In recent years, high occupancy/toll (HOT) lanes have gained increasing recognition as a potential method of managing traffic congestion. HOT lanes combine pricing and vehicle occupancy restrictions to optimize the demand for high occupancy vehicle (HOV) lanes. Besides having all the advantages of traditional HOV lanes, HOT lanes can also generate revenue to help finance various operation and maintenance programs. At present there are four fairly well established HOT lane projects in the United States: two in Houston, Texas, and one each in San Diego, and Riverside County, California. After 6 years in operation, Houston's HOT lanes receive comparatively lower patronage than the two California projects. An understanding of why people choose to use HOT lanes will be vital to improving the performance of existing HOT facilities and will also shed light on policy decisions regarding future HOT lane investments. This study examined the relative importance of different parameters which could be expected to influence the demand for HOT lanes using standard statistical and discrete choice modeling techniques on survey data from Houston's HOT lane users. The study showed that, controlling for other variables, trip length, the driver's perception of travel time savings offered by the HOT lanes, frequency of travel in the freeway corridor, trip purpose, and the amount of time spent on carpool formation were good predictors of HOT lane usage. Socioeconomic characteristics such as age and level of education were also good indicators of the frequency of HOT lane usage whereas household size, occupation, and hourly wage rate were not. Gender and annual household income were only loosely related to HOT lane usage. Inelastic responses to minor changes in the toll coupled by responses to a question regarding participants feeling towards the $2.00 toll, suggested that the toll was not a major deterrent to HOT lane usage. A primary deterrent was the need for one passenger to use the HOT lane when free use required two passengers. However, travelers who shared the toll with their carpool partners were likely to have made more frequent HOT lane trips than those who bore the entire cost.

This dissertation provides evidence on the risk factors that are priced in bank equities. Alternative empirical models with precedent in the nonfinancial asset pricing literature are tested, including the single-factor Capital Asset Pricing Model (CAPM), three-factor Fama-French model, and Intertemporal Capital Asset Pricing Model (ICAPM). The empirical results indicate that an unconditional two-factor Intertemporal Capital Asset Pricing Model (ICAPM) model, that includes the stock market excess return and shocks to the slope of the yield curve, is useful in explaining the cross-section of bank stock returns. I find no evidence, however, that firm specific factors, such as size and book-to-market ratios, are priced in bank stock returns. These results have a number of practical implications for event studies of banking firms, estimation of bank cost of capital and investment performance, as well as regulatory initiatives to utilize market discipline to evaluate bank risk under Basel II.

In this study, the rainfall, yield distributed water and water sold¡K¡Ketc., 41 parameters from 1974 to 2006 were assessed the reasonable water rate adjustment. At first, 41 parameters were analyzed by SPSS software for descriptive statistiics, Pearson relational analyzing the data of input/output of correlation with a £^ value and screening of variables. Then, actual water price and designed water price will be the out variable. Try to find the optimal neural network structure and try to analyze and produce the water pricing structure. The results show that the unit profit/loss from sales of Taiwan Water Corporation(TWC) for 33 years from 1974-2006, there are 11 years positive and 22 years negative, especially the past 20 years only on 1990, 2003, and 2005 are positive, the others are negative. TWC had not obtained the reasonable profit. Because since 1996, the range of return on water investment and return on equity are -0.98%-0.1% and 0.07%-0.52% lower than legal standard 5%, respectively. Moreover, the rate of water price for the household consumption expenditure from 0.791% in 1982 decrease to 0.39% in 2006. To compare with the rational level for World Health Organization asserted 2%-4%. The water price of Taiwan is only 10%-20% of the level. Furthermore, the rate of water price for disposable income is from 0.606% in 1982 drops to 0.305% in 2006 and the rate for GDP is 0.18%-0.2% in the past 10 years. In this study, the actual water price and designed water price were set as output parameter. The input variables divide to 29 and 19 units and hidden layer is set 1 or 2 layers. BPN(Back-Propagation Network) were through trial and error method to training, testing, and production the output. The training results show that 19 variables is better than 29 variables while we use actual water price and 2 hidden layers is better than 1 layer. However, when we use designed water price, 19 variables is still better than 29 variables, but 1 hidden layer is better than 2 hidden layers. The best production of water price of 1981, 1991, 1996, 2001, 2006 are 9.20, 12.62, 20.09, 23.07, 24.39 NT$, respectively. The values are close to designed water price 9.0, 12.6, 19.1, 22.2, 25.5 NT$. Whether we use 29 or 19 variables, 1 or 2 hidden layers, the training results indicated that the water price designed by household consumption expenditure is better than actual water price. Thus, the historical water price did not correspond to real operating costs for TWC in the past. In addition, the designed water price in this research can more correlated with the operating cost and efficiency of TWC.

Title from title page of source document. Dissertation no. 3431. Includes bibliographical references (p. 158-161).

Includes bibliographical references (p. 32-34).

Thesis (M. Sc.)--University of Hong Kong, 2009. / Includes bibliographical references.

Thesis (Ph. D.)--University of California, San Diego, 2001. / Vita. Includes bibliographical references (leaves 116-120).

Thesis (M. Econ.)--University of Hong Kong, 2002. / Includes bibliographical references (leaves 31-32).

This thesis centers around the pricing and risk-return tradeoff of credit and equity derivatives. The first essay studies the pricing in the CDS Index (CDX) tranche market, and whether these instruments have been reasonably priced and integrated within the financial market generally, both before and during the financial crisis. We first design a procedure to value CDO tranches using an intensity-based model which falls into the affine model class. The CDX tranche spreads are efficiently explained by a three-factor version of this model, before and during the crisis period. We then construct tradable CDX tranche portfolios, representing the three default intensity factors. These portfolios capture the same exposure as the S&P 500 index optionmarket, to a market crash. We regress these CDX factors against the underlying index, the volatility factor, and the smirk factor, extracted from the index option returns, and against the Fama-French market, size and book-to-market factors. We finally argue that the CDX spreads are integrated in the financial market, and their issuers have not made excess returns. The second essay explores the specifications of jumps for modeling stock price dynamics and cross-sectional option prices. We exploit a long sample of about 16 years of S&P500 returns and option prices for model estimation. We explicitly impose the time-series consistency when jointly fitting the return and option series. We specify a separate jump intensity process which affords a distinct source of uncertainty and persistence level from the volatility process. Our overall conclusion is that simultaneous jumps in return and volatility are helpful in fitting the return, volatility and jump intensity time series, while time-varying jump intensities improve the cross-section fit of the option prices. In the formulation with time-varying jump intensity, both the mean jump size and standard deviation of jump size premia are strengthened. Our MCMC approach to estimate the models is appropriate, because it has been found to be powerful by other authors, and it is suitable for dealing with jumps. To the best of our knowledge, our study provides the the most comprehensive application of the MCMC technique to option pricing in affine jump-diffusion models. / published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy

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