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. ^

Intra-Population Variation in Activity Ranges, Diel Patterns, Movement Rates, and Habitat Use of American Alligators in a Subtropical Estuary

Movement and habitat use patterns are fundamental components of the behaviors of mobile animals and help determine the scale and types of interactions they have with their environments. These behaviors are especially important to quantify for top predators because they can have strong effects on lower trophic levels as well as the wider ecosystem. Many studies of top predator movement and habitat use focus on general population level trends, which may overlook important intra-population variation in behaviors that now appear to be common. In an effort to better understand the prevalence of intra-population variation in top predator movement behaviors and the potential effects of such variation on ecosystem dynamics, we examined the movement and habitat use patterns of a population of adult American alligators (Alligator mississippiensis) in a subtropical estuary for nearly four years. We found that alligators exhibited divergent behaviors with respect to activity ranges, movement rates, and habitat use, and that individualized behaviors were stable over multiple years. We also found that the variations across the three behavioral metrics were correlated such that consistent behavioral types emerged, specifically more exploratory individuals and more sedentary individuals. Our study demonstrates that top predator populations can be characterized by high degrees of intra-population variation in terms of movement and habitat use behaviors that could lead to individuals filling different ecological roles in the same ecosystem. By extension, one-size-fits-all ecosystem and species-specific conservation and management strategies that do not account for potential intra-population variation in top predator behaviors may not produce the desired outcomes in all cases.

Slow Isotope Turnover Rates and Low Discrimination Values in the American Alligator: Implications for Interpretation of Ectotherm Stable Isotope Data

Stable isotope analysis has become a standard ecological tool for elucidating feeding relationships of organisms and determining food web structure and connectivity. There remain important questions concerning rates at which stable isotope values are incorporated into tissues (turnover rates) and the change in isotope value between a tissue and a food source (discrimination values). These gaps in our understanding necessitate experimental studies to adequately interpret field data. Tissue turnover rates and discrimination values vary among species and have been investigated in a broad array of taxa. However, little attention has been paid to ectothermic top predators in this regard. We quantified the turnover rates and discrimination values for three tissues (scutes, red blood cells, and plasma) in American alligators (Alligator mississippiensis). Plasma turned over faster than scutes or red blood cells, but turnover rates of all three tissues were very slow in comparison to those in endothermic species. Alligator δ15N discrimination values were surprisingly low in comparison to those of other top predators and varied between experimental and control alligators. The variability of δ15N discrimination values highlights the difficulties in using δ15N to assign absolute and possibly even relative trophic levels in field studies. Our results suggest that interpreting stable isotope data based on parameter estimates from other species can be problematic and that large ectothermic tetrapod tissues may be characterized by unique stable isotope dynamics relative to species occupying lower trophic levels and endothermic tetrapods.

Ecosystem responses to hydrologic change and mechanisms of nitrogen sequestration in seasonally flooded tree islands of the southern Everglades

In the Florida Everglades, tree islands are conspicuous heterogeneous elements in a complex wetland landscape. I investigated the effects of increased freshwater flow in southern Everglades seasonally flooded tree islands, and characterized biogeochemical interactions among tree islands and the marsh landscape matrix, specifically examining hydrologic flows of nitrogen (N), and landscape N sequestration capacity. I utilized ecological trajectories of key ecosystem variables to differentiate effects of increased sheetflow and hydroperiod. I utilized stable isotope analyses and nutrient content of tree island ecosystem components to test the hypothesis that key processes in tree island nitrogen cycling would favor ecosystem N sequestration. I combined estimates of tree island ecosystem N standing stocks and fluxes, soil and litter N transformation rates, and hydrologic inputs of N to quantify the net sequestration of N by a seasonally flooded tree island. ^ Results show that increased freshwater flow to seasonally flooded tree islands promoted ecosystem oligotrophy, whereas reduced flows allowed some plant species to cycle P less efficiently. As oligotrophy is a defining parameter of Everglades wetlands, and likely promotes belowground production and peat development, reintroducing freshwater flow from an upstream canal had a favorable effect on ecosystem dynamics of tree islands in the study area. Important factors influencing the stable isotopic composition of nitrogen and carbon were: (1) a contribution to soil N by soil invertebrates, animal excrement, and microbes, (2) a possible NO3 source from an upstream canal and an "open" ecosystem N cycle, and (3) greater availability of phosphorus in tree islands relative to the marsh landscape, suggesting that tree island N cycling favors N sequestration. Hydrologic sources of N were dominated by surface water loads of NO3- and NH 4+, and an important soil N transformation promoting the net loss of surface water DIN was nitrate immobilization associated with soils and surficial leaf litter. The net inorganic N sequestration capacity of a seasonally flooded tree island was 50 g yr-1 m -2. Thus, tree islands likely have an important function in landscape sequestration of inorganic N, and may reduce significant anthropogenic N loads to downstream coastal systems. ^

The relationship between a retention program and the persistence and graduation rates of first-generation low-income students at an urban, public university

The purpose of this study was to examine the relationship between participation in a retention program designed to promote academic and social integration and the persistence rates of first generation, low-income college students at an urban, public multiethnic university. Archival data were collected from the university’s Office of Institutional Research and the retention program office and included SAT/ACT scores, GPA, gender, ethnicity, and program participation data. A total of 292 first-generation, low-income students who were admitted to the university in the summer of 1999 were identified for the study. A group of 166 students were selected for the comparison group because they had not participated in the retention program; 126 students had participated in the retention program. ^ Three major research questions guided this study: (a) Are there differences in persistence rates and other academic characteristics of underprepared, low-income, first generation college students who participate and do not participate in the retention program?; (b) Does involvement in the retention program predict student persistence of first generation low-income, underprepared students?, and (c) Can predictors of GPA be identified for students in the retention program using program and descriptive variables? ^ A series of logistic regression analyses were conducted to assess the relationship between various retention services and the persistence and graduation rates of participants. The results showed that there were statistically significant relationships between participation and non-participation in the retention program and having higher GPAs and higher graduation and persistence rates. Of the four program features, participation in tutoring, workshops, and social events were found to be predictors of graduation. College GPA was also found to be a predictor of graduation for all students. The results also showed that women were more likely to graduate than men.^