Mercados de notas estructuradas un análisis descriptivo y métodos de evaluación
Trimestre Economico, ISSN: 0041-3011, Vol: 74, Issue: 3, Page: 615-661
2007
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Article Description
This paper carries out an analysis of the most common structured notes traded in financial markets. A detailed description of such financial instruments emphasizing their particular characteristics and technical difficulties in the valuation process is provided. Due to the fact that most of the structured notes traded in the mexican financial markets are certificate deposits with granted capital, we supply the basic elements for their valuation, such as floating coupon-bearing bonds and interest-rate contingent claims. Moreover, for most of the studied structured notes, theoretical pricing models are developed. Finally, for illustrative purposes, several numerical examples of notes are fully developed.
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