Please use this identifier to cite or link to this item:
https://www.um.edu.mt/library/oar/handle/123456789/93343
Full metadata record
DC Field | Value | Language |
---|---|---|
dc.date.accessioned | 2022-04-11T11:09:48Z | - |
dc.date.available | 2022-04-11T11:09:48Z | - |
dc.date.issued | 2013 | - |
dc.identifier.citation | Gauci, J. (2013). A study of the heston stochastic volatility model (Bachelor's dissertation). | en_GB |
dc.identifier.uri | https://www.um.edu.mt/library/oar/handle/123456789/93343 | - |
dc.description | B.SC.(HONS)STATS.&OP.RESEARCH | en_GB |
dc.description.abstract | The 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.iso | en | en_GB |
dc.rights | info:eu-repo/semantics/restrictedAccess | en_GB |
dc.subject | Stochastic analysis | en_GB |
dc.subject | Kalman filtering | en_GB |
dc.subject | Stochastic programming | en_GB |
dc.title | A study of the heston stochastic volatility model | en_GB |
dc.type | bachelorThesis | en_GB |
dc.rights.holder | The 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.institution | University of Malta | en_GB |
dc.publisher.department | Faculty of Science. Department of Statistics and Operations Research | en_GB |
dc.description.reviewed | N/A | en_GB |
dc.contributor.creator | Gauci, Jonathan (2013) | - |
Appears in Collections: | Dissertations - FacSci - 1965-2014 Dissertations - FacSciSOR - 2000-2014 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
BSC(HONS)STATISTICS_ Gauci_Jonathan_2013.PDF Restricted Access | 3 MB | Adobe PDF | View/Open Request a copy |
Items in OAR@UM are protected by copyright, with all rights reserved, unless otherwise indicated.