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Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes
[Stochastic model for risky assets price using Hawkes processes]

Author

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  • Moreno Trujillo, John Freddy

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.

Suggested Citation

  • Moreno Trujillo, John Freddy, 2019. "Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes [Stochastic model for risky assets price using Hawkes processes]," MPRA Paper 101327, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:101327
    as

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    File URL: https://mpra.ub.uni-muenchen.de/101327/1/MPRA_paper_101327.pdf
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    References listed on IDEAS

    as
    1. Bowsher, Clive G., 2007. "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, vol. 141(2), pages 876-912, December.
    2. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    3. Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
    4. Chavez-Demoulin, V. & McGill, J.A., 2012. "High-frequency financial data modeling using Hawkes processes," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3415-3426.
    5. Merton, Robert C, 1976. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns," Journal of Finance, American Finance Association, vol. 31(2), pages 333-350, May.
    6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    procesos Hawkes; finanzas;

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

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