In this study, an integrated system dynamics model was developed for scenario analysis in sub-sectors of the Kheirabad River Basin southwestern Iran where managing water resources is seriously challenging due to population growth and periodic drought. Afterward, variability demand supply under baseline different management policies, including conservation pricing, evaluated. Findings illustrate...

In this paper, I study the behavior of an investor with unit risk aversion who maximizes a utility function defined over the mean and the variance of a portfolio’s return. Conditioning information is accessible without cost and an unconditionally riskless asset is available in the market. The proposed approach makes it possible to compare the performance of a benchmark tangency portfolio (forme...

This paper studies volatility and jump risk from a conditional and an international perspective using data on index options from US (S&P 500 index options), European (FTSE index options) and Asian markets (Nikkei index options). In order to explain the cross-section of expected option returns across strikes and maturities, we focus on return-based multi-factor models, using returns on straddles...

The reclaimed water produced by sewage treatment plants can be reused for many purposes, which has gradually been paid great attention. However, its pricing mechanism not well established especially in China, brought certain restrictions on the wide application of water. Therefore, this paper attempts to analyze current situation domestic pricing, combined with research and analysis production ...

introduction: nowadays, efficient use of scarce water resources is one of the government’s importantgoals for dealing sustainable development in the agricultural sector. in addition to optimal exploitation and using of surface and groundwater resources, choosing of efficient types of irrigation technologies is a very important factor in sustainable water resource management. this study tries to...

Irrigated agriculture has been analysed in Spain in recent years because of its high water consumption and its apparent ineciency. Several possibilities for water policy have been debated, in particular the pricing of irrigation water. This paper aims to contribute to this discussion by simulating the impact that a policy based upon the price of water could have on agricultural production, ana...

Arid and desert lands in terms of specific environmental characteristics such as low annual precipitation,sequential droughts, huge drop in ground water levels or the like, have always faced strict limitations in waterresources. In the shadow of these characteristics and many other factors, Water Price Index (WPI) is significantlyaffected. This study set out with the aim of identifying and dete...

In this work we consider three problems of the standard market approach to pricing of credit index options: the definition of the index spread is not valid in general, the usually considered payoff leads to a pricing which is not always defined, and the candidate numeraire one would use to define a pricing measure is not strictly positive, which would lead to a non-equivalent pricing measure. W...

An estimation method is developed for extracting the latent stochastic volatility from VIX, a volatility index for the S&P 500 index return produced by the Chicago Board Options Exchange (CBOE) using the so-called model-free volatility construction. Our model specification encompasses all mean-reverting stochastic volatility option pricing models with a constant-elasticity of variance and those...