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. ^

Effects of an extreme temperature event on the behavior and age structure of an estuarine top predator, Carcharhinus leucas

The frequency of extreme environmental events is predicted to increase in the future. Understanding the short- and long-term impacts of these extreme events on large-bodied predators will provide insight into the spatial and temporal scales at which acute environmental disturbances in top-down processes may persist within and across ecosystems. Here, we use long-term studies of movements and age structure of an estuarine top predator—juvenile bull sharks Carcharhinus leucas—to identify the effects of an extreme ‘cold snap’ from 2 to 13 January 2010 over short (weeks) to intermediate (months) time scales. Juvenile bull sharks are typically year-round residents of the Shark River Estuary until they reach 3 to 5 yr of age. However, acoustic telemetry revealed that almost all sharks either permanently left the system or died during the cold snap. For 116 d after the cold snap, no sharks were detected in the system with telemetry or captured during longline sampling. Once sharks returned, both the size structure and abundance of the individuals present in the nursery had changed considerably. During 2010, individual longlines were 70% less likely to capture any sharks, and catch rates on successful longlines were 40% lower than during 2006−2009. Also, all sharks caught after the cold snap were young-of-the-year or neonates, suggesting that the majority of sharks in the estuary were new recruits and several cohorts had been largely lost from the nursery. The longer-term impacts of this change in bull shark abundance to the trophic dynamics of the estuary and the importance of episodic disturbances to bull shark population dynamics will require continued monitoring, but are of considerable interest because of the ecological roles of bull sharks within coastal estuaries and oceans.

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.

Empirical study of exchange rates in Brazil, Canada and the Caribbean

This dissertation examines the monetary models of exchange rate determination for Brazil, Canada, and two countries in the Caribbean, namely, the Dominican Republic and Jamaica. With the exception of Canada, the others adopted the floating regime during the past ten years.^ The empirical validity of four seminal models in exchange rate economics were determined. Three of these models were entirely classical (Bilson and Frenkel) or Keynesian (Dornbusch) in nature. The fourth model (Real Interest Differential Model) was a mixture of the two schools of economic theory.^ There is no clear empirical evidence of the validity of the monetary models. However, the signs of the coefficients of the nominal interest differential variable were as predicted by the Keynesian hypothesis in the case of Canada and as predicted by the Chicago theorists in the remaining countries. Moreover, in case of Brazil, due to hyperinflation, the exchange rate is heavily influenced by domestic money supply.^ I also tested the purchasing power parity (PPP) for this same set of countries. For both the monetary as well as the PPP hypothesis, I tested for co-integration and applied ordinary least squares estimation procedure. The error correction model was also used for the PPP model, to determine convergence to equilibrium.^ The validity of PPP is also questionable for my set of countries. Endogeinity among the regressors as well as the lack of proper price indices are the contributing factors. More importantly, Central Bank intervention negate rapid adjustment of price and exchange rates to their equilibrium value. However, its forecasting capability for the period 1993-1994 is superior compared to the monetary models in two of the four cases.^ I conclude that in spite of the questionable validity of these models, the monetary models give better results in the case of the "smaller" economies like the Dominican Republic and Jamaica where monetary influences swamp the other determinants of exchange rate. ^

The structure of games

Computer Game Playing has been an active area of research since Samuel’s first Checkers player (Samuel 1959). Recently interest beyond the classic games of Chess and Checkers has led to competitions such as the General Game Playing competition, in which players have no beforehand knowledge of the games they are to play, and the Computer Poker Competition which force players to reason about imperfect information under conditions of uncertainty. The purpose of this dissertation is to explore the area of General Game Playing both specifically and generally. On the specific side, we describe the design and implementation of our General Game Playing system OGRE. This system includes an innovative method for feature extraction that helped it to achieve second and fourth place in two international General Game Playing competitions. On the more general side, we also introduce the Regular Game Language, which goes beyond current works to provide support for both stochastic and imperfect information games as well as the more traditional games.

Long-Term Effects of Adding Nutrients to an Oligotrophic Coastal Environment

Management of ecological disturbances requires an understanding of the time scale and dynamics of community responses to disturbance events. To characterize long-term seagrass bed responses to nutrient enrichment, we established six study sites in Florida Bay, USA. In 24 plots (0.25 m2) at each site, we regularly added nitrogen (N) and phosphorus (P) in a factorial design for 7 years. Five of the six sites exhibited strong P limitation. Over the first 2 years, P enrichment increased Thalassia testudinum cover in the three most P-limited sites. After 3 years, Halodule wrightii began to colonize many of the P-addition plots, but the degree of colonization was variable among sites, possibly due to differences in the supply of viable propagules. Thalassia increased its allocation to aboveground tissue in response to P enrichment; Halodule increased in total biomass but did not appear to change its aboveground: belowground tissue allocation. Nutrient enrichment did not cause macroalgal or epiphytic overgrowth of the seagrass. Nitrogen retention in the study plots was variable but relatively low, whereas phosphorus retention was very high, often exceeding 100% of the P added as fertilizer over the course of our experiments. Phosphorus retentions exceeding 100% may have been facilitated by increases in Thalassia aboveground biomass, which promoted the settlement of suspended particulate matter containing phosphorus. Our study demonstrated that lowintensity press disturbance events such as phosphorus enrichment can initiate a slow, ramped successional process that may alter community structure over many years.

Macroalgae Decrease Growth and Alter Microbial Community Structure of the Reef-Building Coral, Porites astreoides

With the continued and unprecedented decline of coral reefs worldwide, evaluating the factors that contribute to coral demise is of critical importance. As coral cover declines, macroalgae are becoming more common on tropical reefs. Interactions between these macroalgae and corals may alter the coral microbiome, which is thought to play an important role in colony health and survival. Together, such changes in benthic macroalgae and in the coral microbiome may result in a feedback mechanism that contributes to additional coral cover loss. To determine if macroalgae alter the coral microbiome, we conducted a field-based experiment in which the coral Porites astreoides was placed in competition with five species of macroalgae. Macroalgal contact increased variance in the coral-associated microbial community, and two algal species significantly altered microbial community composition. All macroalgae caused the disappearance of a γ-proteobacterium previously hypothesized to be an important mutualist of P. astreoides. Macroalgal contact also triggered: 1) increases or 2) decreases in microbial taxa already present in corals, 3) establishment of new taxa to the coral microbiome, and 4) vectoring and growth of microbial taxa from the macroalgae to the coral. Furthermore, macroalgal competition decreased coral growth rates by an average of 36.8%. Overall, this study found that competition between corals and certain species of macroalgae leads to an altered coral microbiome, providing a potential mechanism by which macroalgae-coral interactions reduce coral health and lead to coral loss on impacted reefs.

The Structure of Games

Computer Game Playing has been an active area of research since Samuel’s first Checkers player (Samuel 1959). Recently interest beyond the classic games of Chess and Checkers has led to competitions such as the General Game Playing competition, in which players have no beforehand knowledge of the games they are to play, and the Computer Poker Competition which force players to reason about imperfect information under conditions of uncertainty. The purpose of this dissertation is to explore the area of General Game Playing both specifically and generally. On the specific side, we describe the design and implementation of our General Game Playing system OGRE. This system includes an innovative method for feature extraction that helped it to achieve second and fourth place in two international General Game Playing competitions. On the more general side, we also introduce the Regular Game Language, which goes beyond current works to provide support for both stochastic and imperfect information games as well as the more traditional games.