Intraday and Weekend Volatility Patterns- Implications for Option Pricing

This study examines the intraday and weekend volatility on the German DAX. The intraday volatility is partitioned into smaller intervals and compared to a whole day’s volatility. The estimated intraday variance is U-shaped and the weekend variance is estimated to 19 % of a normal trading day. The patterns in the intraday and weekend volatility are used to develop an extension to the Black and Scholes formula to form a new time basis. Calendar or trading days are commonly used for measuring time in option pricing. The Continuous Time using Discrete Approximations model (CTDA) developed in this study uses a measure of time with smaller intervals, approaching continuous time. The model presented accounts for the lapse of time during trading only. Arbitrage pricing suggests that the option price equals the expected cost of hedging volatility during the option’s remaining life. In this model, time is allowed to lapse as volatility occurs on an intraday basis. The measure of time is modified in CTDA to correct for the non-constant volatility and to account for the patterns in volatility.

Pricing Index Options with Stochastic Volatility

The objective of this paper is to investigate the pricing accuracy under stochastic volatility where the volatility follows a square root process. The theoretical prices are compared with market price data (the German DAX index options market) by using two different techniques of parameter estimation, the method of moments and implicit estimation by inversion. Standard Black & Scholes pricing is used as a benchmark. The results indicate that the stochastic volatility model with parameters estimated by inversion using the available prices on the preceding day, is the most accurate pricing method of the three in this study and can be considered satisfactory. However, as the same model with parameters estimated using a rolling window (the method of moments) proved to be inferior to the benchmark, the importance of stable and correct estimation of the parameters is evident.

Elimination of common mode voltage and fifth and seventh harmonics in a multilevel inverter fed IM drive using 12-sided polygonal voltage spacephasor

A multilevel inverter with 12-sided polygonal voltage space vector structure is proposed in this paper. The present scheme provides elimination of common mode voltage variation and 5(th) and 7(th) order harmonics in the entire operating range of the drive. The proposed multi level structure is achieved by cascading only the conventional two-level inverters with asymmetrical DC link voltages. The bandwidths problems associated with conventional hexagonal voltage space vector structure current controllers, due to the presence of 5(th) and 7(th) harmonics, in the over modulation region, is absent in the present 12-sided structure. So a linear voltage control up to 12-step operation is possible, from the present twelve sided scheme, with less current control complexity. An open-end winding structure is used for the induction motor drive.

Towards the Breaking Day : An Ethnography of Belian Curing Rituals among the Luangans of Indonesian Borneo

Towards the Breaking Day is an ethnography of belian, an exceptionally lively tradition of curing rituals performed by the Luangans, a politically marginalized population of swidden cultivators of Indonesian Borneo. The principal purpose of the study is to explore the significance of belian rituals in practice. It asks what belian rituals do socially, politically, and existentially for particular people in particular circumstances. Departing from conventional conceptions of rituals as ethereal liminal or insulated traditional domains, it demonstrates the importance of understanding rituals as emergent within their specific historical and social settings, and highlights the irreducibility of lived reality to epistemological certainty. Each chapter of the book represents an analysis of a concrete ritual performance, exemplifying a diversity of ritual genres, stylistic modalities and sensual ambiences, ranging from low-keyed, habitual affairs to drawn-out, crowd-seizing community rituals and innovative, montage-like cultural experiments. The study is based on eighteen months of ethnographic fieldwork in non-Christian Central Luangan communities in which ritual and everyday life are complexly intermixed. It is intended as a contribution to the anthropological study of ritual and to the ethnography of Borneo religion in which the study of shamanistic life rituals has been overshadowed by a long-standing fascination with death and funerary rites.

Bridging East and West : The Establishment of the International Institute for Applied Systems Analysis (IIASA) in the United States Foreign Policy of Bridge Building, 1964-1972.

The dissertation examines the foreign policies of the United States through the prism of science and technology. In the focal point of scrutiny is the policy establishing the International Institute for Applied Systems Analysis (IIASA) and the development of the multilateral part of bridge building in American foreign policy during the 1960s and early 1970s. After a long and arduous negotiation process, the institute was finally established by twelve national member organizations from the following countries: Bulgaria, Canada, Czechoslovakia, Federal Republic of Germany (FRG), France, German Democratic Republic (GDR), Great Britain, Italy, Japan, Poland, Soviet Union and United States; a few years later Sweden, Finland and the Netherlands also joined. It is said that the goal of the institute was to bring together researchers from East and West to solve pertinent problems caused by the modernization process experienced in industrialized world. It originates from President Lyndon B. Johnson s bridge building policies that were launched in 1964, and was set in a well-contested and crowded domain of other international organizations of environmental and social planning. Since the distinct need for yet another organization was not evident, the process of negotiations in this multinational environment enlightens the foreign policy ambitions of the United States on the road to the Cold War détente. The study places this project within its political era, and juxtaposes it with other international organizations, especially that of the OECD, ECE and NATO. Conventionally, Lyndon Johnson s bridge building policies have been seen as a means to normalize its international relations bilaterally with different East European countries, and the multilateral dimension of the policy has been ignored. This is why IIASA s establishment process in this multilateral environment brings forth new information on US foreign policy goals, the means to achieve these goals, as well as its relations to other advanced industrialized societies before the time of détente, during the 1960s and early 1970s. Furthermore, the substance of the institute applied systems analysis illuminates the differences between European and American methodological thinking in social planning. Systems analysis is closely associated with (American) science and technology policies of the 1960s, especially in its military administrative applications, thus analysis within the foreign policy environment of the United States proved particularly fruitful. In the 1960s the institutional structures of European continent with faltering, and the growing tendencies of integration were in flux. One example of this was the long, drawn-out process of British membership in the EEC, another is de Gaulle s withdrawal from NATO s military-political cooperation. On the other hand, however, economic cooperation in Europe between East and West, and especially with the Soviet Union was expanding rapidly. This American initiative to form a new institutional actor has to be seen in that structural context, showing that bridge building was needed not only to the East, but also to the West. The narrative amounts to an analysis of how the United States managed both cooperation and conflict in its hegemonic aspirations in the emerging modern world, and how it used its special relationship with the United Kingdom to achieve its goals. The research is based on the archives of the United States, Great Britain, Sweden, Finland, and IIASA. The primary sources have been complemented with both contemporary and present day research literature, periodicals, and interviews.

The Church and Its Boundaries : A Study of the Special Commission on Orthodox Participation in the WCC

The relationship between the Orthodox Churches and the World Council of Churches (WCC) became a crisis just before the 8th Assembly of the WCC in Harare, Zimbabwe in 1998. The Special Commission on Orthodox Participation in the WCC (SC), inaugurated in Harare, worked during the period 1999 2002 to solve the crisis and to secure the Orthodox participation in the WCC. The purpose of this study is: 1) to clarify the theological motives for the inauguration of the SC and the theological argumentation of the Orthodox criticism; 2) to write a reliable history and analysis of the SC; 3) to outline the theological argumentation, which structures the debate, and 4) to investigate the ecclesiological questions that arise from the SC material. The study spans the years 1998 to 2006, from the WCC Harare Assembly to the Porto Alegre Assembly. Hence, the initiation and immediate reception of the Special Commission are included in the study. The sources of this study are all the material produced by and for the SC. The method employed is systematic analysis. The focus of the study is on theological argumentation; the historical context and political motives that played a part in the Orthodox-WCC relations are not discussed in detail. The study shows how the initial, specific and individual Orthodox concerns developed into a profound ecclesiological discussion and also led to concrete changes in WCC practices, the best known of which is the change to decision-making by consensus. The Final Report of the SC contains five main themes, namely, ecclesiology, decision-making, worship/common prayer, membership and representation, and social and ethical issues. The main achievement of the SC was that it secured the Orthodox membership in the WCC. The ecclesiological conclusions made in the Final Report are twofold. On the one hand, it confirms that the very act of belonging to the WCC means the commitment to discuss the relationship between a church and churches. The SC recommended that baptism should be added as a criterion for membership in the WCC, and the member churches should continue to work towards the mutual recognition of each other s baptism. These elements strengthen the ecclesiological character of the WCC. On the other hand, when the Final Report discusses common prayer, the ecclesiological conclusions are much more cautious, and the ecclesiological neutrality of the WCC is emphasized several times. The SC repeatedly emphasized that the WCC is a fellowship of churches. The concept of koinonia, which has otherwise been important in recent ecclesiological questions, was not much applied by the SC. The comparison of the results of the SC to parallel ecclesiological documents of the WCC (Nature and Mission of the Church, Called to Be the One Church) shows that they all acknowledge the different ecclesiological starting points of the member churches, and, following that, a variety of legitimate views on the relation of the Church to the churches. Despite the change from preserving the koinonia to promises of eschatological koinonia, all the documents affirm that the goal of the ecumenical movement is still full, visible unity.

Studies on reactivation of regressing bonnet monkey corpus luteum on day 1 of menses: A pilot study

Studies on functional characteristics of the regressing primate corpus luteum (CL) to luteotrophic stimulus on day 1 of the non-fertile menstrual cycle are scarce. Recombinant human luteinizing hormone (rhLH) (20 IU/Kg BW; n = 10) or human chorionic gonadotropin (hCG) (180 IU; n = 6) were administered intravenously to female bonnet monkeys on day 1 of menses. Exogenous treatment of rhLH or hCG caused a significant increase in circulating progesterone (P4) levels 2-4 hours post treatment (P < 0.05). Lutectomy prior to onset of menses confirmed that CL is the site of the increased P4 concentrations. Increased levels of phosphorylated P44/42 MAPK, MKK3/6 activation and concomitant histological changes were observed within 4 hours in CL of monkeys receiving hCG treatment. The results from this study demonstrate the acute progesterone synthesizing capacity of regressing monkey CL after LH or hCG challenge. This has potential implications for interpreting the steroidogenic response after gonadotropin stimulation tests in the early follicular phase of the normal ovulatory and anovulatory women undergoing controlled ovarian stimulation protocols as part of assisted reproductive technology (ART) and in women with polycystic ovarian syndrome.

La paz como un signo de estos tiempos : la Iglesia latinoamericana ante la violencia y el aporte de las mujeres a la paz

Resumen: Esta ponencia forma parte del primer Panel Inaugural del II Congreso de Teólogas latinoamericanas y alemanas “Espacios de Paz”, realizado del 28 al 31 de marzo de 2016. Se aborda el tema de la paz como signo de estos tiempos desde tres claves: el contexto latinoamericano, la centralidad de la violencia en los estudios sobre la paz y su relación con las mujeres como constructoras de paz y víctimas de violencia. La reflexión se organiza en dos partes: primero, se analiza el discernimiento teológicopastoral sobre la paz realizado por la Conferencia de Medellín, en un contexto de subdesarrollo e injusticia caracterizados como violencia institucional y pecado estructural; además, se mencionan en forma breve los desafíos de reconciliación que plantearon los procesos de transición que siguieron a los gobiernos militares y a los conflictos armados internos. En la segunda parte, se enfocan algunos valores y esferas de la paz y la violencia –personal, estructural y cultural–, para considerar el concepto secular y cristiano de “pacificación” (peacebuilding) y los aportes teóricos y prácticos de las mujeres en la construcción de la paz en contextos de violencia.