A dynamic economy with markets of equities and bonds is considered. The rational expectations equilibrium is defined in an asset pricing model and a condition under which the Modigliani-Miller theorem holds is shown. In an aggregate model the existence of a rational expectations equilibrium is...

The LIBOR Market Model (LMM or BGM) has become one of the most popular models for pricing interest rate products. It is commonly believed that Monte-Carlo simulation is the only viable method available for the LIBOR Market Model. In this article, however, we propose a lattice (or tree) approach...

In many countries, current water-pricing policies are dictated by the sole objective of breaking-even in each period. This results in large withdrawals, which are not sustainable in the long-run, hence not optimal. In this paper, I derive the optimal dynamic water resource management policy of a...