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Predicción del comportamiento diario de la acción de SURAMINV : redes neuronales y modelos econométricos
(Universidad EAFIT, 2009)
The current study shows evidence that using statistical, econometric and artificial intelligence models it is possible to predict the daily stock price fluctuations of SURAMINV, in contrast with the weak form of efficient-market ...
Validación empírica del modelo CAPM para Colombia 2003-2010
(Universidad EAFIT, 2010)
¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?
(Universidad EAFIT, 2008)
The power of diversification is widely used by investors. In recent years, Colombian investors have moved to offshore markets in order to attain more diversification than what is available in the local market. However, ...
Análisis del índice general de las bolsas de valores de Colombia (IGBC), chile (IPSA) y Perú (IGBVL), y sus rendimientos desde la teoría del caos 2001-2011
(Universidad EAFIT, 2011)
The purpose of this paper is to examine if exist persistence and chaotic structures in the time series of the Colombian (IGBC), Chile (IPSA) and Peru (IGBVL) stock Exchange Index and their returns, during the period between ...
Valoración de opciones para el mercado agropecuario colombiano, el modelo de Heston-Nandi como alternativa
(Universidad EAFIT, 2007)
There are random factors in the process leading to commodities’ price formation. Such factors are manifest in the behavior of volatility. Volatility is a source of uncertainty for any market. Options on commodities are a ...
Salarios y rendimiento académico : análisis a los egresados de la Universidad Eafit
(Universidad EAFIT, 2011)
Valoración de opciones tipo Lookback : una aplicación a la tasa de cambio
(Universidad EAFIT, 2007)
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 ...
Valoración de Credit Default Swaps (CDS) : una aproximación Montecarlo
(Universidad EAFIT, 2007)
This paper presents a Credit Default Swap (CDS) pricing model. The estimation of the model is based on the Montecarlo method where the credit risk is modelled based on a Stopped Poisson stochastic process. This is an ...
Estimación del riesgo de crédito en empresas del sector real en Colombia
(Universidad EAFIT, 2010)
This paper proposes a Probit Model for unbalanced panel data with random effects to estimate the probability of bankruptcy (default) of the real sector firms in Colombia, to be used in the inferring of credit risk, taking ...
Modelos unifactoriales de tipos de interés : aplicación al mercado colombiano
(Universidad EAFIT, 2007-11)
This work presents a first approximation for implementing the Hull and White (1990) and the Black and Karasinski (1991) One-Factor Interest Rate Models in the Colombian market. Both models fit exactly the Colombian term ...
