magistrsko delo
Andrej Maršič (Author), Tomaž Košir (Mentor), Dejan Velušček (Co-mentor), Michael Soucek (Co-mentor)

Abstract

Heston model derivation, discretisation and calibration in R

Keywords

Heston model;financial modelling;stochastic differential equation;discretisation scheme;simulation;R;

Data

Language: English
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [A. Maršič]
UDC: 519.8
COBISS: 18127961 Link will open in a new window
Views: 935
Downloads: 399
Average score: 0 (0 votes)
Metadata: JSON JSON-RDF JSON-LD TURTLE N-TRIPLES XML RDFA MICRODATA DC-XML DC-RDF RDF

Other data

Secondary language: Slovenian
Secondary title: Hastonov model: izpeljava, diskretizacija in kalibriranje v R
Secondary keywords: Hestonov model;finančno modeliranje;stohastične diferencialne enačbe;diskretizacijske sheme;simulacija;R;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: 76 str.
ID: 10927462