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. ^

Vulnerable identities: Maya Yucatec identities in a postmodern world

In numerous anthropological works there have been preoccupations about the relationships between Indigenous and non-Indigenous peoples. Whatever social researchers have concluded, one thing is consistent: the tendency to interpret ethnographic “data” in terms of binary oppositions. This dissertation reviews the works which have been centered upon binary oppositions, as for instance, in the case of Yucatan, between the Maya and the Dzul—the Yucatec Maya term for white males—and highlights the fact that such works have failed to recognize that within and between each “pole,” or social group there are individuals that have multiple identities, and that do not recognize themselves as belonging to a homogenized “pole.” Instead, these individuals, recognize themselves as belonging to different groups and, therefore, being aware that they have not a single identity but multiple ones. ^ Analogical anthropology is highly criticized because of its emphasis on binary oppositions, its authoritarianism, and the notion of the “Other.” In contrast, dialogical anthropology places great importance on the relationship between the individuals and the anthropologist. A relation in which both, the anthropologist and the subject, are immersed in a dialogue, because of the identification between the writer and the story that is being written. ^ However, anthropologists seem to be more interested in “dialoguing” among themselves rather than with the people that they write about. Indigenous people are relegated, they are voiceless, and, therefore, we keep treating them as “objects,” and not as individuals. This is ironic, precisely because it undermines the aim of the dialogical discourse. ^ In this context, awareness of self-identity or self-identities and the various ways in which Francisco, a good friend and the main character of this dissertation, assumes them, and the way I assume them, within multicultural contexts, leads us along the road to establish and reestablish communication. The methodology is based on four considerations: positioning, fieldwork conversations, self reflexivity and vulnerability. Hence, this dissertation constitutes an attempt to break with authoritarian models of ethnography, it is a dialogue between Francisco and me, a conversation among ourselves. A dialogue that expresses the desire of hearing our voices being echoed by each other. ^

An indexing structure and application model for vehicles moving on road networks

Moving objects database systems are the most challenging sub-category among Spatio-Temporal database systems. A database system that updates in real-time the location information of GPS-equipped moving vehicles has to meet even stricter requirements. Currently existing data storage models and indexing mechanisms work well only when the number of moving objects in the system is relatively small. This dissertation research aimed at the real-time tracking and history retrieval of massive numbers of vehicles moving on road networks. A total solution has been provided for the real-time update of the vehicles' location and motion information, range queries on current and history data, and prediction of vehicles' movement in the near future. ^ To achieve these goals, a new approach called Segmented Time Associated to Partitioned Space (STAPS) was first proposed in this dissertation for building and manipulating the indexing structures for moving objects databases. ^ Applying the STAPS approach, an indexing structure of associating a time interval tree to each road segment was developed for real-time database systems of vehicles moving on road networks. The indexing structure uses affordable storage to support real-time data updates and efficient query processing. The data update and query processing performance it provides is consistent without restrictions such as a time window or assuming linear moving trajectories. ^ An application system design based on distributed system architecture with centralized organization was developed to maximally support the proposed data and indexing structures. The suggested system architecture is highly scalable and flexible. Finally, based on a real-world application model of vehicles moving in region-wide, main issues on the implementation of such a system were addressed. ^

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.

Disturbance frequency and community structure in a twenty-five year intervention study

Models of community regulation commonly incorporate gradients of disturbance inversely related to the role of biotic interactions in regulating intermediate trophic levels. Higher trophic-level organisms are predicted to be more strongly limited by intermediate levels of disturbance than are the organisms they consume. We used a manipulation of the frequency of hydrological disturbance in an intervention analysis to examine its effects on small-fish communities in the Everglades, USA. From 1978 to 2002, we monitored fishes at one long-hydroperiod (average 350 days) and at one short-hydroperiod (average 259 days; monitoring started here in 1985) site. At a third site, managers intervened in 1985 to diminish the frequency and duration of marsh drying. By the late 1990s, the successional dynamics of density and relative abundance at the intervention site converged on those of the long-hydroperiod site. Community change was manifested over 3 to 5 years following a dry-down if a site remained inundated; the number of days since the most recent drying event and length of the preceding dry period were useful for predicting population dynamics. Community dissimilarity was positively correlated with the time since last dry. Community dynamics resulted from change in the relative abundance of three groups of species linked by life-history responses to drought. Drought frequency and intensity covaried in response to hydrological manipulation at the landscape scale; community-level successional dynamics converged on a relatively small range of species compositions when drought return-time extended beyond 4 years. The density of small fishes increased with diminution of drought frequency, consistent with disturbance-limited community structure; less-frequent drying than experienced in this study (i.e., longer return times) yields predator-dominated regulation of small-fish communities in some parts of the Everglades.

Development, validation and uncertainty analysis of quantitative structure and activity relationship models for Log P of disinfection by -products

Hydrophobicity as measured by Log P is an important molecular property related to toxicity and carcinogenicity. With increasing public health concerns for the effects of Disinfection By-Products (DBPs), there are considerable benefits in developing Quantitative Structure and Activity Relationship (QSAR) models capable of accurately predicting Log P. In this research, Log P values of 173 DBP compounds in 6 functional classes were used to develop QSAR models, by applying 3 molecular descriptors, namely, Energy of the Lowest Unoccupied Molecular Orbital (ELUMO), Number of Chlorine (NCl) and Number of Carbon (NC) by Multiple Linear Regression (MLR) analysis. The QSAR models developed were validated based on the Organization for Economic Co-operation and Development (OECD) principles. The model Applicability Domain (AD) and mechanistic interpretation were explored. Considering the very complex nature of DBPs, the established QSAR models performed very well with respect to goodness-of-fit, robustness and predictability. The predicted values of Log P of DBPs by the QSAR models were found to be significant with a correlation coefficient R2 from 81% to 98%. The Leverage Approach by Williams Plot was applied to detect and remove outliers, consequently increasing R 2 by approximately 2% to 13% for different DBP classes. The developed QSAR models were statistically validated for their predictive power by the Leave-One-Out (LOO) and Leave-Many-Out (LMO) cross validation methods. Finally, Monte Carlo simulation was used to assess the variations and inherent uncertainties in the QSAR models of Log P and determine the most influential parameters in connection with Log P prediction. The developed QSAR models in this dissertation will have a broad applicability domain because the research data set covered six out of eight common DBP classes, including halogenated alkane, halogenated alkene, halogenated aromatic, halogenated aldehyde, halogenated ketone, and halogenated carboxylic acid, which have been brought to the attention of regulatory agencies in recent years. Furthermore, the QSAR models are suitable to be used for prediction of similar DBP compounds within the same applicability domain. The selection and integration of various methodologies developed in this research may also benefit future research in similar fields.

Chlorine contribution to quantitative structure and activity relationship models of disinfection by -products' quantum chemical descriptors and toxicities

Quantitative Structure-Activity Relationship (QSAR) has been applied extensively in predicting toxicity of Disinfection By-Products (DBPs) in drinking water. Among many toxicological properties, acute and chronic toxicities of DBPs have been widely used in health risk assessment of DBPs. These toxicities are correlated with molecular properties, which are usually correlated with molecular descriptors. The primary goals of this thesis are: (1) to investigate the effects of molecular descriptors (e.g., chlorine number) on molecular properties such as energy of the lowest unoccupied molecular orbital (E LUMO) via QSAR modelling and analysis; (2) to validate the models by using internal and external cross-validation techniques; (3) to quantify the model uncertainties through Taylor and Monte Carlo Simulation. One of the very important ways to predict molecular properties such as ELUMO is using QSAR analysis. In this study, number of chlorine (NCl ) and number of carbon (NC) as well as energy of the highest occupied molecular orbital (EHOMO) are used as molecular descriptors. There are typically three approaches used in QSAR model development: (1) Linear or Multi-linear Regression (MLR); (2) Partial Least Squares (PLS); and (3) Principle Component Regression (PCR). In QSAR analysis, a very critical step is model validation after QSAR models are established and before applying them to toxicity prediction. The DBPs to be studied include five chemical classes: chlorinated alkanes, alkenes, and aromatics. In addition, validated QSARs are developed to describe the toxicity of selected groups (i.e., chloro-alkane and aromatic compounds with a nitro- or cyano group) of DBP chemicals to three types of organisms (e.g., Fish, T. pyriformis, and P.pyosphoreum) based on experimental toxicity data from the literature. The results show that: (1) QSAR models to predict molecular property built by MLR, PLS or PCR can be used either to select valid data points or to eliminate outliers; (2) The Leave-One-Out Cross-Validation procedure by itself is not enough to give a reliable representation of the predictive ability of the QSAR models, however, Leave-Many-Out/K-fold cross-validation and external validation can be applied together to achieve more reliable results; (3) E LUMO are shown to correlate highly with the NCl for several classes of DBPs; and (4) According to uncertainty analysis using Taylor method, the uncertainty of QSAR models is contributed mostly from NCl for all DBP classes.

An Indexing Structure and Application Model for Vehicles Moving on Road Networks

Moving objects database systems are the most challenging sub-category among Spatio-Temporal database systems. A database system that updates in real-time the location information of GPS-equipped moving vehicles has to meet even stricter requirements. Currently existing data storage models and indexing mechanisms work well only when the number of moving objects in the system is relatively small. This dissertation research aimed at the real-time tracking and history retrieval of massive numbers of vehicles moving on road networks. A total solution has been provided for the real-time update of the vehicles’ location and motion information, range queries on current and history data, and prediction of vehicles’ movement in the near future. To achieve these goals, a new approach called Segmented Time Associated to Partitioned Space (STAPS) was first proposed in this dissertation for building and manipulating the indexing structures for moving objects databases. Applying the STAPS approach, an indexing structure of associating a time interval tree to each road segment was developed for real-time database systems of vehicles moving on road networks. The indexing structure uses affordable storage to support real-time data updates and efficient query processing. The data update and query processing performance it provides is consistent without restrictions such as a time window or assuming linear moving trajectories. An application system design based on distributed system architecture with centralized organization was developed to maximally support the proposed data and indexing structures. The suggested system architecture is highly scalable and flexible. Finally, based on a real-world application model of vehicles moving in region-wide, main issues on the implementation of such a system were addressed.

Chlorine Contribution to Quantitative Structure and Activity Relationship Models of Disinfection By-Products' Quantum Chemical Descriptors and Toxicities

Quantitative Structure-Activity Relationship (QSAR) has been applied extensively in predicting toxicity of Disinfection By-Products (DBPs) in drinking water. Among many toxicological properties, acute and chronic toxicities of DBPs have been widely used in health risk assessment of DBPs. These toxicities are correlated with molecular properties, which are usually correlated with molecular descriptors. The primary goals of this thesis are: 1) to investigate the effects of molecular descriptors (e.g., chlorine number) on molecular properties such as energy of the lowest unoccupied molecular orbital (ELUMO) via QSAR modelling and analysis; 2) to validate the models by using internal and external cross-validation techniques; 3) to quantify the model uncertainties through Taylor and Monte Carlo Simulation. One of the very important ways to predict molecular properties such as ELUMO is using QSAR analysis. In this study, number of chlorine (NCl) and number of carbon (NC) as well as energy of the highest occupied molecular orbital (EHOMO) are used as molecular descriptors. There are typically three approaches used in QSAR model development: 1) Linear or Multi-linear Regression (MLR); 2) Partial Least Squares (PLS); and 3) Principle Component Regression (PCR). In QSAR analysis, a very critical step is model validation after QSAR models are established and before applying them to toxicity prediction. The DBPs to be studied include five chemical classes: chlorinated alkanes, alkenes, and aromatics. In addition, validated QSARs are developed to describe the toxicity of selected groups (i.e., chloro-alkane and aromatic compounds with a nitro- or cyano group) of DBP chemicals to three types of organisms (e.g., Fish, T. pyriformis, and P.pyosphoreum) based on experimental toxicity data from the literature. The results show that: 1) QSAR models to predict molecular property built by MLR, PLS or PCR can be used either to select valid data points or to eliminate outliers; 2) The Leave-One-Out Cross-Validation procedure by itself is not enough to give a reliable representation of the predictive ability of the QSAR models, however, Leave-Many-Out/K-fold cross-validation and external validation can be applied together to achieve more reliable results; 3) ELUMO are shown to correlate highly with the NCl for several classes of DBPs; and 4) According to uncertainty analysis using Taylor method, the uncertainty of QSAR models is contributed mostly from NCl for all DBP classes.