The knapsack problem approach in solving partial hedging problems of options

En option är ett finansiellt kontrakt som ger dess innehavare en rättighet (men medför ingen skyldighet) att sälja eller köpa någonting (till exempel en aktie) till eller från säljaren av optionen till ett visst pris vid en bestämd tidpunkt i framtiden. Den som säljer optionen binder sig till att gå med på denna framtida transaktion ifall optionsinnehavaren längre fram bestämmer sig för att inlösa optionen. Säljaren av optionen åtar sig alltså en risk av att den framtida transaktion som optionsinnehavaren kan tvinga honom att göra visar sig vara ofördelaktig för honom. Frågan om hur säljaren kan skydda sig mot denna risk leder till intressanta optimeringsproblem, där målet är att hitta en optimal skyddsstrategi under vissa givna villkor. Sådana optimeringsproblem har studerats mycket inom finansiell matematik. Avhandlingen "The knapsack problem approach in solving partial hedging problems of options" inför en ytterligare synpunkt till denna diskussion: I en relativt enkel (ändlig och komplett) marknadsmodell kan nämligen vissa partiella skyddsproblem beskrivas som så kallade kappsäcksproblem. De sistnämnda är välkända inom en gren av matematik som heter operationsanalys. I avhandlingen visas hur skyddsproblem som tidigare lösts på andra sätt kan alternativt lösas med hjälp av metoder som utvecklats för kappsäcksproblem. Förfarandet tillämpas även på helt nya skyddsproblem i samband med så kallade amerikanska optioner.

Qualitative Characteristics and Quantitative Measures of Solution's Reliability in Discrete Optimization: Traditional Analytical Approaches, Innovative Computational Methods and Applicability

The purpose of this thesis is twofold. The first and major part is devoted to sensitivity analysis of various discrete optimization problems while the second part addresses methods applied for calculating measures of solution stability and solving multicriteria discrete optimization problems. Despite numerous approaches to stability analysis of discrete optimization problems two major directions can be single out: quantitative and qualitative. Qualitative sensitivity analysis is conducted for multicriteria discrete optimization problems with minisum, minimax and minimin partial criteria. The main results obtained here are necessary and sufficient conditions for different stability types of optimal solutions (or a set of optimal solutions) of the considered problems. Within the framework of quantitative direction various measures of solution stability are investigated. A formula for a quantitative characteristic called stability radius is obtained for the generalized equilibrium situation invariant to changes of game parameters in the case of the H¨older metric. Quality of the problem solution can also be described in terms of robustness analysis. In this work the concepts of accuracy and robustness tolerances are presented for a strategic game with a finite number of players where initial coefficients (costs) of linear payoff functions are subject to perturbations. Investigation of stability radius also aims to devise methods for its calculation. A new metaheuristic approach is derived for calculation of stability radius of an optimal solution to the shortest path problem. The main advantage of the developed method is that it can be potentially applicable for calculating stability radii of NP-hard problems. The last chapter of the thesis focuses on deriving innovative methods based on interactive optimization approach for solving multicriteria combinatorial optimization problems. The key idea of the proposed approach is to utilize a parameterized achievement scalarizing function for solution calculation and to direct interactive procedure by changing weighting coefficients of this function. In order to illustrate the introduced ideas a decision making process is simulated for three objective median location problem. The concepts, models, and ideas collected and analyzed in this thesis create a good and relevant grounds for developing more complicated and integrated models of postoptimal analysis and solving the most computationally challenging problems related to it.

Exchange rate volatility and the use of foreign currency derivatives: Impact of 2008 global financial crisis

This thesis examines the impact of foreign exchange rate volatility to the extent of use of foreign currency derivatives. Especially the focus is on the impacts of 2008 global financial crisis. The crisis increased risk level in the capital markets greatly. The change in the currency derivatives use is analyzed by comparing means between different periods and in addition, by linear regression that enables to analyze the explanatory power of the model. The research data consists of financial statements figures from fiscal years 2006-2011 published by firms operating in traditional Finnish industrial sectors. Volatilities of the chosen three currency pairs is calculated from the daily fixing rates of ECB. Based on the volatility the sample period is divided into three sub-periods. The results suggest that increased FX market volatility did not increase the use foreign currency derivatives. Furthermore, the increased foreign exchange rate volatility did not increase the power of linear regression model to estimate the use foreign currency derivatives compared to previous studies.

The bifurcational behaviour of the spatially distributed Rayleigh equation

At the present work the bifurcational behaviour of the solutions of Rayleigh equation and corresponding spatially distributed system is being analysed. The conditions of oscillatory and monotonic loss of stability are obtained. In the case of oscillatory loss of stability, the analysis of linear spectral problem is being performed. For nonlinear problem, recurrent formulas for the general term of the asymptotic approximation of the self-oscillations are found, the stability of the periodic mode is analysed. Lyapunov-Schmidt method is being used for asymptotic approximation. The correlation between periodic solutions of ODE and PDE is being investigated. The influence of the diffusion on the frequency of self-oscillations is being analysed. Several numerical experiments are being performed in order to support theoretical findings.

Low dose of dichloroacetate infusion reduces blood lactate after submaximal exercise in horses

The acute administration of an indirect activator of the enzyme pyruvate dehydrogenase (PDH) in human athletes causes a reduction in blood lactate level during and after exercise. A single IV dose (2.5m.kg-1) of dichloroacetate (DCA) was administered before a submaximal incremental exercise test (IET) with five velocity steps, from 5.0 m.s-1 for 1 min to 6.0, 6.5, 7.0 and 7.5m.s-1 every 30s in four untrained mares. The blood collections were done in the period after exercise, at times 1, 3, 5, 10, 15 and 20 min. Blood lactate and glucose (mM) were determined electro-enzymatically utilizing a YSI 2300 automated analyzer. There was a 15.3% decrease in mean total blood lactate determined from the values obtained at all assessment times in both trials after the exercise. There was a decrease in blood lactate 1, 3, 5, 10, 15 and 20 min after exercise for the mares that received prior DCA treatment, with respective mean values of 6.31±0.90 vs 5.81±0.50, 6.45±1.19 vs 5.58±1.06, 6.07±1.56 vs 5.26±1.12, 4.88±1.61 vs 3.95±1.00, 3.66±1.41 vs 2.86±0.75 and 2.75±0.51 vs 2.04±0.30. There was no difference in glucose concentrations. By means of linear regression analysis, V140, V160, V180 and V200 were determined (velocity at which the rate heart is 140, 160, 180, and 200 beats/minute, respectively). The velocities related to heart rate did not differ, indicating that there was no ergogenic effect, but prior administration of a relatively low dose of DCA in mares reduced lactatemia after an IET.

Regulation of photosynthetic electron transfer in plant chloroplasts

This thesis focuses on the molecular mechanisms regulating the photosynthetic electron transfer reactions upon changes in light intensity. To investigate these mechanisms, I used mutants of the model plant Arabidopsis thaliana impaired in various aspects of regulation of the photosynthetic light reactions. These included mutants of photosystem II (PSII) and light harvesting complex II (LHCII) phosphorylation (stn7 and stn8), mutants of energy-dependent non-photochemical quenching (NPQ) (npq1 and npq4) and of regulation of photosynthetic electron transfer (pgr5). All of these processes have been extensively investigated during the past decades, mainly on plants growing under steady-state conditions, and therefore many aspects of acclimation processes may have been neglected. In this study, plants were grown under fluctuating light, i.e. the alternation of low and high intensities of light, in order to maximally challenge the photosynthetic regulatory mechanisms. In pgr5 and stn7 mutants, the growth in fluctuating light condition mainly damaged PSI while PSII was rather unaffected. It is shown that the PGR5 protein regulates the linear electron transfer: it is essential for the induction of transthylakoid ΔpH that, in turn, activates energy-dependent NPQ and downregulates the activity of cytochrome b6f. This regulation was shown to be essential for the photoprotection of PSI under fluctuations in light intensity. The stn7 mutants were able to acclimate under constant growth light conditions by modulating the PSII/PSI ratio, while under fluctuating growth light they failed in implementing this acclimation strategy. LHCII phosphorylation ensures the balance of the excitation energy distribution between PSII and PSI by increasing the probability for excitons to be trapped by PSI. LHCII can be phosphorylated over all of the thylakoid membrane (grana cores as well as stroma lamellae) and when phosphorylated it constitutes a common antenna for PSII and PSI. Moreover, LHCII was shown to work as a functional bridge that allows the energy transfer between PSII units in grana cores and between PSII and PSI centers in grana margins. Consequently, PSI can function as a quencher of excitation energy. Eventually, the LHCII phosphorylation, NPQ and the photosynthetic control of linear electron transfer via cytochrome b6f work in concert to maintain the redox poise of the electron transfer chain. This is a prerequisite for successful plant growth upon changing natural light conditions, both in short- and long-term.

Heat Source Estimation with the Conjugate Gradient Method in Inverse Linear Diffusive Problems

In this work, we present the solution of a class of linear inverse heat conduction problems for the estimation of unknown heat source terms, with no prior information of the functional forms of timewise and spatial dependence of the source strength, using the conjugate gradient method with an adjoint problem. After describing the mathematical formulation of a general direct problem and the procedure for the solution of the inverse problem, we show applications to three transient heat transfer problems: a one-dimensional cylindrical problem; a two-dimensional cylindrical problem; and a one-dimensional problem with two plates.

Roles of leadership in complex environments : Enhancing Knowledge Flows in Organisational Constellations through Practice-Based Innovation Processes

Global challenges, complexity and continuous uncertainty demand development of leadership approaches, employees and multi-organisation constellations. Current leadership theories do not sufficiently address the needs of complex business environments. First of all, before successful leadership models can be applied in practice, leadership needs to shift from the industrial age to the knowledge era. Many leadership models still view leadership solely through the perspective of linear process thinking. In addition, there is not enough knowledge or experience in applying these newer models in practice. Leadership theories continue to be based on the assumption that leaders possess or have access to all the relevant knowledge and capabilities to decide future directions without external advice. In many companies, however, the workforce consists of skilled professionals whose work and related interfaces are so challenging that the leaders cannot grasp all the linked viewpoints and cross-impacts alone. One of the main objectives of this study is to understand how to support participants in organisations and their stakeholders to, through practice-based innovation processes, confront various environments. Another aim is to find effective ways of recognising and reacting to diverse contexts, so companies and other stakeholders are better able to link to knowledge flows and shared value creation processes in advancing joint value to their customers. The main research question of this dissertation is, then, to seek understanding of how to enhance leadership in complex environments. The dissertation can, on the whole, be characterised as a qualitative multiple-case study. The research questions and objectives were investigated through six studies published in international scientific journals. The main methods applied were interviews, action research and a survey. The empirical focus was on Finnish companies, and the research questions were examined in various organisations at the top levels (leaders and managers) and bottom levels (employees) in the context of collaboration between organisations and cooperation between case companies and their client organisations. However, the emphasis of the analysis is the internal and external aspects of organisations, which are conducted in practice-based innovation processes. The results of this study suggest that the Cynefin framework, complexity leadership theory and transformational leadership represent theoretical models applicable to developing leadership through practice-based innovation. In and of themselves, they all support confronting contemporary challenges, but an implementable method for organisations may be constructed by assimilating them into practice-based innovation processes. Recognition of diverse environments, their various contexts and roles in the activities and collaboration of organisations and their interest groups is ever-more important to achieving better interaction in which a strategic or formal status may be bypassed. In innovation processes, it is not necessarily the leader who is in possession of the essential knowledge; thus, it is the role of leadership to offer methods and arenas where different actors may generate advances. Enabling and supporting continuous interaction and integrated knowledge flows is of crucial importance, to achieve emergence of innovations in the activities of organisations and various forms of collaboration. The main contribution of this dissertation relates to applying these new conceptual models in practice. Empirical evidence on the relevance of different leadership roles in practice-based innovation processes in Finnish companies is another valuable contribution. Finally, the dissertation sheds light on the significance of combining complexity science with leadership and innovation theories in research.

Characterization of Leaf-Type Ferredoxin-NADP+ Oxidoreductase (FNR) Isoforms in Arabidopsis thaliana

Life on earth is based on sunlight, which is captured in chemical form by photosynthetic reactions. In the chloroplasts of plants, light reactions of photosynthesis take place at thylakoid membranes, whereas carbon assimilation reactions occur in the soluble stroma. The products of linear electron transfer (LET), highly-energetic ATP molecules, and reducing power in the form of NADPH molecules, are further used in the fixation of inorganic CO2 molecules into organic sugars. Ferredoxin-NADP+ oxidoreductase (FNR) catalyzes the last of the light reactions by transferring electrons from ferredoxin (FD) to NADP+. In addition to LET, FNR has been suggested to play a role in cyclic electron transfer (CET), which produces ATP without the accumulation of reducing equivalents. CET is proposed to occur via two putative routes, the PGR5- route and the NDH-route. In this thesis, the leaf-type FNR (LFNR) isoforms LFNR1 and LFNR2 of a model organism, Arabidopsis thaliana, were characterized. The physiological roles of LFNRs were investigated using single and double mutant plants. The viability of the single mutants indicates functionality of both isoforms, with neither appearing to play a specific role in CET. The more severe phenotype of low-temperature adapted fnr2 plants compared to both wild-type (WT) and fnr1 plants suggests a specific role for LFNR2 under unfavorable growth conditions. The more severe phenotype of the fnr1 x fnr2 (F1 generation) plants compared to single mutants reflects down-regulated photosynthetic capacity, whereas slightly higher excitation pressure indicates mild over-excitation of electron transfer chain (ETC). However, induction of CET and various photoprotective mechanisms enable adaptation of fnr1 x fnr2 plants to scarcity of LFNR. The fnr1 fnr2 plants (F2 generation), without detectable levels of LFNR, were viable only under heterotrophic conditions. Moreover, drought stress induced acceleration of the rate of P700 + re-reduction in darkness was accompanied by a concomitant up-regulation of the PGR5-route specific components, PGR5 and PGRL1, demonstrating the induction of CET via the PGR5-route. The up-regulation of relative transcriptional expression of the FD1 gene indicates that the FD1 isoform may have a specific function in CET, while no such role could be defined for either of the LFNR isoforms. Both the membrane-bound and soluble LFNR1 and LFNR2 each appear as two distinct spots after 2D-PAGE with different isoelectric points (pIs), indicating the existence of post-translational modifications (PTMs) which do not determine the membrane attachment of LFNR. The possibility of phosphorylation and glycosylation PTMs were excluded, but all four LFNR forms were shown to contain acetylated lysine residues as well as alternative N-termini. N-terminal acetylation was shown to shift the pI of both LFNRs to be more acidic. In addition, all four LFNR forms were demonstrated to interact both with FD1 and FD2 in vitro

Novel virtual environment and real-time simulation based methods for improving life-cycle efficiency of non-road mobile machinery

Virtual environments and real-time simulators (VERS) are becoming more and more important tools in research and development (R&D) process of non-road mobile machinery (NRMM). The virtual prototyping techniques enable faster and more cost-efficient development of machines compared to use of real life prototypes. High energy efficiency has become an important topic in the world of NRMM because of environmental and economic demands. The objective of this thesis is to develop VERS based methods for research and development of NRMM. A process using VERS for assessing effects of human operators on the life-cycle efficiency of NRMM was developed. Human in the loop simulations are ran using an underground mining loader to study the developed process. The simulations were ran in the virtual environment of the Laboratory of Intelligent Machines of Lappeenranta University of Technology. A physically adequate real-time simulation model of NRMM was shown to be reliable and cost effective in testing of hardware components by the means of hardware-in-the-loop (HIL) simulations. A control interface connecting integrated electro-hydraulic energy converter (IEHEC) with virtual simulation model of log crane was developed. IEHEC consists of a hydraulic pump-motor and an integrated electrical permanent magnet synchronous motorgenerator. The results show that state of the art real-time NRMM simulators are capable to solve factors related to energy consumption and productivity of the NRMM. A significant variation between the test drivers is found. The results show that VERS can be used for assessing human effects on the life-cycle efficiency of NRMM. HIL simulation responses compared to that achieved with conventional simulation method demonstrate the advances and drawbacks of various possible interfaces between the simulator and hardware part of the system under study. Novel ideas for arranging the interface are successfully tested and compared with the more traditional one. The proposed process for assessing the effects of operators on the life-cycle efficiency will be applied for wider group of operators in the future. Driving styles of the operators can be analysed statistically from sufficient large result data. The statistical analysis can find the most life-cycle efficient driving style for the specific environment and machinery. The proposed control interface for HIL simulation need to be further studied. The robustness and the adaptation of the interface in different situations must be verified. The future work will also include studying the suitability of the IEHEC for different working machines using the proposed HIL simulation method.

Prediction of exposed domains of envelope glycoprotein in Indian HIV-1 isolates and experimental confirmation of their immunogenicity in humans

We describe the impact of subtype differences on the seroreactivity of linear antigenic epitopes in envelope glycoprotein of HIV-1 isolates from different geographical locations. By computer analysis, we predicted potential antigenic sites of envelope glycoprotein (gp120 and gp4l) of this virus. For this purpose, after fetching sequences of proteins of interest from data banks, values of hydrophilicity, flexibility, accessibility, inverted hydrophobicity, and secondary structure were considered. We identified several potential antigenic epitopes in a B subtype strain of envelope glycoprotein of HIV-1 (IIIB). Solid- phase peptide synthesis methods of Merrifield and Fmoc chemistry were used for synthesizing peptides. These synthetic peptides corresponded mainly to the C2, V3 and CD4 binding sites of gp120 and some parts of the ectodomain of gp41. The reactivity of these peptides was tested by ELISA against different HIV-1-positive sera from different locations in India. For two of these predicted epitopes, the corresponding Indian consensus sequences (LAIERYLKQQLLGWG and DIIGDIRQAHCNISEDKWNET) (subtype C) were also synthesized and their reactivity was tested by ELISA. These peptides also distinguished HIV-1-positive sera of Indians with C subtype infections from sera from HIV-negative subjects.

Acute effect of amiodarone on cardiovascular reflexes of normotensive and renal hypertensive rats

The aim of the present study was to evaluate the effect of amiodarone on mean arterial pressure (MAP), heart rate (HR), baroreflex, Bezold-Jarisch, and peripheral chemoreflex in normotensive and chronic one-kidney, one-clip (1K1C) hypertensive rats (N = 9 to 11 rats in each group). Amiodarone (50 mg/kg, iv) elicited hypotension and bradycardia in normotensive (-10 ± 1 mmHg, -57 ± 6 bpm) and hypertensive rats (-37 ± 7 mmHg, -39 ± 19 bpm). The baroreflex index (deltaHR/deltaMAP) was significantly attenuated by amiodarone in both normotensive (-0.61 ± 0.12 vs -1.47 ± 0.14 bpm/mmHg for reflex bradycardia and -1.15 ± 0.19 vs -2.63 ± 0.26 bpm/mmHg for reflex tachycardia) and hypertensive rats (-0.26 ± 0.05 vs -0.72 ± 0.16 bpm/mmHg for reflex bradycardia and -0.92 ± 0.19 vs -1.51 ± 0.19 bpm/mmHg for reflex tachycardia). The slope of linear regression from deltapulse interval/deltaMAP was attenuated for both reflex bradycardia and tachycardia in normotensive rats (-0.47 ± 0.13 vs -0.94 ± 0.19 ms/mmHg and -0.80 ± 0.13 vs -1.11 ± 0.13 ms/mmHg), but only for reflex bradycardia in hypertensive rats (-0.15 ± 0.02 vs -0.23 ± 0.3 ms/mmHg). In addition, the MAP and HR responses to the Bezold-Jarisch reflex were 20-30% smaller in amiodarone-treated normotensive or hypertensive rats. The bradycardic response to peripheral chemoreflex activation with intravenous potassium cyanide was also attenuated by amiodarone in both normotensive (-30 ± 6 vs -49 ± 8 bpm) and hypertensive rats (-34 ± 13 vs -42 ± 10 bpm). On the basis of the well-known electrophysiological effects of amiodarone, the sinus node might be the responsible for the attenuation of the cardiovascular reflexes found in the present study.

Long-term correlation of the electrocorticogram as a bioindicator of brain exposure to ionizing radiation

Understanding the effects of radiation and its possible influence on the nervous system are of great clinical interest. However, there have been few electrophysiological studies on brain activity after exposure to ionizing radiation (IR). A new methodological approach regarding the assessment of the possible effects of IR on brain activity is the use of linear and nonlinear mathematical methods in the analysis of complex time series, such as brain oscillations measured using the electrocorticogram (ECoG). The objective of this study was to use linear and nonlinear mathematical methods as biomarkers of gamma radiation regarding cortical electrical activity. Adult Wistar rats were divided into 3 groups: 1 control and 2 irradiated groups, evaluated at 24 h (IR24) and 90 days (IR90) after exposure to 18 Gy of gamma radiation from a cobalt-60 radiotherapy source. The ECoG was analyzed using power spectrum methods for the calculation of the power of delta, theta, alpha and beta rhythms and by means of the α-exponent of the detrended fluctuation analysis (DFA). Using both mathematical methods it was possible to identify changes in the ECoG, and to identify significant changes in the pattern of the recording at 24 h after irradiation. Some of these changes were persistent at 90 days after exposure to IR. In particular, the theta wave using the two methods showed higher sensitivity than other waves, suggesting that it is a possible biomarker of exposure to IR.

Calculation of viscoelastic properties of edible films: application of three models

The viscoelastic properties of edible films can provide information at the structural level of the biopolymers used. The objective of this work was to test three simple models of linear viscoelastic theory (Maxwell, Generalized Maxwell with two units in parallel, and Burgers) using the results of stress relaxation tests in edible films of myofibrillar proteins of Nile Tilapia. The films were elaborated according to a casting technique and pre-conditioned at 58% relative humidity and 22ºC for 4 days. The testing sample (15mm x 118mm) was submitted to tests of stress relaxation in an equipment of physical measurements, TA.XT2i. The deformation, imposed to the sample, was 1%, guaranteeing the permanency in the domain of the linear viscoelasticity. The models were fitted to experimental data (stress x time) by nonlinear regression. The Generalized Maxwell model with two units in parallel and the Burgers model represented the relaxation curves of stress satisfactorily. The viscoelastic properties varied in a way that they were less dependent on the thickness of the films.

Solving large sparse linear systems over the field GF(2)

Nowadays problem of solving sparse linear systems over the field GF(2) remain as a challenge. The popular approach is to improve existing methods such as the block Lanczos method (the Montgomery method) and the Wiedemann-Coppersmith method. Both these methods are considered in the thesis in details: there are their modifications and computational estimation for each process. It demonstrates the most complicated parts of these methods and gives the idea how to improve computations in software point of view. The research provides the implementation of accelerated binary matrix operations computer library which helps to make the progress steps in the Montgomery and in the Wiedemann-Coppersmith methods faster.