Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes

Moreno Trujillo, John Freddy (2019): Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes. Published in: odeon , Vol. 15, No. Núm. 15 (2018): Julio-Diciembre (May 2019): pp. 161-172.

Abstract

El documento presenta los elementos básicos para entender los procesos Hawkes y su aplicación en finanzas. Se caracteriza el comportamiento asintótico de estos procesos y se describe el proceso de difusión de Hawkes como modelo para el retorno logarítmico de activos riesgosos en continuo.

• Item Type: MPRA Paper
• English Title: Stochastic model for risky assets price using Hawkes processes
• Language: Spanish
• Keywords: procesos Hawkes; finanzas
• Subjects: C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C60 - General; C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C65 - Miscellaneous Mathematical Tools

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