Modelos Unifactoriales de Tipos de Interés: Aplicación al Mercado Colombiano

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dc.citation.epage165
dc.citation.issue36
dc.citation.journalTitleCuadernos de Administraciónspa
dc.citation.spage133
dc.citation.volume21
dc.contributor.affiliationDepartamento de Finanzas, Universidad EAFIT, Colombiaspa
dc.contributor.affiliationBolsa Nacional Agropecuaria de Colombia, Colombiaspa
dc.contributor.authorRestrepo Tobón, D.Aspa
dc.contributor.authorBotero Ramírez, J.C.spa
dc.contributor.departmentEconomía y Finanzasspa
dc.contributor.departmentFinanzasspa
dc.contributor.programGrupo de Investigación Finanzas y Bancaspa
dc.date2008
dc.date.accessioned2015-11-06T21:19:23Z
dc.date.available2015-11-06T21:19:23Z
dc.date.issued2008
dc.description.abstractThis article is a first approach to implementing in the Colombian market the unifactorial interest rate models developed by Hull and White (1990) and by Black and Karasinski (1991) with constant volatility and reversion velocity parameters. The main findings from this research are 1) implementing both models using trinomial trees enables accurately replicating the forward structure of market interest rates; 2) the parallel movements of the installment structure of interest rates in Colombia explains most of their variability, thus, using unifactorial models such as the ones proponed herein is appropriate; 3) the volatility and reversion velocity mean parameters on the mean short-term interest rate must be estimated using time series econo-metric models; 4) future articles must broach the problems related to coverage using such types of models, to estimating volatility structures and surfaces, and to multifactorial model calibration.eng
dc.identifier.issn0120-3592
dc.identifier.urihttp://hdl.handle.net/10784/7675
dc.language.isoengeng
dc.publisherElseviereng
dc.relation.ispartofCuadernos de Administración. Vol. 21, (36), 2008, pp.133-165spa
dc.relation.isversionofhttp://www.scopus.com/record/display.url?eid=2-s2.0-77149140159&origin=inward&txGid=AEB785CF1FD66349237DA89ECA0C256A.iqs8TDG0Wy6BURhzD3nFA%3a2
dc.relation.urihttp://www.scopus.com/record/display.url?eid=2-s2.0-77149140159&origin=inward&txGid=AEB785CF1FD66349237DA89ECA0C256A.iqs8TDG0Wy6BURhzD3nFA%3a2
dc.rightsopenAccesseng
dc.rights© Copyright 2013 Elsevier B.V., All rights reserved.spa
dc.rights.accessrightsinfo:eu-repo/semantics/openAccesseng
dc.rights.localAcceso abiertospa
dc.sourceCuadernos de Administración. Vol. 21, (36), 2008, pp.133-165spa
dc.subject.keywordBlack and Karasinskieng
dc.subject.keywordCalibrationeng
dc.subject.keywordHull and whiteeng
dc.subject.keywordInterest rate modelseng
dc.subject.keywordInterest rateeng
dc.titleModelos Unifactoriales de Tipos de Interés: Aplicación al Mercado Colombianoeng
dc.typearticleeng
dc.typeinfo:eu-repo/semantics/articleeng
dc.typeinfo:eu-repo/semantics/publishedVersioneng
dc.type.hasVersionpublishedVersioneng
dc.type.localArtículospa

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