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. ^

Think before you eat: Calories and exercise equivalents presented on menus at point-of-choice

Although calorie information at the point-of-purchase at fast food restaurants is proposed as a method to decrease calorie choices and combat obesity, research results have been mixed. Much of the supportive research has weak methodology, and is limited. There is a demonstrated need to develop better techniques to assist consumers to make lower calorie food choices. Eating at fast food restaurants has been positively associated with weight gain. The current study explored the possibility of adding exercise equivalents (EE) (physical activity required to burn off the calories in the food), along with calorie information as a possible way to facilitate lower calorie choice at the point-of-choice in fast food restaurants. This three-group experimental study, in 18-34 year old, overweight and obese women, examines whether presenting caloric information in the form of EE at the point-of-choice at fast food restaurants, will lead to lower calorie food choices compared to presenting simple caloric information or no information at all. Methods. A randomized repeated measures experiment was conducted. Participants ordered a fast food meal from Burger King with menus that contained only the names of the food choices (Lunch 1). One week later (Lunch 2), study participants were given one of three menus that varied: no information, calorie information, or calorie information and EE. Study participants included 62 college aged students. Additionally, the study controlled for dietary restraint by blocking participants, before randomization, to the three groups. Results. A repeated measures analysis of variance was conducted. The study was not sufficiently powered, and while the study was designed to determine large effect sizes, a small effect size of .026, was determined. No significant differences were found in the foods ordered among the various menu conditions. Conclusion. Menu labeling alone might not be enough to reduce calories at the point-of-choice at restaurants. Additional research is necessary to determine if calorie information and EE at the point-of-choice would lead to fewer calories chosen at a meal. Studies should also look at long-term, repeated exposure to determine the effectiveness of calories and or EE at the point-of-choice at fast food restaurants.

Think Before You Eat: Calories and Exercise Equivalents Presented on Menus at Point-of-Choice

Although calorie information at the point-of-purchase at fast food restaurants is proposed as a method to decrease calorie choices and combat obesity, research results have been mixed. Much of the supportive research has weak methodology, and is limited. There is a demonstrated need to develop better techniques to assist consumers to make lower calorie food choices. Eating at fast food restaurants has been positively associated with weight gain. The current study explored the possibility of adding exercise equivalents (EE) (physical activity required to burn off the calories in the food), along with calorie information as a possible way to facilitate lower calorie choice at the point-of-choice in fast food restaurants. This three-group experimental study, in 18-34 year old, overweight and obese women, examines whether presenting caloric information in the form of EE at the point-of-choice at fast food restaurants, will lead to lower calorie food choices compared to presenting simple caloric information or no information at all. Methods: A randomized repeated measures experiment was conducted. Participants ordered a fast food meal from Burger King with menus that contained only the names of the food choices (Lunch 1). One week later (Lunch 2), study participants were given one of three menus that varied: no information, calorie information, or calorie information and EE. Study participants included 62 college aged students. Additionally, the study controlled for dietary restraint by blocking participants, before randomization, to the three groups. Results: A repeated measures analysis of variance was conducted. The study was not sufficiently powered, and while the study was designed to determine large effect sizes, a small effect size of .026, was determined. No significant differences were found in the foods ordered among the various menu conditions. Conclusion: Menu labeling alone might not be enough to reduce calories at the point-of-choice at restaurants. Additional research is necessary to determine if calorie information and EE at the point-of-choice would lead to fewer calories chosen at a meal. Studies should also look at long-term, repeated exposure to determine the effectiveness of calories and or EE at the point-of-choice at fast food restaurants.

Electrochemical Immunosensing of Cortisol in an Automated Microfluidic System Towards Point-of-Care Applications

This dissertation describes the development of a label-free, electrochemical immunosensing platform integrated into a low-cost microfluidic system for the sensitive, selective and accurate detection of cortisol, a steroid hormone co-related with many physiological disorders. Abnormal levels of cortisol is indicative of conditions such as Cushing’s syndrome, Addison’s disease, adrenal insufficiencies and more recently post-traumatic stress disorder (PTSD). Electrochemical detection of immuno-complex formation is utilized for the sensitive detection of Cortisol using Anti-Cortisol antibodies immobilized on sensing electrodes. Electrochemical detection techniques such as cyclic voltammetry (CV) and electrochemical impedance spectroscopy (EIS) have been utilized for the characterization and sensing of the label-free detection of Cortisol. The utilization of nanomaterial’s as the immobilizing matrix for Anti-cortisol antibodies that leads to improved sensor response has been explored. A hybrid nano-composite of Polyanaline-Ag/AgO film has been fabricated onto Au substrate using electrophoretic deposition for the preparation of electrochemical immunosening of cortisol. Using a conventional 3-electrode electrochemical cell, a linear sensing range of 1pM to 1µM at a sensitivity of 66µA/M and detection limit of 0.64pg/mL has been demonstrated for detection of cortisol. Alternately, a self-assembled monolayer (SAM) of dithiobis(succinimidylpropionte) (DTSP) has been fabricated for the modification of sensing electrode to immobilize with Anti-Cortisol antibodies. To increase the sensitivity at lower detection limit and to develop a point-of-care sensing platform, the DTSP-SAM has been fabricated on micromachined interdigitated microelectrodes (µIDE). Detection of cortisol is demonstrated at a sensitivity of 20.7µA/M and detection limit of 10pg/mL for a linear sensing range of 10pM to 200nM using the µIDE’s. A simple, low-cost microfluidic system is designed using low-temperature co-fired ceramics (LTCC) technology for the integration of the electrochemical cortisol immunosensor and automation of the immunoassay. For the first time, the non-specific adsorption of analyte on LTCC has been characterized for microfluidic applications. The design, fabrication technique and fluidic characterization of the immunoassay are presented. The DTSP-SAM based electrochemical immunosensor on µIDE is integrated into the LTCC microfluidic system and cortisol detection is achieved in the microfluidic system in a fully automated assay. The fully automated microfluidic immunosensor hold great promise for accurate, sensitive detection of cortisol in point-of-care applications.

System-on-a-Chip (SOC) based environmental monitoring platform for the detection of hazardous materials

The purpose of this research is design considerations for environmental monitoring platforms for the detection of hazardous materials using System-on-a-Chip (SoC) design. Design considerations focus on improving key areas such as: (1) sampling methodology; (2) context awareness; and (3) sensor placement. These design considerations for environmental monitoring platforms using wireless sensor networks (WSN) is applied to the detection of methylmercury (MeHg) and environmental parameters affecting its formation (methylation) and deformation (demethylation). ^ The sampling methodology investigates a proof-of-concept for the monitoring of MeHg using three primary components: (1) chemical derivatization; (2) preconcentration using the purge-and-trap (P&T) method; and (3) sensing using Quartz Crystal Microbalance (QCM) sensors. This study focuses on the measurement of inorganic mercury (Hg) (e.g., Hg2+) and applies lessons learned to organic Hg (e.g., MeHg) detection. ^ Context awareness of a WSN and sampling strategies is enhanced by using spatial analysis techniques, namely geostatistical analysis (i.e., classical variography and ordinary point kriging), to help predict the phenomena of interest in unmonitored locations (i.e., locations without sensors). This aids in making more informed decisions on control of the WSN (e.g., communications strategy, power management, resource allocation, sampling rate and strategy, etc.). This methodology improves the precision of controllability by adding potentially significant information of unmonitored locations.^ There are two types of sensors that are investigated in this study for near-optimal placement in a WSN: (1) environmental (e.g., humidity, moisture, temperature, etc.) and (2) visual (e.g., camera) sensors. The near-optimal placement of environmental sensors is found utilizing a strategy which minimizes the variance of spatial analysis based on randomly chosen points representing the sensor locations. Spatial analysis is employed using geostatistical analysis and optimization occurs with Monte Carlo analysis. Visual sensor placement is accomplished for omnidirectional cameras operating in a WSN using an optimal placement metric (OPM) which is calculated for each grid point based on line-of-site (LOS) in a defined number of directions where known obstacles are taken into consideration. Optimal areas of camera placement are determined based on areas generating the largest OPMs. Statistical analysis is examined by using Monte Carlo analysis with varying number of obstacles and cameras in a defined space. ^

Foundations of quantitative information flow: Channels, cascades, and the information order

Secrecy is fundamental to computer security, but real systems often cannot avoid leaking some secret information. For this reason, the past decade has seen growing interest in quantitative theories of information flow that allow us to quantify the information being leaked. Within these theories, the system is modeled as an information-theoretic channel that specifies the probability of each output, given each input. Given a prior distribution on those inputs, entropy-like measures quantify the amount of information leakage caused by the channel. ^ This thesis presents new results in the theory of min-entropy leakage. First, we study the perspective of secrecy as a resource that is gradually consumed by a system. We explore this intuition through various models of min-entropy consumption. Next, we consider several composition operators that allow smaller systems to be combined into larger systems, and explore the extent to which the leakage of a combined system is constrained by the leakage of its constituents. Most significantly, we prove upper bounds on the leakage of a cascade of two channels, where the output of the first channel is used as input to the second. In addition, we show how to decompose a channel into a cascade of channels. ^ We also establish fundamental new results about the recently-proposed g-leakage family of measures. These results further highlight the significance of channel cascading. We prove that whenever channel A is composition refined by channel B, that is, whenever A is the cascade of B and R for some channel R, the leakage of A never exceeds that of B, regardless of the prior distribution or leakage measure (Shannon leakage, guessing entropy leakage, min-entropy leakage, or g-leakage). Moreover, we show that composition refinement is a partial order if we quotient away channel structure that is redundant with respect to leakage alone. These results are strengthened by the proof that composition refinement is the only way for one channel to never leak more than another with respect to g-leakage. Therefore, composition refinement robustly answers the question of when a channel is always at least as secure as another from a leakage point of view.^