A fixed exchange rate limits the ability of the real exchange rate to adjust to shocks, and tends to raise the volatility of real GDP. But adjustment may be enhanced if internal prices are more flexible under a fixed exchange rate. This paper develops a model in which price setters incur a cost to retain the option of ex-post price flexibility. The benefit of flexibility is increasing in the va...

This paper analyzes the short-term effects of foreign capital flows on aggregate demand in Mexico: their magnitude, transmission channels, and the possible influence of the country’s choice of exchange rate regime. The study is motivated by the introduction of a floating system in December 1994, in a context of renewed volatility of international capital flows. During the band period, in the ea...

In this article we consider the problem of pricing lookback options in certain exponential Lévy market models. While in the classic Black-Scholes models the price of such options can be calculated in closed form, for more general asset price model one typically has to rely on (rather time-intense) MonteCarlo or P(I)DE methods. However, for Lévy processes with double exponentially distributed ju...

Asymmetric information regarding project prospects causes dilution, leading to adverse selection and inefficiencies in the market for new investments. However, if the market obtains information about the firm over time, issuing callable convertible securities with restrictive call provisions is optimal. Even when the market’s information is noisy, such securities can be designed to make the pay...

Asian options have payoffs that depend on the average price of the underlying asset such as stocks, commodities, or financial indices. As exact closed-form formulas do not exist for these popular options, how to price them numerically in an efficient and accurate manner has been extensively investigated. There are two types of Asian options, fixed-strike and floating-strike Asian options. Excel...

In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying asset prices over some predetermined time interval. The mathematical model for the option price leads to a free boundary problem for a parabolic partial differe...

In this paper, we study the market of the CBOE S&P 500 three-month variance futures that were listed on May 18, 2004. By using a simple mean-reverting stochastic volatility model for the S&P 500 index, we present a linear relation between the price of fixed time-to-maturity variance futures and the V IX. The model prediction is supported by empirical tests. We find that a model with a fixed mea...

A currency area can be a self-validating optimal policy regime, even when monetary unification does not foster real economic integration and intra-industry trade. In our model firms choose the degree of exchange rate pass-through onto export prices accounting for expected monetary policies, and monetary authorities choose optimal policy rules taking firms’ pass-through as given. We show that th...

an oral sustained-release floating tablet formulation of metformin hcl was designed and developed. effervescence and swelling properties were attributed on the developed tablets by sodium bicarbonate and hpmc-peo polymer combination, respectively. tablet composition was optimized by response surface methodology (rsm). seventeen (17) trial formulations were analyzed according to box-behnken desi...