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 research conducts a review of theoretical and practical developments of Markov processes in the specialized literature, highlighting their recent advances and showing their potential for their technical goodness, in modeling the decision making processes of rational agents adding more...

In this paper the methodology of real options is presented as an imperative tool for the board of directors of a firm for the decision making process on the financial assessment of projects or business strategies when there is flexibility (optionality) of making, in the future, new decisions...

In the framework of a monetary economy with labor and debt (public and private), the effects of government as a promoting agent to boost up technological change are studied. Through a model of endogenous growth, the growth rates of all sectors are characterized in the perfect foresight...

The Mexican episode of 1992-1994 was characterized by a steep rise in consumption accompanied by a sharp fall in investment. This paper provides an explanation of the negative response of investment to political risk, as occurred in Mexico between 1992 and 1994. It is assumed that, inside an...

In this paper, we develop a model to hedge cash flows denominated in dollars against both exchange-rate and interest-rate risks by means of futures contracts on US currency. The robustness of the derived strategies is assessed in terms of their value at risk. The effects of the market risk on...

This paper applies the methodology of real options for valuing firms that for any reason are subject to a possible expropriation. In the development of this research is added to the valuation by discounted cash flows the value of the premium which shareholders would receive as compensation for...

The aim of this paper is to show the convenience of using mathematical tools from quantum mechanics to solve some financial problems. In particular, the Vasicek short-rate model in continuous time is discussed in the framework of the Feynman path integral. To do this, the Lagrangian of the...

The aim of this paper is to develop a stochastic optimal control model for a closed economy with three sectors: consumers, firms and government. The random variables that drive the stochastic dynamics of relevant economic and financial variables follow a Wiener process or Brownian motion. On the...

The aim of this paper is to provide a new approach to project the Mortgage Backed Securities (MBS) cash flows in emerging markets where collateral information is limited, wrong or scarce. Under this framework, we use the Cox Process to model stochastic probabilities of prepayment and default....