Discrete time models of the term structure of interest rates and interest rate contingent claims

In this study, discrete time one-factor models of the term structure of interest rates and their application to the pricing of interest rate contingent claims are examined theoretically and empirically. The first chapter provides a discussion of the issues involved in the pricing of interest rate contingent claims and a description of the Ho and Lee (1986), Maloney and Byrne (1989), and Black, Derman, and Toy (1990) discrete time models. In the second chapter, a general discrete time model of the term structure from which the Ho and Lee, Maloney and Byrne, and Black, Derman, and Toy models can all be obtained is presented. The general model also provides for the specification of an additional model, the ExtendedMB model. The third chapter illustrates the application of the discrete time models to the pricing of a variety of interest rate contingent claims. In the final chapter, the performance of the Ho and Lee, Black, Derman, and Toy, and ExtendedMB models in the pricing of Eurodollar futures options is investigated empirically. The results indicate that the Black, Derman, and Toy and ExtendedMB models outperform the Ho and Lee model. Little difference in the performance of the Black, Derman, and Toy and ExtendedMB models is detected. ^

Development of hardware in the loop real-time control techniques for hybrid power systems involving distributed demands and sustainable energy sources

The future power grid will effectively utilize renewable energy resources and distributed generation to respond to energy demand while incorporating information technology and communication infrastructure for their optimum operation. This dissertation contributes to the development of real-time techniques, for wide-area monitoring and secure real-time control and operation of hybrid power systems. ^ To handle the increased level of real-time data exchange, this dissertation develops a supervisory control and data acquisition (SCADA) system that is equipped with a state estimation scheme from the real-time data. This system is verified on a specially developed laboratory-based test bed facility, as a hardware and software platform, to emulate the actual scenarios of a real hybrid power system with the highest level of similarities and capabilities to practical utility systems. It includes phasor measurements at hundreds of measurement points on the system. These measurements were obtained from especially developed laboratory based Phasor Measurement Unit (PMU) that is utilized in addition to existing commercially based PMU’s. The developed PMU was used in conjunction with the interconnected system along with the commercial PMU’s. The tested studies included a new technique for detecting the partially islanded micro grids in addition to several real-time techniques for synchronization and parameter identifications of hybrid systems. ^ Moreover, due to numerous integration of renewable energy resources through DC microgrids, this dissertation performs several practical cases for improvement of interoperability of such systems. Moreover, increased number of small and dispersed generating stations and their need to connect fast and properly into the AC grids, urged this work to explore the challenges that arise in synchronization of generators to the grid and through introduction of a Dynamic Brake system to improve the process of connecting distributed generators to the power grid.^ Real time operation and control requires data communication security. A research effort in this dissertation was developed based on Trusted Sensing Base (TSB) process for data communication security. The innovative TSB approach improves the security aspect of the power grid as a cyber-physical system. It is based on available GPS synchronization technology and provides protection against confidentiality attacks in critical power system infrastructures. ^

A retrospective-longitudinal examination of the relationship between apportionment of seat time in community-college algebra courses and student academic performance

During the past decade, there has been a dramatic increase by postsecondary institutions in providing academic programs and course offerings in a multitude of formats and venues (Biemiller, 2009; Kucsera & Zimmaro, 2010; Lang, 2009; Mangan, 2008). Strategies pertaining to reapportionment of course-delivery seat time have been a major facet of these institutional initiatives; most notably, within many open-door 2-year colleges. Often, these enrollment-management decisions are driven by the desire to increase market-share, optimize the usage of finite facility capacity, and contain costs, especially during these economically turbulent times. So, while enrollments have surged to the point where nearly one in three 18-to-24 year-old U.S. undergraduates are community college students (Pew Research Center, 2009), graduation rates, on average, still remain distressingly low (Complete College America, 2011). Among the learning-theory constructs related to seat-time reapportionment efforts is the cognitive phenomenon commonly referred to as the spacing effect, the degree to which learning is enhanced by a series of shorter, separated sessions as opposed to fewer, more massed episodes. This ex post facto study explored whether seat time in a postsecondary developmental-level algebra course is significantly related to: course success; course-enrollment persistence; and, longitudinally, the time to successfully complete a general-education-level mathematics course. Hierarchical logistic regression and discrete-time survival analysis were used to perform a multi-level, multivariable analysis of a student cohort (N = 3,284) enrolled at a large, multi-campus, urban community college. The subjects were retrospectively tracked over a 2-year longitudinal period. The study found that students in long seat-time classes tended to withdraw earlier and more often than did their peers in short seat-time classes (p < .05). Additionally, a model comprised of nine statistically significant covariates (all with p-values less than .01) was constructed. However, no longitudinal seat-time group differences were detected nor was there sufficient statistical evidence to conclude that seat time was predictive of developmental-level course success. A principal aim of this study was to demonstrate—to educational leaders, researchers, and institutional-research/business-intelligence professionals—the advantages and computational practicability of survival analysis, an underused but more powerful way to investigate changes in students over time.

A Retrospective-Longitudinal Examination of the Relationship between Apportionment of Seat Time in Community-College Algebra Courses and Student Academic Performance

During the past decade, there has been a dramatic increase by postsecondary institutions in providing academic programs and course offerings in a multitude of formats and venues (Biemiller, 2009; Kucsera & Zimmaro, 2010; Lang, 2009; Mangan, 2008). Strategies pertaining to reapportionment of course-delivery seat time have been a major facet of these institutional initiatives; most notably, within many open-door 2-year colleges. Often, these enrollment-management decisions are driven by the desire to increase market-share, optimize the usage of finite facility capacity, and contain costs, especially during these economically turbulent times. So, while enrollments have surged to the point where nearly one in three 18-to-24 year-old U.S. undergraduates are community college students (Pew Research Center, 2009), graduation rates, on average, still remain distressingly low (Complete College America, 2011). Among the learning-theory constructs related to seat-time reapportionment efforts is the cognitive phenomenon commonly referred to as the spacing effect, the degree to which learning is enhanced by a series of shorter, separated sessions as opposed to fewer, more massed episodes. This ex post facto study explored whether seat time in a postsecondary developmental-level algebra course is significantly related to: course success; course-enrollment persistence; and, longitudinally, the time to successfully complete a general-education-level mathematics course. Hierarchical logistic regression and discrete-time survival analysis were used to perform a multi-level, multivariable analysis of a student cohort (N = 3,284) enrolled at a large, multi-campus, urban community college. The subjects were retrospectively tracked over a 2-year longitudinal period. The study found that students in long seat-time classes tended to withdraw earlier and more often than did their peers in short seat-time classes (p < .05). Additionally, a model comprised of nine statistically significant covariates (all with p-values less than .01) was constructed. However, no longitudinal seat-time group differences were detected nor was there sufficient statistical evidence to conclude that seat time was predictive of developmental-level course success. A principal aim of this study was to demonstrate—to educational leaders, researchers, and institutional-research/business-intelligence professionals—the advantages and computational practicability of survival analysis, an underused but more powerful way to investigate changes in students over time.

Fostering the development of identity and intimacy during late adolescence

This dissertation tested the effectiveness of a psychosocial intervention, the Personal Development in the Context of Relationships (PDCR) program. The aim of the PDCR seeks to foster the development (or enhancement) of a sense of identity and intimacy among adolescents who participate in the program. The PDCR is a psychosocial group intervention which utilizes interpersonal relationship issues as a context to foster personal development in identity formation and facilitate the development of an individual's capacity for intimacy. The PDCR uses intervention strategies which include skills and knowledge development, experiential group exercises, and exploration for insight. Participants consisted of 110 late adolescents. A mixed-subjects design (pre-post-follow up) was used to assess the effectiveness, efficacy and utility of the PDCR on the experimental condition relative to a content/social contact control group and a time control condition. Identity exploration and identity commitment were measured by the Ego Identity Process Questionnaire (EIPQ). Total intimacy and identity role satisfaction were measured by the Erikson Psychosocial Stage Inventory (EPSI). Relationship quality and closeness were measured by the Relationship Quality Scale (RQS) and the Relationship Closeness Inventory (RCI) in an effort to assess whether any potential impact on interpersonal relationships occurs. Mixed MANOVAs were used to analyze the data with results yielding significant values for increased total identity exploration from pre to post test and decreases in total identity commitment from pre to post to follow-up test in the experimental group relative to the control conditions on the EIPQ. Further results indicated increases in total intimacy from pre to post to follow-up test in the experimental group relative to the control conditions on the EPSI. No clear trends emerged from pre to post to follow-up test for the Relationship measures. Results are discussed in terms of both practical and theoretical implications. ^

Secure information flow via stripping and fast simulation

Type systems for secure information flow aim to prevent a program from leaking information from H (high) to L (low) variables. Traditionally, bisimulation has been the prevalent technique for proving the soundness of such systems. This work introduces a new proof technique based on stripping and fast simulation, and shows that it can be applied in a number of cases where bisimulation fails. We present a progressive development of this technique over a representative sample of languages including a simple imperative language (core theory), a multiprocessing nondeterministic language, a probabilistic language, and a language with cryptographic primitives. In the core theory we illustrate the key concepts of this technique in a basic setting. A fast low simulation in the context of transition systems is a binary relation where simulating states can match the moves of simulated states while maintaining the equivalence of low variables; stripping is a function that removes high commands from programs. We show that we can prove secure information flow by arguing that the stripping relation is a fast low simulation. We then extend the core theory to an abstract distributed language under a nondeterministic scheduler. Next, we extend to a probabilistic language with a random assignment command; we generalize fast simulation to the setting of discrete time Markov Chains, and prove approximate probabilistic noninterference. Finally, we introduce cryptographic primitives into the probabilistic language and prove computational noninterference, provided that the underling encryption scheme is secure.