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Modelación de Medidas y Norma en finanzas

Author

Listed:
  • Guillermo Sierra Juárez

    (Universidad de Guadalajara)

Abstract

l presente trabajo es principalmente una revisión y compilación de las principales ideas y estructura de la teoría de norma (Gauge Theory), que han tenido gran éxito en física, y que ahora se aplican al área de finanzas, en particular en los derivados financieros (teoría de Black-Scholes) con el objeto de determinar precios de opciones en presencia de arbitraje. Al final, se plantea un análisis y se contrastan los resultados de ambas valuaciones de opciones (tradicional y con arbitraje) obtenidos en términos de los parámetros de modelo y se proponen parámetros implícitos para la volatilidad y la velocidad de reacción del mercado. / This paper presents a review of the ideas contained in Gauge Theory, which has been very successful in Physics and is now being applied to Finance, in particular, to the financial derivatives (Black-Scholes theory), in order to determine option prices. The results of option valuations, carried out traditionally and with arbitrage, are analyzed and compared and implicit parameters for volatility and market reaction speed are proposed. Classification-JEL: C6, G0, Y8

Suggested Citation

  • Guillermo Sierra Juárez, 2015. "Modelación de Medidas y Norma en finanzas," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 5(2), pages 143-186, julio-dic.
    • Handle: RePEc:sfr:efruam:v:5:y:2015:i:2:p:143-186
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    File URL: http://zaloamati.azc.uam.mx/bitstream/handle/11191/4186/EFR_5_2_2_Modelacion_medidas.pdf?sequence=1&isAllowed=y
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    More about this item

    Keywords

    teoría de norma; haz fibrado; arbitraje; volatilidad; velocidad; de reacción del mercado; Gauge theory; fiber bundle; arbitrage; volatility; market reaction speed.;
    All these keywords.

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • G0 - Financial Economics - - General
    • Y8 - Miscellaneous Categories - - Related Disciplines

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