{"id":85287,"date":"2018-03-10T00:09:45","date_gmt":"2018-03-10T00:09:45","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/dinamica-de-la-estructura-temporal-de-tipos-de-interes-modelo-de-tres-factores\/"},"modified":"2018-03-10T00:09:45","modified_gmt":"2018-03-10T00:09:45","slug":"dinamica-de-la-estructura-temporal-de-tipos-de-interes-modelo-de-tres-factores","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/dinamica-de-la-estructura-temporal-de-tipos-de-interes-modelo-de-tres-factores\/","title":{"rendered":"Din\u00e1mica de la estructura temporal de tipos de interes: modelo de tres factores"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Mercedes Galisteo Rodr\u00edguez <\/strong><\/h2>\n<p>Esta tesis doctoral se centra en el estudio de la din\u00e1mica de la estructura temporal de tipos de inter\u00e9s, instrumento financiero b\u00e1sico para la valoraci\u00f3n de activos derivados sobre tipos de inter\u00e9s y para la cobertura y gesti\u00f3n del riesgo en carteras de renta fija.  el principal objetivo de la tesis doctoral es el planteamiento, estudio y estimaci\u00f3n de un modelo din\u00e1mico de la estructura de tipos, basado en una valoraci\u00f3n estoc\u00e1stica en ausencia de oportunidades de arbitraje y que considera tres variables de estado, dos spreads y un tipo de inter\u00e9s de largo plazo. De esta forma, se incorpora informaci\u00f3n de los diferentes tramos de la curva para modelizar la din\u00e1mica de los tipos de inter\u00e9s.  como aplicaci\u00f3n del modelo desarrollado, se obtiene una medida de duraci\u00f3n trifactorial, en concordancia con los tres factores estoc\u00e1sticos del modelo.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Din\u00e1mica de la estructura temporal de tipos de interes: modelo de tres factores<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Din\u00e1mica de la estructura temporal de tipos de interes: modelo de tres factores <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Mercedes Galisteo Rodr\u00edguez <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 26\/06\/2000<\/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: manuel Artis ortu\u00f1o <\/li>\n<li>andreu Mas colell (vocal)<\/li>\n<li>eduardo s Schwartz (vocal)<\/li>\n<li>Antonio Alegre escolano (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Mercedes Galisteo Rodr\u00edguez Esta tesis doctoral se centra en el estudio de la din\u00e1mica de la estructura [&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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