IDEAS home Printed from https://ideas.repec.org/a/col/000129/011448.html
   My bibliography  Save this article

Estrategia de cobertura con productos derivados para el mercado energético colombiano

Author

Listed:
  • Jhon Alexis Díaz Contreras
  • Gloria Inés Macías Villalba
  • Edgar Luna González

Abstract

El desarrollo que ha presentado el mercado mayorista de energía en Colombia ha permitido que hoy en día se estén negociando futuros de electricidad en el mercado de capitales local. Este trabajo tiene como objetivodisen ̃arunproductoderivadoenelquesubyaceelpreciodelaelectricidad.Paraesto,seanaliza la serie de tiempo del precio de la electricidad para modelar su volatilidad; y a partir de esta, se disen ̃a una opción exótica tipo barrera que muestra cómo se pueden usar este tipo de productos financieros en la cobertura de riesgos de los agentes del mercado.

Suggested Citation

  • Jhon Alexis Díaz Contreras & Gloria Inés Macías Villalba & Edgar Luna González, 2014. "Estrategia de cobertura con productos derivados para el mercado energético colombiano," Estudios Gerenciales, Universidad Icesi, March.
    • Handle: RePEc:col:000129:011448
    as

    Download full text from publisher

    File URL: http://www.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/1765
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Derivados de electricidad VolatilidadPrecio spotMercado de electricidad colombiano;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:col:000129:011448. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Coordinador ICESI (email available below). General contact details of provider: https://edirc.repec.org/data/fciceco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.