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 Home > Faculty & Research > Research Topics > Risk Management
Analysis

Chilean Peso Exchange Rate and Copper Price

Due to the high share of some products in the exports of several countries of the region, we analyzed the impact of international prices of such goods in the price of the currencies of those countries; the exchange rate.
We analyze the case of the Chilean peso to the price of copper.  The values found in the analysis confirmed our expectations regarding the regression coefficients. In the attachments you will find the information.


Chilean Peso Exchange Rate - Copper Price.pdf 

 

Price of Soybeans and Soybeans Oil

One might think that the prices of soybean and soybean oil should have a high correlation. We analyzed this issue, please check the attached file for some interesting results.


   Soybean Analysis.pdf

 

Volatilidad de los commodities

Looking at the options markets, we find that, in most cases, the valuation of financial options is done using the famous Black & Scholes model. This model, like many others, is based on several simplifying assumptions, among which is the constant volatility of the underlying assets. In the attachment you will find the work challenging this assumption.

 

Volatility.pdf
 

 
Contacts
Lorenzo Preve
e-mail: LPreve@iae.edu.ar
Tel.: +54 (230) 448-1055
    
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