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

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

Basicervical femoral neck fractures : an observational study derived from the Swedish fracture register

BACKGROUND AND PURPOSE: Limited research has been conducted on basicervical femoral neck fractures (bFNFs). The importance of displacement in clinical outcomes remains unclear. We aimed to characterize patient demographics, degree of displacement, treatment, treatment failures, and reoperations in a cohort of fractures from the Swedish Fracture Register (SFR). METHODS: 1,260 fractures in 1,185 individuals ≥ 60 years who had a bFNF registered in the SFR at 6 orthopedic departments from 2011 to 2020 were screened through radiographic review. The final sample included 291 patients with a confirmed bFNF. The medical records of these 291 patients were reviewed. We assessed baseline characteristics, initial fracture dislocation, treatment methods, tip-apex distance, failures, reoperations, and mortality. RESULTS: The mean age was 82 years (range 60-101, 55% women). 98 (34%) were undisplaced and 193 (66%) displaced. All patients underwent operative treatment. In the undisplaced group 95 (97%) patients received internal fixation (IF) and 3 (3%) had primary hip arthroplasty. In the displaced group 149 (77%) received IF and 41 (21%) had primary hip arthroplasty. 33 (11%) suffered treatment failure. When treating an undisplaced bFNF with IF, only 3 (3%) experienced treatment failure, in contrast to the 24 (16%) failure rate for a displaced bFNF. CONCLUSION: Undisplaced bFNFs have a low failure rate when treated with IF. For displaced bFNF treated with IF the failure rate is considerably higher. There is a need for further investigation of classification, treatment, and outcome of bFNF

Book Reviews

The following books are reviewed: Klaus-Peter Adam, Friedrich Avemarie och Nili Wazana (red.), Law and Narrative in the Bible and in Neighbouring Ancient Cultures (Josef  Forsling) Stephen P. Ahearne-Kroll, Paul A. Holloway och James A. Kelhoffer (red.), Women and Gender in Ancient Religions: Interdisciplinary Approaches (Hanna Stenström) Dale C. Allison, Volker Leppin, Choon-Leong Seow, Hermann Spieckermann, Barry Dov Walfish och Eric Ziolkowski (red.), Encyclopedia of the Bible and Its Reception, v. 3 (Göran Eidevall) Dale C. Allison, Volker Leppin, Choon-Leong Seow, Hermann Spieckermann, Barry Dov Walfish och Eric Ziolkowski (red.), Encyclopedia of the Bible and Its Reception, v. 5 (Mikael Larsson) Joseph L. Angel, Otherworldly and Eschatological Priesthood in the Dead Sea Scrolls (Torleif Elgvin) Eve-Marie Becker och Anders Runesson (red.), Mark and Matthew I: Comparative Readings: Understanding the Earliest Gospels in their First-century Settings (Tobias Hägerland) Bob Becking, Ezra, Nehemiah, and the Construction of Early Jewish Identity (Lena-Sofia Tiemeyer) April D. DeConick, Holy Misogyny: Why the Sex and Gender Conflicts in the Early Church Still Matter (Hanna Stenström)  Daniel R. Driver, Brevard Childs, Biblical Theologian: For the Church’ s One Bible (LarsOlov Eriksson) Göran Eidevall och Blaženka Scheuer (red.), Enigmas and Images: Studies in Honor of Tryggve N. D. Mettinger (Stig Norin) Weston W. Fields, The Dead Sea Scrolls: A Full History (Cecilia Wassén) Miriam Goldstein, Karaite Exegesis in Medieval Jerusalem: The Judeo-Arabic Pentateuch Commentary of Yūsuf ibn Nūḥ and Abū al-Faraj Hārūn (Lena- Sofia Tiemeyer) Leif Hongisto, Experiencing the Apocalypse at the Limits of Alterity (Hanna Stenström) Jan Joosten, The Verbal System of Biblical Hebrew: A New Synthesis Elaborated on the Basis of Classical Prose (Ulf Bergström) Christos Karakolis, Karl-Wilhelm Niebuhr och Sviatoslav Rogalsky (red.), Gospel Images of Jesus Christ in Church Tradition and in Biblical Scholarship (Mikael Sundkvist) Thomas Kazen, Issues of Impurity in Early Judaism (Cecilia Wassén) Chris Keith, Jesus’ Literacy: Scribal Culture and the Teacher from Galilee (Tobias Ålöw) Anthony Le Donne, The Historiographical Jesus: Memory, Typology, and the Son of David (Jennifer Nyström) Kenneth Liljeström (red.), The Early Reception of Paul (Martin Wessbrandt)  Aren M. Maeir, Jodi Magness and Lawrence H. Schiffman (ed.), ‘Go Out and Study the Land’ (Judges 18:2): Archaeological, Historical and Textual Studies in Honor of Hanan Eshel (Torleif Elgvin)  David L. Mathewson, Verbal Aspect in the Book of Revelation: The Function of Greek Verb Tenses in John’s Apocalypse (Jan H. Nylund) Robert K. McIver, Memory, Jesus, and the Synoptic Gospels (Jennifer Nyström) Sun Myung Lyu, Righteousness in the Book of Proverbs (Bo Johnson) Stefan Nordenson, Genom honom skapades allt: En exegetisk studie om Kristi preexistens och medlarfunktion i Nya testamentet (Hanna Stenström) Stefan Nordgaard Svendsen, Allegory Transformed: The Appropriation of Philonic Hermeneutics in the Letter to the Hebrews (Johannes Imberg) Donna Lee Petter, The Book of Ezekiel and Mesopotamian City Laments (Lena-Sofia Tiemeyer) Stanley E. Porter, Jeffrey T. Reed och Matthew Brook O’Donnell, Fundamentals of New Testament Greek (Jan H. Nylund) Stanley E. Porter och Jeffrey T. Reed, Fundamentals of New Testament Greek: Workbook (Jan H. Nylund) Karl Olav Sandnes, The Gospel ‘According to Homer and Virgil’: Cento and Canon (Maria Sturesson)    Tanja Schultheiss, Das Petrusbild im Johannesevangelium (Finn Damgaard)  William A. Tooman, Gog of Magog: Reuse of Scripture and Compositional Technique in Ezekiel 38–39 (Lena-Sofia Tiemeyer) Paul Trebilco, Self-designations and Group Identity in the New Testament (Rikard Roitto) Caroline Vander Stichele och Hugh Pyper (red.), Text, Image, and Otherness in Children’s Bibles: What Is in the Picture? (Mikael Larsson) Patricia Walters, The Assumed Authorial Unity of Luke and Acts: A Reassessment of the Evidence (Carl Johan Berglund) Amanda Witmer, Jesus, the Galilean Exorcist: His Exorcisms in Social and Political Context (Jennifer Nyström