The pricing of commodity derivatives requires that the underlying asset be modelled with mean reversion and high volatility. We develop closed formulas to price the spot of the commodity, its future, and to price a call option on the spot and on the commodity future, in the real world and under...

“Orthogonal portfolios” methodology applied by Roll (1980), in order to get an orthogonal zero-beta portafolio when we have a nonefficient market index in Mean-Variance approach, is used by MacKinley and Pastor (2000) to obtain a non observed risk factor that considers the information aj?0...

Risks management nowadays is divided into three great topics: calculation of derivate products, interest rate modelling and the financial and economics risks area. From the works made by Bachelier (1900), financial modeling have involved Brownian motion. This leads us to keep suppositions that...

El supuesto de independencia en la definición del movimiento browniano que es el proceso estocástico utilizado en la deducción de la ecuación del modelo Black-Scholes y la valuación de derivados es cuestionado en el presente trabajo. Los resultados de la aplicación de la metodología (R/S)...

The main purpose of this paper is to analyse if the Capital Asset Pricing Model and a two-factor model (model extended with the size factor) can efficiently explain the variability of the returns on the Personal Pension Plans in Spain over 1995-2003. We analyse the sample of two ways: set of...

In this paper, the degree of the relationship amongst the underlying forward interest rates to the Mexican TIIE-28-day swap interest rate curve is analyzed. It is found empirically that there are strong correlations between term-adjacent forward interest rates, but such correlations become weak...

In this paper we obtain an interest rate term structure to price fixed-rate assets. In such structure we model the dynamics of the short interest rate based on the three factor model proposed by Lin-Chen (1995). Here we use the Mexican daily funding government rate as the short interest rate....