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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| 格式: | Online |
| 語言: | 西班牙语 |
| 出版: |
El Colegio de México, A.C.
2002
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| 主題: | |
| 在線閱讀: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/195 |
| 機構: |
Estudios Económicos |