{"id":13158,"date":"2001-05-10T00:00:00","date_gmt":"2001-05-10T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/valoracion-sin-posibilidades-de-arbitraje-de-instrumentos-financieros-problemas-anala%c2%adticos-y-computacionales\/"},"modified":"2001-05-10T00:00:00","modified_gmt":"2001-05-10T00:00:00","slug":"valoracion-sin-posibilidades-de-arbitraje-de-instrumentos-financieros-problemas-anala%c2%adticos-y-computacionales","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/valoracion-sin-posibilidades-de-arbitraje-de-instrumentos-financieros-problemas-anala%c2%adticos-y-computacionales\/","title":{"rendered":"Valoraci\u00f3n sin posibilidades de arbitraje de instrumentos financieros: problemas anal\u00edticos y computacionales"},"content":{"rendered":"<h2>Tesis doctoral de <strong> A. Lacayo Ram\u00f3n <\/strong><\/h2>\n<p>La tesis se centra en las t\u00e9cnicas de valoraci\u00f3n financiera bajo la hip\u00f3tesis de inexistencia de posibilidades de arbitraje. Espec\u00edficamente se valora un activo contingente cuyo subyacente sigue una ecuaci\u00f3n diferencial estoc\u00e1stica unifactorial y un bono cup\u00f3n cero cuyo precio tambi\u00e9n queda determinado por un \u00fanico factor.  la valoraci\u00f3n financiera se realiza a trav\u00e9s de la resoluci\u00f3n de una ecuaci\u00f3n en derivadas parciales de tipo parab\u00f3lico. Para el caso del activo contingente se proponen varias v\u00edas de soluci\u00f3n alternativas usando m\u00e9todos relacionados con la teor\u00eda de grupos, m\u00e9todo de similaridad y de separaci\u00f3n de variables y en la teor\u00eda de funciones anal\u00edticas. Hay que destacar que algunos de estos m\u00e9todos permiten un tratamiento m\u00e1s c\u00f3modo que las modernas t\u00e9cnicas probabil\u00edsticas, como en el caso de los procesos estoc\u00e1sticos de ra\u00edz cuadrada.  la tesis consta de 4 cap\u00edtulos y las conclusiones. El primer cap\u00edtulo es de car\u00e1cter introductorio sobre la valoraci\u00f3n financiera y presenta una visi\u00f3n general de los diferentes enfoques utilizados para valorar bonos y activos contingentes y de las diferentes metodolog\u00edas empleadas en el \u00e1rea.  el cap\u00edtulo 2 propone soluciones anternativas a la ecuaci\u00f3n de black and scholes, en particular soluciones basada en la transformada de laplace, la de mellin y la de fourrier, m\u00e9todo de separaci\u00f3n de variables y a partir de una transformada hipergeom\u00e9trica.  en los 3 y 4 capitulos trata modelos afines y aprovecha la forma m\u00e1s simple de la ecuaci\u00f3n diferencial ordinaria para resolver problemas m\u00e1s complicados que contienen una edp. La reducci\u00f3n se consigue por una transformaci\u00f3n integral o por separaci\u00f3n de variales. Este tipo de ecuaciones se utilizan en modelos donde interviene la estructura de tipos de inter\u00e9s. Se centra el an\u00e1lisis en los modelos de vasicek i cir.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Valoraci\u00f3n sin posibilidades de arbitraje de instrumentos financieros: problemas anal\u00edticos y computacionales<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Valoraci\u00f3n sin posibilidades de arbitraje de instrumentos financieros: problemas anal\u00edticos y computacionales <\/li>\n<li><strong>Autor:<\/strong>\u00a0 A. Lacayo Ram\u00f3n <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 05\/10\/2001<\/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>Hortensia Fontanals Albiol<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Antonio Alegre escolano <\/li>\n<li>  (vocal)<\/li>\n<li>  (vocal)<\/li>\n<li>  (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de A. Lacayo Ram\u00f3n La tesis se centra en las t\u00e9cnicas de valoraci\u00f3n financiera bajo la hip\u00f3tesis de [&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":[1191,951,82,1477,1698,126,1302,1475,1478,1193,1476],"tags":[42816,20268,42817],"class_list":["post-13158","post","type-post","status-publish","format-standard","hentry","category-analisis-numerico","category-barcelona","category-ciencias-economicas","category-estadistica","category-gestion-financiera","category-matematicas","category-organizacion-y-gestion-de-empresas","category-probabilidad","category-procesos-estocasticos","category-resolucion-de-ecuaciones-diferenciales-en-derivadas-parciales","category-teoria-estocastica-y-analisis-de-series-temporales","tag-a-lacayo-ramon","tag-antonio-alegre-escolano","tag-hortensia-fontanals-albiol"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/13158","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=13158"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/13158\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=13158"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=13158"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=13158"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}