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. ^

Evaluation of the internal structural validity of the Diagnostic and Statistical Manual of Mental Disorders (Fourth Edition) anxiety disorders in children and adolescents

The purpose of the present dissertation was to evaluate the internal validity of symptoms of four common anxiety disorders included in the Diagnostic and Statistical Manual of Mental Disorders fourth edition (text revision) (DSM-IV-TR; American Psychiatric Association, 2000), namely, separation anxiety disorder (SAD), social phobia (SOP), specific phobia (SP), and generalized anxiety disorder (GAD), in a sample of 625 youth (ages 6 to 17 years) referred to an anxiety disorders clinic and 479 parents. Confirmatory factor analyses (CFAs) were conducted on the dichotomous items of the SAD, SOP, SP, and GAD sections of the youth and parent versions of the Anxiety Disorders Interview Schedule for DSM-IV (ADIS-IV: C/P; Silverman & Albano, 1996) to test and compare a number of factor models including a factor model based on the DSM. Contrary to predictions, findings from CFAs showed that a correlated model with five factors of SAD, SOP, SP, GAD worry, and GAD somatic distress, provided the best fit of the youth data as well as the parent data. Multiple group CFAs supported the metric invariance of the correlated five factor model across boys and girls. Thus, the present study’s finding supports the internal validity of DSM-IV SAD, SOP, and SP, but raises doubt regarding the internal validity of GAD.^

Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data. ^ The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity. ^ Overall, this dissertation shows that a liquidity premium exists in the stock market and that liquidity is a distinct effect, and is not influenced by the presence of non-market factors, market factors and other stock characteristics.^

Using structural equation modeling to assess two theoretical models that explain dropout

This study evaluated the relative fit of both Finn's (1989) Participation-Identification and Wehlage, Rutter, Smith, Lesko and Fernandez's (1989) School Membership models of high school completion to a sample of 4,597 eighth graders taken from the National Educational Longitudinal Study of 1988, (NELS:88), utilizing structural equation modeling techniques. This study found support for the importance of educational engagement as a factor in understanding academic achievement. The Participation-Identification model was particularly well fitting when applied to the sample of high school completers, dropouts (both overall and White dropouts) and African-American students. This study also confirmed the contribution of school environmental factors (i.e., size, diversity of economic and ethnic status among students) and family resources (i.e., availability of learning resources in the home and parent educational level) to students' educational engagement. Based on these findings, school social workers will need to be more attentive to utilizing macro-level interventions (i.e., community organization, interagency coordination) to achieve the organizational restructuring needed to address future challenges. The support found for the Participation-Identification model supports a shift in school social workers' attention from reactive attempts to improve the affective-interpersonal lives of students to proactive attention to their academic lives. The model concentrates school social work practices on the central mission of schools, which is educational engagement. School social workers guided by this model would be encouraged to seek changes in school policies and organization that would facilitate educational engagement. ^

Theoretical investigations of intercellular communication in the microcirculation: Conducted responses, myoendothelial projections and endothelium derived hyperpolarizing factor

The contractile state of microcirculatory vessels is a major determinant of the blood pressure of the whole systemic circulation. Continuous bi-directional communication exists between the endothelial cells (ECs) and smooth muscle cells (SMCs) that regulates calcium (Ca2+) dynamics in these cells. This study presents theoretical approaches to understand some of the important and currently unresolved microcirculatory phenomena. ^ Agonist induced events at local sites have been shown to spread long distances in the microcirculation. We have developed a multicellular computational model by integrating detailed single EC and SMC models with gap junction and nitric oxide (NO) coupling to understand the mechanisms behind this effect. Simulations suggest that spreading vasodilation mainly occurs through Ca 2+ independent passive conduction of hyperpolarization in RMAs. Model predicts a superior role for intercellular diffusion of inositol (1,4,5)-trisphosphate (IP3) than Ca2+ in modulating the spreading response. ^ Endothelial derived signals are initiated even during vasoconstriction of stimulated SMCs by the movement of Ca2+ and/or IP3 into the EC which provide hyperpolarizing feedback to SMCs to counter the ongoing constriction. Myoendothelial projections (MPs) present in the ECs have been recently proposed to play a role in myoendothelial feedback. We have developed two models using compartmental and 2D finite element methods to examine the role of these MPs by adding a sub compartment in the EC to simulate MP with localization of intermediate conductance calcium activated potassium channels (IKCa) and IP3 receptors (IP 3R). Both models predicted IP3 mediated high Ca2+ gradients in the MP after SMC stimulation with limited global spread. This Ca 2+ transient generated a hyperpolarizing feedback of ∼ 2–3mV. ^ Endothelium derived hyperpolarizing factor (EDHF) is the dominant form of endothelial control of SMC constriction in the microcirculation. A number of factors have been proposed for the role of EDHF but no single pathway is agreed upon. We have examined the potential of myoendothelial gap junctions (MEGJs) and potassium (K+) accumulation as EDHF using two models (compartmental and 2D finite element). An extra compartment is added in SMC to simulate micro domains (MD) which have NaKα2 isoform sodium potassium pumps. Simulations predict that MEGJ coupling is much stronger in producing EDHF than alone K+ accumulation. On the contrary, K+ accumulation can alter other important parameters (EC V m, IKCa current) and inhibit its own release as well as EDHF conduction via MEGJs. The models developed in this study are essential building blocks for future models and provide important insights to the current understanding of myoendothelial feedback and EDHF.^

Non -traded goods, product differentiation and integration of factor markets

This research sought to determine the implications of a non-traded differentiated commodity produced with increasing returns to scale, for the welfare of countries that allowed free international migration. We developed two- and three-country Ricardian models in which labor was the only factor of production. The countries traded freely in homogeneous goods produced with constant returns to scale. Each also had a non-traded differentiated good sector where production took place using increasing returns to scale technology. Then we allowed for free international migration between two of the countries and observed what happened to welfare in both countries as indicated by their per capita utilities in the new equilibrium relative to their pre-migration utilities. ^ Preferences of consumers were represented by a two-tier utility function [Dixit and Stiglitz 1977]. As migration took place it impacted utility in two ways. The expanding country enjoyed the positive effect of increased product diversity in the non-traded good sector. However, it also suffered adverse terms-of-trade as its production cost declined. The converse was true for the contracting country. To determine the net impact on welfare we derived indirect per capita utility functions of the countries algebraically and graphically. Then we juxtaposed the graphs of the utility functions to obtain possible general equilibria. These we used to observe the welfare outcomes. ^ We found that the most likely outcomes were either that both countries gained, or one country lost while the other gained. We were, however, able to generate cases where both countries lost as a result of allowing free inter-country migration. This was most likely to happen when the shares of income spent on each country's export good differed significantly. In the three country world when we allowed two of the countries to engage in preferential trading arrangements while imposing a prohibitive tariff on imports from the third country welfare of the partner countries declined. When inter-union migration was permitted welfare declined even further. This we showed was due to the presence of the non-traded good sector. ^