Modelo estocástico para el precio de activos riesgosos utilizando procesos Hawkes

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John Freddy Moreno Trujillo

Resumen

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.

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Referencias

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