Estrategia de cobertura con productos derivados para el mercado energético colombiano

Jhon Alexis Díaz Contreras; Gloría Inés Macías Villalba; Edgar Luna González

doi:10.1016/j.estger.2014.02.008

Estrategia de cobertura con productos derivados para el mercado energético colombiano

Translated title of the contribution: Hedging strategy with products for the Colombian energy market

Jhon Alexis Díaz Contreras, Gloría Inés Macías Villalba, Edgar Luna González

Research output: Articles / Notes › Scientific Article › peer-review

9 Scopus citations

Abstract

The development of the Colombian wholesale energy market has currently allowed it to trade electricity futures in local capital markets. This work aims to design a derivative, which has the price of electricity as the underlying. For this, we analyzed the time series of electricity price volatility modeling, and from this, an exotic barrier-type option was designed that shows how to use this type of financial products to cover risks from market agents.

Translated title of the contribution	Hedging strategy with products for the Colombian energy market
Original language	Spanish
Pages (from-to)	55-64
Number of pages	10
Journal	Estudios Gerenciales
Volume	30
Issue number	130
DOIs	https://doi.org/10.1016/j.estger.2014.02.008
State	Published - 2014

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title = "Estrategia de cobertura con productos derivados para el mercado energ{\'e}tico colombiano",

abstract = "The development of the Colombian wholesale energy market has currently allowed it to trade electricity futures in local capital markets. This work aims to design a derivative, which has the price of electricity as the underlying. For this, we analyzed the time series of electricity price volatility modeling, and from this, an exotic barrier-type option was designed that shows how to use this type of financial products to cover risks from market agents.",

keywords = "Colombian electricity market, Electricity derivatives, Spot price, Volatility",

author = "{D{\'i}az Contreras}, {Jhon Alexis} and Villalba, {Glor{\'i}a In{\'e}s Mac{\'i}as} and Gonz{\'a}lez, {Edgar Luna}",

year = "2014",

doi = "10.1016/j.estger.2014.02.008",

language = "Espa{\~n}ol",

volume = "30",

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journal = "Estudios Gerenciales",

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publisher = "Universidad Icesi",

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T1 - Estrategia de cobertura con productos derivados para el mercado energético colombiano

AU - Díaz Contreras, Jhon Alexis

AU - Villalba, Gloría Inés Macías

AU - González, Edgar Luna

PY - 2014

Y1 - 2014

N2 - The development of the Colombian wholesale energy market has currently allowed it to trade electricity futures in local capital markets. This work aims to design a derivative, which has the price of electricity as the underlying. For this, we analyzed the time series of electricity price volatility modeling, and from this, an exotic barrier-type option was designed that shows how to use this type of financial products to cover risks from market agents.

AB - The development of the Colombian wholesale energy market has currently allowed it to trade electricity futures in local capital markets. This work aims to design a derivative, which has the price of electricity as the underlying. For this, we analyzed the time series of electricity price volatility modeling, and from this, an exotic barrier-type option was designed that shows how to use this type of financial products to cover risks from market agents.

KW - Colombian electricity market

KW - Electricity derivatives

KW - Spot price

KW - Volatility

UR - http://www.scopus.com/inward/record.url?scp=85034861839&partnerID=8YFLogxK

U2 - 10.1016/j.estger.2014.02.008

DO - 10.1016/j.estger.2014.02.008

M3 - Artículo Científico

AN - SCOPUS:85034861839

SN - 0123-5923

VL - 30

SP - 55

EP - 64

JO - Estudios Gerenciales

JF - Estudios Gerenciales

IS - 130

ER -

Estrategia de cobertura con productos derivados para el mercado energético colombiano

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