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

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.