Ricardo Amarilla - Economía, Finanzas y Ciencia de Datos
Recommended Reading and Links
Selection of works, articles and information sources used as references in finance, risk management, and applied data science.
Finance, Risk, and Derivatives
Bessis, J. — Risk Management in Banking. 4th Ed., John Wiley & Sons, 2015.
Black, F., Derman, E., & Toy, W. (1990). A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options. Financial Analysts Journal, pp. 33–39.
Bodie, Z., Kane, A., & Marcus, A. J. — Investments. 5th Ed., McGraw-Hill/Irwin, 2001.
Brealey, R. A., Myers, S. C., & Allen, F. — Principios de Finanzas Corporativas. 9ª Ed., McGraw-Hill, México, 2010.
Bluhm, C., Overbeck, L., & Wagner, C. — An Introduction to Credit Risk Modelling. Chapman & Hall/CRC, 2003.
Crouhy, M., Galai, D., & Mark, R. — The Essentials of Risk Management. McGraw-Hill, 2006.
Chance, D. — Analysis of Derivatives for the CFA Program. AIMR, 2003.
Copeland, T. E., & Weston, F. J. — Financial Theory and Corporate Policy. 3rd Ed., Addison-Wesley, 1992.
Fabozzi, F. J. — Fixed Income Analysis. 2nd Ed., John Wiley & Sons, 2007.
Hull, J. C. — Options, Futures & Other Derivatives. 7th Ed., Prentice Hall, 2009.
Hull, J. C. — Introducción a los Mercados de Futuros y Opciones. 6ª Ed., Pearson Education, México, 2009.
Hull, J. C. — Risk Management and Financial Institutions. 3rd Ed., John Wiley & Sons, 2012.
Jorion, P. — Value at Risk. 3rd Ed., McGraw-Hill, 2007.
Jorion, P. — Financial Risk Manager Handbook. 4th Ed., John Wiley & Sons, 2007.
Lin, S. — Introductory Stochastic Analysis for Finance and Insurance. Wiley, 2006.
Rebonato, R. — Interest Rate Option Models. Wiley, 1998.
J.P. Morgan (1996). RiskMetrics – Technical Document. 4th Edition.
Mina, J., & Xiao, J. (2001). Return to RiskMetrics: The Evolution of a Standard. RiskMetrics Group.
Saunders, A., & Allen, L. — Credit Risk Measurement. Wiley, 2002.
Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188.
Modeling and Valuation of Weather Derivatives
Mariano González Sánchez, Juan Nave Pineda — Valoración de derivados sobre el clima a partir de la modelización estocástica de la temperatura en el aeropuerto Eldorado de Bogotá. 2009.
Melanie Cao, Jason Wei — Weather Derivatives: Valuation and Market Price of Weather Risk. 2004.
Melanie Cao, Jason Wei — Pricing Weather Derivative: an Equilibrium Approach. 1999.
Gregor Dorfleitner, Maximilian Wimmer — The Pricing of Temperature Futures at the Chicago Mercantile Exchange. 2009.
Juan Sergio Cruz, Andrés Llinas — Modelo analítico de derivados de clima para eventos específicos de riesgo en la agricultura en Colombia. 2009.
Juan Sergio Cruz — Pricing de un exótico del clima para Colombia. 2007.
Melanie Cao, Jason Wei, Anlong Li — Weather Derivatives: A New Class of Financial Instruments. 2004.
Brody, Syroka, Zervos — Dynamical Pricing of Weather Derivatives. 2002.
Sebastián Palacio Montoya — Estudio de procesos de reversión a la media. 2008.
Exley, Mehta, Smith — Mean Reversion. 2004.
Platen, West — Fair Pricing of Weather Derivatives. 2004.
Stephen Jewson — Introduction to Weather Derivatives Pricing. 2004.
Stephen Jewson, Rodrigo Caballero, Anders Brix — Long Memory in Surface Air Temperature: Detection, Modelling, and Application to Weather Derivative Valuation. 2001.
Stephen Jewson, Mihail Zervos — The Black-Scholes Equation for Weather Derivatives. 2003.
Anders Brix, Stephen Jewson, Christine Ziehmann — Weather Derivative Modelling and Valuation: A Statistical Perspective. 2002.
Stephen Jewson — Weather Derivative Pricing and the Modelling of Trends: Objective Bayesian Versions of the Flat-line, Linear Trend and Damped Linear Trend Models. 2008.
Stephen Jewson — Estimation of Uncertainty in the Pricing of Weather Options. 2003.
Juan José M. Martínez — Retornos no gaussianos, volatilidad aglomerada y asimetrías en un modelo de mercado de valores: modelando agentes adaptativos con limitaciones de liquidez. 2011.
Osborne — Periodic Structure in the Brownian Motion of Stock Prices. 1962.
Olivier Roustant, Jean-Paul Laurent, Xavier Bay, Laurent Carraro — Model Risk in the Pricing of Weather Derivatives. 2003.
Mraoua, Bari — Temperature Stochastic Modeling and Weather Derivatives Pricing: Empirical Study with Moroccan Data. 2006.
Benth, Benth — Stochastic Modelling Of Temperature Variations with a View Towards Weather Derivatives. 2004.
Zapranis, Alexandris — Weather Derivatives Pricing: Modeling the Seasonal Residual Variance of an Ornstein-Uhlenbeck Temperature Process with Neural Networks.
Patricio Henriquez Vega — Derivados climáticos: valorización de opciones sobre precipitaciones. 2012.
Cathrin Van Emmerich — Modelling and Simulating of Rain Derivatives. 2005.
Xu, Odening, Musshoff — Analysis of Rainfall Derivatives Using Daily Precipitation Models: Opportunities and Pitfalls.
Lixin Zeng — Pricing Weather Derivatives.
Vicente Pons Ferrer — Derivados sobre subyacente no negociable: valoración de una opción sobre meteorología. 2003.
Turvey — Weather Derivatives for Specific Event Risk in Agriculture. 2001.
Cao, Li, Wei — Precipitation Modeling and Contract Valuation: A Frontier in Weather Derivatives. 2004.
Data Science and Applied Statistics
Newman, M. E. J. — Networks: An Introduction. Oxford University Press, 2010.