AN APPLICATION OF THE BLACK, DERMAN AND TOY MODEL FOR THE ARGENTINE CASE USING MARKET EXPECTATIONS AND IMPLIED INFORMATION FROM THE ISSUES AND EXCHANGES OF INSTRUMENTS IN PESOS DURING MARTÁN GUZMÁN´S TENURE AS MINISTER

The Argentine market is characterized by a marked absence of instruments with optionality. The main cause is the difficulty in valuing the instruments due to high volatility and low liquidity, impacting on the volume of data and models that can be used. This work details the interest rate model of...

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Detalles Bibliográficos
Autor principal: Martos, Leandro J.
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: Centro de Investigación en Métodos Cuantitativos Aplicados a la Economía y la Gestión (CMA) 2020
Materias:
Expectativas. Curva, emisiones, canje de deuda, árbol de tasas de interés y valuación derivados en pesos argentinos. Modelo Black, Derman y Toy.
Expectations. Yield curve, issues, debt swap, interest rate tree and valuation derivatives in Argentine pesos. Black, Derman and Toy model.
Acceso en línea:https://ojs.economicas.uba.ar/RIMF/article/view/1968
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=modelfin&d=1968_oai
Aporte de:
Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires

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