Gonzalo Cortazar

Pontificia Universidad Catolica de Chile

Professor

Departamento Ingenieria Industrial y de Sistemas

Av. Vicuna Mackenna 4860

Santiago

Chile

SCHOLARLY PAPERS

14

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5,619

CITATIONS
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SSRN RANKINGS

Top 17,369

in Total Papers Citations

19

Scholarly Papers (14)

1.

Simulation and Numerical Methods in Real Options Valuation

EFMA 2000 Athens
Number of pages: 24 Posted: 31 Dec 2000
Gonzalo Cortazar
Pontificia Universidad Catolica de Chile
Downloads 2,856 (3,827)
Citation 3

Abstract:

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2.

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

EFMA 2000 Athens
Number of pages: 29 Posted: 31 Dec 2000
Gonzalo Cortazar, Eduardo S. Schwartz and Jaime Casassus
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU) and Pontificia Universidad Catolica de Chile
Downloads 1,013 (20,638)
Citation 8

Abstract:

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3.

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

EFA 2004 Maastricht Meetings Paper No. 3102
Number of pages: 38 Posted: 26 Jul 2004
Gonzalo Cortazar, Eduardo S. Schwartz and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU) and University of Miami - Department of Finance
Downloads 582 (44,554)
Citation 3

Abstract:

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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 University of Miami - Department of Finance
Downloads 522 (51,188)
Citation 5

Abstract:

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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 and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, University of California, Berkeley, Haas School of Business, Financial Engineering, Students and University of Miami - Department of Finance
Downloads 208 (143,043)

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 University of Miami - Department of Finance
Downloads 198 (149,730)

Abstract:

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American Options, Parallel Computing, Numerical Methods

7.

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 82 (294,086)

Abstract:

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

8.

Dislocations in World Index Futures

Number of pages: 40 Posted: 15 Sep 2013
Pontificia Universidad Catolica de Chile, University of Miami - Department of Finance, Pontifical Catholic University of Chile and ESSEC Business School
Downloads 69 (324,594)

Abstract:

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

9.
Downloads 30 (456,723)

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
Downloads 30 (468,636)

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

Abstract:

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

10.

Commodity and Asset Pricing Models: An Integration

NBER Working Paper No. w19167
Number of pages: 44 Posted: 29 Jun 2013
Gonzalo Cortazar, Ivo Kovacevic and Eduardo S. Schwartz
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and Simon Fraser University (SFU)
Downloads 30 (456,723)

Abstract:

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11.

Commodity Price Forecasts, Futures Prices and Pricing Models

NBER Working Paper No. w22991
Number of pages: 35 Posted: 11 Jan 2017
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile, Simon Fraser University (SFU) and Pontifical Catholic University of Chile
Downloads 29 (461,458)

Abstract:

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12.

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
Gonzalo Cortazar, Eduardo S. Schwartz and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU) and University of Miami - Department of Finance

Abstract:

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Term-structure estimation, emerging markets, infrequent trading

13.

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 University of Miami - Department of Finance

Abstract:

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Commodity futures, oil prices, Kalman filter

14.

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

1998 Special Issue of the The Quarterly Review Of Economics And Finance, III. Issues in Application
Posted: 05 Nov 1998
Gonzalo Cortazar and Jaime Casassus
Pontificia Universidad Catolica de Chile and Pontificia Universidad Catolica de Chile

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