hh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Calibration of parameters for the Heston model in the high volatility period of market
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE).
2008 (English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data- och Elektroteknik (IDE) , 2008.
Keywords [en]
Heston model, calibration parameters, Bayesian analysis, deviation detection problem
Identifiers
URN: urn:nbn:se:hh:diva-2206Local ID: 2082/2603OAI: oai:DiVA.org:hh-2206DiVA, id: diva2:239424
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-12-15 Created: 2008-12-15 Last updated: 2025-10-01

Open Access in DiVA

fulltext(1170 kB)13184 downloads
File information
File name FULLTEXT01.pdfFile size 1170 kBChecksum MD5
b5bccb39e7ca3b93cb00086674dbfc476044808042c1f09bcc185807b7603ac10e0f9a68224632fd0763eca9835bb9b13882d6fdaeec245fb6c868b3f6a80f48a69dd713cb083371f1ed639fd7517fb1
Type fulltextMimetype application/pdf

By organisation
School of Information Science, Computer and Electrical Engineering (IDE)

Search outside of DiVA

GoogleGoogle Scholar
Total: 13187 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 610 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf