Publication: Métodos de estimación y análisis de la curva Cupón Cero para el Euro
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2015
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2015-06
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Abstract
Este proyecto se basa en el análisis y el estudio de diferentes técnicas de aproximación de Curvas Cupón Cero, así como en metodologías de predicción de Renta Fija que sean capaces de estimar el valor futuro de estos activos. El estudio se centra en la zona Euro, construyendo curvas que permitan valorar activos denominados en esta moneda.
El objetivo es el de poder evaluar el rendimiento de las Redes Neuronales Artificiales de MATLAB como método de aproximación y predicción, para así poder aplicarlas en el cálculo de curvas, y en la valoración de activos. Se busca una nueva forma de realizar matemáticas financieras, desde una perspectiva más computacional, aplicando técnicas de Inteligencia Artificial.
Así mismo, se busca predecir posibles subidas o bajadas en el precio de determinados bonos, con el fin de poder obtener beneficios en los mercados gracias a esta información
This project is based on the analysis and study of different approximation techniques of Zero Coupon Curve and prediction methodologies Bond to estimate the future value of these assets. The study focuses on the Euro area, building curves for evaluating assets denominated in that currency. The aim is to evaluate the performance of MATLAB Neural Networks as a method of approach and prediction, so we can apply in the calculation of curves, as well as asset valuation. This project has sought a new way of conducting financial mathematics, from a computational perspective, applying AI techniques. Likewise, it has sought to predict possible increases or decreases in the price of certain bonds, in order to obtain benefits in the markets thanks to this information.
This project is based on the analysis and study of different approximation techniques of Zero Coupon Curve and prediction methodologies Bond to estimate the future value of these assets. The study focuses on the Euro area, building curves for evaluating assets denominated in that currency. The aim is to evaluate the performance of MATLAB Neural Networks as a method of approach and prediction, so we can apply in the calculation of curves, as well as asset valuation. This project has sought a new way of conducting financial mathematics, from a computational perspective, applying AI techniques. Likewise, it has sought to predict possible increases or decreases in the price of certain bonds, in order to obtain benefits in the markets thanks to this information.
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Redes neuronales, Finanzas, Matemáticas financieras, MATLAB (Programa de aplicación)