In this thesis, we mainly study the correlation between stocks. The correlation between stocks has been receiving increasing attention. Usually the correlation is considered to be a constant, although it is observed to be varying over time. In this thesis, we study the properties of correlations between Wiener processes and introduce a stochastic correlation model. Following the calibration methods by Zetocha, we implement the calibration for a new set of market data. / I det här examensarbetet fokuserar vi främst på att studera korrelation mellan aktier. Korrelationen mellan aktier har fått allt större uppmärksamhet. Vanligtvis antas korrelation vara konstant, trots att empiriska studier antyder att den är tidsvarierande. I det här examensarbetet studerar vi egenskaper hos korrelationen mellan Wienerprocesser och inför en stokastisk korrelationsmodell. Baserat på kalibreringsmetoder av Zetocha implementerar vi kalibrering för en ny uppsättning av marknadsdata.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-188501 |
| Date | January 2016 |
| Creators | Chen, Peng |
| Publisher | KTH, Matematisk statistik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | Swedish |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | TRITA-MAT-E ; 2016:27 |
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