Cobertura de tasas de interés con futuros del mercado Mexicano de derivados: Modelo estocástico de duración y convexidad

In this paper, we develop a stochastic model to hedge the present value of cash flows against interest-rate risk by using futures contracts. In our approach, the dynamics of the interest rate is driven by a mean-reverting stochastic diffusion process. The model stresses the concepts of money duration and money convexity in interest-rate risk management. An application is addressed, by way of illustration, to generate hedging strategies with futures contracts traded in the Mexican Derivatives Exchange when the term structure of the interest rate is generated with both the Vasicek and the Cox, Ingersoll and Ross (CIR) models.