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Parameter estimation of a bivariate diffusion process : the Heston model
Includes abstract.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2015
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| _version_ | 1867613320355250176 |
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| access_status_str | Open Access |
| author | Nomoyi, Siyabulela |
| author2 | Varughese, Melvin |
| author_browse | Nomoyi, Siyabulela Varughese, Melvin |
| author_facet | Varughese, Melvin Nomoyi, Siyabulela |
| author_sort | Nomoyi, Siyabulela |
| collection | Thesis |
| description | Includes abstract. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/11774 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:34:14.045Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Department of Statistical Sciences |
| publisherStr | Department of Statistical Sciences |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/11774 Parameter estimation of a bivariate diffusion process : the Heston model Nomoyi, Siyabulela Varughese, Melvin Mathematics of Finance Includes abstract. Includes bibliographical references (leaves 27-29). 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. 2015-01-08T19:56:59Z 2015-01-08T19:56:59Z 2011 Master Thesis Masters MPhil http://hdl.handle.net/11427/11774 eng application/pdf Department of Statistical Sciences Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Nomoyi, Siyabulela Parameter estimation of a bivariate diffusion process : the Heston model |
| thesis_degree_str | Master's |
| title | Parameter estimation of a bivariate diffusion process : the Heston model |
| title_full | Parameter estimation of a bivariate diffusion process : the Heston model |
| title_fullStr | Parameter estimation of a bivariate diffusion process : the Heston model |
| title_full_unstemmed | Parameter estimation of a bivariate diffusion process : the Heston model |
| title_short | Parameter estimation of a bivariate diffusion process : the Heston model |
| title_sort | parameter estimation of a bivariate diffusion process the heston model |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/11774 |
| work_keys_str_mv | AT nomoyisiyabulela parameterestimationofabivariatediffusionprocessthehestonmodel |