and proteins are functional compounds having an important role in many cellular responses, such as cell signalling. In multicellular organisms such as humans, cells need to communicate with each other in order to maintain a normal function of the tissues within the body. This complex signalling between and within cells is transferred by proteins and their post-translational modifications, one of the most important being phosphorylation. The work presented here concerns the development and use of tools for phosphorylation analysis. Mass spectrometers have become essential tools to study proteins and proteomes. In mass spectrometry oriented proteomics, proteins can be identified and their post-translational modifications can be studied. In this Ph.D. thesis the objectives were to improve the robustness of sample handling methods prior to mass spectrometry analysis for peptides and their phosphorylation status. The focus was to develop strategies that enable acquisition of more MS measurements per sample, higher quality MS spectra and simplified and rapid enrichment procedures for phosphopeptides. Furthermore, an objective was to apply these methods to characterize phosphorylation sites of phosphopeptides. In these studies a new MALDI matrix was developed which allowed more homogenous, intense and durable signals to be acquired when compared to traditional CHCA matrix. This new matrix along with other matrices was subsequently used to develop a new method that combines multiple spectra from different matrises from identical peptides. With this approach it was possible to identify more phosphopeptides than with conventional LC/ESI-MS/MS methods, and to use 5 times less sample. Also, phosphopeptide affinity MALDI target was prepared to capture and immobilise phosphopeptides from a standard peptide mixture while maintaining their spatial orientation. In addition a new protocol utilizing commercially available conductive glass slides was developed that enabled fast and sensitive phosphopeptide purification. This protocol was applied to characterize the in vivo phosphorylation of a signalling protein, NFATc1. Evidence for 12 phosphorylation sites were found, and many of those were found in multiply phosphorylated peptides

Elemental analysis of wood materials by external millibeam thick target PIXE

PIXE (Particle Induce X-ray Emission spectrometry) was used for analysing stem bark and stem wood of Scots pine, Norway spruce and Silver birch. Thick samples were irradiated, in laboratory atmosphere, with 3 MeV protons and the beam current was measured indirectly using a photo multiplicator (PM) tube. Both point scans and bulk analyses were performed with the 1 mm diameter proton beam. In bulk analyses, whole bark and sectors of discs of the stem wood were dry ashed at 550 ˚C. The ashes were homogenised by shaking and prepared to target pellets for PIXE analyses. This procedure generated representative samples to be analysed, but the enrichment also enabled quantification of some additional trace elements. The ash contents obtained as a product of the sample preparation procedure also showed to be of great importance in the evaluation of results in environmental studies. Spot scans from the pith of pine wood outwards, showed clearly highest concentrations of manganese, calcium and zinc in the first spot irradiated, or 2-3 times higher than in the surrounding wood. For stem wood from the crown part of a pine this higher concentration level was found in the first four spots/mms, including the pith and the two following growth rings. Zinc showed increasing concentrations outwards in sapwood of the pine stem, with the over-all lowest concentrations in the inner half of the sapwood. This could indicate emigration of this element from sapwood being under transformation to heartwood. Point scans across sapwood of pine and spruce showed more distinct variations in concentrations relative to hearth wood. Higher concentrations of e.g. zinc, calcium and manganese were found in earlywood than in denser latewood. Very high concentrations of iron and copper were also seen for some earlywood increments. The ash content of stem bark is up to and order higher than for the stem wood. However, when the elemental concentration in ashes of bark and wood of the same disc were compared, these are very similar – this when trees are growing at spots with no anthropogenic contamination from the atmosphere. The largest difference was obtained for calcium which appeared at two times high concentrations in ashes of bark than in ashes of the wood (ratio of 2). Pine bark is often used in monitoring of atmospheric pollution, where concentrations in bark samples are compared. Here an alternative approach is suggested: Bark and the underlying stem wood of a pine trees are dry ashed and analysed. The elemental concentration in the bark ash is then compared to the concentration of the same element in the wood ash. Comparing bark to wood includes a normalisation for the varying availability of an element from the soil at different sites. When this comparison is done for the ashes of the materials, a normalisation is also obtained for the general and locally different enrichment of inorganic elements from wood to bark. Already a ratio >2 between the concentration in the bark ash and the concentration in the wood ash could indicate atmospheric pollution. For monitoring where bark is used, this way of “inwards” comparison is suggested - instead of comparing to results from analyses of bark from other trees (read reference areas), growing at sites with different soil and, locally, different climate conditions. This approach also enables evaluation of atmospheric pollution from sampling of only relative few individual trees –preferable during forest felling.

Customer relationship management through life cycle analysis, case professional service firm in B2B market

The objective of this master’s thesis was to study how customer relationships should be assessed and categorized in order to support customer relationship management (CRM) in the context of business-to-business (B2B) and professional services. This sophisticated and complex market is utilizing possibilities of CRM only rarely and even then the focus is often on technology. The theoretical part considered first CRM from the value chain point of view and then discussed the cyclical nature of relationships. The case study focused on B2B professional service firm. The data was collected from company databases and included the sample of 90 customers. The research was conducted in three phases first studying the age, then the service type of relationships and finally executing the cluster analysis. The data was analysed by statistical analysis program SAS Enterprise Guide. The results indicate that there are great differences between developments of customer relationships. While some relationships are dynamically growing and changing, most of customers are remaining constant. This implies expectations and requirements of customers are similarly divergent and relationships should be managed accordingly.

First dice your dill – new methods and techniques in sample handling

This book is dedicated to celebrate the 60th birthday of Professor Rainer Huopalahti. Professor Rainer “Repe” Huopalahti has had, and in fact is still enjoying a distinguished career in the analysis of food and food related flavor compounds. One will find it hard to make any progress in this particular field without a valid and innovative sample handling technique and this is a field in which Professor Huopalahti has made great contributions. The title and the front cover of this book honors Professor Huopahti’s early steps in science. His PhD thesis which was published on 1985 is entitled “Composition and content of aroma compounds in the dill herb, Anethum graveolens L., affected by different factors”. At that time, the thesis introduced new technology being applied to sample handling and analysis of flavoring compounds of dill. Sample handling is an essential task that in just about every analysis. If one is working with minor compounds in a sample or trying to detect trace levels of the analytes, one of the aims of sample handling may be to increase the sensitivity of the analytical method. On the other hand, if one is working with a challenging matrix such as the kind found in biological samples, one of the aims is to increase the selectivity. However, quite often the aim is to increase both the selectivity and the sensitivity. This book provides good and representative examples about the necessity of valid sample handling and the role of the sample handling in the analytical method. The contributors of the book are leading Finnish scientists on the field of organic instrumental analytical chemistry. Some of them are also Repe’ s personal friends and former students from the University of Turku, Department of Biochemistry and Food Chemistry. Importantly, the authors all know Repe in one way or another and are well aware of his achievements on the field of analytical chemistry. The editorial team had a great time during the planning phase and during the “hard work editorial phase” of the book. For example, we came up with many ideas on how to publish the book. After many long discussions, we decided to have a limited edition as an “old school hard cover book” – and to acknowledge more modern ways of disseminating knowledge by publishing an internet version of the book on the webpages of the University of Turku. Downloading the book from the webpage for personal use is free of charge. We believe and hope that the book will be read with great interest by scientists working in the fascinating field of organic instrumental analytical chemistry. We decided to publish our book in English for two main reasons. First, we believe that in the near future, more and more teaching in Finnish Universities will be delivered in English. To facilitate this process and encourage students to develop good language skills, it was decided to be published the book in English. Secondly, we believe that the book will also interest scientists outside Finland – particularly in the other member states of the European Union. The editorial team thanks all the authors for their willingness to contribute to this book – and to adhere to the very strict schedule. We also want to thank the various individuals and enterprises who financially supported the book project. Without that support, it would not have been possible to publish the hardcover book.

The Use of Data Envelopment Analysis as Equity Portfolio Selection Criterion in the Finnish Stock Market

This thesis examines the application of data envelopment analysis as an equity portfolio selection criterion in the Finnish stock market during period 2001-2011. A sample of publicly traded firms in the Helsinki Stock Exchange is examined in this thesis. The sample covers the majority of the publicly traded firms in the Helsinki Stock Exchange. Data envelopment analysis is used to determine the efficiency of firms using a set of input and output financial parameters. The set of financial parameters consist of asset utilization, liquidity, capital structure, growth, valuation and profitability measures. The firms are divided into artificial industry categories, because of the industry-specific nature of the input and output parameters. Comparable portfolios are formed inside the industry category according to the efficiency scores given by the DEA and the performance of the portfolios is evaluated with several measures. The empirical evidence of this thesis suggests that with certain limitations, data envelopment analysis can successfully be used as portfolio selection criterion in the Finnish stock market when the portfolios are rebalanced at annual frequency according to the efficiency scores given by the data envelopment analysis. However, when the portfolios were rebalanced every two or three years, the results are mixed and inconclusive.

Ion mobility spectrometry in liquid analysis

Ion mobility spectrometry (IMS) is a straightforward, low cost method for fast and sensitive determination of organic and inorganic analytes. Originally this portable technique was applied to the determination of gas phase compounds in security and military use. Nowadays, IMS has received increasing attention in environmental and biological analysis, and in food quality determination. This thesis consists of literature review of suitable sample preparation and introduction methods for liquid matrices applicable to IMS from its early development stages to date. Thermal desorption, solid phase microextraction (SPME) and membrane extraction were examined in experimental investigations of hazardous aquatic pollutants and potential pollutants. Also the effect of different natural waters on the extraction efficiency was studied, and the utilised IMS data processing methods are discussed. Parameters such as extraction and desorption temperatures, extraction time, SPME fibre depth, SPME fibre type and salt addition were examined for the studied sample preparation and introduction methods. The observed critical parameters were extracting material and temperature. The extraction methods showed time and cost effectiveness because sampling could be performed in single step procedures and from different natural water matrices within a few minutes. Based on these experimental and theoretical studies, the most suitable method to test in the automated monitoring system is membrane extraction. In future an IMS based early warning system for monitoring water pollutants could ensure the safe supply of drinking water. IMS can also be utilised for monitoring natural waters in cases of environmental leakage or chemical accidents. When combined with sophisticated sample introduction methods, IMS possesses the potential for both on-line and on-site identification of analytes in different water matrices.

Conventional and nonconventional Kramers-Kronig analysis in optical spectroscopy

This Master’s Thesis is dedicated to the investigation and testing conventional and nonconventional Kramers-Kronig relations on simulated and experimentally measured spectra. It is done for both linear and nonlinear optical spectral data. Big part of attention is paid to the new method of obtaining complex refractive index from a transmittance spectrum without direct information of the sample thickness. The latter method is coupled with terahertz tome-domain spectroscopy and Kramers-Kronig analysis applied for testing the validity of complex refractive index. In this research precision of data inversion is evaluated by root-mean square error. Testing of methods is made over different spectral range and implementation of this methods in future is considered.

Ionic liquid mediated biomass deconstruction: from analysis challenges to fermentable sugars

Ionic liquids, ILs, have recently been studied with accelerating interest to be used for a deconstruction/fractionation, dissolution or pretreatment processing method of lignocellulosic biomass. ILs are usually utilized combined with heat. Regarding lignocellulosic recalcitrance toward fractionation and IL utilization, most of the studies concern IL utilization in the biomass fermentation process prior to the enzymatic hydrolysis step. It has been demonstrated that IL-pretreatment gives more efficient hydrolysis of the biomass polysaccharides than enzymatic hydrolysis alone. Both cellulose (especially cellulose) and lignin are very resistant towards fractionation and even dissolution methods. As an example, it can be mentioned that softwood, hardwood and grass-type plant species have different types of lignin structures leading to the fact that softwood lignin (guaiacyl lignin dominates) is the most difficult to solubilize or chemically disrupt. In addition to the known conventional biomass processing methods, several ILs have also been found to efficiently dissolve either cellulose and/or wood samples – different ILs are suitable for different purposes. An IL treatment of wood usually results in non-fibrous pulp, where lignin is not efficiently separated and wood components are selectively precipitated, as cellulose is not soluble or degradable in ionic liquids under mild conditions. Nevertheless, new ILs capable of rather good fractionation performance have recently emerged. The capability of the IL to dissolve or deconstruct wood or cellulose depends on several factors, (e.g. sample origin, the particle size of the biomass, mechanical treatments as pulverization, initial biomassto-IL ratio, water content of the biomass, possible impurities of IL, reaction conditions, temperature etc). The aim of this study was to obtain (fermentable) saccharides and other valuable chemicals from wood by a combined heat and IL-treatment. Thermal treatments alone contribute to the degradation of polysaccharides (e.g. 150 °C alone is said to cause the degradation of polysaccharides), thus temperatures below that should be used, if the research interest lies on the IL effectiveness. On the other hand, the efficiency of the IL-treatment can also be enhanced to combine other treatment methods, (e.g. microwave heating). The samples of spruce, pine and birch sawdust were treated with either 1-Ethyl-3-methylimidazolium chloride, Emim Cl, or 1-Ethyl-3-methylimidazolium acetate, Emim Ac, (or with ionized water for comparison) at various temperatures (where focus was between 80 and 120 °C). The samples were withdrawn at fixed time intervals (the main interest treatment time area lied between 0 and 100 hours). Double experiments were executed. The selected mono- and disaccharides, as well as their known degradation products, 5-hydroxymethylfurfural, 5-HMF, and furfural were analyzed with capillary electrophoresis, CE, and high-performance liquid chromatography, HPLC. Initially, even GC and GC-MS were utilized. Galactose, glucose, mannose and xylose were the main monosaccharides that were present in the wood samples exposed to ILs at elevated temperatures; in addition, furfural and 5-HMF were detected; moreover, the quantitative amount of the two latter ones were naturally increasing in line with the heating time or the IL:wood ratio.

Portfolio Selection via Composite Measure Analysis: Evidence from the U.S. Stock Market

The aim of this research is to examine the pricing anomalies existing in the U.S. market during 1986 to 2011. The sample of stocks is divided into decile portfolios based on seven individual valuation ratios (E/P, B/P, S/P, EBIT/EV, EVITDA/EV, D/P, and CE/P) and price momentum to investigate the efficiency of individual valuation ratio and their combinations as portfolio formation criteria. This is the first time in financial literature when CE/P is employed as a constituent of composite value measure. The combinations are based on median scaled composite value measures and TOPSIS method. During the sample period value portfolios significantly outperform both the market portfolio and comparable glamour portfolios. The results show the highest return for the value portfolio that was based on the combination of S/P & CE/P ratios. The outcome of this research will increase the understanding on the suitability of different methodologies for portfolio selection. It will help managers to take advantage of the results of different methodologies in order to gain returns above the market.

Energy and raw material consumption analysis of powder bed fusion: case study: CNC machining and laser additive manufacturing

Laser additive manufacturing (LAM), known also as 3D printing, is a powder bed fusion (PBF) type of additive manufacturing (AM) technology used to manufacture metal parts layer by layer by assist of laser beam. The development of the technology from building just prototype parts to functional parts is due to design flexibility. And also possibility to manufacture tailored and optimised components in terms of performance and strength to weight ratio of final parts. The study of energy and raw material consumption in LAM is essential as it might facilitate the adoption and usage of the technique in manufacturing industries. The objective this thesis was find the impact of LAM on environmental and economic aspects and to conduct life cycle inventory of CNC machining and LAM in terms of energy and raw material consumption at production phases. Literature overview in this thesis include sustainability issues in manufacturing industries with focus on environmental and economic aspects. Also life cycle assessment and its applicability in manufacturing industry were studied. UPLCI-CO2PE! Initiative was identified as mostly applied exiting methodology to conduct LCI analysis in discrete manufacturing process like LAM. Many of the reviewed literature had focused to PBF of polymeric material and only few had considered metallic materials. The studies that had included metallic materials had only measured input and output energy or materials of the process and compared to different AM systems without comparing to any competitive process. Neither did any include effect of process variation when building metallic parts with LAM. Experimental testing were carried out to make dissimilar samples with CNC machining and LAM in this thesis. Test samples were designed to include part complexity and weight reductions. PUMA 2500Y lathe machine was used in the CNC machining whereas a modified research machine representing EOSINT M-series was used for the LAM. The raw material used for making the test pieces were stainless steel 316L bar (CNC machined parts) and stainless steel 316L powder (LAM built parts). An analysis of power, time, and the energy consumed in each of the manufacturing processes on production phase showed that LAM utilises more energy than CNC machining. The high energy consumption was as result of duration of production. Energy consumption profiles in CNC machining showed fluctuations with high and low power ranges. LAM energy usage within specific mode (standby, heating, process, sawing) remained relatively constant through the production. CNC machining was limited in terms of manufacturing freedom as it was not possible to manufacture all the designed sample by machining. And the one which was possible was aided with large amount of material removed as waste. Planning phase in LAM was shorter than in CNC machining as the latter required many preparation steps. Specific energy consumption (SEC) were estimated in LAM based on the practical results and assumed platform utilisation. The estimated platform utilisation showed SEC could reduce when more parts were placed in one build than it was in with the empirical results in this thesis (six parts).

Analysis of testicular cell populations using flow cytometry

Studying testis is complex, because the tissue has a very heterogeneous cell composition and its structure changes dynamically during development. In reproductive field, the cell composition is traditionally studied by morphometric methods such as immunohistochemistry and immunofluorescence. These techniques provide accurate quantitative information about cell composition, cell-cell association and localization of the cells of interest. However, the sample preparation, processing, staining and data analysis are laborious and may take several working days. Flow cytometry protocols coupled with DNA stains have played an important role in providing quantitative information of testicular cells populations ex vivo and in vitro studies. Nevertheless, the addition of specific cells markers such as intracellular antibodies would allow the more specific identification of cells of crucial interest during spermatogenesis. For this study, adult rat Sprague-Dawley rats were used for optimization of the flow cytometry protocol. Specific steps within the protocol were optimized to obtain a singlecell suspension representative of the cell composition of the starting material. Fixation and permeabilization procedure were optimized to be compatible with DNA stains and fluorescent intracellular antibodies. Optimization was achieved by quantitative analysis of specific parameters such as recovery of meiotic cells, amount of debris and comparison of the proportions of the various cell populations with already published data. As a result, a new and fast flow cytometry method coupled with DNA stain and intracellular antigen detection was developed. This new technique is suitable for analysis of population behavior and specific cells during postnatal testis development and spermatogenesis in rodents. This rapid protocol recapitulated the known vimentin and γH2AX protein expression patterns during rodent testis ontogenesis. Moreover, the assay was applicable for phenotype characterization of SCRbKO and E2F1KO mouse models.