This thesis includes three papers on hedging and optimization of energy asset portfolios. The regulatory scheme for natural gas (NG) prices in Mexico is described and the behavior of international and domestic gas prices ...

The financial crisis of 2007–2009 swallowed billions of dollars and caused many corporate defaults. Massive monetary intervention by the US and European central bank stabilized the global financial system, but the long-term ...

In the second quarter of 2006, a hearty dose of volatility returned to financial markets. During May and June, uncertainty towards the global economic outlook amid rising interest rates prompted investors to abandon riskier ...

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in ...

Asset prices in emerging markets rallied to record highs in the first quarter of 2006, with bonds and equities posting strong performances on top of already remarkable 2005 gains. Spreads on dollar-denominated bonds issued ...

At the beginning of the 90s, when the system that gave way to the massification of the Internet was created, and with it, a substantial leap for the future of electronic sales, the use of this type of commerce grew ...