Spanish Abstract: El episodio conocido como Taper Tantrum está relacionado con una serie de comunicados que la FED dio a conocer entre los meses de abril a junio de 2013, que son considerados el origen de la alta volatilidad en el mercado de capitales en este período. El objetivo de este...

This paper shows, under certain conditions, the convergence of the GARCH (1.1)-M model to the geometric Brownian motion with mean reversion (diffusion GARCH process). The importance from this result is that the problem of inference on the parameters of the valuation models of options with...

La presente investigación tiene como objetivo principal desarrollar un análisis de toma de decisiones bajo incertidumbre a través de la aplicación de opciones reales en la evaluación de inversiones en proyectos mineros. Asimismo, se propone estudiar el comportamiento de los precios del oro,...

The purpose of this paper is to estimate the default probabilities in infrastructure projects. For that, we analyze the exposure of the lenders to a state of default. This application is made by assuming the debt service coverage ratio (DSCR) dynamic itself and the payment profile determined by...

This paper presents the analysis and valuation of an individual, temporary, and leveled-prime life insurance. It starting point is an analogy between contract rules and a financial exotic option. In particular, a cash or nothing option. Several cases are presented from a person with different...

At emerging financial markets, the R&D, intangible and technological basis firms (TBF) valuation, they make the traditional real option binomial approach questionable. For that, a numerical model that modified the traditional binomial model is proposed, incorporating trinomial lattice, changing...

In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...

In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...

Spanish Abstract: Se realiza una introducción formal a los modelos de valoración de dos estados, es decir, modelos de valoración de activos contingentes en los cuales se asume que el subyacente puede presentar solamente dos precios distintos entre periodos consecutivos. Este tipo de modelos...