{"id":14838,"date":"2018-03-09T09:01:42","date_gmt":"2018-03-09T09:01:42","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/correlated-stochastic-dynamics-in-financial-markets\/"},"modified":"2018-03-09T09:01:42","modified_gmt":"2018-03-09T09:01:42","slug":"correlated-stochastic-dynamics-in-financial-markets","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/matematicas\/correlated-stochastic-dynamics-in-financial-markets\/","title":{"rendered":"Correlated stochastic dynamics in financial markets"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Josep Perell\u00f3 Palou <\/strong><\/h2>\n<p>El trabajo investiga la din\u00e1mica de los mercados financieros y eventualmente las opciones financieras. \u00e9Ste es uno de los campos emergentes de la f\u00edsica pluridisciplinar. La tesis estudia primero el trabajo realizado por los matem\u00e1ticos financieros de una forma m\u00e1s comprensible para un f\u00edsico. El problema m\u00e1s completo es el de la valoraci\u00f3n de opciones. La teor\u00eda de ecuaciones diferenciales estoc\u00e1sticas aplicada a las finanzas s\u00f3lo estaba formulada por los matem\u00e1ticos. La tesis revisa la teor\u00eda de black-scholes y se fija en cuestiones que no hab\u00edan interesado demasiado a los matem\u00e1ticos y que son de gran importancia, al menos desde el punto de vista de un f\u00edsico.  entre otras cosas, se deriva la f\u00f3rmula del precio para las opciones siguiendo las reglas de c\u00e1lculo utilizadas por los f\u00edsicos: las de stratonovich. los matem\u00e1ticos utilizan de it\u00ed\u00b4 para la interpretaci\u00f3n de las ecuaciones diferenciales estoc\u00e1sticas.  ambas interpretaciones resultan equivalentes. Se presentaron m\u00e9todos alternativos de valoraci\u00f3n m\u00e1s simples como el de martingala equivalente. \u00e9Ste relaciona directamente la densidad de probabilidad de la acci\u00f3n con el precio de la opci\u00f3n. La tesis optimiza el m\u00e9todo de martingala equivalente para implementarlo en casos donde s\u00f3lo se conoce la funci\u00f3n caracter\u00edstica (la transformada de fourier de la probabilidad). El estudio de las correlaciones observadas en los mercados y no contemplada por el modelo browniano geom\u00e9trico conforma el segundo bloque de la tesis.  el conocimiento de las correlaciones es imprescindible para hacer previsi\u00f3n. se presentan dos modelos difusivos bidimensionales.  el primer modelo propone un mercado descrito por un proceso bidimensional difusivo singular que contiene un proceso de ornstein-uhlenbeck. \u00e9Ste describe las variaciones de precio con una fuente de ruido blanco y gaussiano.  el modelo describe correctamente la evoluci\u00f3n de la volatilidad con el tiempo y ti<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Correlated stochastic dynamics in financial markets<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Correlated stochastic dynamics in financial markets <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Josep Perell\u00f3 Palou <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 20\/12\/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>Jaume Masoliver Garc\u00eda<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: joan Hortala arau <\/li>\n<li>david Nualart rodon (vocal)<\/li>\n<li>david Jou mirabent (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 Josep Perell\u00f3 Palou El trabajo investiga la din\u00e1mica de los mercados financieros y eventualmente las opciones financieras. [&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":[951,1477,126,6646,1475,1478,1476],"tags":[47591,1480,4058,89,47590,47592],"class_list":["post-14838","post","type-post","status-publish","format-standard","hentry","category-barcelona","category-estadistica","category-matematicas","category-matematicas-actuariales","category-probabilidad","category-procesos-estocasticos","category-teoria-estocastica-y-analisis-de-series-temporales","tag-david-jou-mirabent","tag-david-nualart-rodon","tag-jaume-masoliver-garcia","tag-joan-hortala-arau","tag-josep-perello-palou","tag-santiago-carrillo-menendez"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/14838","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=14838"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/14838\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=14838"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=14838"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=14838"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}