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Publikācija: Testing Heston Model Consistency and Evaluation of Parameters Thought Representation in Discrete Time

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Nosaukums oriģinālvalodā Testing Heston Model Consistency and Evaluation of Parameters Thought Representation in Discrete Time
Pētniecības nozare 1. Dabaszinātnes
Pētniecības apakšnozare 1.1. Matemātika
Autori Jegors Fjodorovs
Andrejs Matvejevs
Oksana Pavļenko
Atslēgas vārdi diffusion processes, time series, VIX index, CIR model, Heston model, ARIMA, ARCH.
Anotācija A methodology for the estimation of parameter of a stochastic model using discontinuous models (ARIMA class) and based on the financial market data is introduced. This approach helps to simplify financial derivative pricing problems under various underlying stochastic processes. We show how to apply our technique to the financial index VIX - a market mechanism that measures the 30-day forward implied volatility of the underlying index, the S&P 500. Also the results with regression model of time series which produced by Heston volatility model are considered.
Hipersaite: http://archiv.aplimat.com/2011/General_Information/proceedings.html 
Atsauce Fjodorovs, J., Matvejevs, A., Pavļenko, O. Testing Heston Model Consistency and Evaluation of Parameters Thought Representation in Discrete Time. No: APLIMAT 2011: 10th International Conference, Slovākija, Bratislava, 1.-4. februāris, 2011. Bratislava: Slovak University of Technology, 2011, 265.-272.lpp. ISBN 978-80-89313-51-8.
ID 12293