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memoria.pdf (577.31 KB)

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Bachelor thesis

Publication date

2016-01-18

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cc-by-nc-nd (c) Guillermo Bernárdez Gil, 2016
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/97666

Medidas monetarias de riesgo y su aplicación a la Conic-finance

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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.

Description

Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2016, Director: José Manuel Corcuera Valverde

Subject

Mercat financer, Treballs de fi de grau, Avaluació del risc, Capital, Models matemàtics, Economia de mercat

Subject (English)

Financial market, Bachelor's theses, Risk assessment, Capital, Mathematical models, Market economy

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Treballs Finals de Grau (TFG) - Matemàtiques

Citation

BERNÁRDEZ GIL, Guillermo. Medidas monetarias de riesgo y su aplicación a la Conic-finance. [consulted: 9 of August of 2026]. Available at: https://hdl.handle.net/2445/97666

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