{"id":118070,"date":"2018-03-11T10:47:55","date_gmt":"2018-03-11T10:47:55","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/selected-topics-in-financial-engineering-first-exit-times-and-dependence-structures-of-marshall-olkin-kind\/"},"modified":"2018-03-11T10:47:55","modified_gmt":"2018-03-11T10:47:55","slug":"selected-topics-in-financial-engineering-first-exit-times-and-dependence-structures-of-marshall-olkin-kind","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/procesos-estocasticos\/selected-topics-in-financial-engineering-first-exit-times-and-dependence-structures-of-marshall-olkin-kind\/","title":{"rendered":"Selected topics in financial engineering: first-exit times and dependence structures of marshall-olkin kind"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Lexuri Fernandez Loro\u00f1o <\/strong><\/h2>\n<p>En esta tesis hemos investigado los tiempos de parada en diferentes \u00c2\u00bfmbitos de las matem\u00c2\u00bfticas financieras. Por una parte, hemos implementado una t\u00c2\u00bfcnica de montecarlo precisa, t\u00c2\u00bfcnica del puente browniano, que estima las probabilidades de tiempos de parada de un proceso estoc\u00c2\u00bfstico de difusi\u00c2\u00bfn con saltos, considerando el tama\u00c2\u00bfo de los saltos aleatorio y dos barreras constantes entre las cuales se mueve el proceso de difusi\u00c2\u00bfn. Por otra parte, hemos analizado la probabilidad de distribuci\u00c2\u00bfn de la suma de los tiempos de default, dependientes entre s\u00c2\u00bf, mediante la ley de probabilidad de marshall\u00c2\u00bfolkin. La distribuci\u00c2\u00bfn de marshall\u00c2\u00bfolkin es crucial en el \u00c2\u00bfmbitos de la relatividad y en las aplicaciones de life-testing. Hemos derivado expresiones cerradas para la suma de los tiempos de default en el caso general bivariante y para dimensiones peque\u00c2\u00bfas considerando la familia intercambiable de la distribuci\u00c2\u00bfn de marshall\u00c2\u00bfolkin. Cuando la dimensi\u00c2\u00bfn de la suma de los tiempos de default tiende a infinito, hemos demostrado que esta media converge al funcional exponencial del subordinador de l\u00c2\u00bfvy. Finalmente, hemos investigado diferentes t\u00c2\u00bfcnicas num\u00c2\u00bfricas para simular las c\u00c2\u00bfpulas de l\u00c2\u00bfvy-frailty construidas a partir de un subordinador \u00c2\u00bf-estable de l\u00c2\u00bfvy. La posibilidad de simular estas c\u00c2\u00bfpulas de forma precisa y r\u00c2\u00bfpida nos permite calcular num\u00c2\u00bfricamente y de manera eficiente, el funcional exponencial del subordinador \u00c2\u00bf-estable de l\u00c2\u00bfvy.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Selected topics in financial engineering: first-exit times and dependence structures of marshall-olkin kind<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Selected topics in financial engineering: first-exit times and dependence structures of marshall-olkin kind <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Lexuri Fernandez Loro\u00f1o <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Pa\u00eds vasco\/euskal herriko unibertsitatea<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 18\/09\/2015<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li> Scherer<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: alfonso Novales cinca <\/li>\n<li>eva Ferrerira Garc\u00eda (vocal)<\/li>\n<li>rudi Zagst &#8212; (vocal)<\/li>\n<li>Santiago Carrillo menendez (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Lexuri Fernandez Loro\u00f1o En esta tesis hemos investigado los tiempos de parada en diferentes \u00c2\u00bfmbitos de las [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[3148,12909,1478,4225],"tags":[23088,116596,232301,232303,47592,232302],"class_list":["post-118070","post","type-post","status-publish","format-standard","hentry","category-analisis-multivariante","category-pais-vasco-euskal-herriko-unibertsitatea","category-procesos-estocasticos","category-teoria-de-la-distribucion-y-probabilidad","tag-alfonso-novales-cinca","tag-eva-ferrerira-garcia","tag-lexuri-fernandez-lorono","tag-rudi-zagst","tag-santiago-carrillo-menendez","tag-scherer"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/118070","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=118070"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/118070\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=118070"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=118070"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=118070"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}