Gonzalo Cortazar

Pontificia Universidad Catolica de Chile

Professor

Departamento Ingenieria Industrial y de Sistemas

Av. Vicuna Mackenna 4860

Santiago

Chile

  • Pontificia Universidad Catolica de Chile

SCHOLARLY PAPERS

14

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CITATIONS
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19

Scholarly Papers (14)

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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

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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

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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

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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

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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)

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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)

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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
Alejandro Bernales, Diether W. Beuermann and Gonzalo Cortazar
Universidad de Chile, University of Maryland - College Park and Pontificia Universidad Catolica de Chile
Downloads 82 (294,086)

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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
Gonzalo Cortazar, Lorenzo Naranjo, Enrique Sepulveda and Carmen Stefanescu
Pontificia Universidad Catolica de Chile, University of Miami - Department of Finance, Pontifical Catholic University of Chile and ESSEC Business School
Downloads 69 (324,594)

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

9.

Learning and Index Option Returns

Downloads 30 (456,723)

Learning and Index Option Returns

Number of pages: 53 Posted: 09 Aug 2018
Alejandro Bernales, Gonzalo Cortazar, Luka Salamunic and George S. Skiadopoulos
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and University of Piraeus
Downloads 30 (468,636)

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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
Alejandro Bernales, Gonzalo Cortazar, Luka Salamunic and George S. Skiadopoulos
Universidad de Chile, Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and University of Piraeus

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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)

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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
Gonzalo Cortazar, Cristobal Millard, Eduardo S. Schwartz and Hector Ortega
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile, Simon Fraser University (SFU) and Pontifical Catholic University of Chile
Downloads 29 (461,458)

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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

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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

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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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