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...

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 develops an optimization model that describes the decision process of a representative commercial bank in an uncertain environment. In the proposed model the magnitude of deposits and bank loans are driven by diffusion stochastic processes. Moreover, the model considers instant...

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...