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Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©

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  • Merino, María

    ()
    (Departamento de Matemática Aplicada, Estadística e Investigación Operativa. Universidad del País Vasco)

  • Vadillo, Fernando

    ()
    (Departamento de Matemática Aplicada, Estadística e Investigación Operativa. Universidad del País Vasco)

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    Abstract

    Este artículo quiere mostrar los usos y las utilidades de MATLAB©, tanto en la enseñanza como en las aplicaciones de la Matemática Financiera. El artículo tiene dos partes bien diferenciadas: en la primera se hace un estudio estadístico de los datos del Ibex 35 durante gran parte del año 2006 y en la segunda se comentan y aplican los métodos matemáticos utilizados para estimar la prima de las opciones financieras. = The aim of this paper is to present the MATLAB© tools for the teaching and the applications in the Mathematical Finance. This paper has two parts; the first one is a statistical study of the movement of the prices for the securities in the Ibex 35 during the year 2006. The second one is about the different procedures: the Black-Scholes equation, Monte-Carlo method and Binomial method, to calculate the prices of financial options.

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    File URL: http://www.upo.es/RevMetCuant/art13.pdf
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    Bibliographic Info

    Article provided by Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration in its journal Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration.

    Volume (Year): 4 (2007)
    Issue (Month): 1 (December)
    Pages: 35-55

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    Handle: RePEc:pab:rmcpee:v:4:y:2007:i:1:p:35-55

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    Related research

    Keywords: MATLAB; Ibex 35; valoración de opciones; componentes principales; ecuaciones de Black-Scholes; método Monte Carlo; método binomial = MATLAB; Ibex 35; options valuation; principal components; Black-Scholes equations; Monte Carlo method; binomial method;

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