El clásico modelo de valoración de opciones europeas de Black y Scholes (1973) supone que los retornos logarítmicos de un activo financiero se distribuyen normalmente, no obstante varios estudios empíricos muestran, primero, que esta distribución puede ser asimétrica y tener colas pesadas"...

Artificial Economics is one of the fastest growing approaches to analyse complex socio-economic systems. In this paper we present our views on the distinguishing features of Artificial Economics and on its relation with Theoretical Economics - the field that in our opinion lies closest to...

Este artículo quiere mostrar los usos y las utilidades de MATLAB©, tanto en la enseñanza como en las aplicaciones de la Matemática Financiera. El artículo tiene dos partes bien diferenciadas: en la primera se hace un estudio estadístico de los datos del Ibex 35 durante gran parte del año...

Artificial Economics is one of the fastest growing approaches to analyse complex socio-economic systems. In this paper we present our views on the distinguishing features of Artificial Economics and on its relation with Theoretical Economics - the field that in our opinion lies closest to...

Testing for the assumption of independence between spatial variables is an important first step in spatial conometrics. Usually the researchers use the bivariate generalization of the Moran’s statistic, specifying a spatial matrix a priori. This test is applicable only to detect linear...

This paper discusses a new methodology to estimate the economic capital by credit risk for a retail portfolio based on the general concepts of copula and dependence measures as well as some core results of the Extreme Value Theory (EVT). The superiority of the proposed approach over the...

In this paper we introduce two general non-parametric first-order stationary time-series models for which marginal (invariant) and transition distributions are expressed as infinite-dimensional mixtures. That feature makes them the first Bayesian stationary fully non-parametric models developed...

En este trabajo se analizan los cambios en la desigualdad producidos durante el período 1998-2005. Se presenta un conjunto de resultados que pueden contribuir a entender mejor los cambios en la desigualdad. Los resultados obtenidos muestran que la desigualdad distributiva observada entre ambos...

This paper analyzes the cost of long-term care (LTC) associated to individuals in dependence situation. The economic cost of care per unit of service is linked to the expected time of needed care and the intensity of required services. We have estimated the expected lifetime cost of LTC in...