IDEAS home Printed from https://ideas.repec.org/a/emx/esteco/v17y2002i2p171-192.html
   My bibliography  Save this article

Cobertura de flujos financieros con instrumentos de renta fija

Author

Listed:
  • Francisco Venegas Martínez

    (Tecnológico de Monterrey, Campus Ciudad de México)

Abstract

In this paper, we develop a stochastic model to hedge the present value of cash flows against interest-rate risk with fixed-income products, in particular, with zero coupon bonds. 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 zero coupon bonds when the term structure of the interest rate is driven by the Vasicek's (1977) model.

Suggested Citation

  • Francisco Venegas Martínez, 2002. "Cobertura de flujos financieros con instrumentos de renta fija," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 17(2), pages 171-192.
    • Handle: RePEc:emx:esteco:v:17:y:2002:i:2:p:171-192
    as

    Download full text from publisher

    File URL: https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/195/197
    Download Restriction: no
    ---><---

    More about this item

    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:emx:esteco:v:17:y:2002:i:2:p:171-192. 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: Ximena Varela (email available below). General contact details of provider: https://edirc.repec.org/data/cecolmx.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.