We consider the general n-factor Heath, Jarrow, and Morton model (1992) and provide a sufficient condition on the volatility structure for the spot rate process to be Markovian with 2n state variables. The price of a discount bond is also Markovian with the same state variables and, hence,...

We advance a model of the tradable permit market and derive a pricing formula for contingent claims traded in the market in a general equilibrium framework. It is shown that prices of such contingent claims exhibit significantly different properties from those in the ordinary financial markets....

Previous studies have suggested that some pollutant levels first increase due to the economic growth and then start decreasing, the pattern being called the "environmental Kuznets curve" (EKC). We examine EKC-type transitions of pollutant levels not with respect to economic growth but more...

A commentary on Patrick Messerlin's article "Agricultural Trade Liberalization."Yoichi Suzuki joined the Japanese Foreign Ministry in 1975, after having studied international public law at Hitotsubashi University, Tokyo. He also studied at and graduated from the Ecole Nationale...

A commentary on Patrick Messerlin's article "Agricultural Trade Liberalization."Yoichi Suzuki joined the Japanese Foreign Ministry in 1975, after having studied international public law at Hitotsubashi University, Tokyo. He also studied at and graduated from the Ecole Nationale d'Administration,...

This paper proposes a jump-diffusion model, in closed form, to price corporate debt securities, senior and junior, with the same maturity and violation of the absolute priority rule. We take the structural approach that the firm's asset value follows a jump-diffusion process in a stochastic...