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Article overview
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Modelling the Uruguayan debt through gaussians models | Andrés Sosa
; Ernesto Mordecki
; | Date: |
1 Aug 2015 | Abstract: | We model bond’s price curves corresponding to the sovereign uruguayan debt
nominated in USD, as an alternative to the official bond prices publication
released by the Central Bank of Uruguay (CBU). Four different gaussian models
are fitted, based on historical data issued by the CBU, corresponding to some
of the more frequently traded bonds. The main difficulty we approach is the
absence of liquidity in the bond market. Nevertheless the adjustment is
relatively good, giving the possibility of non-arbitrage pricing of the whole
family of non traded instruments, and also the possibility of pricing
derivative securities. | Source: | arXiv, 1508.0108 | Services: | Forum | Review | PDF | Favorites |
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