Jaime Casassus

Pontificia Universidad Catolica de Chile

Associate Professor of Financial Economics

Av. Vicuna Mackenna 4860

Instituto de Economia

Santiago

Chile

http://economia.uc.cl/profesor/jaime-casassus/

  • Pontificia Universidad Catolica de Chile

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    • Tel: (56-2) 2354 4319
SCHOLARLY PAPERS

7

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6

Scholarly Papers (7)

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1.

'Maximal' Convenience Yield Model Implied by Commodity Futures

Number of pages: 36 Posted: 27 Feb 2002
Jaime Casassus and Pierre Collin-Dufresne
Pontificia Universidad Catolica de Chile and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,582 (20,361)

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Commodity prices, Futures Prices, Convenience Yields, Risk-Premia, Term Structure of Interest rates, Affine Models

2.

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

Number of pages: 29 Posted: 31 Dec 2000
Gonzalo Cortazar, Eduardo S. Schwartz, Eduardo S. Schwartz and Jaime Casassus
Pontificia Universidad Catolica de Chile, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Pontificia Universidad Catolica de Chile
Downloads 1,068 (36,308)
Citation 3

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3.

Economic Linkages, Relative Scarcity, and Commodity Futures Returns

Number of pages: 50 Posted: 26 Nov 2008 Last Revised: 31 Mar 2020
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University - S.C. Johnson College of Business - School of Hotel Administration and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 703 (64,434)
Citation 14

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commodity futures, economic linkages, relative scarcity, correlation term structure, convenience yields, spread options

4.

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technologies

Number of pages: 50 Posted: 20 Mar 2005 Last Revised: 01 Jul 2011
Jaime Casassus, Pierre Collin-Dufresne and Bryan Routledge
Pontificia Universidad Catolica de Chile, Ecole Polytechnique Fédérale de Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Downloads 563 (85,227)
Citation 13

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Commodity prices, Futures prices, Convenience yield, Scarcity, Investment, Irreversibility, General equilibrium, Simulated Method of Moments (SMM), Regime-switching model, risk premium

5.

Maximal Affine Models for Multiple Commodities: A Note

Number of pages: 17 Posted: 09 Sep 2012
Jaime Casassus, Peng Liu and Ke Tang
Pontificia Universidad Catolica de Chile, Cornell University - S.C. Johnson College of Business - School of Hotel Administration and Institute of Economics, School of Social Sciences, Tsinghua University
Downloads 144 (345,241)

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maximal affine models, multiple commodities, futures prices

6.

Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology

NBER Working Paper No. w11864
Number of pages: 74 Posted: 09 Mar 2006 Last Revised: 04 Dec 2022
Jaime Casassus, Pierre Collin-Dufresne and Bryan Routledge
Pontificia Universidad Catolica de Chile, Ecole Polytechnique Fédérale de Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Downloads 77 (532,075)

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7.

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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