Gonzalo Cortazar

Pontificia Universidad Catolica de Chile

Professor

Departamento Ingenieria Industrial y de Sistemas

Av. Vicuna Mackenna 4860

Santiago

Chile

SCHOLARLY PAPERS

15

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Top 11,070

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6,145

SSRN CITATIONS
Rank 29,636

SSRN RANKINGS

Top 29,636

in Total Papers Citations

23

CROSSREF CITATIONS

6

Scholarly Papers (15)

1.

Simulation and Numerical Methods in Real Options Valuation

Number of pages: 24 Posted: 31 Dec 2000
Gonzalo Cortazar
Pontificia Universidad Catolica de Chile
Downloads 2,997 (5,819)
Citation 5

Abstract:

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2.

Optimal Exploration Investments Under Price and Geological-Technical Uncertainty: A Real Options Model

Number of pages: 29 Posted: 31 Dec 2000
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Pontificia Universidad Catolica de Chile
Downloads 1,033 (30,343)
Citation 2

Abstract:

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3.

Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data

Number of pages: 38 Posted: 26 Jul 2004
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Olin Business School
Downloads 627 (59,682)
Citation 1

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4.

Multi-Factor Stochastic Model and Estimation Procedure for the Valuation and Hedging of Commodity Contingent Claims

Number of pages: 30 Posted: 07 Dec 2003
Gonzalo Cortazar and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile and Olin Business School
Downloads 538 (72,450)
Citation 18

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Financial Engineering, Risk Management, Natural Resources, Economic Modelling, Kalman Filter

5.

A Multifactor Stochastic Volatility Model of Commodity Prices

Number of pages: 60 Posted: 20 Jul 2016
Gonzalo Cortazar, Matias Lopez, Matias Lopez and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile - Department of Industrial EngineeringUniversity of California, Berkeley, Haas School of Business, Financial Engineering, Students and Olin Business School
Downloads 276 (153,647)
Citation 3

Abstract:

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Commodities, Multifactor Models, Stochastic Volatility, Derivatives

6.

A Parallel Algorithm for Pricing American Options

Number of pages: 41 Posted: 15 Sep 2013
Gonzalo Cortazar, Leonardo Medina and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and Olin Business School
Downloads 254 (167,103)
Citation 2

Abstract:

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American Options, Parallel Computing, Numerical Methods

7.
Downloads 116 (324,588)
Citation 1

Learning and Index Option Returns

Number of pages: 53 Posted: 09 Aug 2018
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 116 (326,348)
Citation 1

Abstract:

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Put Option Returns, Equilibrium Model, Partial Information, Learning, Structural Breaks

Learning and Index Option Returns

Journal of Business and Economic Statistics, Forthcoming
Posted: 12 Nov 2018
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

Abstract:

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Put Option Returns, Equilibrium Model, Partial Information, Learning, Structural Breaks

8.

Thinly Traded Securities and Risk Management

Number of pages: 50 Posted: 07 Nov 2013 Last Revised: 10 Nov 2013
Universidad de Chile, University of Maryland - College Park and Pontificia Universidad Catolica de Chile
Downloads 92 (378,341)

Abstract:

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Incomplete Panels, Kalman Filter, Market Risk, Risk Management, Thin Trading, Value-at-Risk

9.

Dislocations in World Index Futures

Number of pages: 40 Posted: 15 Sep 2013
Pontificia Universidad Catolica de Chile, Olin Business School, Pontifical Catholic University of Chile and ESSEC Business School
Downloads 74 (429,860)

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Market Dislocations, Futures-Cash Parity, Limits to Arbitrage, International Markets, Financial Contagion

10.

Commodity Price Forecasts, Futures Prices and Pricing Models

NBER Working Paper No. w22991
Number of pages: 35 Posted: 11 Jan 2017 Last Revised: 28 Apr 2022
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Pontificia Universidad Catolica de Chile
Downloads 68
Citation 3

Abstract:

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11.

Commodity and Asset Pricing Models: An Integration

NBER Working Paper No. w19167
Number of pages: 44 Posted: 29 Jun 2013 Last Revised: 16 May 2022
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 58 (486,458)

Abstract:

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12.

Forecasting Copper Prices When to Use Either Futures Prices, Analysts’ Expectations, or Both

Number of pages: 34 Posted: 05 Nov 2021 Last Revised: 21 Jan 2022
Gonzalo Cortazar, Mariavictoria Enberg and Hector Ortega
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and Pontificia Universidad Catolica de Chile
Downloads 12 (760,874)

Abstract:

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Forecasting, Copper prices, Futures, Expected Prices, Pricing Models

13.

Term-Structure Estimation in Markets with Infrequent Trading

Cortazar, G., Schwartz, E. S. and Naranjo, L. F. (2007), Term-Structure Estimation in Markets with Infrequent Trading. Int. J. Fin. Econ., 12: 353–369
Posted: 15 Sep 2013
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Olin Business School

Abstract:

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Term-structure estimation, emerging markets, infrequent trading

14.

An N-Factor Gaussian Model of Oil Futures Prices

Cortazar, G. and Naranjo, L. (2006), An N-factor Gaussian model of oil futures prices. J. Fut. Mark., 26: 243–268.
Posted: 02 Mar 2005 Last Revised: 13 Sep 2013
Gonzalo Cortazar and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile and Olin Business School

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Commodity futures, oil prices, Kalman filter

15.

Optimal Timing of a Mine Expansion: Implementing a Real Options Model

Posted: 05 Nov 1998
Gonzalo Cortazar and Jaime Casassus
Pontificia Universidad Catolica de Chile and Pontificia Universidad Catolica de Chile

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