Please use this identifier to cite or link to this item:
Title: Medidas monetarias de riesgo y su aplicación a la Conic-finance
Author: Bernárdez Gil, Guillermo
Director/Tutor: Corcuera Valverde, José Manuel
Keywords: Mercat financer
Treballs de fi de grau
Avaluació del risc
Models matemàtics
Economia de mercat
Financial market
Bachelor's thesis
Risk assessment
Mathematical models
Market economy
Issue Date: 18-Jan-2016
Abstract: The Conic-finance is a new theory for modeling financial markets with many implementations at present, but its rigorous theoretical substantiation might not be easy to find. In this work, we try to present, in a clear and well-argued way, both a general model of Conic-finance and a parametric version, using to this end the well-known theory of monetary measures of risk. Thus, we will introduce and develop thoroughly this theory, focusing on those measures that satisfies the properties of convexity or coherence, as well as, finally, the law-invariance one. Furthermore, in order to gain a better understanding of the Conic-finance’s theory, we will clarify the terminology of financial markets’ modeling by exhibiting the mathematical estructure of a simple one-period model, which at the same time will allow us to introduce some notions of arbitrage theory.
Note: Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2016, Director: José Manuel Corcuera Valverde
Appears in Collections:Treballs Finals de Grau (TFG) - Matemàtiques

Files in This Item:
File Description SizeFormat 
memoria.pdfMemòria577.31 kBAdobe PDFView/Open

This item is licensed under a Creative Commons License Creative Commons