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Title:	Evaluation of NIG and Heston models in Financial Mathematics; Evaluation of models of log returns
Author:	Octavio Bayón, Jordi; Torres Baix, Joan
Other authors:	Jogreus, Claes
Abstract:	Various models for evaluation of the risk of a portfolio are compared. TheNIG and Heston models have been investigated thoroughly, especially bysimulation. Real data has been used for calibration of the NIG model. Theparameters have been varied to study the sensitivity of the model.
Publication date:	2012-06-26
Subject(s):	Àrees temàtiques de la UPC::Economia i organització d'empreses::Macroeconomia::Finances Àrees temàtiques de la UPC::Matemàtiques i estadística::Anàlisi numèrica::Modelització matemàtica Business mathematics Finance -- Mathematical models Risk assessment Matemàtica financera Finances -- Models matemàtics Avaluació del risc
Rights:	Restricted access - confidentiality agreement
Document type:	Research/Master Thesis
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