Examinando por Materia "DERIVADOS FINANCIEROS"

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    PublicaciónAcceso abierto
    Evaluación del mercado de opciones sobre tasas de cambio: perspectivas para una mejor utilización
    (2014-05-08) Ochoa, I. D. (Iván Darío); González, C. (Cristina)
    Since the Colombian economy is getting more and more globalize and after adopting a floating exchange rate, the COP has experienced some appreciation that has risen up to 25%. This means considerable losses to the export sector. And also it should drive towards a culture more active in risk managing to hedge against foreign exchange volatility, which could avoid significant losses to the import/export sectors in the future. However, it has been identified that, in spite of the recent volatility of the peso/dollar exchange rate, there is little advance in developing such a culture. So this article focuses on the investigation done about the reasons why the mayor Colombian import/export companies had not progressed in forex hedging even though there is an increasing risk because of the mentioned volatility. Investigations carried out on those topics above said were complemented with the study of the variables that determine the market price of options allowed to conclude about the principal reason against developing a strong culture for hedging against forex risk although this risk has been growing day by day. Conclusions are also drawn about why the Colombian options market has a very little deep, and which are the perspectives for a better use of this financial instrument which is identify for several authors as a symbol of a modern financial market.
  • Miniatura
    PublicaciónAcceso abierto
    Una metodología para valorar un callable bond
    (2014-05-12) Grajales-Correa, C. A. (Carlos Alexánder); Pérez-Ramírez, F. O. (Fredy Ocaris)
    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.