El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos
Este artículo presenta el modelo Cox-Ingersoll-Ross para la modelación de tasas de interés y su relación con el proceso estocástico de Feller; como un modelo paramétrico se muestran las principales sensibilidades a sus parámetros y sus aplicaciones.
- Autores:
-
León Nieto, Diego Ismael
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2018
- Institución:
- Universidad Externado de Colombia
- Repositorio:
- Biblioteca Digital Universidad Externado de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:bdigital.uexternado.edu.co:001/7678
- Acceso en línea:
- https://bdigital.uexternado.edu.co/handle/001/7678
https://doi.org/10.18601/17941113.n13.03
- Palabra clave:
- tasas de interés
proceso de Feller
modelo CIR.
Interest rates
Feller process
CIR model.
- Rights
- openAccess
- License
- http://purl.org/coar/access_right/c_abf2
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El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos |
| dc.title.translated.eng.fl_str_mv |
Feller Stochastic process and Cox-Ingersoll-Ross model: Interest rate modeling and bond valuation |
| title |
El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos |
| spellingShingle |
El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos tasas de interés proceso de Feller modelo CIR. Interest rates Feller process CIR model. |
| title_short |
El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos |
| title_full |
El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos |
| title_fullStr |
El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos |
| title_full_unstemmed |
El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos |
| title_sort |
El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonos |
| dc.creator.fl_str_mv |
León Nieto, Diego Ismael |
| dc.contributor.author.none.fl_str_mv |
León Nieto, Diego Ismael |
| dc.subject.spa.fl_str_mv |
tasas de interés proceso de Feller modelo CIR. |
| topic |
tasas de interés proceso de Feller modelo CIR. Interest rates Feller process CIR model. |
| dc.subject.eng.fl_str_mv |
Interest rates Feller process CIR model. |
| description |
Este artículo presenta el modelo Cox-Ingersoll-Ross para la modelación de tasas de interés y su relación con el proceso estocástico de Feller; como un modelo paramétrico se muestran las principales sensibilidades a sus parámetros y sus aplicaciones. |
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2018 |
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2018-05-09 00:00:00 2022-09-08T13:40:36Z |
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2018-05-09 00:00:00 2022-09-08T13:40:36Z |
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2018-05-09 |
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Artículo de revista |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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Text |
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info:eu-repo/semantics/article |
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Journal article |
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10.18601/17941113.n13.03 |
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2346-2140 |
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1794-1113 |
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https://bdigital.uexternado.edu.co/handle/001/7678 |
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https://revistas.uexternado.edu.co/index.php/odeon/article/download/5337/6520 https://revistas.uexternado.edu.co/index.php/odeon/article/download/5337/6701 |
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Núm. 13 , Año 2017 : Julio-Diciembre |
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44 |
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13 |
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Odeon |
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Andersen Torben G. Lund, J. (1997). Estimating continous-time stochastic volatility models of the short-term interest rate. Journal of Econometrics, 77, 343-377. Black, F. y Karasinski, P. (1991). Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47(4), 52-59. Black, F., Derman, E. y Toy, W. (1990). A one-factor model of interest rates and its application to Treasury bond options. Financial Analysts Journal, 46, 33-39. Brown, R. H. Schaefer, S. M (1994). The term structure of real interest rates and the Cox, Ingersoll and Ross Model. Journal of Financial Economics, 35, 3-42. Cox, J. C., Ingersoll Jr, J. E. y Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53 (2), 385-407. Dothan L. (1978). On the term structure of interest rates. Journal of Financial Economics, 6, 59-69. Feller, W. (1951a). Two singular diffusion problems. Annals of Math, 54 (1), 173-182. Feller, W. (1951b). Diffusion processes in genetics. En Neyman, J. (ed.). Proceedings of the 2nd Berkeley Symposium on Mathematical Statistics and Probability (pp. 227-246). Berkeley: University of California Press. Ho, T. y Lee, S. (1986). Term structure movements and pricing interest rate contingent claims. Journal of Finance, 41 (5), 1129-1142. Hull, J. y White, A. (1990). Pricing Interest Rate Derivative Securities. Review of Financial Studies, 3 (4), 573-592. Kouritzin, M. A. y Rémillard, B. (2002). Explicit strong solutions of multidimensional stochastic differential equations. Technical report, Laboratory for Research in Probability and Statistics. University of Ottawa-Carleton University. Lepage, T., Law, S., Tupper, P. y Bryant, D. (2006). Continuous and tractable models for the variation of evolutionary rates. Recuperado de http://arxiv.org/abs/math.pr/0506145. Lamberton, D. y Lapeyre, B. (2008). Introduction to Stochastic Calculus Applied to Finance (2 edition). Boca Raton, FL: Chapman & Hall/CRC Financial Mathematics Series. Milstein, G. N. (1975). Approximate Integration of Stochastic Differential Equations. Theory of Probability & Its Applications, 19 (3), 557-000. Pedersen, A.R. (2000). Estimating the nitrous oxide emission rate from the soil surface by means of a diffusion model. Scandinavian Journal of Statistics, 27, 385-403. Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177-188. |
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León Nieto, Diego Ismaelvirtual::434-12018-05-09 00:00:002022-09-08T13:40:36Z2018-05-09 00:00:002022-09-08T13:40:36Z2018-05-09Este artículo presenta el modelo Cox-Ingersoll-Ross para la modelación de tasas de interés y su relación con el proceso estocástico de Feller; como un modelo paramétrico se muestran las principales sensibilidades a sus parámetros y sus aplicaciones.This document presents the Cox Ingersoll Ross model for interest rate modeling and its relationship with the stochastic process of Feller, as a parametric model shows the main sensitivities to its parameters and its applications.application/pdftext/html10.18601/17941113.n13.032346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7678https://doi.org/10.18601/17941113.n13.03spaFacultad de Finanzas, Gobierno y Relaciones Internacionaleshttps://revistas.uexternado.edu.co/index.php/odeon/article/download/5337/6520https://revistas.uexternado.edu.co/index.php/odeon/article/download/5337/6701Núm. 13 , Año 2017 : Julio-Diciembre441331OdeonAndersen Torben G. Lund, J. (1997). Estimating continous-time stochastic volatility models of the short-term interest rate. Journal of Econometrics, 77, 343-377.Black, F. y Karasinski, P. (1991). Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47(4), 52-59.Black, F., Derman, E. y Toy, W. (1990). A one-factor model of interest rates and its application to Treasury bond options. Financial Analysts Journal, 46, 33-39.Brown, R. H. Schaefer, S. M (1994). The term structure of real interest rates and the Cox, Ingersoll and Ross Model. Journal of Financial Economics, 35, 3-42.Cox, J. C., Ingersoll Jr, J. E. y Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53 (2), 385-407.Dothan L. (1978). On the term structure of interest rates. Journal of Financial Economics, 6, 59-69.Feller, W. (1951a). Two singular diffusion problems. Annals of Math, 54 (1), 173-182.Feller, W. (1951b). Diffusion processes in genetics. En Neyman, J. (ed.). Proceedings of the 2nd Berkeley Symposium on Mathematical Statistics and Probability (pp. 227-246). Berkeley: University of California Press.Ho, T. y Lee, S. (1986). Term structure movements and pricing interest rate contingent claims. Journal of Finance, 41 (5), 1129-1142.Hull, J. y White, A. (1990). Pricing Interest Rate Derivative Securities. Review of Financial Studies, 3 (4), 573-592.Kouritzin, M. A. y Rémillard, B. (2002). Explicit strong solutions of multidimensional stochastic differential equations. Technical report, Laboratory for Research in Probability and Statistics. University of Ottawa-Carleton University.Lepage, T., Law, S., Tupper, P. y Bryant, D. (2006). Continuous and tractable models for the variation of evolutionary rates. Recuperado de http://arxiv.org/abs/math.pr/0506145.Lamberton, D. y Lapeyre, B. (2008). Introduction to Stochastic Calculus Applied to Finance (2 edition). Boca Raton, FL: Chapman & Hall/CRC Financial Mathematics Series.Milstein, G. N. (1975). Approximate Integration of Stochastic Differential Equations. Theory of Probability & Its Applications, 19 (3), 557-000.Pedersen, A.R. (2000). Estimating the nitrous oxide emission rate from the soil surface by means of a diffusion model. Scandinavian Journal of Statistics, 27, 385-403.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5, 177-188.info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revistas.uexternado.edu.co/index.php/odeon/article/view/5337tasas de interésproceso de Fellermodelo CIR.Interest ratesFeller processCIR model.El proceso estocástico de Feller y el modelo Cox-Ingersoll-Ross: modelación de tasas de interés y valoración de bonosFeller Stochastic process and Cox-Ingersoll-Ross model: Interest rate modeling and bond valuationArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationLeón Nietovirtual::434-1Diego Ismaelvirtual::434-1https://scholar.google.com/citations?user=RHOzEBcAAAAJ&hl=envirtual::434-10000-0003-1434-7569virtual::434-144d4a0b3-1a30-470d-80e7-8bc5662f2ce3virtual::434-144d4a0b3-1a30-470d-80e7-8bc5662f2ce3virtual::434-1OREORE.xmltext/xml2642https://bdigital.uexternado.edu.co/bitstreams/f885baec-1f35-4cf1-ba64-eeb6aadb9731/download59bf28cc22ce14667c5c5ff28b06a8c1MD51001/7678oai:bdigital.uexternado.edu.co:001/76782022-10-10 10:29:12.715https://creativecommons.org/licenses/by-nc-sa/4.0/https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org |