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. ^

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.

A Conceptual Framework to Develop Long-Term Ecological Research and Management Objectives in the Wider Caribbean Region

The Caribbean Sea and its watersheds show signs of environmental degradation. These fragile coastal ecosystems are susceptible to environmental impacts, in part because of their oligotrophic conditions and their critical support of economic development. Tourism is one of the major sources of income in the Caribbean, making the region one of the most ecotourism dependent in the world. Yet there are few explicit, long-term, comprehensive studies describing the structure and function of Caribbean ecosystems. We propose a conceptual framework using the environmental signature hypothesis of tropical coastal settings to develop a series of research questions for the reef–sea-grass–wetland seascape. We applied this approach across 13 sites throughout the region, including ecosystems in a variety of coastal settings with different vulnerabilities to environmental impacts. This approach follows the strategy developed by the Long Term Ecological Research program of the National Science Foundation to establish ecological research questions best studied over decades and large spatial areas.

Near Term Computer Management Strategy For Hospitality Managers and Computer System Vendors

In his dialogue - Near Term Computer Management Strategy For Hospitality Managers and Computer System Vendors - by William O'Brien, Associate Professor, School of Hospitality Management at Florida International University, Associate Professor O’Brien initially states: “The computer revolution has only just begun. Rapid improvement in hardware will continue into the foreseeable future; over the last five years it has set the stage for more significant improvements in software technology still to come. John Naisbitt's information electronics economy¹ based on the creation and distribution of information has already arrived and as computer devices improve, hospitality managers will increasingly do at least a portion of their work with software tools.” At the time of this writing Assistant Professor O’Brien will have you know, contrary to what some people might think, the computer revolution is not over, it’s just beginning; it’s just an embryo. Computer technology will only continue to develop and expand, says O’Brien with citation. “A complacent few of us who feel “we have survived the computer revolution” will miss opportunities as a new wave of technology moves through the hospitality industry,” says ‘Professor O’Brien. “Both managers who buy technology and vendors who sell it can profit from strategy based on understanding the wave of technological innovation,” is his informed opinion. Property managers who embrace rather than eschew innovation, in this case computer technology, will benefit greatly from this new science in hospitality management, O’Brien says. “The manager who is not alert to or misunderstands the nature of this wave of innovation will be the constant victim of technology,” he advises. On the vendor side of the equation, O’Brien observes, “Computer-wise hospitality managers want systems which are easier and more profitable to operate. Some view their own industry as being somewhat behind the times… They plan to pay significantly less for better computer devices. Their high expectations are fed by vendor marketing efforts…” he says. O’Brien warns against taking a gamble on a risky computer system by falling victim to un-substantiated claims and pie-in-the-sky promises. He recommends affiliating with turn-key vendors who provide hardware, software, and training, or soliciting the help of large mainstream vendors such as IBM, NCR, or Apple. Many experts agree that the computer revolution has merely and genuinely morphed into the software revolution, informs O’Brien; “…recognizing that a computer is nothing but a box in which programs run.” Yes, some of the empirical data in this article is dated by now, but the core philosophy of advancing technology, and properties continually tapping current knowledge is sound.

The social development strategy of the Shiites in Lebanon

This study examines what many scholars have neglected to investigate when addressing post Civil War issues in Lebanon. Most studies have addressed political issues surrounding activities of Shiite movements, such as Harakat Amal or Hizb Allah, while socioeconomic issues have been neglected.^ Imam Musa Sadr challenged the power of traditional Shiite leaders by creating official Shiites institutions and movements like Amal. The Iranian Revolution and the Israeli invasion of Lebanon in 1982 sparked the creation of Hizb Allah which, not only struggled against its foes, but also provided social services to the Shiites. This development program has been central in creating political legitimacy for Hizb Allah, regardless of its military situation, which suggests that socioeconomic development can transform a militia into a legitimate actor on the Lebanese political scene. The survivability of Shiite parties is therefore tantamount to not only their military might, but also to their social involvement. ^

Framework for enterprise systems engineering

This research aimed at developing a research framework for the emerging field of enterprise systems engineering (ESE). The framework consists of an ESE definition, an ESE classification scheme, and an ESE process. This study views an enterprise as a system that creates value for its customers. Thus, developing the framework made use of system theory and IDEF methodologies. This study defined ESE as an engineering discipline that develops and applies systems theory and engineering techniques to specification, analysis, design, and implementation of an enterprise for its life cycle. The proposed ESE classification scheme breaks down an enterprise system into four elements. They are work, resources, decision, and information. Each enterprise element is specified with four system facets: strategy, competency, capacity, and structure. Each element-facet combination is subject to the engineering process of specification, analysis, design, and implementation, to achieve its pre-specified performance with respect to cost, time, quality, and benefit to the enterprise. This framework is intended for identifying research voids in the ESE discipline. It also helps to apply engineering and systems tools to this emerging field. It harnesses the relationships among various enterprise aspects and bridges the gap between engineering and management practices in an enterprise. The proposed ESE process is generic. It consists of a hierarchy of engineering activities presented in an IDEF0 model. Each activity is defined with its input, output, constraints, and mechanisms. The output of an ESE effort can be a partial or whole enterprise system design for its physical, managerial, and/or informational layers. The proposed ESE process is applicable to a new enterprise system design or an engineering change in an existing system. The long-term goal of this study aims at development of a scientific foundation for ESE research and development.

An automatic tuning strategy for local fuzzy logic ramp metering algorithm using Particle Swarm Optimization (PSO)

Freeway systems are becoming more congested each day. One contribution to freeway traffic congestion comprises platoons of on-ramp traffic merging into freeway mainlines. As a relatively low-cost countermeasure to the problem, ramp meters are being deployed in both directions of an 11-mile section of I-95 in Miami-Dade County, Florida. The local Fuzzy Logic (FL) ramp metering algorithm implemented in Seattle, Washington, has been selected for deployment. The FL ramp metering algorithm is powered by the Fuzzy Logic Controller (FLC). The FLC depends on a series of parameters that can significantly alter the behavior of the controller, thus affecting the performance of ramp meters. However, the most suitable values for these parameters are often difficult to determine, as they vary with current traffic conditions. Thus, for optimum performance, the parameter values must be fine-tuned. This research presents a new method of fine tuning the FLC parameters using Particle Swarm Optimization (PSO). PSO attempts to optimize several important parameters of the FLC. The objective function of the optimization model incorporates the METANET macroscopic traffic flow model to minimize delay time, subject to the constraints of reasonable ranges of ramp metering rates and FLC parameters. To further improve the performance, a short-term traffic forecasting module using a discrete Kalman filter was incorporated to predict the downstream freeway mainline occupancy. This helps to detect the presence of downstream bottlenecks. The CORSIM microscopic simulation model was selected as the platform to evaluate the performance of the proposed PSO tuning strategy. The ramp-metering algorithm incorporating the tuning strategy was implemented using CORSIM's run-time extension (RTE) and was tested on the aforementioned I-95 corridor. The performance of the FLC with PSO tuning was compared with the performance of the existing FLC without PSO tuning. The results show that the FLC with PSO tuning outperforms the existing FL metering, fixed-time metering, and existing conditions without metering in terms of total travel time savings, average speed, and system-wide throughput.

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.

Spatiotemporal variation of the abundance of calcareous green macroalgae in the Florida Keys: A study of synchrony within a macroalgal functional-form group

The abundance of calcareous green algae was recorded quarterly at 28 sites within the Florida Keys National Marine Sanctuary (FKNMS) for a period of 7 years as part of a sea grass monitoring program. To evaluate the validity of using the functional-form group approach, we designed a sampling method that included the functional-form group and the component genera. This strategy enabled us to analyze the spatiotemporal patterns in the abundance of calcareous green algae as a group and to describe synchronous behavior among its genera through the application of a nonlinear regression model to both categories of data. Spatial analyses revealed that, in general, all genera displayed long-term trends of increasing abundance at most sites; however, at some sites the long-term trends for genera opposed one another. Strong synchrony in the timing of seasonal changes was found among all genera, possibly reflecting similar reproductive and seasonal growth pattern, but the variability in the magnitude of seasonal changes was very high among genera and sites. No spatial patterns were found in long-term or seasonal changes; the only significant relation detected was for slope, with sites closer to land showing higher values, suggesting that some factors associated with land proximity are affecting this increase. We conclude that the abundances of genera behaved differently from the functional-form group, indicating that the use of the functionalform group approach may be unsuitable to detect changes in sea grass community structure in the FKNMS at the existing temporal and spatial scale of the monitoring program.

Importance of storm events in controlling ecosystem structure and function in a Florida gulf coast estuary

From 8/95 to 2/01, we investigated the ecological effects of intra- and inter-annual variability in freshwater flow through Taylor Creek in southeastern Everglades National Park. Continuous monitoring and intensive sampling studies overlapped with an array of pulsed weather events that impacted physical, chemical, and biological attributes of this region. We quantified the effects of three events representing a range of characteristics (duration, amount of precipitation, storm intensity, wind direction) on the hydraulic connectivity, nutrient and sediment dynamics, and vegetation structure of the SE Everglades estuarine ecotone. These events included a strong winter storm in November 1996, Tropical Storm Harvey in September 1999, and Hurricane Irene in October 1999. Continuous hydrologic and daily water sample data were used to examine the effects of these events on the physical forcing and quality of water in Taylor Creek. A high resolution, flow-through sampling and mapping approach was used to characterize water quality in the adjacent bay. To understand the effects of these events on vegetation communities, we measured mangrove litter production and estimated seagrass cover in the bay at monthly intervals. We also quantified sediment deposition associated with Hurricane Irene's flood surge along the Buttonwood Ridge. These three events resulted in dramatic changes in surface water movement and chemistry in Taylor Creek and adjacent regions of Florida Bay as well as increased mangrove litterfall and flood surge scouring of seagrass beds. Up to 5 cm of bay-derived mud was deposited along the ridge adjacent to the creek in this single pulsed event. These short-term events can account for a substantial proportion of the annual flux of freshwater and materials between the mangrove zone and Florida Bay. Our findings shed light on the capacity of these storm events, especially when in succession, to have far reaching and long lasting effects on coastal ecosystems such as the estuarine ecotone of the SE Everglades.

S12C water control structure near SRS-1a, Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

Aerial photo of SRS-1a, the S12c water control structure, and the surrounding area, Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

Aerial photo of SRS-1a, the S12c water control structure, and the surrounding area, Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

Aerial photo of SRS-1a, the S12c water control structure, and the surrounding area, Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.

Aerial photo of SRS-1a, the S12c water control structure, and the surrounding area, Shark River Slough

This material is based upon work supported by the National Science Foundation through the Florida Coastal Everglades Long-Term Ecological Research program under Cooperative Agreements #DBI-0620409 and #DEB-9910514. This image is made available for non-commercial or educational use only.