&RQWUROGHURERWVPDQLSXODGRUHV

,QWURGXFFLyQ 
&RQWUROEDVDGRHQODWpFQLFDGHOSDUFRPSXWDGR 
&RQWURODGDSWDWLYR 
&RQWUROFRQDSUHQGL]DMH 
(MHPSORV 
5HIHUHQFLDV 

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV 
&RQWUROGHURERWVPDQLSXODGRUHV

,QWURGXFFLyQ
(Q HVWH FDStWXOR VH SUHVHQWDQ XQD VHULH GH EORTXHV TXH SHUPLWHQ VLPXODU
GLYHUVRVHVTXHPDVGHFRQWUROTXHVHSUHVHQWDQHQHO&DStWXORGH2OOHUR>@
(Q FRQFUHWR VH GLVSRQH GH EORTXHV SDUD VLPXODU OD WpFQLFD GHO SDU FRP
SXWDGRHOFRQWURODGDSWDWLYR\HOFRQWUROFRQDSUHQGL]DMH

$GHPiVGHODGHVFULSFLyQGHORVEORTXHVQHFHVDULRVSDUDVLPXODUHVWDVWpFQL
FDVWDPELpQVHGLVSRQHDOPHQRVGHXQHMHPSORFRPSOHWRGHODLPSOHPHQ
WDFLyQGHFDGDXQDGHHOODV

&RQWUROPHGLDQWHODWpFQLFDGHOSDUFRPSXWDGR
([LVWHQ GRV EORTXHV SDUD HO FRQWURO PHGLDQWH HO SDU FRPSXWDGR ´&RQWURO
3'µ\´&RQWURO3,'µ

'LFKRV EORTXHV VH GHVFULEHQ HQ ODV VLJXLHQWHV SiJLQDV $VLPLVPR H[LVWHQ
XQDVHULHGHHMHPSORVGHLPSOHPHQWDFLRQHVFRPSOHWDVGHODWpFQLFDGHOSDU
FRPSXWDGRPHGLDQWHEORTXHVGH+(0(52

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWUROPHGLDQWHODWpFQLFDGHOSDUFRPSXWDGR &RQWURO3'

&RQWURO3'

3URSyVLWR &DOFXODUHOWpUPLQR τ U TXHIRUPDSDUWHGHOSDUGHFRQWURODVRFLDGRDODWpF

QLFDGHOSDUFRPSXWDGRXVDQGRXQ3'

'HVFULSFLyQ 7RPDQGRFRPRHQWUDGDVORVYHFWRUHVFROXPQDqq’SRVLFLRQHV\YHORFLGDGHV

DUWLFXODUHVqdqd’\qd’’SRVLFLRQHVYHORFLGDGHV\DFHOHUDFLRQHVDUWLFXODUHV
GHVHDGDV HVWH EORTXH FDOFXOD HO SDU τ U  DVRFLDGR D OD WpFQLFD GHO SDU FRP
SXWDGRFRQFRQWURODGRU3'

τ U = θ’’G + . Y H’ + . S H 

GRQGH H, H’  VRQ YHFWRUHV GH Q HUURUHV GH SRVLFLyQ \ YHORFLGDG

UHVSHFWLYDPHQWH

H = θ G – θ ; e’ = θ’G – θ’ 

\ . S  . Y VRQODVPDWULFHVGLDJRQDOHVQ[Q

NS 1 NY 1
NS 2 NY 2
.S =  . Y = 
… … … … … …
N SQ N YQ

3DUiPHWURV

0DWULFHVFRUUHVSRQGLHQWHVDOFRQWURO3'

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV &RQWURO3'

(MHPSORV 9HU(MHPSORV\GH2OOHUR>@

5HIHUHQFLDV 2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWUROPHGLDQWHODWpFQLFDGHOSDUFRPSXWDGR &RQWURO3,'

&RQWURO3,'

3URSyVLWR &DOFXODUHOWpUPLQR τ U TXHIRUPDSDUWHGHOSDUGHFRQWURODVRFLDGRDODWpF

QLFDGHOSDUFRPSXWDGRXVDQGRXQ3,'

'HVFULSFLyQ 7RPDQGRFRPRHQWUDGDVORVYHFWRUHVFROXPQDqq’SRVLFLRQHV\YHORFLGDGHV

DUWLFXODUHVqdqd’\qd’’SRVLFLRQHVYHORFLGDGHV\DFHOHUDFLRQHVDUWLFXODUHV
GHVHDGDV HVWH EORTXH FDOFXOD HO SDU τ U  DVRFLDGR D OD WpFQLFD GHO SDU FRP
SXWDGRFRQFRQWURODGRU3,'

W
τ U = θ’’G + . Y H’ + . S H + . L ∫ H GW
0


GRQGH H, H’  VRQ YHFWRUHV GH Q HUURUHV GH SRVLFLyQ \ YHORFLGDG

UHVSHFWLYDPHQWH

H = θ G – θ ; e’ = θ’G – θ’ 

\ . S  . Y  . L VRQODVPDWULFHVGLDJRQDOHVQ[Q

NS 1 NY 1 NL1
NS 2 NY 2 NL 2
.S =  . Y = ; .L = 
… … … … … … … … …
N SQ N YQ N LQ

3DUiPHWURV

0DWULFHVFRUUHVSRQGLHQWHVDOFRQWURO3,'

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV 

&RQWUROGHURERWVPDQLSXODGRUHV &RQWURO3,'

(MHPSORV 9HU(MHPSORV\GH2OOHUR>@

5HIHUHQFLDV 2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWURODGDSWDWLYR &RQWURO3,'

&RQWURODGDSWDWLYR
6HKDQGHVDUUROODGRXQDVHULHGHEORTXHVTXHSHUPLWHQODVLPXODFLyQGHOD
WpFQLFDGHFRQWUROGHLQHUFLDDGDSWDWLYR6ORWLQH\/L>@TXHVHSUHVHQWDHQ
HO&DStWXORGH2OOHUR>@/RVEORTXHVTXHSHUPLWHQFDOFXODUORVWpUPLQRV
GH OD GLQiPLFD GHO EUD]R UREyWLFR DO YDULDU DOJXQR GH VXV SDUiPHWURV VH
SXHGHQHPSOHDUSDUDVLPXODURWUDVWpFQLFDVGHFRQWURODGDSWDWLYR

/RVEORTXHVGLVSRQLEOHVVRQORVVLJXLHQWHV

+D\TXHWHQHUHQFXHQWDTXHFXDQGRVHFDOFXODODHVWLPDFLyQGHODVPDVDV
HQFDGDLQVWDQWHGLFKDHVWLPDFLyQQRDIHFWDDODHVWLPDFLyQGHORVPRPHQ
WRV GH LQHUFLD (V GHFLU VRODPHQWH VH PRGLILFD OD VH[WD FROXPQD GH ODV
PDWUL]GHSDUiPHWURVFLQHPiWLFRV\GLQiPLFRVYHUVHFFLyQG\QGHO&DStWXOR
GHOPDQXDO

/DPD\RUtDGHORVEORTXHVTXHVHSUHVHQWDQDFRQWLQXDFLyQVRQDQiORJRVD
ORVGHVFULWRVHQHO&DStWXORGHOPDQXDOFRQOD~QLFDVDOYHGDGGHTXHH[LV
WHQ HQWUDGDV DGLFLRQDOHV SDUD SRGHU PRGLILFDU HQ FDGD LQVWDQWH OD HVWL
PDFLyQGHODVPDVDV\GHODVIULFFLRQHV

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV &RQWUROGHLQHUFLDDGDSWDWLYR

&RQWUROGHLQHUFLDDGDSWDWLYR

3URSyVLWR &DOFXODU OD HVWLPDFLyQ GH FLHUWRV SDUiPHWURV GHO PDQLSXODGRU VHJ~Q ODV
HFXDFLRQHVGHOHVTXHPDGHFRQWUROGHLQHUFLDDGDSWDWLYR

'HVFULSFLyQ 'HYXHOYH OD HVWLPDFLyQ GH ODV PDVDV \ ODV IULFFLRQHV GH XQ GHWHUPLQDGR
PDQLSXODGRU D SDUWLU GH ODV SRVLFLRQHV YHORFLGDGHV \ DFHOHUDFLRQHV DUWLFX
ODUHV GHVHDGDV TG TG· \ TG·· \ GH ODV SRVLFLRQHV \ YHORFLGDGHV DUWLFX
ODUHVLQVWDQWiQHDVT\T·$VLPLVPRGHYXHOYHHOWpUPLQR

ˆ ( T ) + )ˆ ( T' )
<( )ϕ = 0̂ ( T ) ( ΛH' + T'' G ) + 9̂ P ( T, T' ) ( ΛH + T' G ) + * 

GRQGH H, H’  VRQ YHFWRUHV GH Q HUURUHV GH SRVLFLyQ \ YHORFLGDG UHVSHFWLYD

PHQWH \ Λ  HV XQD PDWUL] GLDJRQDO GHILQLGD SRVLWLYD GH GLPHQVLRQHV Q[Q
VLHQGRQHVHOQ~PHURGHDUWLFXODFLRQHVGHOPDQLSXODGRU

/DVHVWLPDFLRQHVGHPDVDV\IULFFLRQHVSXHGHQVHUYLUFRPRHQWUDGDVDOUHVWR
GHORVEORTXHVTXHVHGHVFULEHQHQHVWDVHFFLyQ'LFKDVHVWLPDFLRQHVVHFDO
FXODQLQWHJUDQGRODH[SUHVLyQ

7
ϕ’ = Γ< ( ) ( ΛH + H’) 

GRQGH ϕ’  HV OD GHULYDGD UHVSHFWR DO WLHPSR GH ODV HVWLPDFLRQHV GH ORV
SDUiPHWURVYHFWRUGHGLPHQVLRQHVU[ Γ HVXQDPDWUL]GLDJRQDOGHILQLGD
SRVLWLYDGHGLPHQVLRQHVU[U\ <( ) HVXQDPDWUL]GHIXQFLRQHVWHPSRUDOHV
FRQRFLGDV GH GLPHQVLRQHV Q[U VLHQGR U HO Q~PHUR GH SDUiPHWURV TXH VH
HVWiQHVWLPDQGR

3RURWURODGRODVDOLGD<  HVWLPSXHGHVHUYLUSDUDVLPXODUHOHVTXHPD
GH FRQWURO GH LQHUFLD DGDSWDWLYR YHU (MHPSOR  GH 2OOHUR >@ (Q GLFKR
HVTXHPDHOSDUGHFRQWUROTXHVHDSOLFDYLHQHGDGRSRU

τ = <( )ϕ + . Y H’ + . Y ΛH 

GRQGH . Y HVXQDPDWUL]GHJDQDQFLDV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWURODGDSWDWLYR &RQWUROGHLQHUFLDDGDSWDWLYR

3DUiPHWURV

(VWDPDWUL]GHEHWHQHUHOIRUPDWRTXHVHLQGLFD
HQHODSDUWDGRG\QGHO&DStWXOR

Γ
0DWUL]SDUDHOFiOFXORGHODVHVWLPDFLRQHVGH
ORVSDUiPHWURV6XVGLPHQVLRQHVVRQU[U

Λ
0DWUL]SDUDHOFiOFXORGHODVHxDOGHFRQWURO
6XVGLPHQVLRQHVVRQQ[Q

6HLQWURGXFLUtD>@SDUDHOFDVRHQTXH
ODDFHOHUDFLyQIXHUDHQODGLUHFFLyQ\VHQWLGR
GHOYHFWRU=

9HFWRUHVFRQODVHVWLPDFLRQHVLQLFLDOHVSDUD
ORVSDUiPHWURVFRUUHVSRQGLHQWHV

3UHFDXFLRQHV 6H GHEH WHQHU HQ FXHQWD TXH HVWH EORTXH HPSOHD ODV YDULDEOHV JOREDOHV
GHQRPLQDGDV'<1B(67,0\(6B90

(MHPSORV 9HU(MHPSORGH2OOHUR>@

5HIHUHQFLDV /HZLV )/ &7 $EGDOODK '0 'DZVRQ &RQWURO RI URERW PDQLSXODWRUV
0DFPLOODQ3XEOLVKLQJ&RPSDQ\

2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

6ORWLQH-/L:$GDSWLYHPDQLSXODWRUFRQWURODFDVHVWXG\,(((7UDQV
RQ$XWRPDWLF&RQWURO9ROSS

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV ,QYHUVDGHODPDWUL]GHPDVDV

,QYHUVDGHODPDWUL]GHPDVDV

3URSyVLWR &DOFXODU HOSURGXFWRGH OD LQYHUVD GH OD PDWUL]GH PDVDV GHO PDQLSXODGRU
SRU XQ YHFWRU FROXPQD ,Q TXH VH OH SDVD FRPR HQWUDGD 'LVSRQH GH XQD
HQWUDGDSDUDSURSRUFLRQDUOHODVHVWLPDFLRQHVGHODVPDVDVHQFDGDLQVWDQWH

'HVFULSFLyQ (VWHEORTXHVHHQFDUJDGHREWHQHUHOUHVXOWDGRGHOSURGXFWR

–1
0 ( T ) ⋅ ,Q 

GRQGH ,Q HV XQ YHFWRU FROXPQD FXDOTXLHUD TXH VH OH GD FRPR HQWUDGD /D
RWUD HQWUDGD GHO EORTXH HV HYLGHQWHPHQWH XQ YHFWRU FROXPQD FRQ ODV SRVL
FLRQHVDUWLFXODUHV$ODVDOLGDHOUHVXOWDGRHVXQYHFWRUFROXPQDWDPELpQ

'LVSRQHGHXQDHQWUDGDGHQRPLQDGDQXHYDV PTXHSHUPLWHPRGLILFDUOD
HVWLPDFLyQGHODVPDVDVGHOPDQLSXODGRUHQFDGDLQVWDQWH

3DUiPHWURV

(VWDPDWUL]GHEHWHQHUHOIRUPDWRTXHVHLQGLFD
HQHODSDUWDGRG\Q.

5HIHUHQFLDV 2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWURODGDSWDWLYR 0RGHORGHIULFFLRQHV

0RGHORGHIULFFLRQHV

3URSyVLWR &DOFXODU HO SDU FRUUHVSRQGLHQWH D ODV IULFFLRQHV YLVFRVD \ GH &RXORPE HP
SOHDQGRFLHUWRPRGHORSDUDODVPLVPDV'LVSRQHGHHQWUDGDVSDUDPRGLILFDU
ODVHVWLPDFLRQHVGHODVIULFFLRQHVHQFDGDLQVWDQWH

'HVFULSFLyQ 'HYXHOYHHOSDUYHFWRUFROXPQDWDXBITXHFRQWLHQHODVIULFFLRQHVDSDUWLU

GHOYHFWRUFROXPQDGHYHORFLGDGHVDUWLFXODUHVT·TXHVHOHSDVH

(OPRGHORTXHVHHPSOHDHV

 2 –
 * % T’ + * τ , T’ < 0
L L L L L L
) ( T’ ) = 
L L

 * 2 % T’ + * τ + , T’ > 0

L L L L L L

GRQGHHOVXEtQGLFHLVHUHILHUHDODDUWLFXODFLyQLpVLPD/RVSDUiPHWURVTXH
DSDUHFHQHQHVWHPRGHORVHGHWDOODQDFRQWLQXDFLyQ

'LVSRQHGHWUHVHQWUDGDVGHQRPLQDGDVQXHYDV EQXHYDV WFS\QXHYDV

WFP TXHSHUPLWHQPRGLILFDUHQFDGDLQVWDQWH ODVHVWLPDFLRQHVGH ODVIULF
FLRQHVYLVFRVDV\GHODVIULFFLRQHVGH&RXORPESDUDURWDFLyQSRVLWLYD\QHJD
WLYDUHVSHFWLYDPHQWH

3DUiPHWURV 7RGRVORVSDUiPHWURVTXHVHVROLFLWDQHQHOFXDGURGHGLiORJRTXHVHPXHVWUD
DFRQWLQXDFLyQVRQYHFWRUHVFRQXQQ~PHURGHHOHPHQWRVLJXDODOQ~PHURGH
DUWLFXODFLRQHVGHOPDQLSXODGRU

&DGDHOHPHQWRGHGLFKRVYHFWRUHVKDFHUHIHUHQFLDDODFRUUHVSRQGLHQWHDUWL
FXODFLyQGHOPDQLSXODGRU$VtSRUHMHPSORHOVHJXQGRHOHPHQWRGHOYHFWRUGH
IULFFLRQHV YLVFRVDV HV OD IULFFLyQ YLVFRVD GH OD VHJXQGD DUWLFXODFLyQ GHO
PDQLSXODGRU

/RV SDUiPHWURV GH IULFFLyQ KDQ GH HVWDU UHIHULGRV DO PRWRU SRU OR TXH HO
FXDGURGHGLiORJRVROLFLWDWDPELpQHOSDUiPHWURGHUHGXFFLyQ*FRQODILQD
OLGDGGHSRGHUUHIHULUORVYDORUHVGHIULFFLyQDORVHQODFHV

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV 0RGHORGHIULFFLRQHV

*HVYHORFLGDGGHODDUWLFXODFLyQYHORFLGDGGHO
HQODFH

6RQORVHOHPHQWRVGHOPRGHOR
% L

–
τ
6RQORVHOHPHQWRVGHOPRGHOR
L

+
τ
6RQORVHOHPHQWRVGHOPRGHOR
L

5HIHUHQFLDV 2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWURODGDSWDWLYR 7pUPLQRGHODPDWUL]GHPDVDV

7pUPLQRGHODPDWUL]GHPDVDV

3URSyVLWR &DOFXODUHOSDUDVRFLDGRDODPDWUL]GHPDVDV'LVSRQHGHXQDHQWUDGDSDUD
PRGLILFDUODHVWLPDFLyQGHODVPDVDVHQFDGDLQVWDQWH

'HVFULSFLyQ &DOFXODHOSURGXFWRGHODPDWUL]GHPDVDVSRUHOYHFWRUGHHQWUDGD,Q(QOD
RWUD HQWUDGDKD\TXH LQWURGXFLUHOYHFWRUGHSRVLFLRQHVDUWLFXODUHV T6LHO
YHFWRU ,QHV HOYHFWRUGHDFHOHUDFLRQHV DUWLFXODUHVHQWRQFHVDODVDOLGDGHO
EORTXHVHWLHQHHOSDUDVRFLDGRDODPDWUL]GHPDVDV

0 ( T ) ⋅ T’’ 

3DUDXQPDQLSXODGRUFRQQDUWLFXODFLRQHVODPDWUL]GHPDVDVWLHQHGLPHQ
VLRQHVQ[Q\HVVLPpWULFD

+D\TXHUHFRUGDUTXHVLVHLQWURGXFHQSDUiPHWURVGLQiPLFRVUHODWLYRVDOD
LQHUFLDGHOPRWRUHQWRQFHVGLFKDLQHUFLDUHIHULGDDOFXDGURGHUHIHUHQFLDGHO
HQODFHDSDUHFHUiHQODGLDJRQDOGHODPDWUL]0

6HGLVSRQHGHXQDHQWUDGDQXHYDV PSDUDPRGLILFDUHQFDGDLQVWDQWHOD

HVWLPDFLyQGHODVPDVDVGHOPDQLSXODGRU

3DUiPHWURV

(VWDPDWUL]GHEHWHQHUHOIRUPDWRTXHVHLQGLFD
HQHODSDUWDGRG\Q.

(MHPSORV 9HU(MHPSORGH2OOHUR>@

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV 7pUPLQRGHODPDWUL]GHPDVDV

5HIHUHQFLDV 2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWURODGDSWDWLYR 7pUPLQRVFHQWUtJXIRV\GH&RULROLV

7pUPLQRVFHQWUtIXJRV\GH&RULROLV

3URSyVLWR &DOFXODUHOSDUFRUUHVSRQGLHQWHDORVWpUPLQRVFHQWUtIXJRV\GH&RULROLV6H
GLVSRQHGHXQDHQWUDGDSDUDPRGLILFDUHQFDGDLQVWDQWHODHVWLPDFLyQGHODV
PDVDV

'HVFULSFLyQ 'HYXHOYHXQYHFWRUFROXPQDFRQHOSDUTXHFRUUHVSRQGHDORVWpUPLQRVFHQ
WUtIXJRV\GH&RULROLVSDUDHOHVWDGRGHILQLGRSRUORVYHFWRUHVFROXPQDT\T·
TXHVRQUHVSHFWLYDPHQWHODVSRVLFLRQHV\YHORFLGDGHVDUWLFXODUHV

6HGLVSRQHGHXQDHQWUDGDDGLFLRQDOQXHYDVPSDUDODLQWURGXFFLyQGHODV

HVWLPDFLRQHVGHODVPDVDVHQFDGDLQVWDQWH

3DUiPHWURV

(VWDPDWUL]GHEHWHQHUHOIRUPDWRTXHVHLQGLFD
HQHODSDUWDGRG\Q.

(MHPSORV 9HU(MHPSORGH2OOHUR>@

5HIHUHQFLDV 2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV 7pUPLQRVJUDYLWDWRULRV

7pUPLQRVJUDYLWDWRULRV

3URSyVLWR &DOFXODUHOSDUGHELGRDORVWpUPLQRVJUDYLWDWRULRV'LVSRQHGHXQDHQWUDGD
SDUDLUSDViQGROHODVHVWLPDFLRQHVGHODVPDVDVHQFDGDPRPHQWR

'HVFULSFLyQ 'HYXHOYHXQYHFWRUFROXPQDFRQHOSDUTXHFRUUHVSRQGHDOWpUPLQRJUDYLWD
WRULRSDUDHOHVWDGRGHILQLGRSRUHOYHFWRUFROXPQDTGHYDULDEOHVDUWLFXODUHV
/DHQWUDGDGHQRPLQDGDQXHYDV PVLUYHSDUDSDVDUOHODHVWLPDFLyQGHODV
PDVDVHQFDGDPRPHQWR

3DUiPHWURV

(VWDPDWUL]GHEHWHQHUHOIRUPDWRTXHVHLQGLFD
HQHODSDUWDGRG\Q.

6HLQWURGXFLUtD>@SDUDHOFDVRHQTXH
ODDFHOHUDFLyQIXHUDHQODGLUHFFLyQ\VHQWLGR
GHOYHFWRU=

(MHPSORV 9HU(MHPSORGH2OOHUR>@

5HIHUHQFLDV 2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWURODGDSWDWLYR 7pUPLQR9PGH&RULROLV

7pUPLQR9PGH&RULROLV

3URSyVLWR &DOFXODUHOSURGXFWRGHXQYHFWRUSRUHOWpUPLQR 9 P GH&RULROLV7LHQHXQD

HQWUDGDSDUDSDVDUOHODVHVWLPDFLRQHVGHODVPDVDVHQFDGDLQVWDQWH

'HVFULSFLyQ &DOFXODHOSURGXFWRGHOWpUPLQR 9 P GH&RULROLVSRUHOYHFWRUGHHQWUDGD,Q

(QODRWUDVHQWUDGDVKD\TXHLQWURGXFLUORVYHFWRUHVFRQODVSRVLFLRQHV\ODV
YHORFLGDGHVDUWLFXODUHVT\T·UHVSHFWLYDPHQWH6LHOYHFWRU,QHVHOYHFWRU
GHYHORFLGDGHVDUWLFXODUHVHQWRQFHVDODVDOLGDGHOEORTXHVHWLHQHHOSDUDVR
FLDGRDOWpUPLQRFHQWUtIXJR\GH&RULROLV

9 ( T, T’) = 9 P ( T, T’)T’ 

/D HQWUDGD QXHYDV P SHUPLWH SDVDUOH ODV HVWLPDFLRQHV GH ODV PDVDV HQ
FDGDLQVWDQWH

3DUiPHWURV

(VWDPDWUL]GHEHWHQHUHOIRUPDWRTXHVHLQGLFD
HQHODSDUWDGRG\Q.

$OJRULWPR (OWpUPLQR 9 P VHFDOFXODPHGLDQWHODIyUPXOD

1 7
9 P ( T, T’) = --- ( 0 ’ + 8 – 8 ) 
2

GRQGH

∂0 7 ∂0
0 ’( T ) = ( T’ ⊗ , Q ) -------  8 ( T, T’) = ( , Q ⊗ T’ ) ------- 
∂T ∂T

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV 7pUPLQR9PGH&RULROLV

∂0
--------
∂T 1
∂0
VLHQGR ⊗ HOSURGXFWRGH.URQHFNHU>@\ ------- = … 
∂T
∂0
--------
∂T Q

3UHFDXFLRQHV 6HGHEHWHQHUHQFXHQWDTXHHVWHEORTXHHPSOHDXQDYDULDEOHJOREDOGHQRPL
QDGD(6B90

5HIHUHQFLDV /HZLV )/ &7 $EGDOODK '0 'DZVRQ &RQWURO RI URERW PDQLSXODWRUV
0DFPLOODQ3XEOLVKLQJ&RPSDQ\

2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWUROFRQDSUHQGL]DMH

&RQWUROFRQDSUHQGL]DMH
6HGLVSRQHGHXQEORTXHSDUDODLPSOHPHQWDFLyQGHOHVTXHPDGHFRQWUROFRQ
DSUHQGL]DMHTXHDSDUHFHGHVFULWRHQ&UDLJ>@

/DLPSOHPHQWDFLyQGHOHVTXHPDGHDSUHQGL]DMHQRHVGHOWRGRLQWXLWLYDSRU
ORTXHVHUXHJDDOOHFWRUTXHSUHVWHHVSHFLDODWHQFLyQDODGHVFULSFLyQGHHVWH
EORTXH6HHPSOHDXQILFKHURGHQRPLQDGR¶LWHUDPDW·SDUDDOPDFHQDUORV
UHVXOWDGRVGHFDGDLWHUDFLyQ\DVtSRGHUHPSOHDUORVHQORVFiOFXORVGHODVL
JXLHQWHLWHUDFLyQ

(OEUHYHHMHPSORTXHDFRPSDxDDODGHVFULSFLyQGHHVWHEORTXHUHVXOWDPX\
LOXVWUDWLYRDHIHFWRVGHFRPSUHQGHUVXXVR

$ FRQWLQXDFLyQ VH SDVD D GHVFULELU EUHYHPHQWH GLFKR EORTXH FRQ REMHWR GH

SRQHUGHPDQLILHVWRFXDOHVVXXWLOLGDGHQGLFKRHVTXHPD

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV 3DUUHDOLPHQWDGRDSUHQGLGR

3DUUHDOLPHQWDGRDSUHQGLGR

3URSyVLWR &DOFXODUXQSDUPHGLDQWHDSUHQGL]DMHHQUHSHWLFLRQHVVXFHVLYDVGHOPLVPR
PRYLPLHQWR'LFKRSDUKD\TXHVXPDUORDOSDUGHFRQWURO

'HVFULSFLyQ (VWHEORTXHFDOFXODPHGLDQWHUHSHWLFLRQHVVXFHVLYDVGHOPLVPRPRYLPLHQWR
HOSDU γ N TXHDSDUHFHHQODOH\GHFRQWURO&UDLJ>@

ˆ ( T ) + γ̂
τ = 0̂ ( T ) [ T'' G + . Y H' + . S H ] + 9̂ ( T, T' ) + * 
N

'LFKRSDUYLHQHGDGRSRUODHFXDFLyQ

γ̂ N = 0̂' N 

ˆ VHFDOFXODHQLWHUDFLRQHVVXFHVLYDVDSDUWLUGHODH[SUHVLyQ
GRQGH ' N

( N + 1 ) = ' N + 3∗ H N
ˆ
' ˆ 

VLHQGR

2
3(V) = V + ( . Y – µ )V + ( . S – µ ) 

&RPRHQWUDGDVVHQHFHVLWDQODVSRVLFLRQHVYHORFLGDGHV\DFHOHUDFLRQHVDUWL
FXODUHVDFWXDOHV\GHVHDGDV

7UDVFDGDLWHUDFLyQKD\TXHJXDUGDUHOHVSDFLRGHWUDEDMRHQXQILFKHURFRQ
HO QRPEUH ¶LWHUDPDW· HQ HO GLUHFWRULR GH WUDEDMR (V QHFHVDULR TXH HO
ILFKHUR WHQJD HVH QRPEUH \D TXH HO EORTXH 6LPXOLQN LQWHQWD DEULU GLFKR
ILFKHURSDUDFDUJDUORVUHVXOWDGRVGHODLWHUDFLyQDQWHULRU

3RU WDQWR FXDQGR VH TXLHUD HPSH]DU GHVGH OD SULPHUD LWHUDFLyQ GH QXHYR
VHUiQHFHVDULRERUUDUHODUFKLYR¶LWHUDPDW·GHOGLUHFWRULRGHWUDEDMR

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
&RQWUROFRQDSUHQGL]DMH 3DUUHDOLPHQWDGRDSUHQGLGR

3DUiPHWURV

(VWDPDWUL]GHEHWHQHUHOIRUPDWRTXHVHLQGLFD
HQHODSDUWDGRG\Q.

.S .Y
0DWULFHV\HQODIyUPXODGH 3(V )

µ
&RQVWDQWHHQODIyUPXODGH 3(V )

'XUDFLyQGHODVLPXODFLyQVHVXSRQHTXHHP
SLH]DHQW 

3UHFDXFLRQHV 6H GHEH WHQHU HQ FXHQWD TXH HVWH EORTXH HPSOHD ODV YDULDEOHV JOREDOHV
GHQRPLQDGDV7,(032'B.((B'\(B''

+D\TXHHOHJLUODVFRQVWDQWHVGHWDOPRGRTXHVHYHULILTXH

2
NY
---- – 2
2
0 < µ < ------------------ 
2
N
----Y – 1
4

(MHPSORV 9HU(MHPSORGH2OOHUR>@

(MHPSOR+DUFKLYRHMKPGO

3DUDVLPXODUWUHVLWHUDFLRQHVGHOPpWRGRGHFRQWUROFRQDSUHQGL]DMHLPSOH
PHQWDGRHQHODUFKLYRVHUtDQQHFHVDULDVODVVLJXLHQWHVOtQHDV

FOHDUDOO
VLP¶HMK·
VDYHLW
VDYHLWHUD
VLP¶HMK·
VDYHLW
VDYHLWHUD
VLP¶HMK·

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV 3DUUHDOLPHQWDGRDSUHQGLGR

VDYHLW
VDYHLWHUD

'HVSXpV GH HMHFXWDU HVWDV OtQHDV VH WHQGUtDQ WUHV ILFKHURV GHQRPLQDGRV
LWPDWLWPDWHLWPDWFRQORVUHVXOWDGRVGHFDGDXQDGHODVLWHUD
FLRQHV 6L VH TXLVLHUD HPSH]DU D VLPXODU GH QXHYR GHVGH OD SULPHUD
LWHUDFLyQVHUtDQHFHVDULRERUUDUHODUFKLYRLWHUDPDW

5HIHUHQFLDV &UDLJ -- $GDSWLYH FRQWURO RI PHFKDQLFDO PDQLSXODWRUV $GGLVRQ :HVOH\


2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER%RL[DUHX

HGLWRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV
(MHPSORV

(MHPSORV
(MHPSOR+DUFKLYRHMKPGO9HU(MHPSORHQ2OOHUR>@

(MHPSOR+DUFKLYRVHMKPGO9HU(MHPSORHQ2OOHUR>@

(MHPSOR+DUFKLYRHMKPGO9HU(MHPSORHQ2OOHUR>@

(MHPSOR+DUFKLYRHMKPGO9HU(MHPSORHQ2OOHUR>@

5HIHUHQFLDV
>@ %UHZHU-:.URQHFNHUSURGXFWVDQGPDWUL[FDOFXOXVLQPDWUL[WKHRU\
,(((7UDQV&LUFXLWV6\VWYRO&$6QžSS6HSW

>@ &UDLJ -- $GDSWLYH FRQWURO RI PHFKDQLFDO PDQLSXODWRUV $GGLVRQ

:HVOH\

>@ &UDLJ--,QWURGXFWLRQWRURERWLFV$GGLVRQ:HVOH\VHJXQGDHG

>@ 2OOHUR $ 5REyWLFD 0DQLSXODGRUHV \ URERWV PyYLOHV 0DUFRPER

%RL[DUHXHGLWRUHV

>@ 6ORWLQH - /L : $GDSWLYH PDQLSXODWRU FRQWURO D FDVH VWXG\ ,(((
7UDQVRQ$XWRPDWLF&RQWURO9ROSS

+(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV  
&RQWUROGHURERWVPDQLSXODGRUHV

 +(0(52+HUUDPLHQWD0$7/$%6LPXOLQNSDUD

HOHVWXGLRGHPDQLSXODGRUHV\URERWVPyYLOHV