The Day of the Week Effect and Option Pricing - A Study of the German Option Market

The use of different time units in option pricing may lead to inconsistent estimates of time decay and spurious jumps in implied volatilities. Different time units in the pricing model leads to different implied volatilities although the option price itself is the same.The chosen time unit should make it necessary to adjust the volatility parameter only when there are some fundamental reasons for it and not due to wrong specifications of the model. This paper examined the effects of option pricing using different time hypotheses and empirically investigated which time frame the option markets in Germany employ over weekdays. The paper specifically tries to get a picture of how the market prices options. The results seem to verify that the German market behaves in a fashion that deviates from the most traditional time units in option pricing, calendar and trading days. The study also showed that the implied volatility of Thursdays was somewhat higher and thus differed from the pattern of other days of the week. Using a GARCH model to further investigate the effect showed that although a traditional tests, like the analysis of variance, indicated a negative return for Thursday during the same period as the implied volatilities used, this was not supported using a GARCH model.

Evaluating Option Pricing Models

This study evaluates three different time units in option pricing: trading time, calendar time and continuous time using discrete approximations (CTDA). The CTDA-time model partitions the trading day into 30-minute intervals, where each interval is given a weight corresponding to the historical volatility in the respective interval. Furthermore, the non-trading volatility, both overnight and weekend volatility, is included in the first interval of the trading day in the CTDA model. The three models are tested on market prices. The results indicate that the trading-time model gives the best fit to market prices in line with the results of previous studies, but contrary to expectations under non-arbitrage option pricing. Under non-arbitrage pricing, the option premium should reflect the cost of hedging the expected volatility during the option’s remaining life. The study concludes that the historical patterns in volatility are not fully accounted for by the market, rather the market prices options closer to trading time.

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.

Moral Education in the Japanese Primary School Curricular Revision at the Turn of the Twenty-first Century: Aiming at a Rich and Beautiful Kokoro

This study examines values education in Japanese schools at the beginning of the millennium. The topic was approached by asking the following three questions concerning the curricular background, the morality conveyed through textbooks and the characterization of moral education from a comparative viewpoint: 1) What role did moral education play in the curriculum revision which was initiated in 1998 and implemented in 2002? 2) What kinds of moral responsibilities and moral autonomy do the moral texts develop? 3) What does Japanese moral education look like in terms of the comparative framework? The research was based on curriculum research. Its primary empirical data consisted of the national curriculum guidelines for primary school, which were taken into use in 2002, and moral texts, Kokoro no nôto, published by the Ministry of Education in the same context. Since moral education was approached in the education reform context, the secondary research material involved some key documents of the revision process from the mid-1990s to 2003. The research material was collected during three fieldwork periods in Japan (in 2002, 2003 and 2005). The text-analysis was conducted as a theory-dependent qualitative content analysis. Japanese moral education was analyzed as a product of its own cultural tradition and societal answer to the current educational challenges. In order to understand better its character, secular moral education was reflected upon from a comparative viewpoint. The theory chosen for the comparative framework, the value realistic theory of education, represented the European rational education tradition as well as the Christian tradition of values education. Moral education, which was the most important school subject at the beginning of modern school, was eliminated from the curriculum for political reasons in a school reform after the Second World War, but has gradually regained a stronger position since then. It was reinforced particularly at the turn of millennium, when a curriculum revision attempted to respond to educational and learning problems by emphasizing qualitative and value aspects. Although the number of moral lessons and their status as a non-official-subject remained unchanged, the Ministry of Education made efforts to improve moral education by new curricular emphases, new teaching material and additional in-service training possibilities for teachers. The content of the moral texts was summarized in terms of moral responsibility in four moral areas (intrapersonal, interpersonal, natural-supranatural and societal) as follows: 1) continuous self-development, 2) caring for others, 3) awe of life and forces beyond human power, and 4) societal contribution. There was a social-societal and emotional emphasis in what was taught. Moral autonomy, which was studied from the perspectives of rational, affective and individuality development, stressed independence in action through self-discipline and responsibility more than rational self-direction. Japanese moral education can be characterized as the education of kokoro (heart) and the development of character, which arises from virtue ethics. It aims to overcome egoistic individualism by reciprocal and interdependent moral responsibility based on responsible interconnectedness.

Media Education in the Finnish School System : A Conceptual Analysis of the Subject Didactic Dimension of Media Education

The aim of the doctoral dissertation was to further our theoretical and empirical understanding of media education as practised in the context of Finnish basic education. The current era of intensive use of the Internet is recognised too. The doctoral dissertation presents the subject didactic dimension of media education as one of the main results of the conceptual analysis. The theoretical foundation is based on the idea of dividing the concept of media education into media and education (Vesterinen et al., 2006). As two ends of the dimension, these two can be understood didactically as content and pedagogy respectively. In the middle, subject didactics is considered to have one form closer to content matter (Subject Didactics I learning about media) and another closer to general pedagogical questions (Subject Didactics II learning with/through media). The empirical case studies of the dissertation are reported with foci on media literacy in the era of Web 2.0 (Kynäslahti et al., 2008), teacher reasoning in media educational situations (Vesterinen, Kynäslahti - Tella, 2010) and the research methodological implications of the use of information and communication technologies in the school (Vesterinen, Toom - Patrikainen, 2010). As a conclusion, Media-Based Media Education and Cross-Curricular Media Education are presented as two subject didactic modes of media education in the school context. Episodic Media Education is discussed as the third mode of media education where less organised teaching, studying and learning related to media takes place, and situations (i.e. episodes, if you like) without proper planning or thorough reflection are in focus. Based on the theoretical and empirical understanding gained in this dissertation, it is proposed that instead of occupying a corner of its own in the school curriculum, media education should lead the wider change in Finnish schools.

Implementing virtual collaborative inquiry practises in a middle-school context

The aim of the present study was to investigate the challenges that relate to the implementation of virtual inquiry practises in middle school. The case was a school course in which a group of Finnish students (N = 14) and teachers (N = 7) completed group inquiries through virtual collaboration, using a web-based learning environment. The task was to accomplish a cross-disciplinary inquiry into cultural issues. The students worked mainly at home and took much responsibility for their course achievements. The investigators analysed the pedagogical design of the course and the content of the participants' interaction patterns in the web-based environment, using qualitative content analysis and social network analysis. The findings suggest that the students succeeded in producing distinctive cultural products, and both the students and the teachers adopted novel roles during the inquiry. The web-based learning environment was used more as a coordination tool for organizing the collaborative work than as a forum for epistemic inquiry. The tension between the school curriculum and the inquiry practises was manifest in the participants' discussions of the assessment criteria of the course.

The art of human rights : enriching the life of the law school through drawings and other visual resource

In the life of the Law School, focus on the “visual” can operate at three different levels: learning, teaching, and examining (legal concepts). My main interest in this paper is to explore the latter level, “examining”, broadly considered so as to encompass evaluation in general. Furthermore, that interest is pinned down here to the area of constitutional rights and human rights in general, even though the conclusions reached can (and should) likely be extrapolated to other areas of the law... In effect, the first logical step regarding the relevance of the visual approach has to do with using it yourself when you study —assuming that you came to the conclusion that you are a “visual learner”. As you know, VARK theorists propose a quadripartite classification of learners. The acronym VARK stands for Visual, Aural, Read/write, and Kinesthetic sensory modalities that are used for learning information. This model was designed in the late 80s by Neil Fleming and it has received some acceptance and a lot of attention...

PICES Press, Vol. 15, No. 1, January 2007

PICES science – 2006 (pdf, 0.1 Mb) 2006 Wooster Award (pdf, 0.1 Mb) Thank you note from the Past-Chairman of PICES (pdf, 0.1 Mb) A comparison of regional mechanisms for fish production: Ecosystem perspectives (pdf, 0.3 Mb) 2006 CREAMS/PICES international workshop and summer school (pdf, 0.2 Mb) PICES Calendar (pdf, 0.2 Mb) 2006 Harmful Algal Bloom Section annual workshop (pdf, 0.1 Mb) 2006 PICES Workshop on “Modeling iron biogeochemistry and ocean ecosystems” (pdf, 0.1 Mb) Strolling through the NEMURO ecosystem model (pdf, 0.1 Mb) Climate and marine birds and mammals in the North Pacific (pdf, 0.2 Mb) Photo highlights of the PICES Fifteenth Annual Meeting (pdf, 3.5 Mb) Recent trends in waters of the subarctic NE Pacific: Cooler and fresher in summer of 2006 (pdf, 0.2 Mb) The state of the western North Pacific in the first half of 2006 (pdf, 0.3 Mb) Latest and upcoming PICES publications (pdf, 0.3 Mb) A seven-year effort of the PICES CCCC MODEL Task Team culminates in a dedicated issue of Ecological Modelling (pdf, 0.1 Mb) Japan joins PICES Marine Metadata Federation (pdf, 0.3 Mb) Argo: A 2006 status report (pdf, 0.3 Mb) New Chairmen in PICES (pdf, 0.2 Mb) PICES Interns (pdf, 0.2 Mb)

Student Engagement in the School: Interpersonal and Inter-Center Differences

Traducido al castellano e inglés

PICES Press, Vol. 17, No. 1, January 2009

Major Outcomes from the 2008 PICES Annual Meeting: A Note from the Chairman (pdf, 0.1 Mb) PICES Science – 2008 (pdf, 0.1 Mb) 2008 PICES Awards (pdf, 0.3 Mb) Charles B. Miller – A Selective Biography (pdf, 0.4 Mb) Latest and Upcoming PICES Publications (pdf, 0.1 Mb) 2008 OECOS Workshop in Dalian (pdf, 0.2 Mb) PICES Calendar (pdf, 0.1 Mb) 2008 PICES Workshop on “Climate Scenarios for Ecosystem Modeling (II)” (pdf, 0.1 Mb) PICES/ESSAS Workshop on “Marine Ecosystem Model Inter-Comparisons” (pdf, 0.2 Mb) Highlights of the PICES Seventeenth Annual Meeting (pdf, 0.5 Mb) 2008 PICES Summer School on “Ecosystem-Based Management” (pdf, 0.3 Mb) 4th PICES Workshop on “The Okhotsk Sea and Adjacent Areas” (pdf, 0.2 Mb) PICES WG 21 Rapid Assessment Surveys (pdf, 0.4 Mb) PICES Interns (pdf, 0.3 Mb) PICES @ Oceans in a High CO2 World (pdf, 0.1 Mb) Coping with Global Change in Marine Social–Ecological Systems: An International Symposium (pdf, 0.1 Mb) The State of the Western North Pacific in the First Half of 2008 (pdf, 1.3 Mb) State of the Northeast Pacific through 2008 (pdf, 0.3 Mb) The Bering Sea: Current Status and Recent Events (pdf, 0.2 Mb) An Opinion Born of Years of Observing Timeseries Observations (pdf, 0.1 Mb) New Chairman for the PICES Fishery Science Committee (pdf, 0.1 Mb)

The use of aerial photographs for estimating school sizes of cetaceans

ENGLISH: The accuracy and precision of dolphin school size estimates based on aerial photograph counts were examined using data collected on recent aerial and ship surveys. These estimates were found to be accurate during a 1979research cruise aboard a tuna purse-seiner; dolphin schools were photographed from the ship’s helicopter, encircled with the purse-seine, and then counted as the dolphins were released from the net. A comparison of photographic estimates with these counts indicated that the relationship was fairly close and gave no indication of significantly differing from 1:1. During a 1980 aerial study, photographic estimates from different schools, passes, and camera formats were compared and were found to be quite precise with a standard deviation of approximately 60/0 of school size. Photographic estimates were also compared with estimates made by aerial observers. Most observers tended to underestimate school size, particularly for large schools. The variability among observers was high, indicating that observers should be individually calibrated. SPANISH: Se examinó la exactitud y la precisión de las estimaciones de la magnitud de los cardúmenes de delfines basadas en el cálculo de las fotografías aéreas, usando los datos obtenidos en los últimos reconocimientos aéreos y de los barcos. En 1979, durante un crucero de investigación en un cerquero atunero, se encontró que estas estimaciones eran acertadas; se fotografiaron los cardúmenes de delfines desde un helicóptero del barco, cercados con la red y luego se contaron a medida que se libraban los delfines de la red. Una comparación de las estimaciones fotográficas con estos cálculos indicó que la relación era bastante aproximada y no hubo indicación que se diferenció significativamente de la razón 1:1. Durante un estudio aéreo en 1980, se compararon las estimaciones fotográficas de diferentes del cardúmenes, en los pases y los formatos de las cámaras y se encontró que eran bastante precisos, con una desviación normal de cerca del 60/0 de la magnitud cardumen. Se compararon también las estimaciones fotográficas con las estimaciones realizadas por los observadores aéreos. La mayoría de los observadores tienden a subestimar la magnitud de los cardúmenes, especialmente los cardúmenes grandes. La variabilidad entre los observadores fue elevada, lo que indica que se deben calibrar individualmente los datos de observadores. (PDF contains 39 pages.)