This research aims at assessing the impact of the volatility of the exchange rate on inflation expectations and economic growth prospects in Mexico. In order to see whether there is some degree of causality, we will be using standard multivariate volatility model. The goal of this research is to...

This paper is aimed to develop an equilibrium model in a stochastic economy populated by identical, competitive, and risk-averse consumers (investors), to value a European call option on stock whose price is subject to extreme and unexpected jumps. It is assumed that the underlying asset price...

In this paper we use Merton's (1976) model for pricing options when the underlying asset is driven by a mixed diffusion-jump process to compute the monthly default probabilities of a bond issuer whose income is uncertain with high volatility in tax collection. In particular, the case of a...