Examinando por Materia "FUTUROS (COMERCIO)"

Mostrando 1 - 7 de 7
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    Diseño de un fondo de inversión colectiva basado en derivados energéticos
    (Universidad EAFIT, 2016) Palacio Zapata, Gustavo Adolfo; Rodríguez Sánchez, Camilo Andrés
    El propósito de este trabajo de grado es diseñar un fondo de inversión colectiva donde los activos predominantes sean derivados energéticos -- Lo anterior, ajustado al marco normativo expedido por el Ministerio de Hacienda en 2013 -- Para su diseño se estudiará el comportamiento de los derivados energéticos en el principal mercado de futuros: New York Mercantile Exchange y Derivex, que es el mercado de derivados de commodities energéticos en Colombia -- Se recopilarán datos a través de una consulta histórica en diferentes sistemas de información, como Bloomberg y Derivex -- Recopilada y analizada la información en referencia, se determinará la composición del portafolio que se ajuste a las necesidades del mercado colombiano y se desarrollarán pruebas y modelos estadísticos para medir los riesgos financieros -- Finalmente, la investigación y el trabajo de campo se presentan en un informe donde se exponen las características que debe tener un fondo de inversión concentrado en derivados energéticos
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    Impacto en el estado de resultados de una compañía importadora del sector metalmecánico en Colombia ante el uso de diferentes estrategias de cobertura cambiaria
    (Universidad EAFIT, 2023) Botero Gaviria, Andrea; Ossa Salazar, David; Cardona Llano, Juan Felipe
    This study presents a retrospective analysis of the use of different financial derivative products and structures to mitigate exchange rate risk, with the objective of quantifying their impact on the financial results of an importing company in the metal-mechanic sector in Colombia. To this end, real and real and historical data of the exchange rate (USD/COP) are taken for the period between 2019 and 2022. At the same time, the purpose of the research is to expose how to obtain a better performance in the financial results from different financial alternatives, which results in the to improvement of the decision-making of the exchange risk management in a globalized market where there are not only many changes, but also high volatility in the exchange rate. In this order of ideas, the strategies that could have had a better performance are described, their value in the financial management of the company under study is demonstrated, and the conclusions and recommendations for those interested in managing this type of exchange rate risk are presented.
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    Incidencia de las coberturas con derivados financieros en el valor de mercado en empresas del MILA (2018-2022)
    (Universidad EAFIT, 2024) Castañeda Cuadros, Brayan Iván; Giraldo Prieto, César Augusto
    The present study examines the impact of financial derivatives hedging on the market value of a sample of 40 companies listed on the MILA between 2018 and 2022, whose emerging economies exhibit historical volatility. To do so, 10 companies from each country (Chile, Colombia, Peru, and Mexico) were analyzed. The information was treated as panel data using a fixed-effects linear regression model, with the Q Tobin as the dependent variable serving as an indicator of market value associated with financial derivatives hedging strategies. The results consistently indicate that, for the selected sample, the use of financial derivatives does not have a significant impact on their value, and, contrary to expectations, they also do not add value. Regarding the strategies maintained in these portfolios by the analyzed companies, it was found that they are rarely important within the corporate financial structure, and their results are questionable. The study is of interest to investors, entrepreneurs, and other stakeholders interested in understanding the implications of engaging in financial derivatives hedging.
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    Metodologías alternativas para la valoración de opciones americanas sobre TRM
    (Universidad EAFIT, 2009) Ramírez Posada, Luisa Fernanda; Maya Ochoa, Cecilia Inés
    This study explores some methods different from the traditional binomial (Cox, Ross, and Rubinstein, 1979) for American Options valuation aiming to identifying an appropriate method when the underlying asset is the exchange rate of the US Dollar to the Colombian Peso known as TRM (Representative Exchange Rate). We confirm the good performance and flexibility of the Monte Carlo method which translates into an adequate alternative for valuing these derivatives. Additionally, this method allows us to use the actual stochastic process of the underlying asset avoiding assumptions on its dynamics, e.g. lognormality. By doing this, we obtain a better estimation for options when early exercise is allowed which is in agreement with the true behavior of the asset.
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    Ítem
    Modelación de la prima de riesgo que asumen los agentes en transacciones a plazo a través de los factores que influyen y explican el comportamiento de la tasa de cambio de la moneda colombiana con respecto a la de Estados Unidos
    (Universidad EAFIT, 2015) Peláez González, Julián; Marín Salazar, Daniel Alejandro; Pantoja Robayo, Javier Orlando
    En este trabajo se pretende establecer que factores fundamentales influyen en el movimiento de la tasa de cambio COP/USD en un periodo intra-diario de forma horaria, para así poder establecer un modelo que ayude a estimar la prima de riesgo de la tasa de cambio colombiana -- Basados en Pantoja (2012)1, se pretende la aplicación de un modelo VAR (vectores autorregresivos) para estimar la prima de riesgo de la tasa de cambio, donde se encontró que este modelo no es el modelo más adecuado para explicar la serie de datos utilizada, por lo que se propone un modelo GARCH para modelar la serie -- Se encontró que hay factores fundamentales que explican la prima, como lo son el WTI, el S&P500 y la tasa de cambio EUR/USD
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    Valoración de opciones tipo Lookback : una aplicación a la tasa de cambio
    (Universidad EAFIT, 2007) Maya Ochoa, Cecilia Inés; Rodríguez Mejía, Jorge Andrés
    The development of instruments for hedging risks known as derivatives has been vertiginous in the last two decades. One of the most dynamic is the group of exotic options, that is to say, those that do not adjust to the conditions of the traditional European or American options. This study focuses on the valuation of Lookback options, and presents the current analytical and numerical methods used for this purpose. Its application to the case of options on the exchange rate is discussed and the study concludes that the use of the Montecarlo method where the underlying asset follows a process of stochastic volatility like the one proposed by Heston (1993) is much more suitable for this case. The flexibility which characterizes this method is necessary for the valuation of exotic options which are path dependent. This method also allows us to model the underlying asset following different stochastic processes when lognormality is rejected.