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. ^

Ecosystem Structure and Function Still Altered Two Decades After Short-Term Fertilization of a Seagrass Meadow

An oligotrophic phosphorus (P) limited seagrass ecosystem in Florida Bay was experimentally fertilized in a unique way. Perches were installed to encourage seabirds to roost and deliver an external source of nutrients via defecation. Two treatments were examined: (1) a chronic 23-year fertilization and (2) an earlier 28-month fertilization that was discontinued when the chronic treatment was initiated. Because of the low mobility of P in carbonate sediments, we hypothesized long-term changes to ecosystem structure and function in both treatments. Structural changes in the chronic treatment included a shift in the dominant seagrass species from Thalassia testudinum to Halodule wrightii, large increases in epiphytic biomass and sediment chlorophyll-a, and a decline in species richness. Functional changes included increased benthic metabolism and quantum efficiency. Initial changes in the 28-month fertilization were similar, but after 23 years of nutrient depuration T. testudinum has reestablished itself as the dominant species. However, P remains elevated in the sediment and H. wrightii has maintained a presence. Functionally the discontinued treatment remains altered. Biomass exceeds that in the chronic treatment and indices of productivity, elevated relative to control, are not different from the chronic fertilization. Cessation of nutrient loading has resulted in a superficial return to the pre-disturbance character of the community, but due to the nature of P cycles functional changes persist.

Short-term changes in phosphorus storage in an oligotrophic Everglades wetland ecosystem receiving experimental nutrient enrichment

Natural, unenriched Everglades wetlands are known to be limited by phosphorus (P) and responsive to P enrichment. However, whole-ecosystem evaluations of experimental P additions are rare in Everglades or other wetlands. We tested the response of the Everglades wetland ecosystem to continuous, low-level additions of P (0, 5, 15, and 30 μg L−1 above ambient) in replicate, 100 m flow-through flumes located in unenriched Everglades National Park. After the first six months of dosing, the concentration and standing stock of phosphorus increased in the surface water, periphyton, and flocculent detrital layer, but not in the soil or macrophytes. Of the ecosystem components measured, total P concentration increased the most in the floating periphyton mat (30 μg L−1: mean = 1916 μg P g−1, control: mean = 149 μg P g−1), while the flocculent detrital layer stored most of the accumulated P (30 μg L−1: mean = 1.732 g P m−2, control: mean = 0.769 g P m−2). Significant short-term responses of P concentration and standing stock were observed primarily in the high dose (30 μg L−1 above ambient) treatment. In addition, the biomass and estimated P standing stock of aquatic consumers increased in the 30 and 5 μg L−1 treatments. Alterations in P concentration and standing stock occurred only at the upstream ends of the flumes nearest to the point source of added nutrient. The total amount of P stored by the ecosystem within the flume increased with P dosing, although the ecosystem in the flumes retained only a small proportion of the P added over the first six months. These results indicate that oligotrophic Everglades wetlands respond rapidly to short-term, low-level P enrichment, and the initial response is most noticeable in the periphyton and flocculent detrital layer.

Developing performance measures of mangrove wetlands using simulation models of hydrology, nutrient biogeochemistry, and community dynamics

The goal of mangrove restoration projects should be to improve community structure and ecosystem function of degraded coastal landscapes. This requires the ability to forecast how mangrove structure and function will respond to prescribed changes in site conditions including hydrology, topography, and geophysical energies. There are global, regional, and local factors that can explain gradients of regulators (e.g., salinity, sulfides), resources (nutrients, light, water), and hydroperiod (frequency, duration of flooding) that collectively account for stressors that result in diverse patterns of mangrove properties across a variety of environmental settings. Simulation models of hydrology, nutrient biogeochemistry, and vegetation dynamics have been developed to forecast patterns in mangroves in the Florida Coastal Everglades. These models provide insight to mangrove response to specific restoration alternatives, testing causal mechanisms of system degradation. We propose that these models can also assist in selecting performance measures for monitoring programs that evaluate project effectiveness. This selection process in turn improves model development and calibration for forecasting mangrove response to restoration alternatives. Hydrologic performance measures include soil regulators, particularly soil salinity, surface topography of mangrove landscape, and hydroperiod, including both the frequency and duration of flooding. Estuarine performance measures should include salinity of the bay, tidal amplitude, and conditions of fresh water discharge (included in the salinity value). The most important performance measures from the mangrove biogeochemistry model should include soil resources (bulk density, total nitrogen, and phosphorus) and soil accretion. Mangrove ecology performance measures should include forest dimension analysis (transects and/or plots), sapling recruitment, leaf area index, and faunal relationships. Estuarine ecology performance measures should include the habitat function of mangroves, which can be evaluated with growth rate of key species, habitat suitability analysis, isotope abundance of indicator species, and bird census. The list of performance measures can be modified according to the model output that is used to define the scientific goals during the restoration planning process that reflect specific goals of the project.

Short-term changes in phosphorus storage in an oligotrophic Everglades wetland ecosystem receiving experimental nutrient enrichment

Natural, unenriched Evergladeswetlands are known to be limited by phosphorus(P) and responsive to P enrichment. However,whole-ecosystem evaluations of experimental Padditions are rare in Everglades or otherwetlands. We tested the response of theEverglades wetland ecosystem to continuous,low-level additions of P (0, 5, 15, and30 μg L−1 above ambient) in replicate,100 m flow-through flumes located in unenrichedEverglades National Park. After the first sixmonths of dosing, the concentration andstanding stock of phosphorus increased in thesurface water, periphyton, and flocculentdetrital layer, but not in the soil or macrophytes. Of the ecosystem components measured, total P concentration increased the most in the floating periphyton mat (30 μg L−1: mean = 1916 μg P g−1, control: mean =149 μg P g−1), while the flocculentdetrital layer stored most of the accumulated P(30 μg L−1: mean = 1.732 g P m−2,control: mean = 0.769 g P m−2). Significant short-term responsesof P concentration and standing stock wereobserved primarily in the high dose (30 μgL−1 above ambient) treatment. Inaddition, the biomass and estimated P standingstock of aquatic consumers increased in the 30and 5 μg L−1 treatments. Alterationsin P concentration and standing stock occurredonly at the upstream ends of the flumes nearestto the point source of added nutrient. Thetotal amount of P stored by the ecosystemwithin the flume increased with P dosing,although the ecosystem in the flumes retainedonly a small proportion of the P added over thefirst six months. These results indicate thatoligotrophic Everglades wetlands respondrapidly to short-term, low-level P enrichment,and the initial response is most noticeable inthe periphyton and flocculent detrital layer.