Parameter estimation of a bivariate diffusion process : the Heston model

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dc.contributor.advisorVarughese, Melvinen_ZA
dc.contributor.authorNomoyi, Siyabulelaen_ZA
dc.date.accessioned2015-01-08T19:56:59Z
dc.date.available2015-01-08T19:56:59Z
dc.date.issued2011en_ZA
dc.descriptionIncludes abstract.en_ZA
dc.descriptionIncludes bibliographical references (leaves 27-29).en_ZA
dc.description.abstractThe main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is stochastic. The paper concentrates on estimating these parameters by approximating the transitional probabilities of the diffusion process with a saddlepoint distribution. By solving a system of ordinary differential equations that are in terms of the system’s cumulants, and using these solutions to calculate the saddlepoint, the transitional probabilities of the diffusion process can be approximated.en_ZA
dc.identifier.apacitationNomoyi, S. (2011). <i>Parameter estimation of a bivariate diffusion process : the Heston model</i>. (Thesis). University of Cape Town ,Faculty of Science ,Department of Statistical Sciences. Retrieved from http://hdl.handle.net/11427/11774en_ZA
dc.identifier.chicagocitationNomoyi, Siyabulela. <i>"Parameter estimation of a bivariate diffusion process : the Heston model."</i> Thesis., University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2011. http://hdl.handle.net/11427/11774en_ZA
dc.identifier.citationNomoyi, S. 2011. Parameter estimation of a bivariate diffusion process : the Heston model. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Nomoyi, Siyabulela AB - The main objective of the research is to estimate the parameters on the Heston (1993) model, which models the movement of asset prices assuming that the asset price volatility is stochastic. The paper concentrates on estimating these parameters by approximating the transitional probabilities of the diffusion process with a saddlepoint distribution. By solving a system of ordinary differential equations that are in terms of the system’s cumulants, and using these solutions to calculate the saddlepoint, the transitional probabilities of the diffusion process can be approximated. DA - 2011 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2011 T1 - Parameter estimation of a bivariate diffusion process : the Heston model TI - Parameter estimation of a bivariate diffusion process : the Heston model UR - http://hdl.handle.net/11427/11774 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/11774
dc.identifier.vancouvercitationNomoyi S. Parameter estimation of a bivariate diffusion process : the Heston model. [Thesis]. University of Cape Town ,Faculty of Science ,Department of Statistical Sciences, 2011 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/11774en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDepartment of Statistical Sciencesen_ZA
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematics of Financeen_ZA
dc.titleParameter estimation of a bivariate diffusion process : the Heston modelen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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