Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes
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.
Guardado en:
1794-1113
2346-2140
2019-05-13
161
172
info:eu-repo/semantics/openAccess
http://purl.org/coar/access_right/c_abf2
John Freddy Moreno Trujillo - 2019
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Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes Merton, R. C. (1976a). The impact on option pricing of specification error in the underlying stock price returns. The Journal of Finance, 31(2), 333-350. Aıt-Sahalia, Y., Cacho-Diaz, J., y Laeven, R. (2013). Modelling financial contagion using mutually exciting hawkes processes. Preprint. Asmussen, S. (2008). Applied probability and queues (Vol. 51). Springer Science & Business Media. Black, F., y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654. Bowsher, C. G. (2007). Modelling security market events in continuous time: Intensity based, multivariate point process models. Journal of Econometrics, 141(2), 876-912. Chávez-Demoulin, V., y McGill, J. (2012). High-frequency financial data modeling using hawkes processes. Journal of Banking & Finance, 36(12), 3415-3426. Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2), 327-343. Law, B., y Viens, F. (2016). Hawkes processes and their applications to high-frequency data modeling. Handbook of High-Frequency Trading and Modeling in Finance, 9, 183. Merton, R. C. (1976b). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144. Español Ogata, Y. (1981). On lewis’ simulation method for point processes. IEEE Transactions on Information Theory, 27(1), 23-31. info:eu-repo/semantics/article http://purl.org/coar/resource_type/c_6501 http://purl.org/redcol/resource_type/ARTREF info:eu-repo/semantics/publishedVersion http://purl.org/coar/version/c_970fb48d4fbd8a85 info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 Text John Freddy Moreno Trujillo - 2019 https://creativecommons.org/licenses/by-nc-sa/4.0/ Publication 15 Artículo de revista finanzas procesos Hawkes; application/pdf text/html Universidad Externado de Colombia ODEON Moreno Trujillo, John Freddy 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. https://revistas.uexternado.edu.co/index.php/odeon/article/view/5952 Núm. 15 , Año 2018 : Julio-Diciembre Hawkes processes; The document presents the basic elements to understand the Hawkes processes and their application in finance. The asymptotic behavior of these processes is characterized and the Hawkes diffusion process is described as a model for the logarithmic return of risky assets in continuous time. finance Stochastic model for risky assets price using Hawkes processes Journal article 10.18601/17941113.n15.06 https://revistas.uexternado.edu.co/index.php/odeon/article/download/5952/7887 https://revistas.uexternado.edu.co/index.php/odeon/article/download/5952/7677 https://doi.org/10.18601/17941113.n15.06 2019-05-13T00:00:00Z 2019-05-13 1794-1113 172 161 2346-2140 2019-05-13T00:00:00Z |
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UNIVERSIDAD EXTERNADO DE COLOMBIA |
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Colombia |
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Revista ODEON |
| title |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| spellingShingle |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes Moreno Trujillo, John Freddy finanzas procesos Hawkes; Hawkes processes; finance |
| title_short |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| title_full |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| title_fullStr |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| title_full_unstemmed |
Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes |
| title_sort |
modelo estocástico para el precio de activos riesgosos utilizando procesos hawkes |
| title_eng |
Stochastic model for risky assets price using Hawkes processes |
| description |
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.
|
| description_eng |
The document presents the basic elements to understand the Hawkes processes and their application in finance. The asymptotic behavior of these processes is characterized and the Hawkes diffusion process is described as a model for the logarithmic return of risky assets in continuous time.
|
| author |
Moreno Trujillo, John Freddy |
| author_facet |
Moreno Trujillo, John Freddy |
| topicspa_str_mv |
finanzas procesos Hawkes; |
| topic |
finanzas procesos Hawkes; Hawkes processes; finance |
| topic_facet |
finanzas procesos Hawkes; Hawkes processes; finance |
| citationissue |
15 |
| citationedition |
Núm. 15 , Año 2018 : Julio-Diciembre |
| publisher |
Universidad Externado de Colombia |
| ispartofjournal |
ODEON |
| source |
https://revistas.uexternado.edu.co/index.php/odeon/article/view/5952 |
| language |
Español |
| format |
Article |
| rights |
info:eu-repo/semantics/openAccess http://purl.org/coar/access_right/c_abf2 John Freddy Moreno Trujillo - 2019 https://creativecommons.org/licenses/by-nc-sa/4.0/ |
| references |
Merton, R. C. (1976a). The impact on option pricing of specification error in the underlying stock price returns. The Journal of Finance, 31(2), 333-350. Aıt-Sahalia, Y., Cacho-Diaz, J., y Laeven, R. (2013). Modelling financial contagion using mutually exciting hawkes processes. Preprint. Asmussen, S. (2008). Applied probability and queues (Vol. 51). Springer Science & Business Media. Black, F., y Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654. Bowsher, C. G. (2007). Modelling security market events in continuous time: Intensity based, multivariate point process models. Journal of Econometrics, 141(2), 876-912. Chávez-Demoulin, V., y McGill, J. (2012). High-frequency financial data modeling using hawkes processes. Journal of Banking & Finance, 36(12), 3415-3426. Hawkes, A. G. (1971). Spectra of some self-exciting and mutually exciting point processes. Biometrika, 58(1), 83-90. Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. The Review of Financial Studies, 6(2), 327-343. Law, B., y Viens, F. (2016). Hawkes processes and their applications to high-frequency data modeling. Handbook of High-Frequency Trading and Modeling in Finance, 9, 183. Merton, R. C. (1976b). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144. Ogata, Y. (1981). On lewis’ simulation method for point processes. IEEE Transactions on Information Theory, 27(1), 23-31. |
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info:eu-repo/semantics/article |
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http://purl.org/coar/resource_type/c_6501 |
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info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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Text |
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2019-05-13 |
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2019-05-13T00:00:00Z |
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2019-05-13T00:00:00Z |
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https://revistas.uexternado.edu.co/index.php/odeon/article/view/5952 |
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https://doi.org/10.18601/17941113.n15.06 |
| issn |
1794-1113 |
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2346-2140 |
| doi |
10.18601/17941113.n15.06 |
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161 |
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172 |
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https://revistas.uexternado.edu.co/index.php/odeon/article/download/5952/7887 |
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