Browsing by Author "Cortazar, G"

Now showing 1 - 4 of 4
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    An N-factor Gaussian model of oil futures prices
    (JOHN WILEY & SONS INC, 2006) Cortazar, G; Naranjo, L
    This article studies the ability of an N-factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches of aggregating data for a set of maturities. A Kalman filter estimation procedure that allows for a time-dependent number of daily observations is used to calibrate the model. When applied to all daily oil futures price transactions from 1992 to 2001, the model performs very well, requiring at least three factors to explain the term structure of futures prices, but four factors to fit the volatility term structure. The model also performs very well for daily copper futures transactions from 1992 to 2001 and for out-of-sample daily oil futures transactions from 2002 to 2004. (c) 2006 Wiley Periodicals, Inc.
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    Evaluating environmental investments: A real options approach
    (INST OPERATIONS RESEARCH MANAGEMENT SCIENCES, 1998) Cortazar, G; Schwartz, ES; Salinas, M
    The paper presents a model that determines when (at which output price level) it is optimum for a firm to invest in environmental technologies and which are the main parameters that affect this decision. Our analysis shows that firms require high output price levels to be induced to invest in environmental technologies, because they optimally would not want to commit to a heavy irreversible investment that could turn out to be unprofitable in the event of a price fall. A comparative static analysis predicts that firms in industries with high output price volatility would be more reluctant to invest in environmental protection technologies and would be more willing to operate at low output levels (thus attaining low emission levels). Increases in the interest rate would also reduce optimal environmental investment levels.
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    Implementing a stochastic model for oil futures prices
    (ELSEVIER SCIENCE BV, 2003) Cortazar, G; Schwartz, ES
    This paper develops a parsimonious three-factor model of the term structure of oil futures prices that can be easily estimated from available futures price data. In addition, it proposes a new simple spreadsheet implementation procedure. The procedure is flexible, may be used with market prices of any oil contingent claim with closed form pricing solution, and easily deals with missing data problems. The approach is implemented using daily prices of all futures contracts traded at the New York Mercantile Exchange between 1991 and 2001. In-sample and out-of-sample tests indicate that the model fits the data extremely well. Though the paper concentrates on oil, the approach can be used for any other commodity with well-developed futures markets. (C) 2002 Elsevier Science B.V. All rights reserved.
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    Optimal exploration investments under price and geological-technical uncertainty: a real options model
    (WILEY, 2001) Cortazar, G; Schwartz, ES; Casassus, J
    This article develops a real options model for valuing natural resource exploration investments (e,g, oil or copper) when there is joint price and geological-technical uncertainty. After a successful several-stage exploration phase, there is a development investment and an extraction phase. All phases are optimized contingent on price and geological-technical uncertainty.