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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Bibliographic Details

Main Author:	Venegas Martínez, Francisco
Format:	Online
Language:	Spanish
Editor:	El Colegio de México, A.C. 2002
Subjects:	bonos cupón cero renta fija tasa de interés G13 G11 zero coupon bonds fixed income interest rates
Online Access:	https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/195
Journal:	Estudios Económicos