Almost since its appearance, the Kalman Filter (KF) has been successfully used in control engineering. Unfortunately, most of its important results have been published in engineering journals with language, notation and style proper of engineers. In this paper, we want to present the KF in an...

This paper attempts to reconcile all inferentia1 methods which by maximizing a criterion functiona1 produce non- informative and informative priors. In particular, Good's (1968) Minimax Evidence Priors, MEP, Zellner's (1971) Maximal Data Information Priors, MDIP, and Bernardo's (1979) Reference...

In this paper, we develop a stochastic model to hedge the present value of cash flows against interest-rate risk with fixed-income products, in particular, with zero coupon bonds. In our approach, the dynamics of the interest rate is driven by a mean-reverting stochastic diffusion process. The...

We present two models for hedging European options on an underlying asset driven by a mixed diffusion-jump process. The first model, values the option as the average of option prices hedging sequential jumps. In the second model, the option price is determined by minimizing the variance of the...

This paper is aimed in analyzing the impact of the growing use of contingent claims in the objectives of monetary policy. To reach this end, a continuous time, stochastic model of macroeconomic equilibrium of a monetary economy where the agents are exposed to the risk market is developed. In the...

This paper identifies the determinants that affect the probability of deviations from the target interest rate (overnight interbank rate) of Bank of Mexico, through the development of several binary probit models. Among, the determinants of monetary policy decisions of Bank of Mexico several...

The relationships among the Mexico EMBI+ and local and foreign risk factors are examined in this paper. The long run relationships and the dynamics are analyzed taking in account the effects of economic slowdowns into the period of the study. Also the volatilities of EMBI+, domestic interest...

This paper develops a stochastic model of temporary stabilization of prices with the exchange rate acting as a nominal anchor of inflation. The model presents imperfect credibility, and explicitly recognizes the uncertainty in the dynamics of the exchange rate and in the expected behaviour of...

This paper determines the tax rate, withheld by the clearing member, on gains from listed futures that guarantees the same tax revenue as that of the current tax treatment of non-corporate individual investors residents in Mexico. The proposed tax policy reduces costs and improves market...

We examine the impact of fiscal policy in the management of water resources by using a computable general equilibrium model. Several comparative static exercises are carried out to assess the effects of a particular fiscal policy on economic welfare. Finally, we state a set of fiscal policy...