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Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/93343
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dc.date.accessioned2022-04-11T11:09:48Z-
dc.date.available2022-04-11T11:09:48Z-
dc.date.issued2013-
dc.identifier.citationGauci, J. (2013). A study of the heston stochastic volatility model (Bachelor's dissertation).en_GB
dc.identifier.urihttps://www.um.edu.mt/library/oar/handle/123456789/93343-
dc.descriptionB.SC.(HONS)STATS.&OP.RESEARCHen_GB
dc.description.abstractThe aim of this dissertation is to provide an introduction to stochastic differential equations followed by the study of stochastic volatility models. This will enable us to analyze the dynamics of the S&P500 index under the stochastic volatility assumption. In particular, the Heston stochastic volatility model will be developed. Also, some properties of the Heston stochastic volatility model will be looked into and the model will be implemented on the S&P500 index data. To estimate the parameters of the model, the Kalman and Extended Kalman filters will be studied. A discussion on the method used and the results extracted will follow in the end.en_GB
dc.language.isoenen_GB
dc.rightsinfo:eu-repo/semantics/restrictedAccessen_GB
dc.subjectStochastic analysisen_GB
dc.subjectKalman filteringen_GB
dc.subjectStochastic programmingen_GB
dc.titleA study of the heston stochastic volatility modelen_GB
dc.typebachelorThesisen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.publisher.institutionUniversity of Maltaen_GB
dc.publisher.departmentFaculty of Science. Department of Statistics and Operations Researchen_GB
dc.description.reviewedN/Aen_GB
dc.contributor.creatorGauci, Jonathan (2013)-
Appears in Collections:Dissertations - FacSci - 1965-2014
Dissertations - FacSciSOR - 2000-2014

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