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Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación


  • Venegas-Martínez, Francisco

    (Instituto Politécnico Nacional (IPN))


This paper carries out an analysis of the most common structured notes traded in financial markets. A detailed description of such financial instruments emphasizing their particular characteristics and technical difficulties in the valuation process is provided. Due to the fact that most of the structured notes traded in the mexican financial markets are certificate deposits with granted capital, we supply the basic elements for their valuation, such as floating coupon-bearing bonds and interest-rate contingent claims. Moreover, for most of the studied structured notes, theoretical pricing models are developed. Finally, for illustrative purposes, several numerical examples of notes are fully developed.// El presente trabajo analiza las notas estructuradas más comunes en el mercado. Se presenta una descripción detallada de dichos instrumentos financieros destacando sus características particulares y dificultades técnicas en el proceso de evaluación. Debido a que la mayoría de las notas estructuradas que se negocian en el mercado financiero mexicano son certificados de depósito con garantía del capital inicial, este trabajo proporciona los elementos básicos que se requieren para su evaluación, como son los bonos cuponados flotantes y los productos de las tasas de interés. Asimismo, para la mayoría de las notas estructuradas estudiadas aquí se desarrollan modelos teóricos de evaluación. Por último, con fines ilustrativos, varios ejemplos numéricos acerca de las notas son presentados.

Suggested Citation

  • Venegas-Martínez, Francisco, 2007. "Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(295), pages 615-661, julio-sep.
  • Handle: RePEc:elt:journl:v:74:y:2007:i:295:p:615-661

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    Cited by:

    1. Aguilar-Juárez, Isabel Patricia. & Venegas-Martínez, Francisco., 2015. "Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(20), pages 7-46, primer se.

    More about this item


    financial markets; asset pricing; mercados financieros; evaluación de activos;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing


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