Sökning: "Maria Maslova"

Hittade 1 uppsats innehållade orden Maria Maslova.

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

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Maria Maslova; [2008]
    Nyckelord :Heston model; calibration parameters; Bayesian analysis; deviation detection problem;

    Sammanfattning : 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. LÄS MER