Ricardo Amarilla - Economía, Finanzas y Ciencia de Datos
Bibliografía y recursos recomendados
Selección de obras, artículos y fuentes de información utilizadas como referencia en finanzas, gestión de riesgos y ciencia de datos aplicada.
Finanzas, Riesgo y Derivados
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.
Modelización y valoración de derivados climáticos
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.
Ciencia de Datos y Estadística Aplicada
Newman, M. E. J. — Networks: An Introduction. Oxford University Press, 2010.