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An accurate heston implementation with Usd-Cop Data
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2018)
This study find by empirical evidence a fast and accurate way to calculate the price of a European Call using the Heston (1993) model. It calculate and uses a benchmark price calculated with the mentioned Heston 1993 pricing ...
Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2014)
In this paper, the Generalized Hyperbolic Distribution is used in the portfolio selection with higher moments. Thereafter a comparative scheme is showed to determinate the advance with regard to Markowitz Portfolio Selection.
Modelos comparativos para la selección óptima de portafolios
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2019)
This thesis will proof that even in a market with characteristics such as the Colombian’s, there is an added value to an investor that includes CIFs (Collective Investment Funds) into his/her portfolio. In order to complete ...
Modelación estocástica y trading algorítmico del spread entre acciones mediante procesos de reversión a la media
(Universidad del RosarioMaestría en Finanzas CuantitativasFacultad de Economía, 2014)
Pairs trading investment strategies are based on relative mispricing between pairs of historically correlated stocks and have been widely implemented in Hedge funds by taking long-short position in selected stocks when ...
Tarifación de un seguro paramétrico de clima con aplicación al sector agrícola
The document makes an introduction to parametric insurance to hedge against climate risk. Then presents a methodology for pricing this kind of insurance using historical information of a meteorological variables. Finally ...
Empirical evidence of jump behaviour in the Colombian intraday bond market
Simulations and empirical studies suggest that incorporating a discontinuous jump process in asset pricing models improve volatility forecasting, pricing of instruments, and hedging positions in a portfolio. In this work ...