Cobertura de flujos financieros con instrumentos de renta fija
In this paper, we develop a stochastic model to hedge the present value of cash flows against interest-rate risk with fixed-income products, in particular, with zero coupon bonds. In our approach, the dynamics of the interest rate is driven by a mean-reverting stochastic diffusion process. The model...
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| Formato: | Online |
| Idioma: | español |
| Editor: |
El Colegio de México, A.C.
2002
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| Acceso en línea: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/195 |
| Revista: |
Estudios Económicos |
| Sumario: | In this paper, we develop a stochastic model to hedge the present value of cash flows against interest-rate risk with fixed-income products, in particular, with zero coupon bonds. In our approach, the dynamics of the interest rate is driven by a mean-reverting stochastic diffusion process. The model stresses the concepts of money duration and money convexity in interest-rate risk management. An application is addressed, by way of illustration, to generate hedging strategies with zero coupon bonds when the term structure of the interest rate is driven by the Vasicek’s (1977) model. |
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