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Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©

Author

Listed:
  • 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)

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.

Suggested Citation

  • Merino, María & Vadillo, Fernando, 2007. "Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB©," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 4(1), pages 35-55, December.
  • Handle: RePEc:pab:rmcpee:v:4:y:2007:i:1:p:35-55
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    More about this item

    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;

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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