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. ^

Reliability analysis of encapsulation methods for lead -based paint through an accelerated life testing

The adverse health effects of long-term exposure to lead are well established, with major uptake into the human body occurring mainly through oral ingestion by young children. Lead-based paint was frequently used in homes built before 1978, particularly in inner-city areas. Minority populations experience the effects of lead poisoning disproportionately. ^ Lead-based paint abatement is costly. In the United States, residents of about 400,000 homes, occupied by 900,000 young children, lack the means to correct lead-based paint hazards. The magnitude of this problem demands research on affordable methods of hazard control. One method is encapsulation, defined as any covering or coating that acts as a permanent barrier between the lead-based paint surface and the environment. ^ Two encapsulants were tested for reliability and effective life span through an accelerated lifetime experiment that applied stresses exceeding those encountered under normal use conditions. The resulting time-to-failure data were used to extrapolate the failure time under conditions of normal use. Statistical analysis and models of the test data allow forecasting of long-term reliability relative to the 20-year encapsulation requirement. Typical housing material specimens simulating walls and doors coated with lead-based paint were overstressed before encapsulation. A second, un-aged set was also tested. Specimens were monitored after the stress test with a surface chemical testing pad to identify the presence of lead breaking through the encapsulant. ^ Graphical analysis proposed by Shapiro and Meeker and the general log-linear model developed by Cox were used to obtain results. Findings for the 80% reliability time to failure varied, with close to 21 years of life under normal use conditions for encapsulant A. The application of product A on the aged gypsum and aged wood substrates yielded slightly lower times. Encapsulant B had an 80% reliable life of 19.78 years. ^ This study reveals that encapsulation technologies can offer safe and effective control of lead-based paint hazards and may be less expensive than other options. The U.S. Department of Health and Human Services and the CDC are committed to eliminating childhood lead poisoning by 2010. This ambitious target is feasible, provided there is an efficient application of innovative technology, a goal to which this study aims to contribute. ^

Private higher education policy in Ohio, 1980--2006: A case study demonstrating the usefulness of Zumeta's public policy posture model

This study describes the case of private higher education in Ohio between 1980 and 2006 using Zumeta's (1996) model of state policy and private higher education. More specifically, this study used case study methodology and multiple sources to demonstrate the usefulness of Zumeta's model and illustrate its limitations. Ohio served as the subject state and data for 67 private, 4-year, degree-granting, Higher Learning Commission-accredited institutions were collected. Data sources for this study included the National Center for Education Statistics Integrated Postsecondary Data System as well as database information and documents from various state agencies in Ohio, including the Ohio Board of Regents. ^ The findings of this study indicated that the general state context for higher education in Ohio during the study time period was shaped by deteriorating economic factors, stagnating population growth coupled with a rapidly aging society, fluctuating state income and increasing expenditures in areas such as corrections, transportation and social services. However, private higher education experienced consistent enrollment growth, an increase in the number of institutions, widening involvement in state-wide planning for higher education, and greater fiscal support from the state in a variety of forms such as the Ohio Choice Grant. This study also demonstrated that private higher education in Ohio benefited because of its inclusion in state-wide planning and the state's decision to grant state aid directly to students. ^ Taken together, this study supported Zumeta's (1996) classification of Ohio as having a hybrid market-competitive/central-planning policy posture toward private higher education. Furthermore, this study demonstrated that Zumeta's model is a useful tool for both policy makers and researchers for understanding a state's relationship to its private higher education sector. However, this study also demonstrated that Zumeta's model is less useful when applied over an extended time period. Additionally, this study identifies a further limitation of Zumeta's model resulting from his failure to define "state mandate" and the "level of state mandates" that allows for inconsistent analysis of this component. ^