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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
provided by the
Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Calibration of parameters for the Heston model in the high volatility period of marketMaslova, Maria January 2008 (has links)
<p>The main idea of our work is the calibration parameters for the Heston stochastic volatility model. We make this procedure by using the OMXS30 index from the NASDAQ OMX Nordic Exchange Market. We separate our data into the stable period and high-volatility period on this Nordic Market. Deviation detection problem are solved using the Bayesian analysis of change-points. We estimate parameters of the Heston model for each of periods and make some conclusions.</p>
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Calibration of parameters for the Heston model in the high volatility period of marketMaslova, Maria January 2008 (has links)
The main idea of our work is the calibration parameters for the Heston stochastic volatility model. We make this procedure by using the OMXS30 index from the NASDAQ OMX Nordic Exchange Market. We separate our data into the stable period and high-volatility period on this Nordic Market. Deviation detection problem are solved using the Bayesian analysis of change-points. We estimate parameters of the Heston model for each of periods and make some conclusions.
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