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Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox
Sukhomlin, Nikolay
;
Santana Jiménez, Lisette Josefina
- In:
Revista de Métodos Cuantitativos para la Economía y …
10
(
2010
),
pp. 73-98
Persistent link: https://www.econbiz.de/10010282686
Saved in:
2
Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox
Sukhomlin, Nikolay
;
Santana Jiménez, Lisette Josefina
- In:
Revista de métodos cuantitativos para la economía y …
10
(
2010
),
pp. 73-98
The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...
Persistent link: https://www.econbiz.de/10009124438
Saved in:
3
Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox
Sukhomlin, Nikolay
;
Santana Jiménez, Lisette Josefina
- In:
Revista de métodos cuantitativos para la economía y …
10
(
2010
),
pp. 73-98
The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...
Persistent link: https://www.econbiz.de/10009957380
Saved in:
4
Determinantes Y Pronostico De La Actividad Bursátil Del Mercado Accionario Colombiano (Determinants and Prediction of the Stock Market Activity of the Colombian Stock Market)
Agudelo Velásquez, David
-
2018
Spanish Abstract: Propósito - Se estudian los determinantes y la evolución de la actividad bursátil mensual en el mercado accionario colombiano de 2007 a 2016.Diseño/metodología/enfoque – Para ello se emplean modelos de series de tiempo tipo ARIMAX y GARCH, incluyendo variables exógenas,...
Persistent link: https://www.econbiz.de/10012915586
Saved in:
5
Existence of Equilibrium in Financial Markets: Hart´s Securities Exchange Model with Consumption in the First Period
Varón, Jean Pietro Bonaldi
-
UNIVERSIDAD DE LOS ANDES-CEDE
-
2008
Hart has established necessary and su¢ cient conditions for the existence of equilibrium in an economy consisting of two time periods in which agents trade assets whose returns depend on an uncertain state of nature. Hammond has enounced an equivalent condition from an alternative approach to...
Persistent link: https://www.econbiz.de/10008522035
Saved in:
6
Efficiency of the Chilean stock market: A dynamic approach using volatility tests
Acuña, Andrés
;
Pinto, Cristián
- In:
Lecturas de Economía
(
2009
)
70
,
pp. 39-61
This article studies the Chilean Stock Market's efficiency. To corroborate efficiency, we use a partial equilibrium model for financial asset pricing. We contrast between observed and expected Chilean stock price volatility under an efficient stock market framework. For the statistical analysis,...
Persistent link: https://www.econbiz.de/10005009867
Saved in:
7
The payment system intraday liquidity in a dollarized economy: The Peruvian experience
Choy, Marylin
;
Ayllón, Roy
-
Banco Central de Reserva del Perú
-
2007
The Peruvian financial system is highly dollarized with more than 50 per cent of deposits held in dollars. The structure and operation of the payment system reflect this financial dollarization. Not only does it settle payments in local and foreign currency, but the Intraday Financial Facility...
Persistent link: https://www.econbiz.de/10005694896
Saved in:
8
Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox = Market Calibration Problem and the Implied Structure of the Black-Cox Bond Model
Sukhomlin, Nikolay
;
Jiménez, Santana
;
Josefina, Lisette
- In:
Revista de Métodos Cuantitativos para la Economía y …
10
(
2010
)
1
,
pp. 73-98
El principal resultado de este artículo consiste en la resolución del problema inverso del modelo de Black-Cox (1976), usando el método propuesto por Sukhomlin (2007). Se parte del enfoque retrógrado (backward) para obtener una expresión exacta de la volatilidad implícita en función de...
Persistent link: https://www.econbiz.de/10008764778
Saved in:
9
Nuevo paradigma monetarista
Galindo Lucas, Alfonso
- In:
Entelequia. Revista Interdisciplinar
(
2006
)
1
,
pp. 172-175
Book review of Stiglitz, J. E.; Greenwald, B. (2005): "Towards a New Paradigm in Monetary Economics", Cambridge University Press
Persistent link: https://www.econbiz.de/10005551544
Saved in:
10
Valor bursátil de los bancos europeos : determinantes económico-financieros y de gobierno corporativo
Muñoz Jiménez, Iván
;
Rodríguez Fernández, José M.
- In:
Estudios de economía aplicada : revista promovida por …
32
(
2014
)
2
,
pp. 677-701
Persistent link: https://www.econbiz.de/10010378358
Saved in:
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