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Cobertura de tasas de interés con futuros del mercado mexicano de derivados. Modelo estocástico de duración y convexidad


  • Venegas-Martinez, Francisco

    (Oxford University)

  • Bernardo González-Aréchiga

    (Instituto para la Protección al Ahorro Bancario)


In this paper, we develop a stochastic model to hedge the present value of cash flows against-rate risk by using futures contracts. In our approach, the dynamics of the interest rate is driven by a mean-reverting stochastic diffusion process. The model stresses the concepts of money duration and money convexity in interest-rate risk management. An application is addressed, by way of illustration, to generate hedging strategies with futures contracts traded in the Mexican Derivates Exchange when the term structure of the interest rate is generated with both the Vasicek and the Cox, Ingersoll and Ross (CIR) models.// En este trabajo se desarrolla un modelo estocástico para inmunizar el valor presente de corrientes financieras contra el riesgo de tasas de interés mediante el uso de contratos a futuros. En nuestra propuesta, la dinámica de la tasa de interés es conducida por un proceso estocástico de difusión con reversión de la media. El modelo destaca los conceptos de duración y convexidad monetaria en la administración del riesgo de tasa de interés. A manera de ilustración, se generan estrategias de inmunización con futuros del MexDer cuando la estructura de plazos de la tasa de interés es generada con los modelos de Vasicek y Cox, Ingersoll y Ross (CIR).

Suggested Citation

  • Venegas-Martinez, Francisco & Bernardo González-Aréchiga, 2002. "Cobertura de tasas de interés con futuros del mercado mexicano de derivados. Modelo estocástico de duración y convexidad," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(274), pages 227-250, abril-jun.
  • Handle: RePEc:elt:journl:v:69:y:2002:i:274:p:227-250

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    References listed on IDEAS

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    More about this item


    inmunización de portafolios; riesgo de tasa de interés; futuros;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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