JEFAS Vol. 21 Nº 41 (2016)

URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4129

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  • Miniatura
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    Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Velásquez Giraldo, Mateo; Gutiérrez Betancur, Juan Carlos; Almonacid Hurtado, Paula María
    Calibration of the Nelson-Siegel (NS) model to adjust to sovereign yield curves has been found to be problematic since the model exhibits a correlation between its factors, and generates objective functions with local multiple optima. These problems are often disregarded in the Colombian market, enough importance is not being given to the calibration process. This study aims to evaluate two non-gradient based methods for solving the non-linear least squares problem: the differential evolution metaheuristic and an incremental search procedure on the non-linear parameters. Comparisons of the results are made in terms of the achieved fit, consistency (for the metaheuristic) and the shapes obtained for the curves. The same procedure is carried out on the Nelson-Siegel-Svensson (NSS) model, evaluating the advisability of its use in the local market.
  • Miniatura
    ÍtemSolo Metadatos
    Valorización de opciones reales: modelo Ornstein-Uhlenbeck
    (Universidad ESAN. ESAN Ediciones, 2016-12-01) Tresierra Tanaka, Álvaro; Carrasco Montero, Claudia Marilia
    This study has as its main objective to develop an analysis of decision making under uncertainty using the real options application in the evaluation of investments in mining projects. It is also proposed to study the behaviour of gold prices, for the specific case of Peru, using historic prices and based on the commodity prices process. The Ornstein-Uhlenbeck model has been used for this. The main result is that to evaluate projects using the real options approach allows to evaluate –in their real magnitude– the financial benefits associated with an investment project, as it takes into account the trinomial of profitability-risk-flexibility. The assessment method using real options makes it possible to structure strategic thinking.