{"id":37604,"date":"1998-01-01T00:00:00","date_gmt":"1998-01-01T00:00:00","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/modelizaciones-alternativas-de-la-estructura-temporal-de-los-tipos-de-interes-en-tiempo-continuo\/"},"modified":"1998-01-01T00:00:00","modified_gmt":"1998-01-01T00:00:00","slug":"modelizaciones-alternativas-de-la-estructura-temporal-de-los-tipos-de-interes-en-tiempo-continuo","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/modelizaciones-alternativas-de-la-estructura-temporal-de-los-tipos-de-interes-en-tiempo-continuo\/","title":{"rendered":"Modelizaciones alternativas de la estructura temporal de los tipos de interes en tiempo continuo."},"content":{"rendered":"<h2>Tesis doctoral de <strong> Manuel Moreno Fuentes <\/strong><\/h2>\n<p>Pretende desarrollar nuevos modelos end\u00f3genos en tiempo continuo estudiar sus propiedades te\u00f3ricas en relaci\u00f3n con la modelizaci\u00f3n de los tipos de inter\u00e9s, proceder a la valoraci\u00f3n de activos derivados y estudiar su comportamiento emp\u00edrico.  primero desarrolla un proceso de difusi\u00f3n con saltos, m\u00e9todo basado en diferencias finitas que permite la valoraci\u00f3n de activos derivados y propone una t\u00e9cnica econom\u00e9trica para identificar los instantes en que se producen los saltos.  despu\u00e9s presenta un modelo en el que el tipo de interes instant\u00e1neo sigue un proceso de difusi\u00f3n con saltos y otro modelo en el que los precios de los bonos al descuento libres de riesgo es funci\u00f3n de dos variables de estado y del tiempo de crecimiento.  finalmente hay una aplicaci\u00f3n de este \u00faltimo modelo a la gesti\u00f3n del riesgo derivado de los tipos de interes.  concluye afirmando que ning\u00fan modelo en tiempo continuo reune las propiedades \u00f3ptimas en relaci\u00f3n a la valoraci\u00f3n de los derivados y el ajuste a los datos observados en la realidad, mientras el proceso de difusi\u00f3n con saltos se relaciona con las intervenciones de la autoridad monetaria, mostrando tambi\u00e9n que el modelo de dos factores es m\u00e1s adecuado que el de un factor y permite elegir la cartera correspondiente en funci\u00f3n de las expectativas sobre el movimiento futuro de los tipos de interes.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Modelizaciones alternativas de la estructura temporal de los tipos de interes en tiempo continuo.<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Modelizaciones alternativas de la estructura temporal de los tipos de interes en tiempo continuo. <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Manuel Moreno Fuentes <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Carlos III de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 01\/01\/1998<\/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>Juan  Ignacio Pe\u00f1a S\u00e1nchez De Rivera<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: Alejandro Balbas De La Corte <\/li>\n<li>Gonzalo Rubio Irigoyen (vocal)<\/li>\n<li>Xavier Freixas Dargallo (vocal)<\/li>\n<li>Pablo Fernandez L\u00f3pez (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Manuel Moreno Fuentes Pretende desarrollar nuevos modelos end\u00f3genos en tiempo continuo estudiar sus propiedades te\u00f3ricas en relaci\u00f3n [&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 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