Mostrar el registro sencillo del ítem
Una metodología para valorar un Callable Bond
A methodology to value a Callable Bond
dc.creator | Grajales, Carlos Alexander | spa |
dc.creator | Ocaris Pérez, Fredy | spa |
dc.date.accessioned | 2017-06-15T21:49:35Z | |
dc.date.available | 2017-06-15T21:49:35Z | |
dc.date.created | 2008 | |
dc.identifier.citation | Grajales, C. A. & Ocaris Pérez, F. (2013). Una metodología para valorar un Callable Bond (A methodology to value a Callable Bond). Revista EIA, 5(10), 9-17. | spa |
dc.identifier.issn | 17941237 | |
dc.identifier.uri | http://hdl.handle.net/11407/3295 | |
dc.description | En este artículo, la metodología empleada para valorar un bono que tiene una opción call incluida (callable bond o bono redimible) viene dada por la implementación numérica del modelo de tasa corta de Hull y White, la cual se logra con un árbol trinomial de tasas. Así mismo, se presenta una aplicación para el caso de la compañía Interconexión Eléctrica S. A. –ISA–, que ha emitido dos instrumentos callable bonds. Para el desarrollo de tal aplicación se construyen algunos algoritmos computacionales, los cuales pueden valorar los dos bonos con opción call que tiene dicha compañía y además permiten la estructuración de un bono con opción call incluida de tipo genérico. | spa |
dc.description | In this paper the methodology employed for assessing a bond that includes a call option (callable bond) is given by the numeric implementation of Hull and White short rate model, which it is accomplished through an interest rates trinomial tree. It also presents an application for the case of the company Interconexión Eléctrica S. A. –ISA–, which has issued two callable bonds instruments. For the development of such application computer algorithms are implemented to value the two bonds of the company, and they also allow the structuring of a bond with a generic type call option included. | spa |
dc.language.iso | spa | |
dc.publisher | Escuela de Ingeniería de Antioquia | spa |
dc.relation.isversionof | http://revistas.eia.edu.co/index.php/reveia/article/view/206 | spa |
dc.source | Revista EIA | spa |
dc.subject | Modelo de tasa corta de Hull y White | spa |
dc.subject | Árbol trinomial de tasas | spa |
dc.subject | Derivado financiero | spa |
dc.subject | Callable bond | spa |
dc.subject | Hull and White short rate model | spa |
dc.subject | Rate trinomial tree | spa |
dc.subject | Financial derivative | spa |
dc.subject | Callable bond | spa |
dc.title | Una metodología para valorar un Callable Bond | spa |
dc.title | A methodology to value a Callable Bond | spa |
dc.type | Article | eng |
dc.rights.accessrights | info:eu-repo/semantics/openAccess | |
dc.rights.accessrights | info:eu-repo/semantics/openAccess | |
dc.publisher.program | Ingeniería Financiera | spa |
dc.identifier.doi | DOI: https://doi.org/10.24050/reia.v5i10.206 | |
dc.publisher.faculty | Facultad de Ingenierías | spa |
dc.creator.affiliation | Grajales, Carlos Alexander; Universidad de Medellín | spa |
dc.creator.affiliation | Ocaris Pérez, Fredy; Universidad de Medellín | spa |
dc.relation.ispartofes | Revista EIA. Número 10, p. 9-17. Diciembre 2008 | spa |
dc.relation.references | Arias, M.; Hernández, C. y Zea, C. Expectativas de inflación en el mercado de deuda pública colombiano. Borradores de Economía 390, Banco de la Republica de Colombia, 2006. | spa |
dc.relation.references | Black, F.; Derman, E. and Toy, W. A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46:33-39, 1990. | spa |
dc.relation.references | Black, F. and Karasinski, P. Bond and option pricing when short rates are lognormal. Financial Analysts Journal, July/August: 52-59, 1991. | spa |
dc.relation.references | Brace, A.; Gatarek, D. and Musiela, M. The market model of interestrate dynamics. Mathematical Finance, 7(2):127-155, 1997. | spa |
dc.relation.references | Cox, J. C.; Ingersoll, J. E. and Ross, S. A. A theory of the term structure of interest rates. Econometrica, 53(2):385-408, Mar. 1985. | spa |
dc.relation.references | Fisher, I. The theory of interest. The Macmillan Company, 1930 edition, 1930. | spa |
dc.relation.references | Heath, D.; Jarrow, R. and Morton, A. Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Econometrica, 60(1992):77-105. | spa |
dc.relation.references | Ho, T and Lee, S.-B. Term structure movements and pricing interest rate contingent claims. Journal of Finance, 41(5):1011-1029, December 1986. | spa |
dc.relation.references | Hull, J. C. and White, A. Pricing interestrate derivative securities. The Review of Financial Studies, 3(4):573- 592, 1990. | spa |
dc.relation.references | Hull, J. C. Options, Futures and other derivatives. Prentice Hall, 6th edition, 2006. University of Toronto. | spa |
dc.relation.references | Jamshidian, F. LIBOR and swap market models and measures. Finance and Stochastics, 1:293-330, 1997. | spa |
dc.relation.references | Langetieg, T. A multivariate model of the term structure. Journal of Finance, 35:71-97, 1980. | spa |
dc.relation.references | Longstaff, F. and Schwartz E. Interest rate volatility and the term structure: A two factor general equilibrium model. Journal of Finance, 47(4):1259-1282, September 1992. | spa |
dc.relation.references | Merton, R. C. Theory of rational option pricing. The Bell Journal of Economics and Management Science, 4(1):141-183, 1973. | spa |
dc.relation.references | Miltersen, K.; Sandmann, K. and Sondermann, D. Closed form solution for term structure derivatives with lognormal interest rate. Journal of Finance, 52(1):409-430, March 1997. | spa |
dc.relation.references | Nelson, C. R. and Siegel, A. F. Parsimonious modeling of yield curves. The Journal of Business, 60(4):473-489, 1987. | spa |
dc.relation.references | O. Vasicek. An equilibrium characterization of the term structure. Journal of Financial Economics, 5:177-188, 1977. | spa |
dc.relation.references | Venegas, F. Riesgos financieros y económicos. Productos derivados y decisiones económicas bajo incertidumbre. 2ª ed. México: Thomson, 2008, 1139 p. | spa |
dc.type.driver | info:eu-repo/semantics/article |
Ficheros en el ítem
Este ítem aparece en la(s) siguiente(s) colección(ones)
-
General [206]