Una introducción a la modelización estocástica de subyacentes cotizados
[EN] The aim of this paper is to show a methodology, based on the so-called Lognormal Model, to describe the dynamics of underlying assets by taking into account the uncertainty of nancial markets. In spite of its simple formulation, the Lognormal Model is a valuable tool from a formative standpoint...
| Authors: | , , , |
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| Format: | article |
| Publication Date: | 2019 |
| Country: | España |
| Institution: | Universitat Politècnica de València (UPV) |
| Repository: | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| Language: | Spanish |
| OAI Identifier: | oai:riunet.upv.es:10251/118067 |
| Online Access: | https://riunet.upv.es/handle/10251/118067 |
| Access Level: | Open access |
| Keyword: | Modelización estocástica de subyacentes cotizados Ecuación estocástica Estimación de parámetros Stochastic modelling Underlying assets Stochastic differential equation Parameter estimation Prediction |
| Summary: | [EN] The aim of this paper is to show a methodology, based on the so-called Lognormal Model, to describe the dynamics of underlying assets by taking into account the uncertainty of nancial markets. In spite of its simple formulation, the Lognormal Model is a valuable tool from a formative standpoint becauseit provides an excellent basis to study more advanced models. The proposed approach has been put into practice by the authors in their teaching in both undergraduate and postgraduate studies. We present the model and its application to describe the dynamics of real data of an asset traded in the Spanish stock market index IBEX35. |
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