Calibration of parameters for the Heston model in the high volatility period of market

Description

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.

Links & Downloads

1. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-2206
2. Local 2082/2603

Tags

Heston model

calibration parameters

Bayesian analysis

deviation detection problem

Additional Fields

Identifer	oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-2206
Date	January 2008
Creators	Maslova, Maria
Publisher	Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE)
Source Sets	DiVA Archive at Upsalla University
Language	English
Detected Language	English
Type	Student thesis, info:eu-repo/semantics/bachelorThesis, text
Format	application/pdf
Rights	info:eu-repo/semantics/openAccess