We first discuss some mathematical tools used to compute the intensity of a single jump process, in its canonical filtration. In the second part, we try to clarify the meaning of default and the links between the default time, the asset?s filtration, and the intensity of the default time. We...

Previous work on multifactor term structure models has proposed that the short rate process is a function of some unobserved diffusion process. We consider a model in which the short rate process is a function of a Markov chain which represents the 'state of the world'. This enables us to obtain...

Filtering and parameter estimation techniques from Hidden Markov Models are applied to a discrete time asset allocation problem. For the commonly used mean-variance utility explicit optimal strategies are obtained

This paper is intended to elaborate regime switching and optimal investment timing in a real option framework. The paper differs from the existing literature in a significant way. In this paper we first consider an irreversible investment timing decision by adding a hidden Markov process to...

We examine Africa's increasing reliance on hydropower in light of climate change induced variations in rainfall and the potential power outages that may result. We use a continent wide riverflow material model and IPPC climate change scenarios and show that current plans for African dam building...

In an increasingly integrated world, falling trade barriers mean that the role environmental regulations play in shaping a country's comparative advantage is greater than ever. This has lead to fears that "dirty" industries will relocate to developing regions where environmental regulations may...

We suggest a novel perspective on the relationship between the stringency of environmental policies and foreign direct investment (FDI). We develop a political economy model with imperfect product market competition where local and foreign firms jointly lobby the local government for a favorable...

<heading format="display" id="h1" implicit="yes" level="1">Abstract</heading> This paper investigates the relationship between firm heterogeneity and a firm's decision to export, using the annual survey of Thai manufacturing firms from 2001 to 2004. A significant contribution of this paper is that we are, for the first time, able to break down FDI by country of...