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- W2766727480 abstract "In this paper, the Value in Risk of a bond coupon zero is calculed. Daily rate of return of CETES-28 days in the period from 3 May 2004 to 8 March 2006 is used. short rate is guided by a stochastic differential equation in the Vasicek model and Cox-Ingersoll-Ross model (cIR). The estimation of the parameters is by oLS and GMM respectively. Also, it is determined the structure of terms of the bond coupon zero. Finally the bond coupon zero price is calculated by Monte Carlo simulation, the dynamic of short rate follows a stochastic process such as Vasicek and CIR and Poisson jumps are gotten up, it lead us to a series of conclusions and recommendations." @default.
- W2766727480 created "2017-11-10" @default.
- W2766727480 creator A5051235176 @default.
- W2766727480 date "2006-03-01" @default.
- W2766727480 modified "2023-10-03" @default.
- W2766727480 title "VALUACIÓN DEL VALOR EN RIESGO DE BONOS CUPÓN CERO EN EL MERCADO FINANCIERO MEXICANO A TRAVÉS DEL MODELO DE VASICEK, CIR Y SIMULACIÓN MONTE CARLO CON SALTOS DE POISSON" @default.
- W2766727480 doi "https://doi.org/10.21919/remef.v5i1.216" @default.
- W2766727480 hasPublicationYear "2006" @default.
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