Heston model derivation, discretisation and calibration in R : magistrsko delo

Maršič, Andrej (author), Košir, Tomaž (mentor), Velušček, Dejan (co-mentor), Soucek, Michael (co-mentor)

• Language: English
• Keywords: Heston model, financial modelling, stochastic differential equation, discretisation scheme, simulation, R
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [A. Maršič]
• Year: 2017
• Number of pages: 76 str.
• PID: 20.500.12556/RUL-100872
• UDC: 519.8
• COBISS.SI-ID: 18127961
• Publication date in RUL: 18.04.2018

Secondary language

• Language: Slovenian
• Title: Hastonov model: izpeljava, diskretizacija in kalibriranje v R
• Keywords: Hestonov model, finančno modeliranje, stohastične diferencialne enačbe, diskretizacijske sheme, simulacija, R