Gonzalo Cortazar

Pontificia Universidad Catolica de Chile

Professor

Departamento Ingenieria Industrial y de Sistemas

Av. Vicuna Mackenna 4860

Santiago

Chile

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 13,137

in Total Papers Downloads

6,927

SSRN CITATIONS
Rank 29,072

SSRN RANKINGS

Top 29,072

in Total Papers Citations

32

CROSSREF CITATIONS

6

Scholarly Papers (18)

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 3,108 (7,504)
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 1,089 (37,671)
Citation 3

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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 Washington University in St. Louis - John M. Olin Business School
Downloads 664 (73,787)
Citation 1

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 Washington University in St. Louis - John M. Olin Business School
Downloads 576 (88,261)
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, Pontificia Universidad Católica de Chile - Department of Industrial EngineeringUniversity of California, Berkeley, Haas School of Business, Financial Engineering, Students and Washington University in St. Louis - John M. Olin Business School
Downloads 344 (161,627)
Citation 6

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, Pontificia Universidad Católica de Chile and Washington University in St. Louis - John M. Olin Business School
Downloads 312 (179,402)
Citation 2

Abstract:

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American Options, Parallel Computing, Numerical Methods

7.
Downloads 181 (303,869)
Citation 1

Learning and Index Option Returns

Number of pages: 53 Posted: 09 Aug 2018
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontificia Universidad Católica de Chile and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 181 (303,459)
Citation 1

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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, Pontificia Universidad Católica de Chile and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

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

8.

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 2023
Pontificia Universidad Catolica de Chile, Pontificia Universidad Católica de Chile, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Pontificia Universidad Catolica de Chile
Downloads 140
Citation 7

Abstract:

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9.

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 118 (429,732)

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

10.

Dislocations in World Index Futures

Number of pages: 40 Posted: 15 Sep 2013
Pontificia Universidad Catolica de Chile, Washington University in St. Louis - John M. Olin Business School, Pontificia Universidad Católica de Chile and ESSEC Business School
Downloads 104 (471,562)

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

11.

Commodity and Asset Pricing Models: An Integration

NBER Working Paper No. w19167
Number of pages: 44 Posted: 29 Jun 2013 Last Revised: 17 May 2023
Pontificia Universidad Catolica de Chile, Pontificia Universidad Católica de Chile and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 85 (537,113)

Abstract:

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12.

Expected Returns on Oil Futures Etfs

Number of pages: 45 Posted: 06 Dec 2022
Pontificia Universidad Catolica de Chile, Pontificia Universidad Catolica de Chile, affiliation not provided to SSRN and Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area
Downloads 65 (624,441)

Abstract:

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Commodities, Oil, ETF, Futures, Expected Prices, Pricing Models, CFO's Surveys

13.

Expected Returns on Commodity Etfs and Their Underlying Assets

Number of pages: 86 Posted: 02 Feb 2024
Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area, Pontificia Universidad Catolica de Chile, Pontificia Universidad Catolica de Chile and affiliation not provided to SSRN
Downloads 59 (655,321)

Abstract:

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Commodities, Oil, ETF, Futures, Expected Prices, Pricing Models, CFO's Surveys.

14.

Measuring Risk Premiums in Corn, Soybeans, and Wheat Using Futures Prices and Forecasts

Number of pages: 33 Posted: 19 Jul 2023
Gonzalo Cortazar, Hector Ortega and Jose Antonio Pérez
Pontificia Universidad Catolica de Chile, Pontificia Universidad Catolica de Chile and affiliation not provided to SSRN
Downloads 49 (713,469)

Abstract:

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Futures, Analysts´ Forecasts, hedging, Agricultural Commodities

15.

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, Pontificia Universidad Católica de Chile and Pontificia Universidad Catolica de Chile
Downloads 33 (827,299)

Abstract:

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

16.

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 Washington University in St. Louis - John M. Olin Business School

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Term-structure estimation, emerging markets, infrequent trading

17.

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: 03 Feb 2023
Gonzalo Cortazar and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile and Washington University in St. Louis - John M. Olin Business School

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Commodity futures, oil prices, Kalman filter

18.

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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