The Dynamic Relationship between Finnish Stock Market and Commodities

Since different stock markets have become more integrated during 2000s, investors need new asset classes in order to gain diversification benefits. Commodities have become popular to invest in and thus it is important to examine whether the investors should use commodities as a part for portfolio diversification. This master’s thesis examines the dynamic relationship between Finnish stock market and commodities. The methodology is based on Vector Autoregressive models (VAR). The long-run relationship between Finnish stock market and commodities is examined with Johansen cointegration while short-run relationship is examined with VAR models and Granger causality test. In addition, impulse response test and forecast error variance decomposition are employed to strengthen the results of short-run relationship. The dynamic relationships might change under different market conditions. Thus, the sample period is divided into two sub-samples in order to reveal whether the dynamic relationship varies under different market conditions. The results show that Finnish stock market has stable long-run relationship with industrial metals, indicating that there would not be diversification benefits among the industrial metals. The long-run relationship between Finnish stock market and energy commodities is not as stable as the long-run relationship between Finnish stock market and industrial metals. Long-run relationship was found in the full sample period and first sub-sample which indicate less room for diversification. However, the long-run relationship disappeared in the second sub-sample which indicates diversification benefits. Long-run relationship between Finnish stock market and agricultural commodities was not found in the full sample period which indicates diversification benefits between the variables. However, long-run relationship was found from both sub-samples. The best diversification benefits would be achieved if investor invested in precious metals. No long-run relationship was found from either sample. In the full sample period OMX Helsinki had short-run relationship with most of the energy commodities and industrial metals and the causality was mostly running from equities to commodities. During the first sub period the number of short-run relationships and causality shrunk but during the crisis period the number of short-run relationships and causality increased. The most notable result found was unidirectional causality from gold to OMX Helsinki during the crisis period.

Internal Changes in International New Ventures During Initial Internationalization: Finnish SMEs Operating in Dynamic High-tech Industries

The purpose of this qualitative research is to study how international new ventures change internally during initial internationalization. Based on the analysis of seven INV firms, a framework illustrating this change process, will be developed. This research will also develop earlier theories, and create a solid combination of existing theories to explain the phenomenon. INV firms internationalize more rapidly and aggressively than traditional MNEs. At the same, external and internal drivers cause changes in INVs culture, resources, capabilities, strategic management, and output decisions inside the company. Organizational learning and resource acquisition through international business networks explain how INVs are able to cope with the dynamic high-technology industry and be able to adapt. Internationalization of INVs proceeds through several phases, which may be gone through rapidly due to the network effects and INVs’ special characteristics. The results of this research revealed that INVs internal change process proceeds through four phases; pre-incorporation phase, product development phase, internationalization and growth phase, and maturation phase. INVs culture, resources, capabilities, strategic management, and outputs change significantly during initial internationalization, and INVs develop from small start-ups into fully established companies.

Dynamic modeling and simulation of the airflow cleaning device

The objective of the work is to study the flow behavior and to support the design of air cleaner by dynamic simulation.In a paper printing industry, it is necessary to monitor the quality of paper when the paper is being produced. During the production, the quality of the paper can be monitored by camera. Therefore, it is necessary to keep the camera lens clean as wood particles may fall from the paper and lie on the camera lens. In this work, the behavior of the air flow and effect of the airflow on the particles at different inlet angles are simulated. Geometries of a different inlet angles of single-channel and double-channel case were constructed using ANSYS CFD Software. All the simulations were performed in ANSYS Fluent. The simulation results of single-channel and double-channel case revealed significant differences in the behavior of the flow and the particle velocity. The main conclusion from this work are in following. 1) For the single channel case the best angle was 0 degree because in that case, the air flow can keep 60% of the particles away from the lens which would otherwise stay on lens. 2) For the double channel case, the best solution was found when the angle of the first inlet was 0 degree and the angle of second inlet was 45 degree . In that case, the airflow can keep 91% of particles away from the lens which would otherwise stay on lens.

Dynamic Modelling of Circulating Fluidized Bed Plant with Gas Turbine Repowering

Increasing amount of renewable energy source based electricity production has set high load control requirements for power grid balance markets. The essential grid balance between electricity consumption and generation is currently hard to achieve economically with new-generation solutions. Therefore conventional combustion power generation will be examined in this thesis as a solution to the foregoing issue. Circulating fluidized bed (CFB) technology is known to have sufficient scale to acts as a large grid balancing unit. Although the load change rate of the CFB unit is known to be moderately high, supplementary repowering solution will be evaluated in this thesis for load change maximization. The repowering heat duty is delivered to the CFB feed water preheating section by smaller gas turbine (GT) unit. Consequently, steam extraction preheating may be decreased and large amount of the gas turbine exhaust heat may be utilized in the CFB process to reach maximum plant electrical efficiency. Earlier study of the repowering has focused on the efficiency improvements and retrofitting to maximize plant electrical output. This study however presents the CFB load change improvement possibilities achieved with supplementary GT heat. The repowering study is prefaced with literature and theory review for both of the processes to maximize accuracy of the research. Both dynamic and steady-state simulations accomplished with APROS simulation tool will be used to evaluate repowering effects to the CFB unit operation. Eventually, a conceptual level analysis is completed to compare repowered plant performance to the state-of-the-art CFB performance. Based on the performed simulations, considerably good improvements to the CFB process parameters are achieved with repowering. Consequently, the results show possibilities to higher ramp rate values achieved with repowered CFB technology. This enables better plant suitability to the grid balance markets.

Dynamic nature of human rights: Rawls's critique of moral universalism

Human rights do not represent an absolute truth. Otherwise, they would represent ideology, which is contradictory to the basic idea of human rights itself. Consequently, there is a need for redefinition of the main presuppositions of modern conception of human rights represented in the Universal Declaration of Human Rights. This paper argues that Rawls's conception of human rights is significant for the refiguration of human rights. It represents the path towards postmodern idea of human rights and the recognition of difference.

Dynamic capabilities as enablers of value co-creation between an MBA school and its students

This study presents an understanding of how a U.S. based, international MBA school has been able to achieve competitive advantage within a relatively short period of time. A framework is built to comprehend how the dynamic capability and value co-creation theories are connected and to understand how the dynamic capabilities have enabled value co-creation to happen between the school and its students, leading to such competitive advantage for the school. The data collection method followed a qualitative single-case study with a process perspective. Seven semi-structured interviews were made in September and October of 2015; one current employee of the MBA school was interviewed, with the other six being graduates and/or former employees of the MBA school. In addition, the researcher has worked as a recruiter at the MBA school, enabling to build bridges and a coherent whole of the empirical findings. Data analysis was conducted by first identifying themes from interviews, after which a narrative was written and a causal network model was built. Thus, a combination of thematic analysis, narrative and grounded theory were used as data analysis methods. This study finds that value co-creation is enabled by the dynamic capabilities of the MBA school; also capabilities would not be dynamic if value co-creation did not take place. Thus, this study presents that even though the two theories represent different level analyses, they are intertwined and together they can help to explain competitive advantage. The MBA case school’s dynamic capabilities are identified to be the sales & marketing capabilities and international market creation capabilities, thus the study finds that the MBA school does not only co-create value with existing students (customers) in the school setting, but instead, most of the value co-creation happens between the school and the student cohorts (network) already in the recruiting phase. Therefore, as a theoretical implication, the network should be considered as part of the context. The main value created seem to lie in the MBA case school’s international setting & networks. MBA schools around the world can learn from this study; schools should try to find their own niche and specialize, based on their own values and capabilities. With a differentiating focus and a unique and practical content, the schools can and should be well-marketed and proactively sold in order to receive more student applications and enhance competitive advantage. Even though an MBA school can effectively be treated as a business, as the study shows, the main emphasis should still be on providing quality education. Good content with efficient marketing can be the winning combination for an MBA school.

Dynamic ecosystems under anthropogenic stress : how does macrotidal sandy fauna respond to green tides?

Highly dynamic systems, often considered as resilient systems, are characterised by abiotic and biotic processes under continuous and strong changes in space and time. Because of this variability, the detection of overlapping anthropogenic stress is challenging. Coastal areas harbour dynamic ecosystems in the form of open sandy beaches, which cover the vast majority of the world’s ice-free coastline. These ecosystems are currently threatened by increasing human-induced pressure, among which mass-development of opportunistic macroalgae (mainly composed of Chlorophyta, so called green tides), resulting from the eutrophication of coastal waters. The ecological impact of opportunistic macroalgal blooms (green tides, and blooms formed by other opportunistic taxa), has long been evaluated within sheltered and non-tidal ecosystems. Little is known, however, on how more dynamic ecosystems, such as open macrotidal sandy beaches, respond to such stress. This thesis assesses the effects of anthropogenic stress on the structure and the functioning of highly dynamic ecosystems using sandy beaches impacted by green tides as a study case. The thesis is based on four field studies, which analyse natural sandy sediment benthic community dynamics over several temporal (from month to multi-year) and spatial (from local to regional) scales. In this thesis, I report long-lasting responses of sandy beach benthic invertebrate communities to green tides, across thousands of kilometres and over seven years; and highlight more pronounced responses of zoobenthos living in exposed sandy beaches compared to semi-exposed sands. Within exposed sandy sediments, and across a vertical scale (from inshore to nearshore sandy habitats), I also demonstrate that the effects of the presence of algal mats on intertidal benthic invertebrate communities is more pronounced than that on subtidal benthic invertebrate assemblages, but also than on flatfish communities. Focussing on small-scale variations in the most affected faunal group (i.e. benthic invertebrates living at low shore), this thesis reveals a decrease in overall beta-diversity along a eutrophication-gradient manifested in the form of green tides, as well as the increasing importance of biological variables in explaining ecological variability of sandy beach macrobenthic assemblages along the same gradient. To illustrate the processes associated with the structural shifts observed where green tides occurred, I investigated the effects of high biomasses of opportunistic macroalgae (Ulva spp.) on the trophic structure and functioning of sandy beaches. This work reveals a progressive simplification of sandy beach food web structure and a modification of energy pathways over time, through direct and indirect effects of Ulva mats on several trophic levels. Through this thesis I demonstrate that highly dynamic systems respond differently (e.g. shift in δ13C, not in δ15N) and more subtly (e.g. no mass-mortality in benthos was found) to anthropogenic stress compared to what has been previously shown within more sheltered and non-tidal systems. Obtaining these results would not have been possible without the approach used through this work; I thus present a framework coupling field investigations with analytical approaches to describe shifts in highly variable ecosystems under human-induced stress.

Modelling ecological values in heterogeneous and dynamic landscapes with geospatial data

Our surrounding landscape is in a constantly dynamic state, but recently the rate of changes and their effects on the environment have considerably increased. In terms of the impact on nature, this development has not been entirely positive, but has rather caused a decline in valuable species, habitats, and general biodiversity. Regardless of recognizing the problem and its high importance, plans and actions of how to stop the detrimental development are largely lacking. This partly originates from a lack of genuine will, but is also due to difficulties in detecting many valuable landscape components and their consequent neglect. To support knowledge extraction, various digital environmental data sources may be of substantial help, but only if all the relevant background factors are known and the data is processed in a suitable way. This dissertation concentrates on detecting ecologically valuable landscape components by using geospatial data sources, and applies this knowledge to support spatial planning and management activities. In other words, the focus is on observing regionally valuable species, habitats, and biotopes with GIS and remote sensing data, using suitable methods for their analysis. Primary emphasis is given to the hemiboreal vegetation zone and the drastic decline in its semi-natural grasslands, which were created by a long trajectory of traditional grazing and management activities. However, the applied perspective is largely methodological, and allows for the application of the obtained results in various contexts. Models based on statistical dependencies and correlations of multiple variables, which are able to extract desired properties from a large mass of initial data, are emphasized in the dissertation. In addition, the papers included combine several data sets from different sources and dates together, with the aim of detecting a wider range of environmental characteristics, as well as pointing out their temporal dynamics. The results of the dissertation emphasise the multidimensionality and dynamics of landscapes, which need to be understood in order to be able to recognise their ecologically valuable components. This not only requires knowledge about the emergence of these components and an understanding of the used data, but also the need to focus the observations on minute details that are able to indicate the existence of fragmented and partly overlapping landscape targets. In addition, this pinpoints the fact that most of the existing classifications are too generalised as such to provide all the required details, but they can be utilized at various steps along a longer processing chain. The dissertation also emphases the importance of landscape history as an important factor, which both creates and preserves ecological values, and which sets an essential standpoint for understanding the present landscape characteristics. The obtained results are significant both in terms of preserving semi-natural grasslands, as well as general methodological development, giving support to science-based framework in order to evaluate ecological values and guide spatial planning.

Localization and functional characterization of iridoid biosynthetic genes in Catharanthus roseus /

Catharanthus roseus is the sole biological source of the medicinal compounds vinblastine and vincristine. These chemotherapeutic compounds are produced in the aerial organs of the plant, however they accumulate in small amounts constituting only about 0.0002% of the fresh weight of the leaf. Their limited biological supply and high economical value makes its biosynthesis important to study. Vinblastine and vincristine are dimeric monoterpene indole alkaloids, which consists of two monomers vindoline and catharanthine. The monoterpene indole alkaloids (MIA's) contain a monoterpene moiety which is derived from the iridoid secologanin and an indole moiety tryptamine derived from the amino acid tryptophan. The biosynthesis of the monoterpene indole alkaloids has been localized to at least three cell types namely, the epidermis, the laticifer and the internal phloem assisted parenchyma. Carborundum abrasion (CA) technique was developed to selectively harvest epidermis enriched plant material. This technique can be used to harvest metabolites, protein or RNA. Sequencing of an expressed sequence tagged (EST) library from epidermis enriched mRNA demonstrated that this cell type is active in synthesizing a variety of secondary metabolites namely, flavonoids, lipids, triterpenes and monoterpene indole alkaloids. Virtually all of the known genes involved in monterpene indole alkaloid biosynthesis were sequenced from this library.This EST library is a source for many candidate genes involved in MIA biosynthesis. A contig derived from 12 EST's had high similarity (E'^') to a salicylic acid methyltransferase. Cloning and functional characterization of this gene revealed that it was the carboxyl methyltransferase imethyltransferase (LAMT). In planta characterization of LAMT revealed that it has a 10- fold enrichment in the leaf epidermis as compared to the whole leaf specific activity. Characterization of the recombinant enzyme revealed that vLAMT has a narrow substate specificity as it only accepts loganic acid (100%) and secologanic acid (10%) as substrates. rLAMT has a high Km value for its substrate loganic acid (14.76 mM) and shows strong product inhibition for loganin (Kj 215 |iM). The strong product inhibition and low affinity for its substrate may suggest why the iridoid moiety is the limiting factor in monoterpene indole alkaloid biosynthesis. Metabolite profiling of C. roseus organs shows that secologanin accumulates within these organs and constitutues 0.07- 0.45% of the fresh weight; however loganin does not accumulate within these organs suggesting that the product inhibition of loganin with LAMT is not physiologically relevant. The limiting factor to iridoid and MIA biosynthesis seems to be related to the spatial separation of secologanin and the MIA pathway, although secologanin is synthesized in the epidermis, only 2-5% of the total secologanin is found in the epidermis while the remaining secologanin is found within the leaf body inaccessable to alkaloid biosynthesis. These studies emphasize the biochemical specialization of the epidermis for the production of secondary metabolites. The epidermal cells synthesize metabolites that are sequestered within the plant and metabolites that are secreted to the leaf surface. The secreted metabolites comprise the epidermome, a layer separating the plant from its environment.

A speculative systems model of the dynamic interaction among students, faculty and administration in the community college, with particular reference to intrinsic motivation and the teacher-administrator interface

The challenge the community college faces in helping meet the needs of the living open system of society is examined in this study. It is postulated that internalization student outcomes are required by society to reduce entropy and remain self-renewing. Such behavior is characterized as having an intrinsically motivated energy source and displays the seeking and conquering of challenge, the development of reflective knowledge and skill, full use of all capabilities, internal control, growth orientation, high self-esteem, relativistic thinking and competence. The development of a conceptual systems model that suggests how transactions among students, faculty and administration might occur to best meet the needs of internalization outcomes in students, and intrinsic motivation in faculty is a major purpose of this study. It is a speculative model that is based on a synthesis of a wide variety of variables. Empirical evidence, theoretical considerations, and speculative ideas are gathered together from researchers and theoretici.ans who are working on separate answers to questions of intrinsic motivation, internal control and environments that encourage their development. The model considers the effect administrators·have on faculty anq the corresponding effect faculty may have on students. The major concentration is on the administrator--teacher interface.For administrators the model may serve as a guide in planning effective transactions, and establishing system goals. The teacher is offered a means to coordinate actions toward a specific overall objective, and the administrator, teacher and researcher are invited to use the model to experiment, innovate, verify the assumptions on which the model is based, and raise additional hypotheses. Goals and history of the community colleges in Ontario are examined against current problems, previous progress and open system thinking. The nature of the person as a five part system is explored with emphasis on intrinsic motivation. The nature, operation, conceptualization, and value of this internal energy source is reviewed in detail. The current state of society, education and management theory are considered and the value of intrinsically motivating teaching tasks together with "system four" leadership style are featured. Evidence is reviewed that suggests intrinsically motivated faculty are needed, and "system four" leadership style is the kind of interaction-influence system needed to nurture intrinsic motivation in faculty.

Immuno-cytochemical localization of glycoproteins involved in recognition and attachment in a mycoparatism

Polyclonal antibodies prepared against the two glycoproteins (Mr 100 and 85 kDa) involved in recognition and attachment of the mycoparasite, Piptocephalis virginiana, to its hosts, Mortierella pusilla and Phascolomyces articulosus, susceptible and resistant, respectively, were employed to localize the antigens at their cell surfaces. Indirect immunocytochemical technique using secondary antibodies labelled with either FITC or gold particles as probes, were used. FITC-Iabelled antibodies revealed a discontinous pattern of fluorescence on the hyphae of MortlerelLa pusilla and no fluorescence on the hyphae of Phascolomyces articulosus. Intensity of fluorescence was high in the germinating spores of both the fungi. Fluoresence could be observed on P. articulosus hyphae pretreated with a commercial proteinase. Fluorescence was not observed on either hyphae or germinating spores of the nonhost M0 r tie re11 a ca ndelabrum and the mycoparasite P. virginiana. Antibodies labelled with gold conjugate showed a different pattern of antigen localization on the hyphal walls of the susceptible and resistant hosts. Patches of gold particles were observed allover the whole cell wall of the susceptible host but only on the inner cell wall layer of the resistant host. Cell wall fragments of the susceptible host but not those of the resistant host, previously incubated with the antibodies inhibited attachment of the mycoparasite. Implications of preferential localization of the antigen in the resistant host and its absence in the nonhost are described.

Localization of the mechanism of pH-dependent non- photochemical fluorescence quenching in thylakoid membranes

Higher plants have evolved a well-conserved set of photoprotective mechanisms, collectively designated Non-Photochemical Quenching of chlorophyll fluorescence (qN), to deal with the inhibitory absorption of excess light energy by the photosystems. Their main contribution originates from safe thermal deactivation of excited states promoted by a highly-energized thylakoid membrane, detected via lumen acidification. The precise origins of this energy- or LlpH-dependent quenching (qE), arising from either decreased energy transfer efficiency in PSII antennae (~ Young & Frank, 1996; Gilmore & Yamamoto, 1992; Ruban et aI., 1992), from alternative electron transfer pathways in PSII reaction centres (~ Schreiber & Neubauer, 1990; Thompson &Brudvig, 1988; Klimov et aI., 1977), or from both (Wagner et aI., 1996; Walters & Horton, 1993), are a source of considerable controversy. In this study, the origins of qE were investigated in spinach thylakoids using a combination of fluorescence spectroscopic techniques: Pulse Amplitude Modulated (PAM) fluorimetry, pump-probe fluorimetry for the measurement of PSII absorption crosssections, and picosecond fluorescence decay curves fit to a kinetic model for PSII. Quenching by qE (,..,600/0 of maximal fluorescence, Fm) was light-induced in circulating samples and the resulting pH gradient maintained during a dark delay by the lumenacidifying capabilities of thylakoid membrane H+ ATPases. Results for qE were compared to those for the addition of a known antenna quencher, 5-hydroxy-1,4naphthoquinone (5-0H-NQ), titrated to achieve the same degree of Fm quenching as for qE. Quenching of the minimal fluorescence yield, F0' was clear (8 to 130/0) during formation of qE, indicative of classical antenna quenching (Butler, 1984), although the degree was significantly less than that achieved by addition of 5-0H-NQ. Although qE induction resulted in an overall increase in absorption cross-section, unlike the decrease expected for antenna quenchers like the quinone, a larger increase in crosssection was observed when qE induction was attempted in thylakoids with collapsed pH gradients (uncoupled by nigericin), in the absence of xanthophyll cycle operation (inhibited by DTT), or in the absence of quenching (LlpH not maintained in the dark due to omission of ATP). Fluorescence decay curves exhibited a similar disparity between qE-quenched and 5-0H-NQ-quenched thylakoids, although both sets showed accelerated kinetics in the fastest decay components at both F0 and Fm. In addition, the kinetics of dark-adapted thylakoids were nearly identical to those in qEquenched samples at F0' both accelerated in comparison with thylakoids in which the redox poise of the Oxygen-Evolving Complex was randomized by exposure to low levels of background light (which allowed appropriate comparison with F0 yields from quenched samples). When modelled with the Reversible Radical Pair model for PSII (Schatz et aI., 1988), quinone quenching could be sufficiently described by increasing only the rate constant for decay in the antenna (as in Vasil'ev et aI., 1998), whereas modelling of data from qE-quenched thylakoids required changes in both the antenna rate constant and in rate constants for the reaction centre. The clear differences between qE and 5-0H-NQ quenching demonstrated that qE could not have its origins in the antenna alone, but is rather accompanied by reaction centre quenching. Defined mechanisms of reaction centre quenching are discussed, also in relation to the observed post-quenching depression in Fm associated with photoinhibition.

Investigating a dynamic modular framework for subjective well-being

According to Diener (1984), the three primary components of subjective well-being (SWB) are high life satisfaction (LS), frequent positive affect (P A), and infrequent negative affect (NA). The present dissertation extends previous research and theorizing on SWB by testing an innovative framework developed by Shmotkin (2005) in which SWB is conceptualized as an agentic process that promotes and maintains positive functioning. Two key components ofShmotkin's framework were explored in a longitudinal study of university students. In Part 1, SWB was examined as an integrated system of components organized within individuals. Using cluster analysis, five distinct configurations of LS, P A, and NA were identified at each wave. Individuals' SWB configurations were moderately stable over time, with the highest and lowest stabilities observed among participants characterized by "high SWB" and "low SWB" configurations, respectively. Changes in SWB configurations in the direction of a high SWB pattern, and stability among participants already characterized by high SWB, coincided with better than expected mental, physical, and interpersonal functioning over time. More positive levels of functioning and improvements in functioning over time discriminated among SWB configurations. However, prospective effects of SWB configurations on subsequent functioning were not observed. In Part 2, subjective temporal perspective "trajectories" were examined based on individuals' ratings of their past, present, and anticipated future LS. Upward subjective LS trajectories were normative at each wave. Cross-sectional analyses revealed consistent associations between upward subjective trajectories and lower levels of LS, as well as less positive mental, physical, and interpersonal functioning. Upward subjective LS trajectories were biased both with respect to underestimation of past LS and overestimation of future LS, demonstrating their illusional nature. Further, whereas more negative retrospective bias was associated with greater current distress and dysfunction, more positive prospective bias was associated with less positive functioning in the future. Prospective relations, however, were not consistently observed. Thus, steep upward subjective LS trajectory appeared to be a form of wishful-thinking, rather than an adaptive form of selfenhancement. Major limitations and important directions for future research are considered. Implications for Shmotkin's (2005) framework, and for research on SWB more generally, also are discussed

THE INFLUENCE OF LENGTH CHANGE SPEED AND DIRECTION ON DYNAMIC FUNCTION POTENTIATION IN FAST MOUSE MUSCLE

The purpose of this study was to test the hypothesis that the potentiation of dynamic function was dependent upon both length change speed and direction. Mouse EDL was cycled in vitro (25º C) about optimal length (Lo) with constant peak strain (± 2.5% Lo) at 1.5, 3.3 and 6.9 Hz before and after a conditioning stimulus. A single pulse was applied during shortening or lengthening and peak dynamic (concentric or eccentric) forces were assessed at Lo. Stimulation increased peak concentric force at all frequencies (range: 19 ± 1 to 30 ± 2%) but this increase was proportional to shortening speed, as were the related changes to concentric work/power (range: -15 ± 1 to 39 ± 1 %). In contrast, stimulation did not increase eccentric force, work or power at any frequency. Thus, results reveal a unique hysteresis like effect for the potentiation of dynamic output wherein concentric and eccentric forces increase and decrease, respectively, with work cycle frequency.

A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.